Introduction

From Main Street to Wall Street ◽

10.1093/oso/9780198866404.003.0001 ◽

2021 ◽

pp. 1-6

Author(s):

Jesper Rangvid

Keyword(s):

Economic Growth ◽

Business Cycle ◽

Stock Returns ◽

Economic Activity ◽

Final Part ◽

Stylized Facts ◽

Long Run ◽

Key Concepts ◽

The Business Cycle

Chapter 1 contains an overview of the book. Part I introduces key concepts, definitions, and stylized facts regarding long–run economic growth and stock returns.Part II analyses the relation between economic growth and stock returns in the long run. Part III examines the shorter-horizon relation between economic growth and stock returns: the relation over the business cycle. Part IV explains how to make reasonable projections for economic activity, both for the short and the long run. Part V deals with expected future stock returns. The final part, a short one including one chapter only, explains how one can use the insights from the book when making investments.

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From Main Street to Wall Street

10.1093/oso/9780198866404.001.0001 ◽

2021 ◽

Author(s):

Jesper Rangvid

Keyword(s):

Economic Growth ◽

Stock Market ◽

Business Cycle ◽

Financial Markets ◽

Stock Returns ◽

Economic Activity ◽

Wall Street ◽

Business Cycle Fluctuations ◽

Main Street ◽

Long Run

From Main Street to Wall Street examines the relation between the economy and the stock market. It discusses the academic theories and empirical facts, and guides readers through the fascinating interaction between economic activity and financial markets. Itexamines what causes long-run economic growth and shorter-term business-cycle fluctuations and analyses their impact on stock markets. From Main Street to Wall Street also discusses how investors can use knowledge of economic activity and financial markets to formulate expectations to future stock returns. The book relies on data, and figures and tables illustrate arguments and theories in intuitive ways.In the end, From Main Street to Wall Street helps academic scholars and practitioners navigate financial markets by understanding the economy.

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Growth and returns across countries

From Main Street to Wall Street ◽

10.1093/oso/9780198866404.003.0006 ◽

2021 ◽

pp. 78-87

Author(s):

Jesper Rangvid

Keyword(s):

Economic Growth ◽

Interest Rates ◽

Stock Returns ◽

Stock Prices ◽

Economic Activity ◽

Wide Margin ◽

The Past ◽

Long Run ◽

The Us ◽

Long Run Risk

This chapter examines the relation between long-run economic growth and returns across countries. Have countries that have experienced high GDP growth historically also experienced high stock returns? The chapter contains three main messages. First, there is no clear tendency that countries that have grown fast in the past are also countries that have delivered high stock returns in the past. Second, as in the US, stock prices have in many countries followed economic activity in the long run. Third, real interest rates relate to economic growth across countries in the long run.Another conclusion emerging from this chapter is that long-run stock returns exceed long-run rates of economic growth and long-run risk-free rates by a wide margin.

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Business Cycle Implication of Long-Run Risk Consumption CAPM: Korean Stock Market Evidence

Journal of Derivatives and Quantitative Studies ◽

10.1108/jdqs-03-2012-b0001 ◽

2012 ◽

Vol 20 (3) ◽

pp. 265-295

Author(s):

Sam Ho Son ◽

Seiwoon Hwang ◽

Ki Beom Binh

Keyword(s):

Business Cycle ◽

Stock Returns ◽

Discount Factor ◽

Stochastic Discount Factor ◽

Power Utility ◽

Consumption Growth ◽

Korean Economy ◽

Long Run ◽

Consumption Risk ◽

The Business Cycle

This paper examines long-run consumption based asset pricing models by studying sixteen Fama-French size and book-to-market portfolios in KRX (Korea Exchange) as test assets. In our empirical implementation, we follow both models of Hansen, Heaton and Li (2008) and Parker and Julliard (2005). Hansen, Heaton and Li (2008) used recursive utility framework. The stochastic discount factor for this model depends on the present value of expectations about future consumption growth rates. In the empirical specification for this model, we follow Malloy, Moskowiz and Vissing-Jørgensen (2008). Meanwhile, Parker and Julliard (2005) proposed a model based upon the power utility framework and explicitly considers the consumption adjustment period. Our main results are surprisingly consistent with the results of existing literatures. By assessing both of these models, we find that the significance of the excess returns of the test assets in predicting consumption growth peaks at the horizon of 2.5 years. These empirical results partly proves the existence of long-run consumption risk in Korean economy. We can relate stock returns to long-run consumption risk and business cycle. Specifically, the stochastic discount factor of Parker and Julliard’s model captures the financial crises in the years of 1997 and 2003. Moreover, it catches the business cycle pattern of composite leading index in Korea.

