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Is the sharp rise in American equity prices during the 1990s the reflection of a structural change, as has been argued by the partisans of the “new economy”, or simply a period of substantial overvaluation? In order to answer to this question, we adopt an original empirical approach based on recent advances in the econometrics of co-integration and structural change. This leads on to an examination of the stability of the interest-rate term structure over the period and its interactions with the stock market. The framework used is that of a vector error-correction model (VECM) with three variables: earning yield (the earnings/price ratio), bond rates and short rates. The method worked out by Saikkonen et al. makes it possible to identify possible structural breakpoints on the bond and equity markets and to capture the interdependencies between these two types of market.