Macroeconomic variables and long-term stock market performance. A panel ARDL cointegration approach for G7 countries

Andreas Humpe, David G. McMillan and Mariam Camarero

Cogent Economics & Finance, 2020, vol. 8, issue 1, 1816257

Abstract: Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices, industrial production and consumer prices as well as a negative relationship with real 10-year interest rates.

Date: 2020
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DOI: 10.1080/23322039.2020.1816257

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