美國利率與美國股市 - 經濟

※ 引述《liton (歐吉桑留學生)》之銘言：
: ※ 引述《hsiuchuanwin (win)》之銘言：
: : As economy (market) is boom, the inflation would be likely to increase.
: boom is a verb and noun, but not a adjective
: economy=\=boom
: : Thus, if you get information about an increase in interest rate, you should
: : know stock market would go to a bear market. In contrast, if you know the Fed
: : will lower interest rate, you should know stock market would go to a bull
: : market. As I know, the relationship between interest rate and stock market is
: : negative.
: : Best regards.
: You should identify which stage the economy locates in. When the economy
: is recoverying from the bottom of business cycle, the Fed will start to raise
: interest rate. Howeverever, the stock market would go to a bull market.
: The Fed will continue to raise interest rate until parts of economic indices
: show that the economy is turning down.
: As we know, a business cycle take several years. If we run the econometric
: model, we should find a positive relationship.(I guess)



Thanks for correcting my grammar. It is helpful to me. Thank you very much.



A question here is the relationship between interest rate and stock market.

Recently, I read two papers (Rapach et al., 2005; Rapach & Wohar, 2006)

about the predicting stock returns with macro and financial variables.

Using monthly and quarterly data, the empirical results show that the lag of

interest rate can predict the stock returns, and the regression coefficient is

negative and significant. However, the R-squared is pretty low.


Thus, you are right in the argument that it is not easy to predict the stock

returns even the regression coefficient is significant. However, according to

the previous literature, the relationship for these two variables is negative.


In fact, there are two potential problems in previous studies. First, they use

lag of interest rate (term rate, default spread, shot rate, relative rate) to

predict stock returns, so they find a negative relationship between the interest

rate and stock returns. If we use the simultaneous regression model, we may

find a different story (However, I think this possibility is relative low).

Second, previous studies use the level interest rate to predict stock returns.

As we know, the interest rate might be a non-stationary process. There may

exist a spurious regression in the previous studies. Similarly, I think this

potential econometric problem is considered in Rapach et al (2005) and

Rapach and Wohar (2006) since Rapach familiarizes with econometric model.

I am not an economist. I just point out the potential problems.

So if you have any comment or suggestion on this issue, I will very happy

to discuss with you. Moreover, if you are interested in this issue,

I have the data used in Rapach et al (2005) and Rapach and Wohar (2006) so that

I can share with you.


Thanks agian for correcting my errors. If I have any error in this article,

you are welcome to point out that.


Sincerely,

H-S Lee

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http://www.wretch.cc/user/hsiuchuanwin

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