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Stock Returns and Inflation: The Impact of Inflation Targeting

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Author Info
Alexandros Kontonikas
Alberto Montagnoli
Nicola Spagnolo

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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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Paper provided by Department of 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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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
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
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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  1. 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. [Downloadable!]
  2. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-53, December. [Downloadable!] (restricted)
    Other versions:
  3. John H. Boyd & Ross E. Levine & Bruce D. Smith, 1996. "Inflation and financial market performance," Working Paper 9617, Federal Reserve Bank of Cleveland. [Downloadable!]
    Other versions:
  4. A. Kontonikas, 2002. "Inflation and Inflation Uncertainty in the United Kingdom: Evidence from GARCH modelling," Public Policy Discussion Papers 02-28, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    Other versions:
  5. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February. [Downloadable!]
    Other versions:
  6. Andrew J. Filardo, 2000. "Monetary policy and asset prices," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 11-37. [Downloadable!]
  7. Tim Bollerslev & Jeffrey Wooldridge, 1992. "Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances," Econometric Reviews, Taylor and Francis Journals, vol. 11(2), pages 143-172. [Downloadable!] (restricted)
  8. repec:cup:etheor:v:11:y:1995:i:1:p:122-50 is not listed on IDEAS
  9. Kontonikas, Alexandros & Ioannidis, Christos, 2005. "Should monetary policy respond to asset price misalignments?," Economic Modelling, Elsevier, vol. 22(6), pages 1105-1121, December. [Downloadable!] (restricted)
    Other versions:
  10. 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. [Downloadable!] (restricted)
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