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Journal Article
The untouchables
Clement, Douglas (2005-12)
By quantifying the unmeasured, Fed economists shed light on the stock market, productivity and the development of economic theory
The Region , Volume 19 , Issue Dec , Pages 30-33, 52-57

Journal Article
Comovements among national stock markets
Kasa, Kenneth (1995)
This paper uses the methodology of Hansen and Jaganathan (1991) to derive a lower bound on the correlation between any pair of asset returns under the hypothesis of complete markets. The bound is a simple function of the two assets' Sharpe ratios and the coefficient of variation of a unique stochastic discount factor. The paper uses this bound to conduct robust, nonparametric tests of the hypothesis that international equity markets are integrated. ; Using monthly stock return data from the U.S., Japan, and Great Britain for the period 1980 through 1993, I find that conclusions about market ...
Economic Review

Journal Article
The vanishing equity premium
Clement, Douglas (2001-06)
The Region , Volume 15 , Issue Jun , Pages 6-7

Journal Article
Stock market fundamentals
Prowse, Stephen D. (1997-11)
Southwest Economy , Issue Nov , Pages 5-8

Journal Article
Statement to Congress, February 2, 1988 (review of recent developments in the financial markets)
Greenspan, Alan (1988-04)
Federal Reserve Bulletin , Issue Apr

Conference Paper
Monetary policy and stock market booms
Motto, Roberto; Rostagno, Massimo; Ilut, Cosmin; Christiano, Lawrence J. (2010)
Proceedings - Economic Policy Symposium - Jackson Hole

Journal Article
Stock-market gyrations and investment
Osterberg, William P. (1987-12)
An analysis of the relationship between stock-market gyrations and business fixed investment, using the q theory (the ratio of the market value of financial liabilities to the replacement value of physical assets).
Economic Commentary , Issue Dec , Pages 1-4

Working Paper
Market timing strategies that worked
Shen, Pu (2002)
In this paper, we present a few simple market-timing strategies that appear to outperform the "buy-and-hold" strategy, with real-time data from 1970 to 2000. Our focus is on spreads between the E/P ratio of the S&P 500 index and interest rates. Extremely low spreads, as compared to their historical ranges, appear to predict higher frequencies of subsequent market downturns in monthly data. We construct "horse races" between switching strategies based on extremely low spreads and the market index. Switching strategies call for investing in the stock market index unless spreads are lower ...
Research Working Paper , Paper RWP 02-01

Report
Time-varying consumption correlation and the dynamics of the equity premium: evidence from the G-7 countries
Zhang, Lingjia; Sarkar, Asani (2004)
We examine the implications of time variation in the correlation between the equity premium and nondurable consumption growth for equity return dynamics in G-7 countries. Using a VAR-GARCH (1,1) model, we find that the correlation increases with recession indicators such as above-average unemployment growth and with proxies for stock market wealth. The combined effect is that the correlation increases during a recession. We find that the effect of a countercyclical correlation is that the equity premium, Sharpe ratio, and risk aversion are also generally countercyclical. These findings ...
Staff Reports , Paper 181

Journal Article
Stock market fundamentals
Haubrich, Joseph G. (1997-01)
An explanation of the primary factors driving stock market fundamentals and an examination of how well those factors explain--or fail to explain--current market trends.
Economic Commentary , Issue Jan

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