Quale relazione tra economia reale e mercato azionario? Un modello statistico per determinare il punto di equilibrio tra Main Street e Wall Street

This paper aims to show the differences between the U.S. stock exchange performance (notably Dow Jones Industrial) and the U.S. real economy situation. In order to highlight discrepancies, we move on from the standard Price/Earnings analysis and we look, instead, at several macroeconomic variables - such as inventories and durable goods - in order to retrieve a synthetic index that can possibly identify the imbalance between real economy and stock exchange information. Since the real estate industry represents one of the most important economic features in the present economic scenario, the former part of the paper focuses on the description of the house market weaknesses, while the latter build up the econometric model. The comparison between S&P 500 Index and the synthetic index allows us to show when and for how long the stock exchange has underperformed or overperformed the real economic trend.