| Inflation and Real Stock Returns Revisited | |
|---|---|
| 學年 | 98 |
| 學期 | 1 |
| 出版（發表）日期 | 2009-10-01 |
| 作品名稱 | Inflation and Real Stock Returns Revisited |
| 作品名稱（其他語言） | |
| 著者 | 林淑琴; Lin, Shu-chin |
| 單位 | 淡江大學經濟學系 |
| 出版者 | Wiley-Blackwell |
| 著錄名稱、卷期、頁數 | Economic Inquiry 47(4), pp.783-795 |
| 摘要 | The article uses the (unbalanced) panel data to revisit the effects of expected inflation, unexpected inflation, and inflation uncertainty on real stock returns. The empirical results are obtained via the pooled mean group estimator, which can be applied to I(1) and/or I(0) variables, and can distinguish long- and short-run effects. Using a panel of 16 industrialized Organization for Economic Cooperation and Development countries over the 1957:Q1 to 2000:Q1 period, we find that anticipated inflation and inflation uncertainty tend to have insignificant short-run effects, while they appear to have negative long-run impacts on real stock returns. Moreover, we find coexistence of a negative long-run effect and a positive short-run effect of unanticipated inflation on real stock returns. These findings help clarify the conflicting conclusions of both empirical and theoretical studies on this issue. (JEL C23, E31, G12) Reprinted by permission of the publisher. |
| 關鍵字 | |
| 語言 | en |
| ISSN | 0095-2583 |
| 期刊性質 | 國內 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | TWN |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/50335 ) |
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