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Monetary Regimes and the Relation between Stock Returns and Inflationary Expectations

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  • Kaul, Gautam

Abstract

This paper analyzes the impact of changes in monetary policy regimes on the relation between stock returns and changes in expected inflation. Post-war evidence from four countries reveals a direct link between these relations and the central banks' operating targets (i.e., money supply or interest rates). Specifically, the post-war negative relations between stock returns and changes in expected inflation are significantly stronger during interest rate regimes.

Suggested Citation

  • Kaul, Gautam, 1990. "Monetary Regimes and the Relation between Stock Returns and Inflationary Expectations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(3), pages 307-321, September.
  • Handle: RePEc:cup:jfinqa:v:25:y:1990:i:03:p:307-321_00
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