Causal nexus between economic growth, inflation, and stock market development: The case of OECD countries

Rudra P. Pradhan, Mak Arvin and Sahar Bahmani

Global Finance Journal, 2015, vol. 27, issue C, 98-111

Abstract: This paper investigates cointegration relationships and Granger causality nexus in a trivariate framework among economic growth, inflation, and stock market development. Utilizing three measures of stock market development and employing a panel vector autoregressive model, we study 34 OECD countries over the time period of 1960–2012. Our novel panel-data estimation method allows us to identify important causal links between the variables both in the short run and in the long run.

Keywords: Inflation; Stock market development; Economic growth; Panel-VAR; Granger causality; OECD countries (search for similar items in EconPapers)
JEL-codes: E31 E44 O16 O43 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:27:y:2015:i:c:p:98-111

DOI: 10.1016/j.gfj.2015.04.006

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