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The Relationship between Bond Returns and Inflation in a Controlled Economy

  • Z. Sabov
  • A. Murphy
Registered author(s):

    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

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    File URL: http://hdl.handle.net/10.1023/A:1003460418582
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    Article provided by Springer in its journal Economics of Planning.

    Volume (Year): 32 (1999)
    Issue (Month): 2 (May)
    Pages: 89-102

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    Handle: RePEc:kap:ecopln:v:32:y:1999:i:2:p:89-102
    Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=113294

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    1. Jeffrey F. Jaffe & Gershon Mandelker, . "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.
    2. 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.
    3. 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.
    4. 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.
    5. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
    6. Meese, Richard A & Rogoff, Kenneth, 1988. " Was It Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-Rate Period," Journal of Finance, American Finance Association, vol. 43(4), pages 933-48, September.
    7. 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.
    8. 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.
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