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Stock Returns and Inflation: The Impact of Inflation Targeting

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  • Alexandros Kontonikas
  • Alberto Montagnoli
  • Nicola Spagnolo

Abstract

This paper investigates the dynamic interaction between in‡ation and stock returns in four in‡ation targeting countries. We find that following the introduction of formal targets, in‡ation persistence and the magnitude of volatility spillovers between in‡ation and stock returns have been reduced.

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File URL: http://www.gla.ac.uk/media/media_22202_en.pdf
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Bibliographic Info

Paper provided by Business School - Economics, University of Glasgow in its series Working Papers with number 2005_11.

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Date of creation: Aug 2006
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Handle: RePEc:gla:glaewp:2005_11

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  1. Kontonikas, A., 2004. "Inflation and inflation uncertainty in the United Kingdom, evidence from GARCH modelling," Economic Modelling, Elsevier, vol. 21(3), pages 525-543, May.
  2. repec:cup:etheor:v:11:y:1995:i:1:p:122-50 is not listed on IDEAS
  3. Andrew J. Filardo, 2000. "Monetary policy and asset prices," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 11-37.
  4. Michael D. Bordo & David C. Wheelock, 1998. "Price stability and financial stability: the historical record," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 41-62.
  5. G. William Schwert, 1990. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
  6. Caporale, Guglielmo Maria & Spagnolo, Nicola, 2003. "Asset prices and output growth volatility: the effects of financial crises," Economics Letters, Elsevier, vol. 79(1), pages 69-74, April.
  7. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
  8. Kontonikas, Alexandros & Ioannidis, Christos, 2005. "Should monetary policy respond to asset price misalignments?," Economic Modelling, Elsevier, vol. 22(6), pages 1105-1121, December.
  9. John H. Boyd & Ross Levine & Bruce D. Smith, 1997. "Inflation and financial market performance," Working Papers 573, Federal Reserve Bank of Minneapolis.
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