Stock Returns and Inflation: An Enigmatic Relationship and a Puzzle for Central Banks (notice n° 699274)
[ vue normale ]
| 000 -LEADER | |
|---|---|
| fixed length control field | 01626cam a2200193 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250121212816.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Rouabah, Abdelaziz |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Stock Returns and Inflation: An Enigmatic Relationship and a Puzzle for Central Banks |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2008.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 51 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This paper sheds a new light on the puzzling negative relationship between nominal stock returns and expected inflation. The assertion that stocks offer a hedge against inflation is theoretically founded on the Fisher identity. Contrary to this fundamental view, recent empirical tests reject both the Fisher hypothesis and the Fama proxy hypothesis even when accommodating expected economic growth in the estimates. This article proposes to consider different regimes underlying stock market returns in the analysis of the relationship between inflation expectations and nominal stock returns. Using monthly data for the euro area and for Luxembourg over the past two decades, our results show that the Fisher hypothesis cannot be rejected when stock market regimes are accommodated in the estimates of the Geske & Roll reverse causality relation. In this context, shares allow for hedging against inflation and their prices can be used by central banks as a leading indicator for inflation. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Markov switching |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Fisher hypothesis |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | stock market |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Economie & prévision | o 177 | 1 | 2008-02-01 | p. 19-34 | 0249-4744 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/journal-economie-et-prevision-1-2007-1-page-19?lang=en&redirect-ssocas=7080">https://shs.cairn.info/journal-economie-et-prevision-1-2007-1-page-19?lang=en&redirect-ssocas=7080</a> |
Pas d'exemplaire disponible.
Réseaux sociaux