Re: [討論] 美國利率與美國股市

[hsiuchuanwin (win)]

※ 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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推 murazi:既然如此發言不妨用英文, 讀者也比較好懂
→ murazi:            用中文(打錯)
→ star0329:有點問題的作文 試著用中文說明吧
→ liton:英文就一個很小的錯誤而已啊  有啥問題哩?
→ liton:我覺得粉奇怪咧 要推薦經濟用書 一大堆推薦
→ liton:英文的原文書  要看po  卻要看中文的
→ liton:如果覺得哪邊有問題  請指出來
推 LeChatelier:從thus開始的句子時態有問題
推 star0329:要是po英文如果能和英文書一樣簡單清楚
→ star0329:當然是不反對啦
→ liton:那為什麼我完全看的懂?
→ star0329:你要不要請老美看看時態和語法?
→ liton:一些文法上的小問題並不影響這篇文章的意思
→ liton:一篇寫在bbs的post是不會經過proof reading
→ star0329:原po在台灣 用中文不是更容易懂嗎?
→ liton:就因為一些沒經過proof reading的小問題
→ liton:就否定一篇好po的價值嗎?
→ star0329:只是讀起來有點拗口  如此而已
→ star0329:既然您有定見  就不多說了
→ liton:作者也說了 他是來這練習的 這不是應該鼓勵
→ liton:的嗎?
→ liton:全世界非英語國家的學者那麼多 難道這些學者
→ liton:天生下來英文就那麼強? 難道臺灣的學者全都
→ liton:全都得用中文寫論文或發表學術意見?
推 earlobes:對呀，為什麼要排斥看英文嘛..
推 supa:will be happy
→ supa:point that out