In late 2010 David Glasner did a study showing that TIPS spreads and stock prices became highly (and positively) correlated around 2008. Previously the correlation had been rather weak. The most plausible interpretation is that the stock market began to root for higher inflation (and by implication higher NGDP) at about the time when the US economy began to suffer from a demand shortfall. Michael Darda sent me a graph showing that more that two years later the correlation persists:
It’s easy to data mine enough time series to find spurious correlations. It’s much harder to develop a model that continues to do well after the results are published. It looks like David Glasner’s model passes that test.