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Stock Returns, the Interest Rate and Inflation in the Italian Stock Market: A Long-Run Perspective

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Author Info

  • Fabio C. Bagliano

    ()
    (University of Turin)

  • Andrea Beltratti

    (University of Turin)

Abstract

This paper investigates the behaviour of stock prices in Italy over the 1963-1995 period. By means of a time-series analysis of both the long- and the short-run properties of stock prices and other macroeconomic variables, we find strong evidence of a long-run equilibrium negative relation between the inflation rate and a real stock price index. The Dynamic adjustment of stock prices towards the equilibrium relation is also analysed.

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Bibliographic Info

Article provided by GDE (Giornale degli Economisti e Annali di Economia), Bocconi University in its journal Giornale degli Economisti e Annali di Economia.

Volume (Year): 56 (1997)
Issue (Month): 3-4 (December)
Pages: 139-167

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Handle: RePEc:gde:journl:gde_v56_n1-2_p139-167

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Related research

Keywords: stock returns; interest rate; inflation; cointegration; structural VAR;

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Cited by:
  1. Massimo Caruso, 2006. "Stock market fluctuations and money demand in Italy, 1913-2003," Temi di discussione (Economic working papers) 576, Bank of Italy, Economic Research and International Relations Area.

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