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Citations for " The Fiscal and Monetary Linkage between Stock Returns and Inflation"

by Geske, Robert & Roll, Richard

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  1. Gurgul, Henryk & Suliga, Milena & Wójtowicz, Tomasz, 2012. "Responses of the Warsaw Stock Exchange to the U.S. macroeconomic data announcements," MPRA Paper 68578, University Library of Munich, Germany, revised 2012.
  2. Chyi Lin Lee & Ming-Long Lee, 2012. "Do European real estate stocks hedge inflation? Evidence from developed and emerging markets," ERES eres2012_155, European Real Estate Society (ERES).
  3. Wang, Hao, 2010. "Sparse seemingly unrelated regression modelling: Applications in finance and econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2866-2877, November.
  4. Paul Alagidede & Theodore Panagiotidis, 2010. "Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries," Discussion Paper Series 2010_06, Department of Economics, University of Macedonia, revised Apr 2010.
  5. Mohammed Nishat & Rozina Shaheen, 2004. "Macroeconomic Factors and Pakistani Equity Market," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 43(4), pages 619-637.
  6. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
  7. Candelon Bertrand & Ahmed Jameel & Straetmans Stefan, 2012. "Predicting and Capitalizing on Stock Market Bears in the U.S," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  8. Solnik, Bruno & Solnik, Vincent, 1997. "A multi-country test of the Fisher model for stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(4), pages 289-301, December.
  9. Semen Son-Turan, 2016. "The Impact of Investor Sentiment on the "Leverage Effect"," International Econometric Review (IER), Econometric Research Association, vol. 8(1), pages 4-18, April.
  10. Hunjra, Ahmed Imran & Chani, Muhammad Irfan & Ijaz, Muhammad Shahzad & Farooq, Muhammad & Khan, Kamran, 2014. "The Impact of Macroeconomic Variables on Stock Prices in Pakistan," MPRA Paper 60791, University Library of Munich, Germany.
  11. Abdelaziz Rouabah, 2007. "L'inflation et la rentabilité des actions : une relation énigmatique et un casse-tête pour les banques centrales," Économie et Prévision, Programme National Persée, vol. 177(1), pages 19-34.
  12. Najand, Mohammad & Noronha, Gregory, 1998. "Causal relations among stock returns, inflation, real activity, and interest rates: Evidence from Japan," Global Finance Journal, Elsevier, vol. 9(1), pages 71-80.
  13. James Lothian & Yusif Simaan, 1998. "International Financial Relations Under the Current Float: Evidence from Panel Data," Open Economies Review, Springer, vol. 9(4), pages 293-313, October.
  14. Þakir Görmüþ & Recep Tekeli & Osman Peker, 2008. "Similarities and Differences of The 1994 and 2001 Turkish Currency Crises: A Signal Approach," Papers of the Annual IUE-SUNY Cortland Conference in Economics, in: Proceedings of the Conference on Emerging Economic Issues in a Globalizing World, pages 246-260 Izmir University of Economics.
  15. Bekhet, Hussain Ali & Al-Smadi, Raed Walid, 2015. "Determinants of Jordanian foreign direct investment inflows: Bounds testing approach," Economic Modelling, Elsevier, vol. 46(C), pages 27-35.
  16. Wongbangpo, Praphan & Sharma, Subhash C., 2002. "Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries," Journal of Asian Economics, Elsevier, vol. 13(1), pages 27-51.
  17. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and long run optimal portfolios: results for mixed asset menus," Working Papers 2010-003, Federal Reserve Bank of St. Louis.
  18. Jinliang Li & Robert M. Mooradian & Shiawee X. Yang, 2009. "The Information Content of the NCREIF Index," Journal of Real Estate Research, American Real Estate Society, vol. 31(1), pages 93-116.
  19. Modigliani, Franco. & Cohn, Richard A., 1984. "Inflation and corporate financial management," Working papers 1572-84., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  20. Roland Füss & Denis Schweizer, 2012. "Short and long-term interactions between venture capital returns and the macroeconomy: evidence for the United States," Review of Quantitative Finance and Accounting, Springer, vol. 38(3), pages 391-410, April.
