Time-varying causality between stock prices and macroeconomic fundamentals: Connection or disconnection?

被引：18
|
作者：
Fromentin, Vincent [1 ]
Lorraine, M. S. H. [1 ]
Ariane, C. P. E. R. [1 ]
Alshammari, Turki [1 ]
机构：
[1] Univ Lorraine, CEREFIGE, DEM, Nancy, France
来源：
FINANCE RESEARCH LETTERS | 2022年 / 49卷
关键词：
Stock market; Macroeconomic variables; Time -varying causality; RETURNS; VARIABLES; MARKETS; MONEY;
D O I：
10.1016/j.frl.2022.103073
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study investigates the connection/disconnection between the stock market and macroeco-nomic fundamentals in the United States from January 1960 to December 2021. Using a recent time-varying Granger causality framework, tests revealed asymmetric bidirectionnal causality. The lead-lag relationships between stock prices and key macroeconomic indicators are more prevalent during recession phases. However, the significance and intensity of the causal re-lationships during the Covid crisis varied greatly; which could indicate a possible disconnection.
引用
收藏
页数：10
相关论文
共 50 条
  • [21] The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach
    Joscha Beckmann
    Ansgar Belke
    Michael Kühl
    Review of World Economics, 2011, 147 : 11 - 40
  • [22] Exchange rates and macroeconomic fundamentals: Evidence of instabilities from time-varying factor loadings
    Hillebrand, Eric
    Mikkelsen, Jakob Guldbaek
    Spreng, Lars
    Urga, Giovanni
    JOURNAL OF APPLIED ECONOMETRICS, 2023, 38 (06) : 857 - 877
  • [23] The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach
    Beckmann, Joscha
    Belke, Ansgar
    Kuehl, Michael
    REVIEW OF WORLD ECONOMICS, 2011, 147 (01) : 11 - 40
  • [24] US stock prices and macroeconomic fundamentals: Fresh evidence using the quantileARDLapproach
    Shahzad, Syed Jawad Hussain
    Hurley, Dene
    Ferrer, Roman
    INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2021, 26 (03) : 3569 - 3587
  • [25] Time-varying parking prices
    van Ommeren, Jos
    Russo, Giovanni
    ECONOMICS OF TRANSPORTATION, 2014, 3 (02) : 166 - 174
  • [26] Financialization of food. Modelling the time-varying relation between agricultural prices and stock market dynamics
    Girardi, Daniele
    INTERNATIONAL REVIEW OF APPLIED ECONOMICS, 2015, 29 (04) : 482 - 505
  • [27] CO-MOVEMENTS BETWEEN US AND UK STOCK PRICES: THE ROLE OF TIME-VARYING CONDITIONAL CORRELATIONS
    Aslanidis, Nektarios
    Osborn, Denise R.
    Sensier, Marianne
    INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2010, 15 (04) : 366 - 380
  • [28] Learning and time-varying macroeconomic volatility
    Milani, Fabio
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2014, 47 : 94 - 114
  • [29] The time-varying volatility of macroeconomic fluctuations
    Justiniano, Alejandro
    Primiceri, Giorgio E.
    AMERICAN ECONOMIC REVIEW, 2008, 98 (03): : 604 - 641
  • [30] Time-Varying Effect of Gold and Crude Oil prices to Stock Price Index
    Thongkairat, Sukrit
    Tansuchat, Roengchai
    PROCEEDINGS OF THE 2017 INTERNATIONAL CONFERENCE ON ECONOMICS, FINANCE AND STATISTICS (ICEFS 2017), 2017, 26 : 398 - 402
12345