Degree Name

Master of Arts (MA)

Semester of Degree Completion


Thesis Director

Noel Brodsky


Simply, we find S&P 500© returns are no longer a statistically meaningful leading indicator for growth in "real" per capita GDP. Technically, we find the SP500 fails to Granger cause real per capita GDP over policy relevant time frames while confirming nominal (non-inflation adjusted) SP500 quarterly returns continue to Granger cause one-period ahead quarterly growth in inflation adjusted (real) US Per-Capita GDP over very long (and perhaps less meaningful from fiscal and monetary perspectives) time frames. In addition, we identify a likely transition period when the SP500 switched from a leading indicator to a lagging indicator. Therefore, in keeping with the principal finding of this paper, we suggest great restraint is warranted when using equity market returns as a basis for economic policy.

Included in

Finance Commons