Stock Returns, Money, and Fiscal Deficits
- 1 September 1990
- journal article
- research article
- Published by JSTOR in Journal of Financial and Quantitative Analysis
- Vol. 25 (3) , 387-398
- https://doi.org/10.2307/2330703
Abstract
Using the FPE/multivariate Granger-causality modeling technique, this paper tests whether changes in Canadian stock returns are caused by a number of economic variables, including base money and fiscal deficits. The empirical results from monthly data show that lagged changes in fiscal deficits, in particular, Granger-cause stock returns. If expected returns to equity are not time-varying, such a finding appears inconsistent with market efficiency.This publication has 5 references indexed in Scilit:
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- Stock returns and the term structurePublished by Elsevier ,2002
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- Predicting returns in the stock and bond marketsJournal of Financial Economics, 1986
- Autoregressive modelling and money-income causality detectionJournal of Monetary Economics, 1981