IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v20y2013i9p921-924.html
   My bibliography  Save this article

An empirical analysis of changes of the impact of federal budget deficits on stock market returns: evidence from the US economy

Author

Listed:
  • Klaus Grobys

Abstract

We investigate the causality between the real federal budget deficit returns and real stock market returns for the US economy. We divide the overall sample into two sub-samples running from 1968:1 to 1988:3 and from 1988:4 to 2011:3. In contrast to earlier studies, we find a significant positive relationship between real stock market returns and real federal budget deficit returns for both samples. Moreover, we find that the stochastic interrelations between these variables have considerably changed over time.

Suggested Citation

  • Klaus Grobys, 2013. "An empirical analysis of changes of the impact of federal budget deficits on stock market returns: evidence from the US economy," Applied Economics Letters, Taylor & Francis Journals, vol. 20(9), pages 921-924, June.
    • Handle: RePEc:taf:apeclt:v:20:y:2013:i:9:p:921-924
    DOI: 10.1080/13504851.2013.765534
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2013.765534
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2013.765534?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Darrat, Ali F & Brocato, Joe, 1994. "Stock Market Efficiency and the Federal Budget Deficit: Another Anomaly?," The Financial Review, Eastern Finance Association, vol. 29(1), pages 49-75, February.
    2. Bradley Ewing, 1998. "The impact of federal budget deficits on movements in the stock market: evidence from Australia and France," Applied Economics Letters, Taylor & Francis Journals, vol. 5(10), pages 649-651.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Laopodis, Nikiforos T., 2009. "Fiscal policy and stock market efficiency: Evidence for the United States," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 633-650, May.
    2. Pooja Joshi & A. K. Giri, 2015. "Cointegration and Causality between Macroeconomic variables and Stock Prices: Empirical Analysis from Indian Economy," Business and Economic Research, Macrothink Institute, vol. 5(2), pages 327-345, December.
    3. Ming-Hsiang Chen, 2010. "Federal Reserve Monetary Policy and US Hospitality Stock Returns," Tourism Economics, , vol. 16(4), pages 833-852, December.
    4. Sadorsky, Perry, 2003. "The macroeconomic determinants of technology stock price volatility," Review of Financial Economics, Elsevier, vol. 12(2), pages 191-205.
    5. Perry Sadorsky, 2003. "The macroeconomic determinants of technology stock price volatility," Review of Financial Economics, John Wiley & Sons, vol. 12(2), pages 191-205.
    6. Wu, Ying, 2001. "Exchange rates, stock prices, and money markets: evidence from Singapore," Journal of Asian Economics, Elsevier, vol. 12(3), pages 445-458.
    7. Ming-Hsiang Chen, 2013. "The Impact of Demand and Supply Shocks on US Hospitality Index Returns," Tourism Economics, , vol. 19(2), pages 349-371, April.
    8. A. F. Darrat & R. N. Dickens, 1999. "On the interrelationships among real, monetary, and financial variables," Applied Financial Economics, Taylor & Francis Journals, vol. 9(3), pages 289-293.
    9. Unro Lee, 1997. "Stock Market and Macroeconomic Policies: New Evidence from Pacific Basin Countries," Multinational Finance Journal, Multinational Finance Journal, vol. 1(4), pages 273-289, December.
    10. Ali Darrat, 2002. "On Budget Deficits And Interest Rates: Another Look At The Evidence," International Economic Journal, Taylor & Francis Journals, vol. 16(2), pages 19-29.
    11. Stoian, Andreea & Iorgulescu, Filip, 2020. "Fiscal policy and stock market efficiency: An ARDL Bounds Testing approach," Economic Modelling, Elsevier, vol. 90(C), pages 406-416.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:20:y:2013:i:9:p:921-924. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.