Testing for Granger causality between stock prices and economic growth

Pasquale Foresti

48 citations0/0 files storedRePEc: Research Papers in Economics

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Market Dynamics and Volatility Monetary Policy and Economic Impact Financial Markets and Investment Strategies

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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References

1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1975The Stock Market and the Economy 1983Stock prices and the economy 1991The Link between the Rate of Growth of Stock Prices and the Rate of Growth of GNP in the United States: A Granger Causality Test

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