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

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. (C) 2015 Elsevier Inc. All rights reserved.