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Stock Returns, Term Structure, Inflation, And Real Activity: An International Perspective

Author

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  • Canova, Fabio
  • Nicoló, Gianni De

Abstract

This paper analyzes the empirical interdependecies among asset returns, real activity, and inflation from multicountry and international points of view. We find that innovations in nominal stock returns are not significantly related to inflation or real activity, that the U.S. term structure of interest rates predicts both domestic and foreign inflation rates and domestic future real activity, and that innovations in inflation do not significantly affect real activity. An interpretation of the dynamics and some policy implications of the results are provided.

Suggested Citation

  • Canova, Fabio & Nicoló, Gianni De, 2000. "Stock Returns, Term Structure, Inflation, And Real Activity: An International Perspective," Macroeconomic Dynamics, Cambridge University Press, vol. 4(3), pages 343-372, September.
    • Handle: RePEc:cup:macdyn:v:4:y:2000:i:03:p:343-372_01
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    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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