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Stock returns and inflation: Evidence from quantile regressions

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  • Alagidede, Paul
  • Panagiotidis, Theodore

Abstract

The relationship between stock returns and inflation is examined for the G7 countries and some positive coefficients in the distribution for Italy and the UK were revealed. A positive one-for-one relationship is found once a GARCH filter is employed in all cases except Canada.

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File URL: http://www.sciencedirect.com/science/article/pii/S016517651200184X
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 117 (2012)
Issue (Month): 1 ()
Pages: 283-286

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Handle: RePEc:eee:ecolet:v:117:y:2012:i:1:p:283-286

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Stock returns; Inflation; Hedging; Quantile regression;

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  1. Roger Koenker & Kevin F. Hallock, 2001. "Quantile Regression," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 143-156, Fall.
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