US share prices and real supply and demand shocks

被引：8
|
作者：
Fraser, Patricia [1 ]
Groenewold, Nicolaas [2 ]
机构：
[1] Univ Aberdeen, Univ Aberdeen Business Sch, Dept Accountancy & Finance, Edward Wright Bldg,Dunbar St, Aberdeen AB24 3QY, Scotland
[2] Univ Western Australia, Nedlands, WA, Australia
来源：
QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2006年 / 46卷 / 01期
关键词：
Real stock prices; Demand and supply shocks; Portfolio shocks; SVAR;
D O I：
10.1016/j.qref.2004.09.002
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Demand and supply sources of output movement are distinguished and the effects of shocks on stock prices are analysed. The real economy has a more pronounced effect on the stock market than vice versa and the influence from the real economy to the stock market is less important than shocks that are peculiar to the market itself. Supply and demand shocks have a greater impact on stock prices than they do on real economy variables and the sensitivity of real stock prices to supply fluctuations haswaned while the sensitivity of real stock prices to demand-driven output fluctuations has increased. (C) 2005 Board of Trustees of the University of Illinois. All rights reserved.
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页码：149 / 167
页数：19
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