The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Permanent and Transitory Components of GNP and Stock Prices
Abstract
This paper uses two-variable autoregressions to characterize transitory components in GNP and stock prices. Shocks to GNP holding consumption constant are almost entirely transitory, and account for large fractions of the variance of GNP growth. If consumption does not change, consumers must think that any GNP change is transitory. The facts that the consumption/GNP ratio forecasts GNP growth and that consumption is nearly a random walk drive this result. An implication is that consumption provides a good estimate of the “trend” in GNP. Prices and dividends behave similarly: shocks to prices holding dividends constant are almost entirely transitory.
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Citations
Cites
FAMA, E. F. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb04636.x · Cited by 5,350
Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
Hodrick, R. J. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.3.351 · Cited by 1,523
Cited by
What are the effects of fiscal policy shocks?
Mountford, A., & Uhlig, H. (2009) · Journal of Applied Econometrics · doi:10.1002/jae.1079 · Cited by 1,349
Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
Lettau, M., & Ludvigson, S. C. (2004) · American Economic Review · doi:10.1257/000282804322970805 · Cited by 567
Quantile cointegrating regression
Xiao, Z. (2009) · Journal of Econometrics · doi:10.1016/j.jeconom.2008.12.005 · Cited by 431
What Risk Premium Is “Normal”?
Arnott, R. D., & Bernstein, P. L. (2002) · Financial Analysts Journal · doi:10.2469/faj.v58.n2.2524 · Cited by 306
Metadata
- Authors
- Cochrane, J. H.
- Venue
- The Quarterly Journal of Economics
- Publisher
- Oxford University Press (OUP)
- Published
- 1994-02-01
- Volume
- 109
- Issue
- 1
- Pages
- 241-265
- ISSN
- 0033-5533 (ISSN-L)
- 1531-4650
- OpenAlex
- W2046637750
- Cited by
- 548
- References
- 2
- FWCI
- 39.12
- Type
- journal article
- Language
- en
- Open access
- closed
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- Cochrane, J. H. (1994). Permanent and Transitory Components of GNP and Stock Prices. The Quarterly Journal of Economics. https://doi.org/10.2307/2118434
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
