Arbeitspapier
The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity
In this paper, we use a modified concept of Granger-(non)causality in reconsidering the negative correlation between stock returns and inflation known in the literature as stock return-inflation puzzle. Based on the quarterly data for Germany including stock returns, inflation rates and growth rates of gross domestic production, it turns out that the proxy causality between stock returns and inflation may be regarded as an asymmetric one, and the indicative role of stock returns may be also asymmetrically Granger-causal to the growth rates of gross domestic production.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 1 ; No. 2003,03
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
Hypothesis Testing: General
- Thema
-
Proxy hypothesis
Granger-causality
asymmetry
threshold
nonlinearity
Kapitalertrag
Börsenkurs
Inflationsrate
Wirtschaftswachstum
Kausalanalyse
Schätzung
Deutschland
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kim, Jeong-Ryeol
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kim, Jeong-Ryeol
- Deutsche Bundesbank
Entstanden
- 2003
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