Journal of Finance Vol. 47 No. 4 1992
Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation.
Abstract
Using a multivariate vector-autoregression approach, this paper investigates causal relations and dynamic interactions among asset returns, real activity, and inflation in the postwar United States. Major findings are (1) stock returns appear Granger-causally prior and help explain real activity; (2) with interest rates in the vector autoregression, stock returns explain little variation in inflation, although interest rates explain a substantial fraction of the variation in inflation; and (3) inflation explains little variation in real activity.
- Volume
- 47
- Issue
- 4
- Pages
- 1591-603
- Sources
- bibtex:phds-export.bib