| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4275 |
| 来源ID | Working Paper 4275 |
| Stochastic Trends and Short-Run Relationships Between Financial Variables and Real Activity | |
| Toru Konishi; Valerie A. Ramey; Clive W.J. Granger | |
| 发表日期 | 1993-02-01 |
| 出版年 | 1993 |
| 语种 | 英语 |
| 摘要 | This paper re-examines the relationship between financial variables and real activity in a unified statistical framework. Using the methods of cointegration and separation. we characterize the long-run and short-run relationships between three sets of variables and then use the framework to assess the predictive power of alternative financial variables for real activity. Three main results emerge from the analysis. First, we show that although two sets of variables may not share the long-run trend. the error correction terms from one set of variables may have important explanatory power for the variables in another set. Second, we show that some of the key variables discussed in the literature can be interpreted as error correction terms from another system. Third, comparing two key error correction terms, M2 velocity and the interest rate spread between commercial paper and Treasury bills, we find that M2 velocity appears to be a more consistent predictor of output than is the interest rate spread. |
| 主题 | Macroeconomics ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w4275 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561635 |
| 推荐引用方式 GB/T 7714 | Toru Konishi,Valerie A. Ramey,Clive W.J. Granger. Stochastic Trends and Short-Run Relationships Between Financial Variables and Real Activity. 1993. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w4275.pdf（1187KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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