  21. Eduardo Walker, 1998. "Mercado Accionario y Crecimiento Económico en Chile," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(104), pages 49-72.
  22. repec:ipg:wpaper:2014-108 is not listed on IDEAS
  23. Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, vol. 99(3), pages 560-580, March.
  24. Ólan T. Henry & Nilss Olekalns & Jonathan Thong, 2003. "Do Stock Market Returns Predict Changes to Output? Evidence from a Nonlinear Panel Data Model," Department of Economics - Working Papers Series 868, The University of Melbourne.
  25. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2011. "Do hedge funds' exposures to risk factors predict their future returns?," Journal of Financial Economics, Elsevier, vol. 101(1), pages 36-68, July.
  26. Flavin, T. J. & Wickens, M. R., 2003. "Macroeconomic influences on optimal asset allocation," Review of Financial Economics, Elsevier, vol. 12(2), pages 207-231.
  27. Flavin, Thomas J. & Limosani, Michele G., 2007. "Fiscal, monetary policy and the conditional risk premium in short-term interest rate differentials: an application of Tobin's portfolio theory," International Review of Economics & Finance, Elsevier, vol. 16(1), pages 101-112.
  28. Bjørnland, Hilde C. & Leitemo, Kai, 2009. "Identifying the interdependence between US monetary policy and the stock market," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 275-282, March.
  29. Jensen, Gerald R. & Mercer, Jeffrey M. & Johnson, Robert R., 1996. "Business conditions, monetary policy, and expected security returns," Journal of Financial Economics, Elsevier, vol. 40(2), pages 213-237, February.
  30. Christophe, Faugere, 2003. "A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination," MPRA Paper 15579, University Library of Munich, Germany, revised 04 Jun 2009.
  31. Sanvicente, A. Z. & Adrangi, B. & Chatrath, A., 2000. "Inflation, output and stock prices: evidence from Brazil," Finance Lab Working Papers flwp_34, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  32. Jian Wu & Tho D. Q. N'Guyen, 2010. "Spillover impacts of the US macroeconomic news: Australian sectoral perspective," Post-Print hal-00548772, HAL.
  33. Elroy Dimson & Christophe Spaenjers, 2011. "Ex post: The investment performance of collectible stamps," Post-Print hal-00623442, HAL.
  34. Ali Akbar Nazari & Mohammad Taher Ahmadi Shadmehri, 2016. "Examining the Relationship between Economic Variables and Financial Performance of the Companies in Tehran Stock Exchange," International Business Research, Canadian Center of Science and Education, vol. 9(7), pages 188-197, July.
  35. Isma Zaighum, 2014. "Impact of Macroeconomic Factors on Non-financial firms Stock Returns: Evidence from Sectorial Study of KSE-100 Index," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 1(1), pages 35-48, March.
  36. Fabio Canova & Gianni de Nicolo, 1997. "Stock returns, term structure, inflation and real activity: An international perspective," Economics Working Papers 203, Department of Economics and Business, Universitat Pompeu Fabra.
  37. Heimonen, Kari, 2010. "Money and equity returns in the Euro area," Global Finance Journal, Elsevier, vol. 21(2), pages 152-169.
  38. Bahram Adrangi & Arjun Chatrath & Todd M. Shank, 1999. "Inflation, output and stock prices: evidence from Latin America," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 20(2), pages 63-74.
  39. Balduzzi, Pierluigi, 1995. "Stock returns, inflation, and the 'proxy hypothesis': A new look at the data," Economics Letters, Elsevier, vol. 48(1), pages 47-53, April.
  40. James R. Lothian & Cornelia H. McCarthy, 2003. "Equity Returns and Inflation: The Puzzlingly Long Lags," International Finance 0311007, EconWPA.
  41. John Y. Campbell & Tuomo Vuolteenaho, 2004. "Inflation Illusion and Stock Prices," American Economic Review, American Economic Association, vol. 94(2), pages 19-23, May.
