Purpose - This paper aims to examine the effect of both inflation rate and interest rate on stock prices using … to measure the sensitivity in variations in inflation rates and interest rates on stock prices. Design … cointegration analysis show that cointegration exists between the stock prices, the changes in stock prices due to inflation rates …

We consider two possible approaches to the problem of incorporating explicit general (i.e., economic) inflation in the … deterministic interest rates and absence of inflation risk premia. The market approach seeks to eliminate these shortcomings by …

In a recent paper "Stochastic Chain-Ladder Reserving with Modeled General Inflation", the effects of modeled general … inflation on non-life claims reserving were studied using, along with the so called "market approach", a stochastic two …-factor market model, characterized by deterministic expected inflation. In the present paper, we repeat the same study, again with …

by the announcement of inflation targeting in 1991 when estimating the effects of monetary policy. For instance, we find …

This paper extends previous research on how monetary policy rates impact interest and inflation rates. We develop and … steady state policy rate elasticities of inflation and interest rates are derived. Employing U.S. rate series and state space … econometric methods, we estimate time-varying coefficients of the augmented system model. Policy rate elasticities of inflation …