Stock Returns, the Interest Rate and Inflation in the Italian Stock Market: A Long-Run Perspective
This paper investigates the behaviour of stock prices in Italy over the 1963-1995 period. By means of a time-series analysis of both the long- and the short-run properties of stock prices and other macroeconomic variables, we find strong evidence of a long-run equilibrium negative relation between the inflation rate and a real stock price index. The Dynamic adjustment of stock prices towards the equilibrium relation is also analysed.
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Volume (Year): 56 (1997)
Issue (Month): 3-4 (December)
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