  42. Iqbal, Javed & Haider, Aziz, 2005. "Arbitrage pricing theory: evidence from an emerging stock market," MPRA Paper 8699, University Library of Munich, Germany.
  43. Arjun Chatrath & Sanjay Ramchander & Frank Song, 1997. "Stock prices, inflation and output: evidence from India," Applied Financial Economics, Taylor & Francis Journals, vol. 7(4), pages 439-445.
  44. Kwon, Chung S. & Shin, Tai S., 1999. "Cointegration and causality between macroeconomic variables and stock market returns," Global Finance Journal, Elsevier, vol. 10(1), pages 71-81.
  45. Shakizada Niyazbekova & Igor Grekov & Tatiana Blokhina, 2016. "The Influence Of Macroeconomic Factors To The Dynamics Of Stock Exchange In The Republic Of Kazakhstan," Economy of region, Centre for Economic Security, Institute of Economics of Ural Branch of Russian Academy of Sciences, vol. 1(4), pages 1263-1273.
  46. Nunes, Mauricio & Da Silva, Sergio, 2005. "Política Monetária e Relação entre PIB Real e Mercado de Ações na Economia Brasileira
    [Monetary policy and the relationship between real GDP and stockmarket in the Brazilian economy]
    ," MPRA Paper 4158, University Library of Munich, Germany.
  47. Tapa, Nosipho & Tom, Zandile & Lekoma, Molebogeng & Ebersohn, J. & Phiri, Andrew, 2016. "The unemployment-stock market relationship in South Africa: Evidence from symmetric and asymmetric cointegration models," MPRA Paper 74101, University Library of Munich, Germany.
  48. LUPU, Radu & CALIN, Adrian Cantemir, 2014. "A Mixed Frequency Analysis Of Connections Between Macroeconomic Variables And Stock Markets In Central And Eastern Europe," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 18(2), pages 69-79.
  49. Dirk Brounen & Melissa Porras Prado & Marno Verbeek, 2010. "Real Estate in an ALM Framework: The Case of Fair Value Accounting," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(4), pages 775-804, Winter.
  50. Chu, Patrick Kuok-Kun, 2011. "Relationship between macroeconomic variables and net asset values (NAV) of equity funds: Cointegration evidence and vector error correction model of the Hong Kong Mandatory Provident Funds (MPFs)," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 792-810.
  51. V. Vance Roley & Douglas K. Pearce, 1988. "Firm characteristics, unanticipated inflation, and stock returns," Research Working Paper 88-01, Federal Reserve Bank of Kansas City.
  52. Kodongo, Odongo & Ojah, Kalu, 2014. "The conditional pricing of currency and inflation risks in Africa's equity markets," MPRA Paper 56100, University Library of Munich, Germany.
  53. Luqman SAFDAR, 2014. "The relationship between twin deficit and stock market: An ARDL approach from Pakistan," EuroEconomica, Danubius University of Galati, issue 1(33), pages 109-121, May.
  54. Antonio Díaz & Francisco Jareño, 2013. "Inflation news and stock returns: market direction and flow-through ability," Empirical Economics, Springer, vol. 44(2), pages 775-798, April.
  55. Adam, Anokye M. & Tweneboah, George, 2008. "Do macroeconomic variables play any role in the stock market movement in Ghana?," MPRA Paper 9301, University Library of Munich, Germany.
  56. Phylaktis, Kate & Ravazzolo, Fabiola, 2005. "Stock prices and exchange rate dynamics," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1031-1053, November.
  57. Nasseh, Alireza & Strauss, Jack, 2004. "Stock prices and the dividend discount model: did their relation break down in the 1990s?," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 191-207, May.
  58. Mondher bellalah & Umie Habiba, 2013. "Impact of Macroeconomic Factors on Stock Exchange Prices: Evidence from USA Japan and China," THEMA Working Papers 2013-15, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  59. Kabir, Sarkar Humayun & Masih, Mansur, 2014. "Dynamic Integration of Domestic Equity Price, Foreign Equity Price and Macroeconomic Indicators: Evidence from Malaysia," MPRA Paper 57007, University Library of Munich, Germany.
