کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5090103 | 1375617 | 2010 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Stock returns and inflation revisited: An evaluation of the inflation illusion hypothesis
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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
Several hypotheses have been proposed to explain the stock return-inflation relation. The Modigliani and Cohn's inflation illusion hypothesis has received renewed attention. Another hypothesis is the two-regime hypothesis. We reexamine these hypotheses using long sample data of the US and international data. We find that the inflation illusion hypothesis can explain the post-war negative stock return-inflation relation, but it is not compatible with the pre-war positive relation. Using a structural VAR identification method, we show that there are two regimes with positive and negative stock return-inflation relations not only in each period of the US but also in every developed country we consider. This seems inconsistent with the inflation illusion hypothesis that predicts only a negative relation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 34, Issue 6, June 2010, Pages 1257-1273
Journal: Journal of Banking & Finance - Volume 34, Issue 6, June 2010, Pages 1257-1273
نویسندگان
Bong Soo Lee,