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Title:The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity PDF Logo
Authors:Kim, Jeong-Ryeol
Issue Date:2003
Series/Report no.:Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2003,03
Abstract: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.
Subjects:Proxy hypothesis
Granger-causality
asymmetry
threshold
nonlinearity
JEL:E44
C12
Appears in Collections:Discussion Paper Series 1: Economic Studies, Bundesbank

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