Munich Personal RePEc Archive

Stock returns and real activity: the dynamic conditional lagged correlation approach

Lyócsa, Štefan and Baumöhl, Eduard and Výrost, Tomáš (2012): Stock returns and real activity: the dynamic conditional lagged correlation approach.

[img]
Preview
PDF
MPRA_paper_43307.pdf

Download (478kB) | Preview

Abstract

Using dynamic conditional correlations (DCCs), we estimate the time-varying relationship between stock market returns and output growth based on monthly data for the US over the 1964:01 to 2012:07 time period. We demonstrate that in general, this relationship is positive and present during the entire study period. Furthermore, our findings suggest that this relationship is strengthened during recessions.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.