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Inflation And Real Stock Returns
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Book Synopsis Stock Returns and Inflation Redux: An Explanation from Monetary Policy in Advanced and Emerging Markets by : Mr. Zhongxia Zhang
Download or read book Stock Returns and Inflation Redux: An Explanation from Monetary Policy in Advanced and Emerging Markets written by Mr. Zhongxia Zhang and published by International Monetary Fund. This book was released on 2021-08-20 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: Classical theories of monetary economics predict that real stock returns are negatively correlated with inflation when monetary policy is countercyclical. Previous empirical studies mostly focus on a small group of developed countries or a few countries with hyperinflation. In this paper, I examine the stock return-inflation relation under different monetary policy regimes and conditions using an expanded dataset of 71 economies. Empirical evidence suggests that the stock return-inflation relation is partially driven by monetary policy. If a country’s monetary authority conducts a more countercyclical monetary policy, the stock return-inflation relation becomes more negative. In addition, the results differ by monetary policy framework. In exchange rate anchor countries, stock markets do not respond to monetary policy cyclicality. In inflation targeting countries, stock markets react more strongly to inflation. A key contribution of this paper is to classify inflation targeters by their behaviors, and illustrate that behavior matters in shaping market perceptions: markets react to inflation and monetary policy cyclicality when central banks are able to control inflation within their target bands. In this case markets are sensitive to inflation dynamics when inflation is above the announced target bands. Finally, when monetary policy is constrained by the Zero Lower Bound (ZLB), a structural break is introduced and real stock returns no longer respond to inflation and monetary policy cyclicality.
Book Synopsis Inflation, Inflation Accounting, and Real Stock Returns by : Jon Allan Hooks
Download or read book Inflation, Inflation Accounting, and Real Stock Returns written by Jon Allan Hooks and published by . This book was released on 1989 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Stock Returns and Inflation by : Sang-yŏng Chu
Download or read book Three Essays on Stock Returns and Inflation written by Sang-yŏng Chu and published by . This book was released on 1994 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis STOCK RETURNS AND INLFATION: THE ROLE OF THE MONETARY SECTOR by : GAUTAM KAUL
Download or read book STOCK RETURNS AND INLFATION: THE ROLE OF THE MONETARY SECTOR written by GAUTAM KAUL and published by . This book was released on 1987 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Inflation and Real Stock Returns by : Barry Cozier
Download or read book Inflation and Real Stock Returns written by Barry Cozier and published by . This book was released on 1985 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Can US Stocks Provide a Safe Haven from Interest and Inflation Risk? by : María de la O. González Pérez
Download or read book Can US Stocks Provide a Safe Haven from Interest and Inflation Risk? written by María de la O. González Pérez and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Returns, Inflation, Money and Economic Activity in a Developing Economy by : Wee Beng Gan
Download or read book Stock Returns, Inflation, Money and Economic Activity in a Developing Economy written by Wee Beng Gan and published by . This book was released on 1988 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Impact of Inflation Measures on the Real Returns and Risk of U.S. Stocks by : Charles P. Jones
Download or read book The Impact of Inflation Measures on the Real Returns and Risk of U.S. Stocks written by Charles P. Jones and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using different inflations measures produces economically significant differences in both the inflation record and inflation-adjusted stock returns. We introduce a more consistent measure of the monthly CPI inflation rate to better measure real returns over 1913-2004, for which the official CPI exists. We also extend the series backward to 1871 on a monthly basis, an important addition to the data series. We analyze the impact of inflation on the real standard deviation of stock returns and find that, in contrast to the results for geometric mean returns, inflation adjustments have little impact on estimates of return variability.
Book Synopsis Stock Prices, Expected Returns, and Inflation by : Steven Alan Sharpe
Download or read book Stock Prices, Expected Returns, and Inflation written by Steven Alan Sharpe and published by . This book was released on 1999 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Inflation, Tax Rules, and Capital Formation by : Martin Feldstein
Download or read book Inflation, Tax Rules, and Capital Formation written by Martin Feldstein and published by University of Chicago Press. This book was released on 2009-05-15 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation, Tax Rules, and Capital Formation brings together fourteen papers that show the importance of the interaction between tax rules and monetary policy. Based on theoretical and empirical research, these papers emphasize the importance of including explicit specifications of the tax system in such study.
Book Synopsis Casual Relations Among Stock Returns, Real Activity, Inflation, and Money Growth by : Kwangwoo Park
Download or read book Casual Relations Among Stock Returns, Real Activity, Inflation, and Money Growth written by Kwangwoo Park and published by . This book was released on 1996 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using various regression models and a vector autoregressions (VAR) framework, this paper examines causal relations and dynamic interactions among stock returns, interest rates, real activity, inflation, and money growth using the post-war United States data. While stock returns have long been presumed as an important indicator of real activity in theory, the predictive ability of the stock market as perceived by macro-economists has been questioned. The purpose of this paper is to answer following two main questions: (1) What causal relationship exists among macro-economic variables behind the apparent negative stock returns-inflation relations in the post-war U.S. data? and (2) Is the stock market a good predictor of the future real activity? Major findings of this paper are that (1) the negative inflation-stock returns relations are in part induced by the negative inflation-future output relations during most of the post-war U.S. data. (2) The persistent component of inflation predicts future output better than temporary output in the regression results. (3) In a dynamic framework of real stock returns, real activity, inflation, and money in the VAR system, the theory by Fama (1981) holds well during the period 1972 to 1995, which suggests aggregate supply shocks have been pronounced in the recent two decades. (4) Stock returns (both real and nominal) seem to Granger cause and explain a substantial fraction of the variance in real activity. (5) Real activity also explains a substantial fraction of variance in inflation. This shows that additional spending has been purely inflationary for the post-war U.S. economy. (6) The asymmetry effects of real stock returns have been captured. Positive real stock returns seem to better predict the real activity, and the 'proxy' hypothesis of Fama does not hold in both cases.
Book Synopsis Monetary Regimes and the Relation Between Stock Returns and Inflationary Expectations by : Gautam Kaul
Download or read book Monetary Regimes and the Relation Between Stock Returns and Inflationary Expectations written by Gautam Kaul and published by . This book was released on 1987 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Strategic Asset Allocation by : John Y. Campbell
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Book Synopsis The Stock Market and Inflation by : J. Anthony Boeckh
Download or read book The Stock Market and Inflation written by J. Anthony Boeckh and published by Irwin Professional Publishing. This book was released on 1982 with total page 165 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis relative price variability, inflation and the stock market by : gautam kaul
Download or read book relative price variability, inflation and the stock market written by gautam kaul and published by . This book was released on 1987 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Inflation, Inflation Risk, and Stock Returns by : John Ammer
Download or read book Inflation, Inflation Risk, and Stock Returns written by John Ammer and published by . This book was released on 1994 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Returns, Inflation, and the Firm Size Effect by : Mingshen Chen
Download or read book Stock Returns, Inflation, and the Firm Size Effect written by Mingshen Chen and published by . This book was released on 1992 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
