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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/25278
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| Title: | | Expected inflation, expected stock returns, and money illusion: what can we learn from survey expectations?  |
| Authors: | | Schmeling, Maik Schrimpf, Andreas |
| Issue Date: | | 2008 |
| Series/Report no.: | | SFB 649 discussion paper 2008,036 |
| Abstract: | | We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability by virtue of a comprehensive set of expectations data, we find that money illusion seems to be the driving force behind our results. Another popular hypothesis - inflation as a proxy for aggregate risk aversion - is not supported by the data. |
| Subjects: | | Inflation expectations money illusion proxy hypothesis stock returns |
| JEL: | | G10 G12 E44 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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