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    題名: Inflation and Real Stock Returns Revisited
    作者: 林淑琴;Lin, Shu-chin
    貢獻者: 淡江大學經濟學系
    日期: 2009-10-01
    上傳時間: 2010-08-09 15:40:17 (UTC+8)
    出版者: Wiley-Blackwell
    摘要: 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.
    關聯: Economic Inquiry 47(4), pp.783-795
    DOI: 10.1111/j.1465-7295.2008.00193.x
    顯示於類別:[經濟學系暨研究所] 期刊論文


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