1、 1 毕业论文（设计） 外文翻译 外文题目： Approaches to Stock Market and Economic Activity 出 处： Asset Price， Booms and Recessions Financial Economics Form a Dynamic Persepective 作 者： Mohamed EI Hedi Arouri, Fredj Jawadi Approaches to Stock Market and Economic Activity 1.Introduction The interaction of the stock market
2、 and economic activity has recently become an important topic in empirical finance as well as in macroeconomic research. The research has pursued two directions. A large number of papers have studied the impact of the stock market on real activity. Here particular emphasis is given to the relationsh
3、ip of the volatility of the stock market and output. The research studies the impact of wealth, as evaluated on the stock market, on borrowing, lending and spending behavior of banks, firms and households. The argument may go like this. An increase in wealth through the appreciation of stocks increa
4、ses spending directly since people feel wealthier. At the same time the appreciation of stocks increases the collateral for borrowing by firms and households. Credit may expand and thus spending is likely to increase. A depreciation of stocks lets spending decrease and devaluates the collateral and
5、credit contractions followed by large output loss may occur. Thus, large stock price swings can easily be seen to impact economic activity. Often Tobins Q is employed to study this impact of stock market appreciation or depreciation on firm investment. Of course, other financial variables such as in
6、terest rates, interest rate spreads, the term structure of the interest rates and credit constraints, as discussed in Chaps. They are also important for household and firm spending. Thus, beside the real variables, asset prices and financial variables are also important for economic activity and, mo
7、reover, have often been good predictors for turning points in economic activity and business cycles. 2 On the other hand, another important line of research is to show how real activity affects asset prices and returns. Often, proxies for economic fundamentals are employed to show that fundamentals
8、drive stock prices and returns. The two main important variables for stock prices are the expected cash flows (and dividend payments) of firms and discount rates. Both are supposed to determine asset prices in a fundamental way. Empirical researchers have used numerous macroeconomic variables as pro
9、xies for news on expected returns, future cash flows and discount rates. In addition variables with leads and lags are studied for their impact on asset pricing and returns. In general, econometric literature has shown that good predictors of stock prices and returns have proved to be dividends, ear
10、nings and growth rate of real output Moreover, financial variables such as interest rate spread and the term structure of interest rates have also been significant in predicting stock prices and stock returns . Other balance sheet variables, such as firms leverage ratio, net worth and liquidity have
11、 also successfully been employed Presently discussed approaches in the empirical literature have primarily stressed either of the above mentioned two strands of research. Subsequently we will present some approaches, the relevant stylized facts for those approaches and some empirical results of the
12、studies. Thereafter,we will presentmodels that deal with the interaction of macroeconomic factors and the stock market.We will also discuss some empirical results on such models as well. 2.The Intertemporal Approach In the above table we present summary statistics of time series for U.S. and Europe
13、on GNP, consumption, investment, employment, the treasury bill rate, equity return and the Sharpe-ratio. The latter measure of financial market performance has recently become a quite convenient measure to match theory and facts, since, as a measure of the risk-return trade-off, the Sharpe-ratio cap
14、tures both excess returns and excess volatility.85 Yet, we want to mention that the Sharpe-ratio might also be time varying. This will be discussed in Chaps. As shown in table 5.1, 3 the hierarchy of volatility measured by the standard deviation is common for U.S. as well as European data. As shown,
15、 stock returns exhibit the strongest volatility. The second strongest volatility is exhibited by investment followed by consumption. Employment has the lowest volatility. In addition, as can be seen for U.S. as well as European data, the equity return carries an equity premium as compared to the ris
16、k free interest rate. This excess return was first stated by Mehra and Prescott (1985) as the equity premium puzzle. As can be observed the market return by far exceeds the return from the risk-free rate. As shown in a variety of recent papers,86 the intertemporalmodels, in particular the RBC model
17、insufficiently explains the equity premium and the excess volatility of equity return and thus the Sharpe-ratio. Standard RBC asset market models employ the Solow-residual as technology shocks or impulse dynamics. For a given variance In sum, for the actual time series compared, for example, with th
18、e standard RBC model, we observe a larger equity return and stronger volatility of equity prices in contrast to the risk-free rate. These two facts are measured by the Sharpe-ratio which cannot be matched by the standard RBC model.87 Moreover, it is worth noting that in the stochastic growth model t
19、here is only a one-sided relationship. Real shocks affect stock prices and returns but shocks to asset prices or overreaction of asset prices relative to changes in fundamentals have no effects on real activity. The asset market is always cleared and there are no feedback mechanisms to propagate financial shocks to the real side.
