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.
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页数：10
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