STOCK RETURNS, TERM STRUCTURE, INFLATION, AND REAL ACTIVITY: AN INTERNATIONAL PERSPECTIVE

DOI10.1017/S1365100500016047MaRDI QIDQ4527883zbMATH OpenWikidataFDO

Authors Fabio Canova, Gianni de Nicoló

Publication date 24 October 2001

Published in Macroeconomic Dynamics (Search for Journal in Brave)

zbMATH Keywords

business cyclestransmissionfinancial marketsinternational stock returns

Mathematics Subject Classification ID

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(8)

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• Sensitivity of stock returns to changes in the term structure of interest rates -- evidence from the German market
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• Analyzing multiple vector autoregressions through matrix-variate normal distribution with two covariance matrices
• The stock return--inflation puzzle revisited
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• Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data
• A Theory of the Nominal Character of Stock Securities

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