haku: @author Anari, A. / yhteensä: 1
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| Tekijä: | Anari, A. Kolari, J. |
| Otsikko: | Stock Prices and Inflation |
| Lehti: | Journal of Financial Research
2001 : WINTER, VOL. 24:4, p. 587-602 |
| Asiasana: | FINANCE STOCKS SHARE PRICES INFLATION |
| Kieli: | eng |
| Tiivistelmä: | Numerous empirical studies establish that inflation has a negative short-run effect on stock returns but few studies report a positive, long-run Fisher effect for stock returns. Using stock price and goods price data from six industrial countries, the authors show that long-run Fisher elasticities of stock prices with respect to goods prices exceed unity and range from 1.04 to 1.65, which tends to support the Fisher effect. The authors also find that the time path of the response of stock prices to a shock in goods prices exhibits an initial negative response, which turns positive over longer horizons. These results help reconcile previous short-ran and long-run empirical evidence on stock returns and inflation. |
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