Stock returns and inflation: Evidence from quantile regressions

The relationship between stock returns and inflation is examined for the G7 countries and some positive coefficients in the distribution for Italy and the UK were revealed. A positive one-for-one relationship is found once a GARCH filter is employed in all cases except Canada.

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Year of publication:	2012
Authors:	Alagidede, Paul ; Panagiotidis, Theodore
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 1, p. 283-286
Publisher:	Elsevier
Subject:	Stock returns \| Inflation \| Hedging \| Quantile regression

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Type of publication:	Article
Classification:	G10 - General Financial Markets. General ; G15 - International Financial Markets ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010580482