Stock Markets Cycles and Macroeconomic Dynamics

Puneet Vatsa; Hem C. Basnet; Franklin G. Mixon Jr; Kamal P. Upadhyaya

doi:10.1007/s11294-024-09901-5

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Stock Markets Cycles and Macroeconomic Dynamics

Journal article

Open access

Peer reviewed

Stock Markets Cycles and Macroeconomic Dynamics

Puneet Vatsa, Hem C. Basnet, Franklin G. Mixon Jr and Kamal P. Upadhyaya

International Advances in Economic Research, Vol.30(3), pp.255-278

2024

DOI: https://doi.org/10.1007/s11294-024-09901-5

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Abstract

Hamilton filter

Time-difference analysis

Stock market indices

Industrial production

Employment

Inflation

U.S. economy

There is a consensus that stock markets are procyclical. However, answers to some important questions remain unclear. Do stock markets lead or lag business cycles? More interestingly, what is the duration with which they lead or lag them? This study uses different time-series filters and time-difference analysis to answer these questions by examining the dynamic interactions between three major stock indices and key macroeconomic indicators in the United States. The findings show that stock markets have been strongly procyclical, lagging industrial production by one to three months in recent decades. There have been noteworthy changes in the relationship between inflation and stock market cycles. The correlations changed from negative in the 1980s and 1990s to positive in the 2000s and 2010s. The results also reveal close associations between the stock indices, offering new insights into the interplay between financial markets and economic cycles.

Details

Title: Stock Markets Cycles and Macroeconomic Dynamics
Authors: Puneet Vatsa - Lincoln University
Hem C. Basnet (Corresponding Author) - Methodist University
Franklin G. Mixon Jr - Columbus State University
Kamal P. Upadhyaya - University of New Haven
Publication details: International Advances in Economic Research, Vol.30(3), pp.255-278
Publisher: Springer New York LLC
Date published: 2024
DOI: 10.1007/s11294-024-09901-5
ISSN: 1573-966X; 1083-0898
Copyright note: This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.
Data Availability: Data of this study are available upon request from the corresponding author.
Organisation Unit: School of Business and Creative Industries
Language: English
Record Identifier: 991148738202621
Output Type: Journal article

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Web Of Science research areas: Economics

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