Stock Returns, Term Structure, Inflation, And Real Activity: An International Perspective
AbstractThis paper analyzes the empirical interdependeciesamong asset returns, real activity, and inflation from multicountryand international points of view. We find that innovations in nominalstock returns are not significantly related to inflation or realactivity, that the U.S. term structure of interest rates predicts bothdomestic and foreign inflation rates and domestic future realactivity, and that innovations in inflation do not significantlyaffect real activity. An interpretation of the dynamics andsome policy implications of the results areprovided.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Macroeconomic Dynamics.
Volume (Year): 4 (2000)
Issue (Month): 03 (September)
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Other versions of this item:
- Fabio Canova & Gianni de Nicolo, 1997. "Stock returns, term structure, inflation and real activity: An international perspective," Economics Working Papers 203, Department of Economics and Business, Universitat Pompeu Fabra.
- Canova, Fabio & de Nicolo, Gianni, 1997. "Stock Returns, Term Structure, Inflation and Real Activity: An International Perspective," CEPR Discussion Papers 1614, C.E.P.R. Discussion Papers.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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