  60. Yang, Jian & Zhou, Yinggang & Wang, Zijun, 2009. "The stock-bond correlation and macroeconomic conditions: One and a half centuries of evidence," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 670-680, April.
  61. Marie Brière & Ombretta Signori, 2011. "Inflation hedging portfolios in different regimes," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 139-163 Bank for International Settlements.
  62. Xia, Yihong, 2000. "Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation," University of California at Los Angeles, Anderson Graduate School of Management qt3167f8mz, Anderson Graduate School of Management, UCLA.
  63. Gallagher, Liam A. & Taylor, Mark P., 2002. "The stock return-inflation puzzle revisited," Economics Letters, Elsevier, vol. 75(2), pages 147-156, April.
  64. Lee, King Fuei, 2013. "Demographics and the long-horizon returns of dividend-yield strategies," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 202-218.
  65. Spaenjers, C., 2011. "Essays in alternative investments," Other publications TiSEM 8c51041f-6a63-451f-b7f4-8, Tilburg University, School of Economics and Management.
  66. Rene Coppe Pimentel & Taufiq Choudhry, 2014. "Stock Returns Under High Inflation and Interest Rates: Evidence from the Brazilian Market," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 50(1), pages 71-92, January.
  67. Sellin, Peter, 1998. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Working Paper Series 72, Sveriges Riksbank (Central Bank of Sweden).
  68. Aktürk, Halit, 2016. "Do stock returns provide a good hedge against inflation? An empirical assessment using Turkish data during periods of structural change," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 230-246.
  69. Ciner, Cetin, 2015. "Are equities good inflation hedges? A frequency domain perspective," Review of Financial Economics, Elsevier, vol. 24(C), pages 12-17.
  70. Kiran Kumar Kotha & Bhawna Sahu, 2016. "Macroeconomic Factors and the Indian Stock Market: Exploring Long and Short Run Relationships," International Journal of Economics and Financial Issues, Econjournals, vol. 6(3), pages 1081-1091.
  71. Laopodis, Nikiforos T., 2009. "Fiscal policy and stock market efficiency: Evidence for the United States," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 633-650, May.
  72. James R. Booth & Lena Chua Booth, 1997. "Economic factors, monetary policy and expected returns on stocks and bonds," Economic Review, Federal Reserve Bank of San Francisco, pages 32-42.
  73. K. Chaudhuri & S. Smiles, 2004. "Stock market and aggregate economic activity: evidence from Australia," Applied Financial Economics, Taylor & Francis Journals, vol. 14(2), pages 121-129.
  74. Claudiu Albulescu & Christian Aubin & Daniel Goyeau, 2016. "Stock prices, inflation and inflation uncertainty in the U.S.: testing the long-run relationship considering Dow Jones sector indexes," Post-Print halshs-01394897, HAL.
  75. Lee, Chien-Chiang & Chen, Mei-Ping & Chang, Chi-Hung, 2013. "Dynamic relationships between industry returns and stock market returns," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 119-144.
  76. Sellin, Peter, 2001. " Monetary Policy and the Stock Market: Theory and Empirical Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 15(4), pages 491-541, September.
  77. Reffett, Kevin L., 1995. "Arbitrage pricing and the stochastic inflation tax in a multisector monetary economy," Journal of Economic Dynamics and Control, Elsevier, vol. 19(3), pages 569-597, April.
  78. John Ammer, 1994. "Inflation, inflation risk, and stock returns," International Finance Discussion Papers 464, Board of Governors of the Federal Reserve System (U.S.).
  79. Choudhry, Taufiq, 2001. "Inflation and rates of return on stocks: evidence from high inflation countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(1), pages 75-96, March.
  80. Brian Payne & John Geppert, 2015. "Health care and the cross-section of US stock returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(1), pages 153-170, January.
  81. Bange, Mary M. & Miller, Thomas Jr., 2004. "Return momentum and global portfolio allocations," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 429-459, September.
