| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 965893 | Journal of Macroeconomics | 2013 | 11 Pages |
Abstract
⺠We investigate the predictive power of domestic stock prices for the domestic economic activity. ⺠We perform a Granger causality analysis in the frequency domain for the G-7 countries. ⺠We find the slowly fluctuating components of the stock prices to have predictive power for GDP. ⺠On the contrary, this predictive power is absent for the quickly fluctuating components. ⺠We present a multi-country version of the spectral Granger Causality measure.
Related Topics
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Authors
Christophe Croux, Peter Reusens,