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Autoren: 
Schmeling, Maik
Schrimpf, Andreas
Datum: 
2008
Reihe/Nr.: 
SFB 649 Discussion Paper 2008,036
Zusammenfassung: 
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.
Schlagwörter: 
Inflation expectations
money illusion
proxy hypothesis
stock returns
JEL: 
G10
G12
E44
Dokumentart: 
Working Paper

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