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Common Stocks and Inflation: An Empirical Analysis of G7 and BRICS

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  • Mustapha Ibn Boamah

    (University of New Brunswick)

Abstract

In an attempt to understand the relationship between stock returns and inflation, this study proposes testing the Fisher effect in two groups of countries, the G7 (Canada, France, Germany, Italy, Japan, United Kingdom and the United States) group of low inflation industrialized countries and the BRICS (Brazil, Russia, India, China, and South Africa) group of relatively high inflation emerging countries, to examine the extent to which a one-to-one movement of stock returns and inflation relates to the country’s inflation rate and consumer price index. By using cointegration and vector error correction models, the results show that there is evidence of a long-run positive relationship in both G7 and BRICS countries.

Suggested Citation

  • Mustapha Ibn Boamah, 2017. "Common Stocks and Inflation: An Empirical Analysis of G7 and BRICS," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 45(2), pages 213-224, June.
    • Handle: RePEc:kap:atlecj:v:45:y:2017:i:2:d:10.1007_s11293-017-9543-9
    DOI: 10.1007/s11293-017-9543-9
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    References listed on IDEAS

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