Equity Returns and the Output Shocks in a Dynamic Stochastic General Equilibrium Framework

We conducted a study analyzing the impact of productivity shocks on equity returns in U.S. economy from Q1 1960 to 2022 using an RBC DSGE model. Our results suggest that while initial lead higher returns, this effect fades within eight quarters. Nonetheless, such can still provide valuable signals for investors strategically allocate their investments sectors may benefit most. also found responses key macroeconomic variables, including real GDP, are consistent with those observed other calibration based models previous research.