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Testing for Granger causality between stock prices and economic growth

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Author Info
Foresti, Pasquale

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Abstract

This paper has focused on the relationship between stock market prices and growth. A Granger-causality analysis has been carried out in order to assess whether there is any potential predictability power of one indicator for the other. The conclusion that can be drawn is that stock market prices can be used in order to predict growth, but the opposite it is not true.

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File URL: http://mpra.ub.uni-muenchen.de/2962/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 2962.

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Date of creation: 2006
Date of revision: 2007
Handle: RePEc:pra:mprapa:2962

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation

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References listed on IDEAS
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  1. Douglas K. Pearce, 1983. "Stock prices and the economy," Economic Review, Federal Reserve Bank of Kansas City, issue Sep, pages 7-22. [Downloadable!]
  2. Barry Bosworth, 1975. "The Stock Market and the Economy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 6(1975-2), pages 527-300. [Downloadable!]
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This page was last updated on 2008-10-7.

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