  82. Jank, Stephan, 2011. "Mutual fund flows, expected returns, and the real economy," CFR Working Papers 11-04, University of Cologne, Centre for Financial Research (CFR).
  83. Villalba-Padilla, Fátima Irina & Flores-Ortega, Miguel, 2012. "Capacidad de predicción de los modelos GARCH simétricos aplicados a variables financieras de México 2001-2011," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(34), pages 81-124, segundo t.
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  85. Lajeri, Fatma & Dermine, Jean, 1999. "Unexpected inflation and bank stock returns: The case of France 1977-1991," Journal of Banking & Finance, Elsevier, vol. 23(6), pages 939-953, June.
  86. Díaz, Antonio & Jareño, Francisco, 2009. "Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case," Research in International Business and Finance, Elsevier, vol. 23(3), pages 349-368, September.
  87. Noor Ghazali & Shamshubariah Ramlee, 2003. "A long memory test of the long-run Fisher effect in the G7 countries," Applied Financial Economics, Taylor & Francis Journals, vol. 13(10), pages 763-769.
  88. Brennan, Michael J. & Schwartz, Eduardo S. & Lagnado, Ronald, 1997. "Strategic asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1377-1403, June.
  89. Hess, Martin K., 2004. "Dynamic and asymmetric impacts of macroeconomic fundamentals on an integrated stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 455-471, December.
  90. Ely, David & Robinson, Kenneth J., 1989. "Stock returns and inflation: further tests of the proxy and debt- monetization hypotheses," Working Papers 8905, Federal Reserve Bank of Dallas.
  91. Bharat Kolluri & Mahmoud Wahab, 2008. "Stock returns and expected inflation: evidence from an asymmetric test specification," Review of Quantitative Finance and Accounting, Springer, vol. 30(4), pages 371-395, May.
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  93. Pami Dua & Divya Tuteja, 2013. "Interdependence Of International Financial Market-- The Case Of India And U.S," Working papers 223, Centre for Development Economics, Delhi School of Economics.
  94. Chyi Lin Lee & Ming-Long Lee, 2014. "Do European real estate stocks hedge inflation? Evidence from developed and emerging markets," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 18(2), pages 178-197, June.
  95. David Havlíček, 2011. "The Analysis of the Relationship between Stock Returns and Inflation: A Consequence of Real Shocks or Money Illusion?," Český finanční a účetní časopis, University of Economics, Prague, vol. 2011(2), pages 37-57.
  96. Agnieszka Konicz & David Pisinger & Alex Weissensteiner, 2015. "Optimal annuity portfolio under inflation risk," Computational Management Science, Springer, vol. 12(3), pages 461-488, July.
  97. Singh, Manohar & Nejadmalayeri, Ali & Lucey, Brian, 2013. "Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(4), pages 476-485.
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  99. Haniff, Norazza Mohd & Masih, Mansur, 2016. "Shariah stocks as an inflation hedge in Malaysia," MPRA Paper 71681, University Library of Munich, Germany.
  100. Arnold, Stephan & Auer, Benjamin R., 2015. "What do scientists know about inflation hedging?," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 187-214.
  101. Laopodis, Nikiforos T. & Sawhney, Bansi L., 2002. "Dynamic interactions between Main Street and Wall Street," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(4), pages 803-815.
  102. Emeka Nkoro & Aham Kelvin Uko, 2013. "A Generalized Autoregressive Conditional Heteroskedasticity Model of the Impact of Macroeconomic Factors on Stock Returns: Empirical Evidence from the Nigerian Stock Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(4), pages 38-51, October.
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  104. Civilize, Sireethorn & Wongchoti, Udomsak & Young, Martin, 2015. "Military regimes and stock market performance," Emerging Markets Review, Elsevier, vol. 22(C), pages 76-95.
  105. Locarno, Alberto & Massa, Massimo, 2005. "Monetary Policy Uncertainty and the Stock Market," CEPR Discussion Papers 4828, C.E.P.R. Discussion Papers.
