An international analysis of earnings, stock prices and bond yields

Alain Durré () and Pierre Giot

No 73, Working Paper Research from National Bank of Belgium

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.

Keywords: stock indexes; earnings; long-run relationships; interest rates; inflation; market valuation (search for similar items in EconPapers)
JEL-codes: C13 C22 F31 G14 (search for similar items in EconPapers)
Pages: 53 pages
Date: 2005-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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https://www.nbb.be/doc/ts/publications/wp/wp73en.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:nbb:reswpp:200509-1

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