NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Financial Market Shocks and the Macroeconomy

Avanidhar Subrahmanyam, Sheridan Titman

NBER Working Paper No. 19383
Issued in August 2013
NBER Program(s):   AP   CF

Feedback from stock prices to cash flows occurs because information revealed by firms’ stock prices influences the actions of competitors. We explore the implications of feedback within a noisy rational expectations setting with incumbent publicly traded firms and privately held new entrants. In this setting the equilibrium relation among stock prices and both future dividends and aggregate output depends on the strategic environment in which these firms operate. In general, under reasonable conditions, the relations between prices, dividends, and economic output in our framework are consistent with empirical evidence in the macroliterature. We also generate new, potentially testable, implications.

You may purchase this paper on-line in .pdf format from SSRN.com ($5) for electronic delivery.

Information about Free Papers

You should expect a free download if you are a subscriber, a corporate associate of the NBER, a journalist, an employee of the U.S. federal government with a ".GOV" domain name, or a resident of nearly any developing country or transition economy.

If you usually get free papers at work/university but do not at home, you can either connect to your work VPN or proxy (if any) or elect to have a link to the paper emailed to your work email address below. The email address must be connected to a subscribing college, university, or other subscribing institution. Gmail and other free email addresses will not have access.

E-mail:

Acknowledgments

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w19383

Users who downloaded this paper also downloaded these:
Woodford w19368 Macroeconomic Analysis without the Rational Expectations Hypothesis
Farmer w19391 The Stock Market Crash Really Did Cause the Great Recession
Kelly and Jiang w19375 Tail Risk and Asset Prices
Aguiar and Amador w19388 Sovereign Debt: A Review
Gordon w19390 The Phillips Curve is Alive and Well: Inflation and the NAIRU During the Slow Recovery
 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us