This study examines the effect of U.S. stock market returns and macroeconomic variables on the Swedish stock market returns for the period 1994 to 2023. The analysis applies a Vector Autoregression Model (VAR) using monthly time series data. Furthermore, a Granger Causality test is conducted to assess the extent of causal relationships among the variables. The results show that the growth rate of the consumer price index with a fixed interest rate significantly influences the returns of the OMXS30. An increase in the consumer price index two months prior leads to higher present returns, while an increase three months prior results in lower present market returns. These specific effects at different time intervals highlight the complex connections between inflation and stock market returns. To deepen the understanding of these relationships, further analysis and research are necessary. Expanding the analysis to include additional variables and using more comprehensive models can provide a clearer understanding of how inflation and policy rate changes and the return of the U.S. stock market influence the Swedish stock market.