1、2530 单词， 4100 汉字 外文题目： Can macroeconomic variables explain long term stock market movements?A comparison of the US and Japan 出 处： School of Economics and Finance, University of St Andrews, St Andrews, UK, 作 者： Andreas Humpe Peter Macmillan Can macroeconomic variables explain long term stock market m
2、ovements?A comparison of the US and Japan By Andreas Humpe Peter Macmillan 原文： ABSTRACT Within the framework of a standard discounted value model we examine whether a number of macroeconomic variables influence stock prices in the US and Japan. A cointegration analysis is applied in order to model t
3、he long term relationship between industrial production, the consumer price index, money supply, long term interest rates and stock prices in the US and Japan. For the US we find the data are consistent with a single cointegrating vector, where stock prices are positively related to industrial produ
4、ction and negatively related to both the consumer price index and a long term interest rate. We also find an insignificant (although positive) relationship between US stock prices and the money supply. However, for the Japanese data we find two cointegrating vectors. We find for one vector that stoc
5、k prices are influenced positively by industrial production and negatively by the money supply. For the second cointegrating vector we find industrial production to be negatively influenced by the consumer price index and a long term interest rate. These contrasting results may be due to the slump i
6、n the Japanese economy during the 1990s and consequent liquidity trap. Keywords: Stock Market Indices, Cointegration, Interest Rates. I. Introduction. A significant literature now exists which investigates the relationship between stock market returns and a range of macroeconomic and financial varia
7、bles, across a number of different stock markets and over a range of different time horizons. Existing financial economic theory provides a number of models that provide a framework for the study of this relationship. One way of linking macroeconomic variables and stock market returns is through arb
8、itrage pricing theory (APT) (Ross, 1976), where multiple risk factors can explain asset returns. While early empirical papers on APT focussed on individual security returns, it may also be used in an aggregate stock market framework, where a change in a given macroeconomic variable could be seen as
9、reflecting a change in an underlying systematic risk factor influencing future returns. Most of the empirical studies based on APT theory, linking the state of the macro economy to stock market returns, are characterised by modelling a short run relationship betweenmacroeconomic variables and the st
10、ock price in terms of first differences, assuming trend stationarity. For a selection of relevant studies see inter alia Fama (1981, 1990), Fama and French (1989), Schwert (1990), Ferson and Harvey (1991) and Black, Fraser and MacDonald (1997). In general, these papers found a significant relationsh
11、ip between stock market returns and changes in macroeconomic variables, such as industrial production, inflation, interest rates, the yield curve and a risk premium. An alternative, but not inconsistent, approach is the discounted cash flow or present value model (PVM)1. This model relates the stock
12、 price to future expected cash flows and the future discount rate of these cash flows. Again, all macroeconomic factors that influence future expected cash flows or the discount rate by which these cash flows are discounted should have an influence on the stock price. The advantage of the PVM model
13、is that it can be used to focus on the long run relationship between the stock market and macroeconomic variables. Campbell and Shiller (1988) estimate the relationship between stock prices, earnings and expected dividends. They find that a long term moving average of earnings predicts dividends and
14、 the ratio of this earnings variable to current stock price is powerful in predicting stock returns over several years. They conclude that these facts make stock prices and returns much too volatile to accord with a simple present value model. Engle and Granger (1987) and Granger (1986) suggest that
15、 the validity of long term equilibria between variables can be examined using cointegration techniques. These have been applied to the long run relationship between stock prices and macroeconomic variables in a number of studies, see inter alia Mukherjee and Naka (1995), Cheung and Ng (1998), Nasseh
16、 and Strauss (2000), McMillan (2001) and Chaudhuri and Smiles (2004). Nasseh and Strauss (2000), for example, find a significant long-run relationship between stock prices and domestic and international economic activity in France, Germany, Italy, Netherlands, Switzerland and the U.K. In particular
17、they find large positive coefficients for industrial production and the consumer price index, and smaller but nevertheless positive coefficients on short term interest rates and business surveys of manufacturing. The only negative coefficients are found on long term interest rates. Additionally, the
18、y find that European stock markets are highly integrated with that of Germany and also find industrial production, stock prices and short term rates in Germany positively influence returns on other European stock markets (namely France, Italy, Netherlands, Switzerland and the UK). In this paper, we
19、will draw upon theory and existing empirical work as a motivation to select a number of macroeconomic variables that we might expect to be strongly related to the real stock price. We then make use of these variables, in a cointegration model, to compare and contrast the stock markets in the US and
20、Japan. In contrast to most other studies we explicitly use an extended sample size of most of the last half century, which covers the most severe stock market booms in US and Japan. While Japans hay days have been in the late 1980s, the US stock market boom occurred during the 1990s and ended in 200
21、0. Japans stock market has not yet fully recovered from a significant decline during the 1990s, and at the time of writing, trades at around a quarter of the value it saw at its peak in 1989.2 The aim of this paper is to see whether the same model can explain the US and Japanese stock market while y
22、ielding consistent factor loadings. This might be highly relevant, for example, to private investors, pension funds and governments, as many long term investors base their investment in equities on the assumption that corporate cash flows should grow in line with the economy, given either a constant or slowly moving discount rate. Thus, the expected return on equities may be linked to future economic performance. A further concern might be the impact of the Japanese deflation on real equity returns. In this paper, we make use of the cointegration
