The Co-Movement and Long-Run Relationship between Inflation and Stock Returns: Evidence from 12 OECD Countries_

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題名：	The Co-Movement and Long-Run Relationship between Inflation and Stock Returns: Evidence from 12 OECD Countries
書刊名：	經濟與管理論叢
作者：	yeh, chih-chuan ／Chi, Ching-fang
出版日期：	2009
卷期：	5:2
頁次：	頁167-186
主題關鍵詞：	Inflation；Stock returns；Co-movement；ARDL-ECM
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:3 共同引用:0 點閱:42

　 This paper carries out the methodology suggested by Den Haan (2000) to investigate the co-movement of inflation and real stock returns using quarterly data from OECD countries. We confirm the existence of both short-run and long-run relationships between inflation and real stock returns, regardless of whether the underlying time series data are purely I(0), purely I(1), or mutually co-integrated. Moreover, we use the confidence interval approach introduced by Stock (1991) to further point out the ambiguity in unit root tests. However, our results support the existence of an inverse co-movement and long-run relationship between these two variables in 12 OECD countries. That is, an increase in inflation depresses real stock prices. This evidence is consistent with both the inflation illusion hypothesis and with the classical view that stock returns should be undervalued to reflect the imbalance in the tax treatment of inventory.

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期刊論文
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圖書
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2.	Fisher, I.(1930)。The Theory of Interest。MacMillan。

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