Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/328110 
Autor:innen: 
Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] Review of Economic Analysis (REA) [ISSN:] 1973-3909 [Volume:] 13 [Issue:] 3 [Year:] 2021 [Pages:] 339-365
Verlag: 
International Centre for Economic Analysis (ICEA), Waterloo (Ontario)
Zusammenfassung: 
This paper examines the long-run relationship between goods prices and stock prices to understand whether stock market investment can help hedge against inflation in the United States (US) and Canada. This study employed an autoregressive distributed lag (ARDL) cointegration test developed by Pesaran, Shin, and Smith (2001), and finds evidence of a positive long-run economic relationship between stock prices and goods prices in both economies over the sample period 1960 to 2019. The long-run elasticity is above one for both economies implying that the developments in the goods market significantly affect the stock market. We undertake a suite of sensitivity checks and find robust evidence that the stock market investment can help hedge against inflation in the United States and Canada.
Schlagwörter: 
Stock prices
Goods prices
Cointegration
Inflation
Stock Market Investment
JEL: 
C22
C32
E31
G10
G11
G15
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