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
  • [41] Time-varying causality between research output and economic growth in US
    Roula Inglesi-Lotz
    Mehmet Balcilar
    Rangan Gupta
    Scientometrics, 2014, 100 : 203 - 216
  • [42] Time-varying causality between income inequality and ecological footprint in Turkey
    Nurullah Altıntaş
    Mustafa Kırca
    Samet Acar
    Abdullah Aydın
    Musa Öztürk
    Environmental Science and Pollution Research, 2023, 30 (5) : 11785 - 11797
  • [43] Time-varying causality between income inequality and ecological footprint in Turkey
    Altintas, Nurullah
    Kirca, Mustafa
    Acar, Samet
    Aydin, Abdullah
    Ozturk, Musa
    ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH, 2023, 30 (05) : 11785 - 11797
  • [44] Arms Race Between Turkey and Greece: Time-Varying Causality Analysis
    Tutuncu, Asiye
    Sahingoz, Burak
    SOSYOEKONOMI, 2020, 28 (45) : 25 - 36
  • [45] Time-Varying Correlation in Housing Prices
    Zimmer, David M.
    JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 2015, 51 (01): : 86 - 100
  • [46] Time-Varying Correlation in Housing Prices
    David M. Zimmer
    The Journal of Real Estate Finance and Economics, 2015, 51 : 86 - 100
  • [47] The Time-Varying Relation between Stock Returns and Monetary Variables
    McMillan, David G.
    JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2022, 15 (01)
  • [48] Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?
    Jammazi, Rania
    Ferrer, Roman
    Jareno, Francisco
    Shahzad, Syed Jawad Hussain
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2017, 49 : 453 - 483
  • [49] Time varying causality between Economic policy uncertainty and stock prices in BRIC countries: A rolling-window bootstrap approach
    El Abed, Riadh
    Harboub, Noura
    ECONOMICS BULLETIN, 2022, 42 (04):
  • [50] The Effect of Economic Policy Uncertainty on Food Prices: A Time-Varying Causality Analysis for Selected Countries
    Karagol, Veysel
    JOURNAL OF ECONOMIC POLICY RESEARCHES-IKTISAT POLITIKASI ARASTIRMALARI DERGISI, 2023, 10 (02):
12345