کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10475167 | 929039 | 2005 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The relationship between stock returns and inflation: new evidence from wavelet analysis
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper presents a new perspective on the Fisher hypothesis, which states a positive relationship between nominal stock returns and inflation. The new approach is based on a wavelet multiscaling method that decomposes a given time series on a scale-by-scale basis. Empirical results show that there is a positive relationship between stock returns and inflation at the shortest scale (1-month period) and at the longest scale (128-month period), while a negative relationship is shown at the intermediate scales. This indicates that the nominal return results are supportive of the Fisher hypothesis for risky assets in d1 and s7 of the wavelet domain, while the stock returns do not play a role as an inflation hedge at the intermediate scales. The key empirical results show that time-scale decomposition provides a valuable means of testing the Fisher hypothesis, since a number of stock returns and inflation puzzles previously noted in the literature are resolved and explained by the wavelet analysis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 12, Issue 3, June 2005, Pages 435-444
Journal: Journal of Empirical Finance - Volume 12, Issue 3, June 2005, Pages 435-444
نویسندگان
Sangbae Kim, Francis In,