کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
986998 1480927 2006 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Stock returns and inflation in Greece: A Markov switching approach
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Stock returns and inflation in Greece: A Markov switching approach
چکیده انگلیسی

The paper studies the dynamic relationship between real stock returns and expected and unexpected inflation utilizing a Markov Switching vector autoregressive model (MS-VAR). The MS-VAR model has the advantage that it is able to capture the dependence structure of the series both in terms of mean and variance. Univariate and multivariate innovation decompositions are employed to separate inflation into two components, the expected and unexpected. The empirical evidence suggests that real stock returns are not related to expected and unexpected inflation and this result is independent of the method used to separate inflation into the two components. Rather, the results suggest that stock market movements are regime dependent, implying that stock market performance is not predictable.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Financial Economics - Volume 15, Issue 1, 2006, Pages 76–94
نویسندگان
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