Stock Returns and Real Growth: A Bayesian Nonparametric Approach


ShanghaiTech SEM Working Paper No. 2018-003


Qiao Yang

ShanghaiTech University - School of Entrepreneurship and Management



The study of the joint dynamic behaviour between stock market returns and real economic growth rates is an important empirical question in  nance and macroeconomics. This paper investigates their linkage by proposing a vector autoregressive in nite hidden Markov model. Our model has two advantages over the existing approaches in the literatures...

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Keywords: hierarchical Dirichlet process prior, beam sampling, Markov switching, MCMC

JEL Classification: C58, C14, C22, C11


Date Written: April 2016


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