The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes over time, and this variation is largely driven...

Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the...

This paper argues that the nature of stock return predictability varies with the level of inflation. We contend that the nature of relations between economic variables and returns differs according to the level of inflation, due to different economic risk implications. An increase in low level...

We considers two key questions regarding predictive power of the FED model for stock returns. First, utilising a rolling regression approach designed to mimic real time investors, we provide evidence that the FED model, together with interest rates and the dividend-price ratio, can forecast...

Unofficial inflation can be explored from two different angles which constitute either the understating or overstating of officially announced inflation figures and the two are manifested as repressed inflation and hidden inflation. In this paper the later form of unofficial inflation is...