A VARMA Analysis of the Causal Relations Among Stock Returns, Real Output, and Nominal Interest Rates
用向量自回归移动平均模型同时分析股票收益、实际产出、通胀和货币供应变化之间的关系，实证结果支持Geske和Roll的反向因果模型。
ABSTRACT 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 real activity, which in turn affect expected inflation. However, unlike Fama, Geske and Roll argue that changes in real activity result in changes in money supply growth, which in turn affect expected inflation. Empirical tests have analyzed separately each link in the proposed causal chain. In this article, we investigate simultaneously the relations among stock returns, real activity, inflation, and money supply changes using a vector autoregressive moving average (VARMA) model. Our empirical results strongly support Geske and Roll's reversed causality model.