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Causal relations among stock returns, inflation, real activity, and interest rates: Evidence from Japan

  • Najand, Mohammad
  • Noronha, Gregory
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    File URL: http://www.sciencedirect.com/science/article/B6W4F-45GNS1S-1T/2/fcc7d199e5a18b4f1ecafc21a78182d6
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    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 9 (1998)
    Issue (Month): 1 ()
    Pages: 71-80

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    Handle: RePEc:eee:glofin:v:9:y:1998:i:1:p:71-80
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620162

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    1. Schwert, G William, 1981. "The Adjustment of Stock Prices to Information about Inflation," Journal of Finance, American Finance Association, vol. 36(1), pages 15-29, March.
    2. Gultekin, N Bulent, 1983. " Stock Market Returns and Inflation: Evidence from Other Countries," Journal of Finance, American Finance Association, vol. 38(1), pages 49-65, March.
    3. Geske, Robert & Roll, Richard, 1983. " The Fiscal and Monetary Linkage between Stock Returns and Inflation," Journal of Finance, American Finance Association, vol. 38(1), pages 1-33, March.
    4. Mandelker, Gershon & Tandon, Kishore, 1985. "Common stock returns, real activity, money, and inflation: Some international evidence," Journal of International Money and Finance, Elsevier, vol. 4(2), pages 267-286, June.
    5. Jaffe, Jeffrey F & Mandelker, Gershon, 1976. "The "Fisher Effect" for Risky Assets: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 31(2), pages 447-58, May.
    6. Hamao, Yasushi & Campbell, John, 1992. "Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration," Scholarly Articles 3207694, Harvard University Department of Economics.
    7. Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-65, September.
    8. Watson, Mark W., 1989. "Recursive solution methods for dynamic linear rational expectations models," Journal of Econometrics, Elsevier, vol. 41(1), pages 65-89, May.
    9. James, Christopher & Koreisha, Sergio & Partch, Megan, 1985. " A VARMA Analysis of the Causal Relations among Stock Returns, Real Output, and Nominal Interest Rates," Journal of Finance, American Finance Association, vol. 40(5), pages 1375-84, December.
    10. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
    11. Bodie, Zvi, 1976. "Common Stocks as a Hedge against Inflation," Journal of Finance, American Finance Association, vol. 31(2), pages 459-70, May.
    12. Francis X. Diebold, 1988. "State space modeling of time series: a review essay," Finance and Economics Discussion Series 9, Board of Governors of the Federal Reserve System (U.S.).
    13. Fama, Eugene F, 1990. " Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
    14. McCarthy, Joseph & Najand, Mohammad & Seifert, Bruce, 1990. "Empirical Tests of the Proxy Hypothesis," The Financial Review, Eastern Finance Association, vol. 25(2), pages 251-63, May.
    15. Aoki, Masanao & Havenner, Arthur, 1989. "A method for approximate representation of vector-valued time series and its relation to two alternatives," Journal of Econometrics, Elsevier, vol. 42(2), pages 181-199, October.
    16. Kaul, Gautam, 1987. "Stock returns and inflation : The role of the monetary sector," Journal of Financial Economics, Elsevier, vol. 18(2), pages 253-276, June.
    17. Nelson, Charles R, 1976. "Inflation and Rates of Return on Common Stocks," Journal of Finance, American Finance Association, vol. 31(2), pages 471-83, May.
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