This study investigates the connection/disconnection between the stock market and macroeconomic fundamentals in the United States from January 1960 to December 2021. Using a recent time-varying Granger causality framework, tests revealed asymmetric bidirectionnal causality. The lead-lag relationships between stock prices and key macroeconomic indicators are more prevalent during recession phases. However, the significance and intensity of the causal relationships during the Covid crisis varied greatly; which could indicate a possible disconnection.

中文翻译：

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股价与宏观经济基本面之间的时变因果关系：连接还是断开？

本研究调查了 1960 年 1 月至 2021 年 12 月美国股市与宏观经济基本面之间的联系/脱节。使用最近的时变格兰杰因果框架，测试揭示了不对称的双向因果关系。在经济衰退阶段，股价与关键宏观经济指标之间的领先滞后关系更为普遍。但是，Covid 危机期间因果关系的重要性和强度差异很大。这可能表明可能断开连接。