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Deutschen Bundesbank, Volkswirtschaftliches Forschungszentrum >
Discussion Paper Series 1: Economic Studies >
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http://hdl.handle.net/10419/19589
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| Titel: | The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity |
| Autoren: | Kim, Jeong-Ryeol |
| Datum: | 2003 |
| Verleger: | |
| Reihe/Nr.: | Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2003,03 |
| Zusammenfassung: | 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. |
| Erscheint in der Sammlung: | Discussion Paper Series 1: Economic Studies
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