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Testing for Granger causality between stock prices and economic growth

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  • Foresti, Pasquale

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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Bibliographic 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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  1. Barry Bosworth, 1975. "The Stock Market and the Economy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 6(2), pages 527-300.
  2. Douglas K. Pearce, 1983. "Stock prices and the economy," Economic Review, Federal Reserve Bank of Kansas City, issue Sep, pages 7-22.
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Cited by:
  1. Sirucek, Martin, 2012. "The impact of money supply on stock prices and stock bubbles," MPRA Paper 40919, University Library of Munich, Germany.
  2. Horobet, Alexandra & Lupu, Radu, 2009. "Are Capital Markets Integrated? A Test of Information Transmission within the European Union," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 6(2), pages 64-80, June.
  3. Georgeta VINTILA & Ioana Laura TIBULCA, 2014. "Can the Corporate Tax Burden be used to predict the Evolution of Business Confidence?," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 62(1), pages 143-150, January.
  4. Horobet, Alexandra & Ilie, Livia, 2007. "On the dynamic link between stock prices and exchange rates: evidence from Romania," MPRA Paper 6429, University Library of Munich, Germany.
  5. Kwame Mireku & Kwaku Sarkodie & Kwasi Poku, 2013. "Effect of Macroeconomic Factors on Stock Prices in Ghana: A Vector Error Correction Model Approach," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 3(2), pages 32-43, April.
  6. Daniel Ventosa-Santaulària & José Eduardo Vera-Valdés, 2008. "Granger-Causality in the presence of structural breaks," Economics Bulletin, AccessEcon, vol. 3(61), pages 1-14.

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