Study of Causality between the Base Interest Rate and the Market Return of OECD Countries
The relation between macroeconomic indicators and the capital market is a major problem in the eco-nomic literature. Market return and the base interest rate are two of the main drivers of economic growth, and the global financial crisis has provided additional impetus for research into the relationship between monetary policy and asset prices globally. This study examines the existence of causality be-tween the base interest rate and the market return of the OECD 15 countries for the period 2001 to 2017. Proof of causality in the direction of the BIR (Base Interest Rate) - market return would allow more accurate capital market forecasting as well as the use of interest rate as an impact tool.
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