Asset price volatility, price markups, and macroeconomic fluctuations

Miguel A. Iraola, Manuel Santos

Research output: Contribution to journalArticle

Abstract

A variant of the neoclassical growth model is considered to study the role of innovation, lags in technology adoption, total factor productivity TFP, and price markups as main determinants of asset price volatility. The model confers a prominent role to price markups as opposed to other macroeconomic sources of uncertainty. In the data, price markups are highly correlated with stock market values, whereas other financial measures of profitability exhibit much less volatility and are weakly correlated with stock market values.

Original languageEnglish (US)
Pages (from-to)84-98
Number of pages15
JournalJournal of Monetary Economics
Volume90
DOIs
StatePublished - Oct 1 2017

Fingerprint

Asset price volatility
Macroeconomic fluctuations
Markups
Stock market
Market value
Profitability
Financial measures
Macroeconomics
Innovation
Lag
Technology adoption
Neoclassical growth model
Total factor productivity
Uncertainty

Keywords

  • Price markups
  • Price-dividend ratio
  • Stock market volatility
  • Taxes
  • Technological innovations

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

Cite this

Asset price volatility, price markups, and macroeconomic fluctuations. / Iraola, Miguel A.; Santos, Manuel.

In: Journal of Monetary Economics, Vol. 90, 01.10.2017, p. 84-98.

Research output: Contribution to journalArticle

@article{95ba8630c2fd40779380500ebadf4bcc,
title = "Asset price volatility, price markups, and macroeconomic fluctuations",
abstract = "A variant of the neoclassical growth model is considered to study the role of innovation, lags in technology adoption, total factor productivity TFP, and price markups as main determinants of asset price volatility. The model confers a prominent role to price markups as opposed to other macroeconomic sources of uncertainty. In the data, price markups are highly correlated with stock market values, whereas other financial measures of profitability exhibit much less volatility and are weakly correlated with stock market values.",
keywords = "Price markups, Price-dividend ratio, Stock market volatility, Taxes, Technological innovations",
author = "Iraola, {Miguel A.} and Manuel Santos",
year = "2017",
month = "10",
day = "1",
doi = "10.1016/j.jmoneco.2017.07.002",
language = "English (US)",
volume = "90",
pages = "84--98",
journal = "Journal of Monetary Economics",
issn = "0304-3932",
publisher = "Elsevier",

}

TY - JOUR

T1 - Asset price volatility, price markups, and macroeconomic fluctuations

AU - Iraola, Miguel A.

AU - Santos, Manuel

PY - 2017/10/1

Y1 - 2017/10/1

N2 - A variant of the neoclassical growth model is considered to study the role of innovation, lags in technology adoption, total factor productivity TFP, and price markups as main determinants of asset price volatility. The model confers a prominent role to price markups as opposed to other macroeconomic sources of uncertainty. In the data, price markups are highly correlated with stock market values, whereas other financial measures of profitability exhibit much less volatility and are weakly correlated with stock market values.

AB - A variant of the neoclassical growth model is considered to study the role of innovation, lags in technology adoption, total factor productivity TFP, and price markups as main determinants of asset price volatility. The model confers a prominent role to price markups as opposed to other macroeconomic sources of uncertainty. In the data, price markups are highly correlated with stock market values, whereas other financial measures of profitability exhibit much less volatility and are weakly correlated with stock market values.

KW - Price markups

KW - Price-dividend ratio

KW - Stock market volatility

KW - Taxes

KW - Technological innovations

UR - http://www.scopus.com/inward/record.url?scp=85027441841&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85027441841&partnerID=8YFLogxK

U2 - 10.1016/j.jmoneco.2017.07.002

DO - 10.1016/j.jmoneco.2017.07.002

M3 - Article

AN - SCOPUS:85027441841

VL - 90

SP - 84

EP - 98

JO - Journal of Monetary Economics

JF - Journal of Monetary Economics

SN - 0304-3932

ER -