Journal of Financial and Quantitative Analysis Vol. 25 No. 3 1990
Stock Returns, Money, and Fiscal Deficits
Abstract
Using the FPE/multivariate Granger-causality modeling technique, this paper tests whether changes in Canadian stock returns are caused by a number of economic variables, including base money and fiscal deficits. The empirical results from monthly data show that lagged changes in fiscal deficits, in particular, Granger-cause stock returns. If expected returns to equity are not time-varying, such a finding appears inconsistent with market efficiency.
- DOI
- 10.2307/2330703
- Volume
- 25
- Issue
- 3
- Pages
- 387
- Sources
- openalex crossref