Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/314080 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Applied Economics [ISSN:] 1667-6726 [Volume:] 23 [Issue:] 1 [Year:] 2020 [Pages:] 66-74
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
Understanding the Stock Return-Inflation Nexus is a continuing concern among scholars. The main goal of the current study was to critically examine the view that the relation between stock return and inflation is potentially asymmetric. To capture the possibility of dynamic nonlinearity and, in turn, asymmetry, the nonlinear Autoregressive Distributed lag model (NARDL) was deployed. This study has identified that the responses of stock return are generally asymmetric. In other words, the results suggest that contractionary time appears to reduce the stock returns more than expansionary time does.
Subjects: 
Economic cycle phase
G7 countries
Inflationary regimes
Nonlinear ARDL
Stock return
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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