Stock returns and real activity: the dynamic conditional lagged correlation approach

Štefan Lyócsa, Eduard Baumohl and Tomáš Výrost

MPRA Paper from University Library of Munich, Germany

Abstract: Using dynamic conditional correlations (DCCs), we estimate the time-varying relationship between stock market returns and output growth based on monthly data for the US over the 1964:01 to 2012:07 time period. We demonstrate that in general, this relationship is positive and present during the entire study period. Furthermore, our findings suggest that this relationship is strengthened during recessions.

Keywords: stock market returns; real activity; dynamic conditional lagged correlations; recessions (search for similar items in EconPapers)
JEL-codes: E44 G15 (search for similar items in EconPapers)
Date: 2012-12-17
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