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The Short-Run and Long-Run Relationships between Mortality and the Business Cycle in Canada

Economics Research International ◽

10.1155/2013/409738 ◽

2013 ◽

Vol 2013 ◽

pp. 1-11 ◽

Cited By ~ 3

Author(s):

Zuzana Janko ◽

J. C. Herbert Emery ◽

Pierre Guenette

Keyword(s):

Business Cycle ◽

Economic Activity ◽

Negative Relationship ◽

Death Rates ◽

Correction Model ◽

Unemployment Rates ◽

Long Run ◽

Short Run ◽

The Business Cycle ◽

The Relationship

This paper investigates the relationship between health and the business cycle for the Canadian economy. The majority of existing literature shows a procyclical relationship between death rates and indicators of the business cycle, suggesting that recessions are good for one’s health. We use a time series error correction model to determine the short-run and long-run impacts of the unemployment rates on death rates. Our results indicate that temporary slowdowns in economic activity are associated with lower death rates. Moreover, once we stratify the data by sex, we find a long-run negative relationship between the unemployment rate and death rates for both sexes.

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Bridging the Gap between the Short and the Long Run in Macroeconomics: Outline of the GSMS-SS Model of Economic Growth and the Business Cycle

SSRN Electronic Journal ◽

10.2139/ssrn.2394835 ◽

2014 ◽

Author(s):

Antony P. Mueller

Keyword(s):

Economic Growth ◽

Business Cycle ◽

Long Run ◽

The Business Cycle

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Forming Sources of Long-run Growth: How to Understand Them?

Voprosy Ekonomiki ◽

10.32609/0042-8736-2014-3-4-20 ◽

2014 ◽

pp. 4-20 ◽

Cited By ~ 10

Author(s):

G. Idrisov ◽

S. Sinelnikov-Murylev

Keyword(s):

Economic Growth ◽

Growth Rate ◽

Economic Policy ◽

Business Cycle ◽

Capital Markets ◽

Productivity Growth ◽

Government Spending ◽

Long Run ◽

Accelerate Growth ◽

Budget Institutions

The paper analyzes the inconsequence and problems of Russian economic policy to accelerate economic growth. The authors consider three components of growth rate (potential, Russian business cycle and world business cycle components) and conclude that in order to pursue an effective economic policy to accelerate growth, it has to be addressed to the potential (long-run) growth component. The main ingredients of this policy are government spending restructuring and budget institutions reform, labor and capital markets reforms, productivity growth.

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Stock Returns and the Business Cycle

CFA Digest ◽

10.2469/dig.v35.n2.1668 ◽

2005 ◽

Vol 35 (2) ◽

pp. 42-43

Author(s):

Daniel B. Cashion

Keyword(s):

Business Cycle ◽

Stock Returns ◽

The Business Cycle

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Government spending shocks and economic growth: additional evidence from cyclical behavior of fiscal policy

Journal of Economic and Administrative Sciences ◽

10.1108/jeas-01-2020-0003 ◽

2020 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Olumide Olusegun Olaoye ◽

Ukafor Ukafor Okorie ◽

Oluwatosin Odunayo Eluwole ◽

Mahmood Butt Fawwad

Keyword(s):

Economic Growth ◽

Business Cycle ◽

Government Spending ◽

Generalized Method Of Moments ◽

The State ◽

Fiscal Policies ◽

Asymmetric Effect ◽

Content Type ◽

Spending Shocks ◽

The Business Cycle

PurposeThis study examines the asymmetric effect of government spending on economic growth in Nigeria over the period 1980–2017. Specifically, this study investigates whether the response of economic growth to government spending shocks differs according to the nature of shocks on them. In addition, the authors examine whether the stabilizing effects of fiscal policies are dependent on the state of the business cycle.Design/methodology/approachThe study adopts the linear fiscal reaction function in addition to the nonlinear regression model of Hatemi-J (2011, 2012), Granger and Yoon (2002), which allows us to separate negative shocks from positive shocks to government spending. Similarly, the authors adopt the generalized method of moments (GMM) techniques of Hansen (1982) to account for simultaneity and endogeneity problems inherent in dynamic model.FindingsThe authors’ findings reveal that there is evidence of asymmetry in the government spending–economic growth nexus in Nigeria over the period of study. Specifically, the authors find that the response of economic growth to government spending shocks differs according to the nature of shocks on them. More specifically, the study established that the stabilizing effects of fiscal policies are dependent on the state of the business cycle.Originality/valueUnlike the traditional method of modeling asymmetry, which adopts the simple inclusion of a squared government spending term or by the inclusion of a cubic government spending term, the model adopted in this study allows us to model shocks and show how the responses of economic growth to government expenditure differ according to the nature of shocks on them.

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