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

Previous research has documented a negative relation between common stock returns and inflation. Recently, Fama [3] and Geske and Roll [6] have argued that this relation results from a more fundamental one between real activity and expected inflation. Stock returns, they argue, signal changes in rea...

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Bibliographic Details
Published in:The Journal of Finance, Vol. 40, No. 5 (1985), p. 1375-1384
Main Author: James, Christopher
Other Involved Persons: Koreisha, Sergio ; Partch, Megan
Format: electronic Article
Item Description:Copyright: Copyright 1985 American Finance Association
Physical Description:Online-Ressource
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