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The long-run relationship between inflation and real stock prices

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  • Rapach, David E.

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  • Rapach, David E., 2002. "The long-run relationship between inflation and real stock prices," Journal of Macroeconomics, Elsevier, vol. 24(3), pages 331-351, September.
  • Handle: RePEc:eee:jmacro:v:24:y:2002:i:3:p:331-351
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    Cited by:

    1. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2009. "Inflation, monetary policy and stock market conditions: quantitative evidence from a hybrid latent-variable VAR," Working Papers 2008-012, Federal Reserve Bank of St. Louis.
    2. Hondroyiannis, George & Papapetrou, Evangelia, 2006. "Stock returns and inflation in Greece: A Markov switching approach," Review of Financial Economics, Elsevier, vol. 15(1), pages 76-94.
    3. Shu‐Chin Lin, 2009. "Inflation And Real Stock Returns Revisited," Economic Inquiry, Western Economic Association International, vol. 47(4), pages 783-795, October.
    4. Nikolaos Antonakakis & Rangan Gupta & Aviral K. Tiwari, 2016. "Time-Varying Correlations between Inflation and Stock Prices in the United States over the Last Two Centuries," Working Papers 201605, University of Pretoria, Department of Economics.
    5. Antonakakis, Nikolaos & Gupta, Rangan & Tiwari, Aviral K., 2017. "Has the correlation of inflation and stock prices changed in the United States over the last two centuries?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1-8.
    6. K.R. Shanmugam & Biswa Swarup Misra, 2008. "Stock Returns-Inflation Relation In India," Working Papers 2008-038, Madras School of Economics,Chennai,India.
    7. Pooja Joshi & Arun Kumar Giri, 2015. "Fiscal Deficits and Stock Prices in India: Empirical Evidence," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 3(3), pages 1-18, August.
    8. Su Zhou, 2013. "Nonlinearity and stationarity of inflation rates: evidence from the euro-zone countries," Applied Economics, Taylor & Francis Journals, vol. 45(7), pages 849-856, March.
    9. Iorember, Paul & Sokpo, Joseph & Usar, Terzungwe, 2017. "Inflation and Stock Market Returns Volatility: Evidence from the Nigerian Stock Exchange 1995Q1-2016Q4: An E-GARCH Approach," MPRA Paper 85656, University Library of Munich, Germany.
    10. Valcarcel, Victor J., 2012. "The dynamic adjustments of stock prices to inflation disturbances," Journal of Economics and Business, Elsevier, vol. 64(2), pages 117-144.
    11. Karagianni Stella & Kyrtsou Catherine, 2011. "Analysing the Dynamics between U.S. Inflation and Dow Jones Index Using Non-Linear Methods," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-25, March.
    12. Faria, Joao Ricardo & Mollick, Andre Varella, 2010. "Tobin's q and U.S. inflation," Journal of Economics and Business, Elsevier, vol. 62(5), pages 401-418, September.
    13. repec:ers:journl:v:vi:y:2018:i:2:p:92-100 is not listed on IDEAS
    14. Atilla Cifter, 2015. "Stock Returns, Inflation, and Real Activity in Developing Countries: A Markov-Switching Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(1), pages 55-76, March.
    15. Augustine Arize & John Malindretos & Kiseok Nam, 2005. "Inflation and Structural Change in 50 Developing Countries," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 33(4), pages 461-471, December.
    16. Quayes, Shakil, 2010. "Does budget deficit lower equity prices in USA?," Economics Letters, Elsevier, vol. 107(2), pages 155-157, May.
    17. Somayeh Madadpour & Mohsen Asgari, 2019. "The puzzling relationship between stocks return and inflation: a review article," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 66(2), pages 115-145, June.
    18. Rudi Bratamanggala, 2018. "The Factors Affecting Board Stock Price of Lq45 Stock Exchange 2012-2016: Case of Indonesia," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 115-124.
    19. Chih-Chuan Yeh & Ching-Fang Chi, 2009. "The Co-Movement and Long-Run Relationship between Inflation and Stock Returns: Evidence from 12 OECD Countries," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 5(2), pages 167-186, July.
    20. Zhou, Mo & Buongiorno, Joseph, 2005. "Price transmission between products at different stages of manufacturing in forest industries," Journal of Forest Economics, Elsevier, vol. 11(1), pages 5-19, June.
    21. Rushdi, Mustabshira & Kim, Jae H. & Silvapulle, Param, 2012. "ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia," Economic Modelling, Elsevier, vol. 29(3), pages 535-543.
    22. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2008. "Inflation, Monetary Policy and Stock Market Conditions," NBER Working Papers 14019, National Bureau of Economic Research, Inc.
    23. Arize, Augustine C. & Malindretos, John, 2012. "Nonstationarity and nonlinearity in inflation rate: Some further evidence," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 224-234.
    24. Dikaios Tserkezos & Eleni Thanou, 2007. "Conventional Nonlinear Relationships between GDP, Inflation and Stock Market Returns. An Investigation for the Greek Economy," Working Papers 0731, University of Crete, Department of Economics.

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