Stock returns, inflation, and the `proxy hypothesis':

DOI10.1016/0165-1765(94)00568-MMaRDI QIDQ673408zbMATH OpenOpenAlexFDO

Authors Pierluigi Balduzzi

Publication date 28 February 1997

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(94)00568-m

zbMATH Keywords

Vector autoregressionCovariance decompositionproduction growthVector moving average

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cited in

(8)

• Stock-returns and inflation in a principal-agent economy
• STOCK RETURNS, TERM STRUCTURE, INFLATION, AND REAL ACTIVITY: AN INTERNATIONAL PERSPECTIVE
• Correlations between stock returns and bond returns: income and substitution effects
• The stock return--inflation puzzle revisited
• Stock return and inflation: an analysis based on the state-space framework
• Generalized Fama proxy hypothesis: impact of shocks on Phillips curve and relation of stock returns with inflation
• 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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