haku: @author Lee, B. / yhteensä: 18
viite: 5 / 18
| Tekijä: | Hess, P. Lee, B. |
| Otsikko: | Stock returns and inflation with supply and demand disturbances |
| Lehti: | Review of Financial Studies
1999 : WINTER, VOL. 12:5, p. 1203-1218 |
| Asiasana: | FINANCE INFLATION STOCK RETURNS |
| Kieli: | eng |
| Tiivistelmä: | The authors account for the relation between stock returns and inflation with two independent disturbances: supply shocks and demand shocks. Supply shocks reflect real output shocks and cause a negative relation between stock inflation, while demand shocks are mainly due to monetary shocks and generate a positive relation between stock returns and inflation. The authors show, both theoretically and empirically, that the stock return-inflation relation varies over time and across countries depending on the relative importance of the two kinds types of shocks. |
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