This paper investigates the impact of unanticipated increases in share prices on economic activity in the G7 countries — Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States. Share prices contain information about the current and future state of the economy. We investigate whether different measures of optimism, all of which contain the unanticipated increase in share prices, affect key macroeconomic variations. In particular, do bouts of optimism stimulate economic growth? If so, are the economic booms sustained for a long period of time? To answer our research questions, we use structural vector autoregression models, and three different identification strategies. We address the interdependence between interest rate shocks and stock market shocks, using short-run and long-run restrictions, as in Bjørnland and Leitemo (J Monet Econ 56(2): 275–282, 2009). We use pure sign restrictions, as in Uhlig (J Monet Econ 52(2): 381–419, 2005). We also implement the theory and numerical algorithms for zero and sign restrictions, recently developed by Arias et al. (Econometrica 86(2): 685–720, 2018).

本文调查了意想不到的股价上涨对七国集团国家（加拿大，法国，德国，意大利，日本，英国和美国）的经济活动的影响。股价包含有关当前和未来经济状况的信息。我们调查了所有乐观因素（所有这些因素都包含股价的意外上涨）是否会影响关键的宏观经济差异。特别是，乐观情绪会刺激经济增长吗？如果是这样，经济繁荣是否会长期维持？为了回答我们的研究问题，我们使用结构矢量自回归模型和三种不同的识别策略。我们使用短期和长期限制来解决利率冲击和股市冲击之间的相互依存关系，就像比约兰德（Bjørnland）和莱特莫（Leitemo）（J Monet Econ 56（2）：275–282，2009）。我们使用纯符号限制，如Uhlig（J Monet Econ 52（2）：381–419，2005）。我们还实现了Arias等人最近开发的零和符号限制的理论和数值算法。（《计量经济学》 86（2）：685–720，2018年）。