  106. Abbigail J. Chiodo & Massimo Guidolin & Michael T. Owyang & Makoto Shimoji, 2003. "Subjective probabilities: psychological evidence and economic applications," Working Papers 2003-009, Federal Reserve Bank of St. Louis.
  107. Ali Ozdagli, 2014. "Financial Frictions and Reaction of Stock Prices to Monetary Policy Shocks," 2014 Meeting Papers 1360, Society for Economic Dynamics.
  108. SHANMUGAM, K.R. & MISRA, Biswa Swarup, 2009. "Stock Returns-Inflation Relation In India, 1980-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1), pages -.
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  112. Mansoorian, Arman & Mohsin, Mohammed, 2013. "Real asset returns, inflation and activity in a small, open, Cash-in-Advance economy," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 234-250.
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  115. Moerman, Gerard A. & van Dijk, Mathijs A., 2010. "Inflation risk and international asset returns," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 840-855, April.
  116. Oxman, Jeffrey, 2012. "Price inflation and stock returns," Economics Letters, Elsevier, vol. 116(3), pages 385-388.
  117. Osman Karamustafa & Yakup Kucukkale, 2003. "Long Run Relationships between Stock Market Returns and Macroeconomic Performance: Evidence from Turkey," Finance 0309010, EconWPA.
  118. Ely, David P. & Robinson, Kenneth J., 1997. "Are stocks a hedge against inflation? International evidence using a long-run approach," Journal of International Money and Finance, Elsevier, vol. 16(1), pages 141-167, February.
  119. S. I. Spyrou, 2004. "Are stocks a good hedge against inflation? evidence from emerging markets," Applied Economics, Taylor & Francis Journals, vol. 36(1), pages 41-48.
  120. Jay Choi, Jongmoo & Hauser, Shmuel & Kopecky, Kenneth J., 1999. "Does the stock market predict real activity? Time series evidence from the G-7 countries," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1771-1792, December.
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  124. Muradoglu, Yaz Gulnur & Metin, Kivilcim, 1996. "Efficiency of the Turkish Stock Exchange with respect to monetary variables: A cointegration analysis," European Journal of Operational Research, Elsevier, vol. 90(3), pages 566-576, May.
  125. Henryk Gurgul & Tomasz Wójtowicz, 2014. "The impact of US macroeconomic news on the Polish stock market," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(4), pages 795-817, December.
  126. Guo, Shaojun & Ling, Shiqing & Zhu, Ke, 2013. "Factor double autoregressive models with application to simultaneous causality testing," MPRA Paper 51570, University Library of Munich, Germany.
  127. Ozdagli, Ali K., 2014. "Financial frictions and the reaction of stock prices to monetary policy shocks," Working Papers 14-6, Federal Reserve Bank of Boston.
  128. Lee, S. R. & Tang, D. P. & Wong, K. Matthew, 2000. "Stock returns during the German hyperinflation," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(3), pages 375-386.
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  130. Andreas Humpe & Peter Macmillan, 2007. "Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan," CDMA Working Paper Series 200720, Centre for Dynamic Macroeconomic Analysis.
  131. Thomas Gosnell, 2010. "Macroeconomic news and risk factor innovations," Managerial Finance, Emerald Group Publishing, vol. 36(7), pages 566-582, June.
  132. Zakamulin, Valeriy, 2013. "Forecasting the size premium over different time horizons," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1061-1072.
  133. William Hardin & Xiaoquan Jiang & Zhonghua Wu, 2012. "REIT Stock Prices with Inflation Hedging and Illusion," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 262-287, June.
  134. Saira Tufail & Sadia Batool, 2013. "An Analysis of the Relationship between Inflation and Gold Prices: Evidence from Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 18(2), pages 1-35, July-Dec.
  135. Akturk, Halit, 2014. "Do Stock Returns Provide a Good Hedge Against Inflation? An Empirical Assessment Using Turkish Data during Periods of Structural Change," MPRA Paper 64465, University Library of Munich, Germany.
  136. Davis, E. Philip & Madsen, Jakob B., 2008. "Productivity and equity market fundamentals: 80 years of evidence for 11 OECD countries," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1261-1283, December.
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