000			01626cam a2200193 4500500
005			20250121212816.0
041			_afre
042			_adc
100	1	0	_aRouabah, Abdelaziz _eauthor
245	0	0	_aStock Returns and Inflation: An Enigmatic Relationship and a Puzzle for Central Banks
260			_c2008.
500			_a51
520			_aThis 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			_aMarkov switching
690			_aFisher hypothesis
690			_astock market
786	0		_nEconomie & prévision | o 177 | 1 | 2008-02-01 | p. 19-34 | 0249-4744
856	4	1	_uhttps://shs.cairn.info/journal-economie-et-prevision-1-2007-1-page-19?lang=en&redirect-ssocas=7080
999			_c699274 _d699274