English, Article edition: THE LINEAR DEPENDENCE AND FEEDBACK SPECTRA BETWEEN STOCK MARKET AND ECONOMY XIA PAN

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Physical Description
  • article
Language
  • English

Edition details

Title
  • THE LINEAR DEPENDENCE AND FEEDBACK SPECTRA BETWEEN STOCK MARKET AND ECONOMY
Author
  • XIA PAN
Physical Description
  • article
Notes
  • Geweke studied the measure of linear dependence and spectral feedback for grouped multivariate time series. This paper applies the measure of linear dependence and spectral feedback to examining the relationship between grouped variables of economy and stock market indices. Putting economic variables into one group and stock market variables into another, we examine the between-group relationship within the US, within Japan, and within the European Union. Using a self-developed computing program, the feedback spectra for grouped variables are calculated and displayed. Although risk might exist in that the significance levels for test may not be reliable because the feedback spectra are measured on possibly nonstationary variables in level, the patterns of the feedback spectra still provide information about the cyclical effect between the variable groups.
  • Linear dependence, spectral feedback, multivariate time series, economic barometer
  • RePEc:wsi:ijtafx:v:10:y:2007:i:03:p:437-447
Language
  • English
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