We employ an unrestricted cointegrating VAR to test the dynamic implications of three competing explanations for the negative stock return-inflation relationship. We also provide test results which make use of recent advances in testing for Granger-causality due to Toda and Phillips (1994). One...

In this paper, an unrestricted cointegrating VAR is employed to test the dynamic implications of three competing explanations of the negative stock return-inflation relationship. Test results are provided which make use of recent advances in testing for Granger-causality. One implication is that...