Article ID Journal Published Year Pages File Type
5060802 Economics Letters 2011 4 Pages PDF
Abstract
► A generalized version of the Fisher hypothesis is tested using US data. ► We test for threshold co-integration between the stock price and the goods price. ► We find that US common stocks have been an effective hedge against inflation. ► We find that this long-run relationship holds from the early 1950s.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Common stocks as a hedge against inflation: Evidence from century-long US data
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