Browsing by Author "Melo, Frederico Silveira Machado Benfica de"
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- Was there a structural change, after 2009, in the relation between macroeconomic and the stock market’s performance in the United States?Publication . Melo, Frederico Silveira Machado Benfica de; Azevedo, João Mário Mc Millan da Cunha Vale eDuring the lasts 10 years, stock markets have witnessed consecutive historical maxima, namely the S&P500 index. Parallelly, the associated Cyclically-Adjusted Price-to-Earnings ratio (CAPE) followed the same path, being substantially above the historic average. In the same line, Cochrane (2011) excess returns regression seems to suggest overvalued stock prices, similar to the periods that ended at the Dotcom bubble and the Great Recession. Moreover, looking 5 years ahead it seems to suggest a stable forecasted path what can mean a correction of the actuals’ excess returns over the next years. In order to get some clues about this bull-market, this dissertation focuses on the relation between macroeconomic and stock market performance proxied by the S&P500 index from 2009 to 2019. In particular, investigates the relations between the stock market and the economic activity, monetary policy and the companies’ financial performance (of the companies that integrate the index), through two Structural Vector Auto-Regression (SVAR), resorting to the Cholesky decomposition. We find that, comparing with the two previous post-recessions periods, the current one appears to have a higher positive sensitivity of the stock market to a shock on the economic activity and on the financial performance of companies (better conditions), as well as a significant negative short-term reaction to a shock on monetary policy (tightening). This relation with the monetary policy is strengthened by our LOGIT model that approaches the significant relation of the US Federal Reserves’ monetary policy surprise announcements on the S&P500 index stock returns.