The Relationship between Bond Returns and Inflation in a Controlled Economy
This research finds empirical evidence indicating that smoothed real asset prices lead security prices in a controlled economy. The results are important for illustrating the effect controlled inflation can have on controlled security prices. Copyright Kluwer Academic Publishers 1999
Volume (Year): 32 (1999)
Issue (Month): 2 (May)
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References listed on IDEAS
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- 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.
- Meese, Richard A & Rogoff, Kenneth, 1988.
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- Jaffe, Jeffrey F. & Mandelker, Gershon, 1979. "Inflation and the Holding Period Returns on Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(05), pages 959-979, December.
- Jeffrey F. Jaffe & Gershon Mandelker, "undated". "Inflation and the Holding Period Returns on Bonds," Rodney L. White Center for Financial Research Working Papers 8-75, Wharton School Rodney L. White Center for Financial Research.
- Jeffrey F. Jaffe & Gershon Mandelker, "undated". "Inflation and the Holding Period Returns on Bonds," Rodney L. White Center for Financial Research Working Papers 08-75, Wharton School Rodney L. White Center for Financial Research.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- 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.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- 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 447-458, May. Full references (including those not matched with items on IDEAS)
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