ABSTRACT
Relationship between stock prices and economic activities at primary, secondary and tertiary sectors was missing in the previous literature. We fill this gap using quarterly data spanning 2010Q1–2019Q4 for Nigeria. Our empirical evidence is based on the autoregressive distributed lag model and Toda–Yamamoto Granger causality test with structural break frameworks. We prove that stock prices greatly boost short-run primary sector activities and short- and long-run secondary and tertiary sectors activities. Unidirectional causality is observed from primary sector activities to stock prices and from stock prices to tertiary sector activities while bidirectional causality between stock prices and secondary sector activities is documented.
ABSTRACT
This paper presents empirical models of Mexican government bond (MGB) yields based on monthly macroeconomic data. The current short-term interest rate has a decisive influence on MGB yields, after controlling for inflation and growth in industrial production. John Maynard Keynes claimed that long-term government bond yields move in lockstep with the short-term interest rate. The models presented in this paper show that Keynes’s claim holds for MGB yields. This has important policy implications for Mexico. The empirical findings of the paper are also relevant for ongoing debates in macroeconomics.
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