The relation between asset returns and inflation at short and long horizons

Journal of International Financial Markets, Institutions and Money

Volumn 12, Issue 2, 2002, Pages 101-118

  Engsted, Tom ^a   Tanggaard, Carsten ^a  

^a AARHUS SCHOOL OF BUSINESS   (Denmark)

Author keywords

Fisher hypothesis; Inflation; Vector autoregression

Indexed keywords

EID: 0036164912     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1042-4431(01)00052-X     Document Type: Article

References (18)

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11. Small-sample confidence intervals for impulse response functions
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13. A simple positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix
14. Drawing inferences from statistics based on multi-year asset returns
15. A multi-country test of the Fisher model for stock returns
16. Asset prices and expected inflation