The Japanese stock market and the macroeconomy: An empirical investigation

DOI10.1007/BF02425199zbMath1157.91413OpenAlexW2038561679MaRDI QIDQ1000390

Tsunemasa Shiba, Manabu Asai

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02425199

zbMATH Keywords

stock pricecausalitymacroeconomic variablesPKOToda-yamamoto VAR

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Cites Work

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• Asset price prediction using seasonal decomposition
• Statistical inference in vector autoregressions with possibly integrated processes
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

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