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The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity

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  • Kim, Jeong-Ryeol
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    File URL: http://www.sciencedirect.com/science/article/B6V84-48M7Y5X-1/2/d4242fabe5bd2703a7f1611c3d1d455e
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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 80 (2003)
    Issue (Month): 2 (August)
    Pages: 155-160

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    Handle: RePEc:eee:ecolet:v:80:y:2003:i:2:p:155-160

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

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    1. Gallagher, Liam A. & Taylor, Mark P., 2002. "The stock return-inflation puzzle revisited," Economics Letters, Elsevier, vol. 75(2), pages 147-156, April.
    2. Arturo Estrella & Frederic S. Mishkin, 1999. "Predicting U.S. Recessions: Financial Variables as Leading Indicators," NBER Working Papers 5379, National Bureau of Economic Research, Inc.
    3. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
    4. Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-65, September.
    5. Lee, Bong-Soo, 1992. " Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation," Journal of Finance, American Finance Association, vol. 47(4), pages 1591-603, September.
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    Cited by:
    1. Chih-Chuan Yeh & Ching-Fang Chi, 2009. "The Co-Movement and Long-Run Relationship between Inflation and Stock Returns: Evidence from 12 OECD Countries," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 5(2), pages 167-186, July.
    2. Abdelaziz Rouabah, 2006. "L'identité de Fisher et l'interaction entre l'inflation et la rentabilité des actions: l'importance des régimes sous-jacents aux marchés boursiers," BCL working papers 18, Central Bank of Luxembourg.

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