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Stock Returns and Inflation: The Impact of Inflation Targeting

  • Alexandros Kontonikas
  • Alberto Montagnoli
  • Nicola Spagnolo

This paper investigates the dynamic interaction between in‡ation and stock returns in four in‡ation targeting countries. We find that following the introduction of formal targets, in‡ation persistence and the magnitude of volatility spillovers between in‡ation and stock returns have been reduced.

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File URL: http://www.gla.ac.uk/media/media_22202_en.pdf
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Paper provided by Business School - Economics, University of Glasgow in its series Working Papers with number 2005_11.

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Date of creation: Aug 2006
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Handle: RePEc:gla:glaewp:2005_11
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Web page: http://www.gla.ac.uk/schools/business/research/

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  1. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-53, December.
  2. Kontonikas, A., 2004. "Inflation and inflation uncertainty in the United Kingdom, evidence from GARCH modelling," Economic Modelling, Elsevier, vol. 21(3), pages 525-543, May.
  3. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
  4. Alexandros Kontonikas & Christos Ioannidis, 2004. "Should Monetary Policy Respond to Asset Price Misalignments?," Macroeconomics 0404026, EconWPA.
  5. Michael D. Bordo & David C. Wheelock, 1998. "Price stability and financial stability: the historical record," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 41-62.
  6. John H. Boyd & Ross Levine & Bruce D. Smith, 1997. "Inflation and financial market performance," Working Papers 573, Federal Reserve Bank of Minneapolis.
  7. repec:cup:etheor:v:11:y:1995:i:1:p:122-50 is not listed on IDEAS
  8. Caporale, Guglielmo Maria & Spagnolo, Nicola, 2003. "Asset prices and output growth volatility: the effects of financial crises," Economics Letters, Elsevier, vol. 79(1), pages 69-74, April.
  9. Andrew J. Filardo, 2000. "Monetary policy and asset prices," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 11-37.
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