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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/50335

    Title: Inflation and Real Stock Returns Revisited
    Authors: 林淑琴;Lin, Shu-chin
    Contributors: 淡江大學經濟學系
    Date: 2009-10-01
    Issue Date: 2010-08-09 15:40:17 (UTC+8)
    Publisher: Wiley-Blackwell
    Abstract: The article uses the (unbalanced) panel data to revisit the effects of expected inflation, unexpected inflation, and inflation uncertainty on real stock returns. The empirical results are obtained via the pooled mean group estimator, which can be applied to I(1) and/or I(0) variables, and can distinguish long- and short-run effects. Using a panel of 16 industrialized Organization for Economic Cooperation and Development countries over the 1957:Q1 to 2000:Q1 period, we find that anticipated inflation and inflation uncertainty tend to have insignificant short-run effects, while they appear to have negative long-run impacts on real stock returns. Moreover, we find coexistence of a negative long-run effect and a positive short-run effect of unanticipated inflation on real stock returns. These findings help clarify the conflicting conclusions of both empirical and theoretical studies on this issue. (JEL C23, E31, G12) Reprinted by permission of the publisher.
    Relation: Economic Inquiry 47(4), pp.783-795
    DOI: 10.1111/j.1465-7295.2008.00193.x
    Appears in Collections:[Graduate Institute & Department of Economics] Journal Article

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