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U.S. GDP and S&P 500 : an inquiry into the nature and causes of the econometric relation between GDP and stock market in the U.S.

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dc.contributor.author Mora Ros, Jordi
dc.date.accessioned 2019-10-24T12:21:22Z
dc.date.available 2019-10-24T12:21:22Z
dc.date.issued 2019
dc.identifier.uri http://hdl.handle.net/10230/42502
dc.description Treball de Fi de Grau en Economia. Curs 2018-2019
dc.description Tutora: Elisa Alòs Alcalde
dc.description.abstract We are made to believe the stock market is a good measure for the actual economy. However, while the S&P 500 has been strong for almost 40 years, U.S. GDP growth has slowed down considerably. This paper aims to conduct an analysis of the established econometric relationship between these economic concepts and delve into its joint dynamics and linear interdependencies. To do this we use a VAR model to test Granger causality and analyze the Impulse Response Functions based on a quarter time series data for the year 1947 to 2018. While the S&P 500 cannot be predicted in our study, we can show a positive historical relation between current U.S. GDP growth and past S&P 500 growth when comparing our results with an AR model. As such, our analysis aims to utilize S&P 500 as a short-run leading indicator to forecast U.S. GDP behavior.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.rights Atribución 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by/3.0/es/
dc.subject.other Treball de fi de grau – Curs 2018-2019
dc.subject.other Standard & Poor's 500
dc.subject.other Indexació (Economia)
dc.subject.other Producte interior brut (PIB)
dc.title U.S. GDP and S&P 500 : an inquiry into the nature and causes of the econometric relation between GDP and stock market in the U.S.
dc.type info:eu-repo/semantics/bachelorThesis
dc.rights.accessRights info:eu-repo/semantics/openAccess


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