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Inflation, political instability and stockmarket volatility in interwar Germany

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Abstract

What determined the volatility of asset prices in Germany between the wars? This paper argues that the influence of political factors has been overstated. The majority of events increasing political uncertainty had little or no effect on the value of German assets and the volatility of returns on them. Instead, it was inflation (and the fear of it) that is largely responsible for most of the variability in asset returns.

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File URL: http://www.econ.upf.edu/docs/papers/downloads/535.pdf
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Bibliographic Info

Paper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 535.

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Date of creation: Mar 2001
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Handle: RePEc:upf:upfgen:535

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Web page: http://www.econ.upf.edu/

Related research

Keywords: Inflation; stock returns; volatility of asset returns; political uncertainty; Germany (interwar);

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  1. G. William Schwert, 1990. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
  2. J. Bradford De Long & Marco Becht, 1992. ""Excess Volatility" and the German Stock Market, 1876-1990," NBER Working Papers 4054, National Bureau of Economic Research, Inc.
  3. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-36, June.
  4. Ely, David P. & Robinson, Kenneth J., 1997. "Are stocks a hedge against inflation? International evidence using a long-run approach," Journal of International Money and Finance, Elsevier, vol. 16(1), pages 141-167, February.
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