IDEAS home Printed from https://ideas.repec.org/a/bla/manchs/v67y1999i3p304-324.html
   My bibliography  Save this article

Identifying the Effects of Nominal and Real Shocks on the S&P 500 Stock Price Index

Author

Listed:
  • Dimitrios Malliaropulos

Abstract

In this paper we investigate the dynamic effects of money supply (‘nominal’) shocks and technology (‘real’) shocks on real stock returns on the basis of the impulse response function of a restricted vector autoregressive model. Appropriate identifying restrictions are derived from the long‐run properties of a structural sticky price model. We find empirical evidence that real (nominal) shocks lead to permanent increases (decreases) in real stock prices and permanent decreases (increases) in the price level. Although the covariance between real returns and inflation is stronger when inflation is caused by real shocks than when inflation is caused by nominal shocks, our results suggest that a considerable part of the negative correlation between real returns and inflation in the long run is due to nominal shocks. Finally, we find that real and nominal components of inflation contain independent information which can be used to explain a higher variance proportion of real stock returns than inflation itself.

Suggested Citation

  • Dimitrios Malliaropulos, 1999. "Identifying the Effects of Nominal and Real Shocks on the S&P 500 Stock Price Index," Manchester School, University of Manchester, vol. 67(3), pages 304-324, June.
    • Handle: RePEc:bla:manchs:v:67:y:1999:i:3:p:304-324
    DOI: 10.1111/1467-9957.00149
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9957.00149
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9957.00149?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Du, Ding, 2006. "Monetary policy, stock returns and inflation," Journal of Economics and Business, Elsevier, vol. 58(1), pages 36-54.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:manchs:v:67:y:1999:i:3:p:304-324. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/semanuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.