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- W1581583846 abstract "VAR models of the kind developed by Shiller and Beltratti (1992) and Campbell and Ammer (1993) are used to analyze the Danish stock and bond markets and their comovement. In contrast to these papers, however, VAR parameter estimates are bias-adjusted and VAR generated statistics, including their standard errors and confidence intervals, are computed using bootstrap simulation. In addition, we modify the Campbell-Ammer variance decomposition such that it can handle returns from a long-term coupon bond. Some parts of the results for the Danish stock and bond markets are quite similar to the US results reported by Shiller and Beltratti and Campbell and Ammer, but other parts stand in sharp contrast to the results for the US. The most important differences between the US and Denmark are that in Denmark news about higher future inflation lead to an increase in expected future stock returns, and that excess stock return news and excess bond return news are negatively correlated." @default.
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- W1581583846 date "2000-01-01" @default.
- W1581583846 modified "2023-09-26" @default.
- W1581583846 title "The Danish Stock and Bond Markets: Comovement, Return Predictability and Variance Decomposition" @default.
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- W1581583846 doi "https://doi.org/10.2139/ssrn.230868" @default.
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