Stock Returns, Money, and Fiscal Deficits
用FPE/多元格兰杰因果检验，检验加拿大股票回报是否受基础货币和财政赤字等经济变量影响。月度数据表明，财政赤字的滞后变化格兰杰导致股票回报，若预期回报不变则与市场效率矛盾。
Using the FPE/multivariate Granger-causality modeling technique, this paper tests whether changes in Canadian stock returns are caused by a number of economic variables, including base money and fiscal deficits. The empirical results from monthly data show that lagged changes in fiscal deficits, in particular, Granger-cause stock returns. If ex? pected returns to equity are not time-varying, such a finding appears inconsistent with market efficiency. I, Introduction Academic literature and the popular financial press have witnessed an in? creased preoccupation with the relationship between monetary policy and the stock market in the United States. In this regard, the Stock Market Efficiency (SME) hypothesis contends that there should be no significant lagged relation? ship between money growth and stock returns since current stock prices reflect all publicly available information on monetary policy moves. For short-horizon stock returns, the results from the voluminous empirical studies have supported the joint hypothesis that expected returns are constant and the market is efficient