Stock Returns and Inflation: The Impact of Inflation Targeting
AbstractThis paper investigates the dynamic interaction between ination and stock returns in four ination targeting countries. We find that following the introduction of formal targets, ination persistence and the magnitude of volatility spillovers between ination and stock returns have been reduced.
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Bibliographic InfoPaper provided by Business School - Economics, University of Glasgow in its series Working Papers with number 2005_11.
Date of creation: Aug 2006
Date of revision:
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-22 (All new papers)
- NEP-CBA-2005-10-22 (Central Banking)
- NEP-CFN-2005-10-22 (Corporate Finance)
- NEP-ETS-2005-10-22 (Econometric Time Series)
- NEP-FMK-2005-10-22 (Financial Markets)
- NEP-MAC-2005-10-22 (Macroeconomics)
- NEP-MON-2005-10-22 (Monetary Economics)
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