The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Paper Series 1 ; No. 2003,03

Classification and Topics

• Classification: Wirtschaft ; Financial Markets and the Macroeconomy ; Hypothesis Testing: General
• Subject: Proxy hypothesis ; Granger-causality ; asymmetry ; threshold ; nonlinearity ; Kapitalertrag ; Börsenkurs ; Inflationsrate ; Wirtschaftswachstum ; Kausalanalyse ; Schätzung ; Deutschland

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Kim, Jeong-Ryeol
• Event: Veröffentlichung
• (who): Deutsche Bundesbank
• (where): Frankfurt a. M.
• (when): 2003

Further information

• Handle: http://hdl.handle.net/10419/19589
• Last update: 10.03.2025, 11:44 AM CET