An international analysis of earnings, stock prices and bond yields

Alain Durré () and Pierre Giot

No 515, Working Paper Series from European Central Bank

Abstract: This paper assesses the possible contemporaneous relationship between stock index prices, earnings and long-term government bond yields for a large number of countries and over a time period that spans several decades. In a cointegration framework, our analysis looks at three hypotheses. First, is there a long-term contemporaneous relationship between earnings, stock prices and government bond yields? Second, does a deviation from this possible long-run equilibrium impact stock prices such that the equilibrium is restored? Third, do government bond yields play a significant role in the long-run relationship or does the latter only involve stock prices and earnings? We also study the short-term impact of changes in long-term government bond yields on stock prices and discuss our short-term and long-term results in light of the recent developments regarding the so-called Fed model. JEL Classification: C13, C22, F31, G14

Keywords: earnings; inflation; interest rates; long-run relationships; market valuation; stock indexes (search for similar items in EconPapers)
Date: 2005-08
Note: 343102
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Citations: View citations in EconPapers (14)

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https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp515.pdf (application/pdf)

Related works:
Journal Article: An International Analysis of Earnings, Stock Prices and Bond Yields (2007)
Working Paper: An international analysis of earnings, stock prices and Bond yields (2007)
Working Paper: An International Analysis of Earnings, Stock Prices and Bond Yields (2007)
Working Paper: An international analysis of earnings, stock prices and bond yields (2005)
Working Paper: An international analysis of earnings, stock prices and bond yields (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2005515

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