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Testing for Granger causality between stock prices and economic growth

Foresti, Pasquale (2006): Testing for Granger causality between stock prices and economic growth.

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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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