A reexamination of real stock returns, real interest rates, real activity, and inflation: Evidence from a large data set

Using the informational sufficiency procedure from Forni and Gambetti (2014) along with data from McCracken and Ng (2014), we update the results of Lee (1992) and find that his Vector Autoregression (VAR) is informationally deficient. To correct this problem, we estimate a Factor Augmented VAR (FAVA...

Full description

Bibliographic Details

Main Authors:	Paul M. Jones, Eric Olson, Mark Wohar
Format:	Default Article
Published:	2017
Subjects:	Other commerce, management, tourism and services not elsewhere classified untagged Business and Management not elsewhere classified
Online Access:	https://hdl.handle.net/2134/26060
Tags:	Add Tag No Tags, Be the first to tag this record!