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A VARMA Analysis of the Causal Relations among Stock Returns, Real Output, and Nominal Interest Rates

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  • James, Christopher
  • Koreisha, Sergio
  • Partch, Megan
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    Bibliographic Info

    Article provided by American Finance Association in its journal Journal of Finance.

    Volume (Year): 40 (1985)
    Issue (Month): 5 (December)
    Pages: 1375-84

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    Handle: RePEc:bla:jfinan:v:40:y:1985:i:5:p:1375-84

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    Cited by:
    1. Khil, Jaeuk & Lee, Bong-Soo, 2000. "Are common stocks a good hedge against inflation? Evidence from the Pacific-rim countries," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 457-482, July.
    2. Zhong, Maosen & Darrat, Ali F. & Anderson, Dwight C., 2003. "Do US stock prices deviate from their fundamental values? Some new evidence," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 673-697, April.
    3. Abdullah Iqbal, Susanne Espenlaub, Norman Strong, 2006. "The Long-Run Performance of UK Rights Issuers," Frontiers in Finance and Economics, SKEMA Business School, vol. 3(2), pages 18-54, December.
    4. Gallagher, Liam A. & Taylor, Mark P., 2002. "The stock return-inflation puzzle revisited," Economics Letters, Elsevier, vol. 75(2), pages 147-156, April.
    5. Najand, Mohammad & Noronha, Gregory, 1998. "Causal relations among stock returns, inflation, real activity, and interest rates: Evidence from Japan," Global Finance Journal, Elsevier, vol. 9(1), pages 71-80.
    6. Gjerde, Oystein & Saettem, Frode, 1999. "Causal relations among stock returns and macroeconomic variables in a small, open economy," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(1), pages 61-74, January.
    7. Domian, Dale L. & Louton, David A., 1997. "A threshold autoregressive analysis of stock returns and real economic activity," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 167-179.
    8. Laopodis, Nikiforos T., 2009. "Fiscal policy and stock market efficiency: Evidence for the United States," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 633-650, May.
    9. Hondroyiannis, George & Papapetrou, Evangelia, 2006. "Stock returns and inflation in Greece: A Markov switching approach," Review of Financial Economics, Elsevier, vol. 15(1), pages 76-94.
    10. Lee, Bong Soo, 2010. "Stock returns and inflation revisited: An evaluation of the inflation illusion hypothesis," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1257-1273, June.
    11. Schotman, Peter C. & Schweitzer, Mark, 2000. "Horizon sensitivity of the inflation hedge of stocks," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 301-315, November.
    12. Bilson, Christopher M. & Brailsford, Timothy J. & Hooper, Vincent J., 2001. "Selecting macroeconomic variables as explanatory factors of emerging stock market returns," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 401-426, August.
    13. Gitit G. Gershgoren, Shmuel Hauser, 2006. "Stock Market Reaction to Unexpected Changes in Interest Rates," Frontiers in Finance and Economics, SKEMA Business School, vol. 3(2), pages 1-17, December.

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