Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/211891 
Authors: 
Year of Publication: 
2001
Series/Report no.: 
Bank of Finland Discussion Papers No. 13/2001
Publisher: 
Bank of Finland, Helsinki
Abstract: 
This paper examines what factors move US and European stock and bond markets, extending earlier work by Campbell and Ammer (1993). Inflation news is incorporated into the stock and bond decomposition and explicit attention is given to different horizons over which expectations are formed.Sensitivities to monetary policy instruments and fundamental factors are examined. The data are monthly.For the euro area, a unique data set is constructed.The results illuminate a number of widely-held pre-conceptions and confirm that inflation news volatility is a non-trivial factor in the stock and bond return decompositions.
Subjects: 
stock prices
bond prices
return decompositions
fundamental factors
Persistent Identifier of the first edition: 
ISBN: 
951-686-727-8
Document Type: 
Working Paper

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