کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5067178 | 1372573 | 2011 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. Empirically discriminating between competing sources of this return predictability by virtue of a comprehensive set of expectations data, we find that money illusion seems to be the driving force behind our results. Another popular hypothesis - inflation as a proxy for aggregate risk aversion - is not supported by thedata.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Economic Review - Volume 55, Issue 5, June 2011, Pages 702-719
Journal: European Economic Review - Volume 55, Issue 5, June 2011, Pages 702-719
نویسندگان
Maik Schmeling, Andreas Schrimpf,