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Inflation and Stock Market: CPI and S&P

Author

Listed:
  • Mayevsky, Vladimir

    (Institute of Economics of The Russian Academy of Sciences (IERAS))

  • Slutskin, Lev

    (Institute of Economics of the Russian Academy of Sciences (IERAS))

Abstract

Empirical/statistical analysis of effects of changes in index S&P 500 upon inflation processes in American economy in the years 1951–2009 is given. It is shown there is a statistically significant difference in CPI changes dependent on positive (negative) dynamics of index S&P 500 ones

Suggested Citation

  • Mayevsky, Vladimir & Slutskin, Lev, 2009. "Inflation and Stock Market: CPI and S&P," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 16-22.
    • Handle: RePEc:ris:apltrx:0065
    as

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    References listed on IDEAS

    as
    1. Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-565, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    hypothesis testing; index S&P 500; inflation; Welsh test;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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