Generalized Fama proxy hypothesis: Impact of shocks on Phillips curve and relation of stock returns with inflation
AbstractA generalized version of Fama's proxy hypothesis identifies a downward bias in Phillips curve estimations. The (spurious) negative relation between real stock returns and inflation emerges if output rate fluctuations dominate cyclical component fluctuations of a Lucas-type Phillips curve.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 103 (2009)
Issue (Month): 3 (June)
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Web page: http://www.elsevier.com/locate/ecolet
Proxy hypothesis Inflation Stock returns;
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