메뉴 건너뛰기




Volumn 6, Issue 5, 1996, Pages 433-441

Stock returns, real activities and temporary and persistent inflation

Author keywords

[No Author keywords available]

Indexed keywords


EID: 3142516466     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031096334060     Document Type: Article
Times cited : (7)

References (42)
  • 1
    • 3142559967 scopus 로고
    • Inflation, inflation risk, and stock returns
    • Board of Governors of the Federal Reserve System
    • Ammer, J. (1994) Inflation, inflation risk, and stock returns, International Finance Discussion Papers 464, Board of Governors of the Federal Reserve System.
    • (1994) International Finance Discussion Papers 464
    • Ammer, J.1
  • 2
    • 38249016136 scopus 로고
    • Why does high inflation raise inflation uncertainty?
    • Ball, L. (1992) Why does high inflation raise inflation uncertainty? Journal of Monetary Economics, 29, 371-88.
    • (1992) Journal of Monetary Economics , vol.29 , pp. 371-388
    • Ball, L.1
  • 4
    • 0001672932 scopus 로고
    • Unanticipated money, output, and the price level in the United States
    • Barro, R. J. 1(978) Unanticipated money, output, and the price level in the United States, Journal of Political Economy, 86, 549-80.
    • (1978) Journal of Political Economy , vol.86 , pp. 549-580
    • Barro, R.J.1
  • 5
    • 84986490646 scopus 로고
    • The relationship between the variability of inflation and stock returns: An empirical investigation
    • Buono, M. J. (1989) The relationship between the variability of inflation and stock returns: an empirical investigation, Journal of Financial Research, 12, 329-39.
    • (1989) Journal of Financial Research , vol.12 , pp. 329-339
    • Buono, M.J.1
  • 6
    • 84952171426 scopus 로고
    • Are higher levels of inflation less predictable? A state dependent conditional heteroscedasticity approach
    • Brunner, A. D. and Hess, G. D. (1993) Are higher levels of inflation less predictable? A state dependent conditional heteroscedasticity approach, Journal of Business and Economic Statistics, 11, 187-97.
    • (1993) Journal of Business and Economic Statistics , vol.11 , pp. 187-197
    • Brunner, A.D.1    Hess, G.D.2
  • 7
    • 0346443508 scopus 로고
    • The return of the liquidity effect: A study of the short-run relationship between money growth and interest rates
    • Cochrane, J. H. (1989) The return of the liquidity effect: a study of the short-run relationship between money growth and interest rates, Journal of Business and Economic Statistics, 7, 75-83.
    • (1989) Journal of Business and Economic Statistics , vol.7 , pp. 75-83
    • Cochrane, J.H.1
  • 8
    • 0001224089 scopus 로고
    • Estimates of the variance of US inflation based upon the ARCH model
    • Cosimano, T. F. and Jansen, D. W. (1988) Estimates of the variance of US inflation based upon the ARCH model, Journal of Money, Credit, and Banking, 20, 409-21.
    • (1988) Journal of Money, Credit, and Banking , vol.20 , pp. 409-421
    • Cosimano, T.F.1    Jansen, D.W.2
  • 9
    • 0011413896 scopus 로고
    • Aggregate economic activity and the variance of inflation
    • Coulson, E. E. and Robins, R. P. (1985) Aggregate economic activity and the variance of inflation, Economics Letters, 17, 71-75.
    • (1985) Economics Letters , vol.17 , pp. 71-75
    • Coulson, E.E.1    Robins, R.P.2
  • 10
    • 84977402535 scopus 로고
    • Differential inflationary expectations and the variability of the rate of inflation: Theory and evidence
    • Cukierman, A. and Wachtel, P. (1979) Differential inflationary expectations and the variability of the rate of inflation: theory and evidence, American Economic Review, 69, 595-609.
    • (1979) American Economic Review , vol.69 , pp. 595-609
    • Cukierman, A.1    Wachtel, P.2
  • 11
    • 0000341126 scopus 로고
    • Inflation and asset prices in an exchange economy
    • Danthine, J.-P. and Donalson, J. B. (1986) Inflation and asset prices in an exchange economy, Econometrica, 54, 585-605.
    • (1986) Econometrica , vol.54 , pp. 585-605
    • Danthine, J.-P.1    Donalson, J.B.2
  • 12
    • 0041619326 scopus 로고
    • The empirical interrelationships among the Mundell and Darby hypothesis and expected stock market returns
    • Dokko, Y. and Edelstein, R. H. (1987) The empirical interrelationships among the Mundell and Darby hypothesis and expected stock market returns, Review of Economics and Statistics, 69, 161-66.
    • (1987) Review of Economics and Statistics , vol.69 , pp. 161-166
    • Dokko, Y.1    Edelstein, R.H.2
  • 13
    • 3142521844 scopus 로고
    • Inflation uncertainty and stock market fluctuations: An intertemporal CAPM approach
    • ed. A. Chen, JAI Press, Greenwich, Conn.
    • Dokko, Y. and Edelstein, R. H. (1991) Inflation uncertainty and stock market fluctuations: an intertemporal CAPM approach, in Research in Finance, Vol. 9, ed. A. Chen, JAI Press, Greenwich, Conn., pp. 1-20.
    • (1991) Research in Finance , vol.9 , pp. 1-20
    • Dokko, Y.1    Edelstein, R.H.2
  • 14
    • 0001005120 scopus 로고
    • Estimates of the variance of US inflation based upon the ARCH model
    • Engle, R. F. (1983) Estimates of the variance of US inflation based upon the ARCH model. Journal of Money, Credit, and Banking, 15, 286-301.
    • (1983) Journal of Money, Credit, and Banking , vol.15 , pp. 286-301
    • Engle, R.F.1
  • 15
    • 85005321249 scopus 로고
    • Price-level instability and output in the US
    • Evans, P. (1983) Price-level instability and output in the US, Economic Inquiry, 31, 172-87.
    • (1983) Economic Inquiry , vol.31 , pp. 172-187
    • Evans, P.1
  • 16
    • 21144474215 scopus 로고
    • Inflation regimes and the sources of inflation uncertainty
    • Evans, M. and Wachtel, P. (1993) Inflation regimes and the sources of inflation uncertainty, Journal of Money, Credit, and Banking, 25, 475-511.
    • (1993) Journal of Money, Credit, and Banking , vol.25 , pp. 475-511
    • Evans, M.1    Wachtel, P.2
  • 17
    • 33749009107 scopus 로고
    • Stock returns, real activity, inflation, and money
    • Fama, E. F. (1981) Stock returns, real activity, inflation, and money, American Economic Review, 71, 545-65.
    • (1981) American Economic Review , vol.71 , pp. 545-565
    • Fama, E.F.1
  • 18
    • 0001492519 scopus 로고
    • Inflation and the stock market
    • Feldstein, M. (1980) Inflation and the stock market, American Economic Review, 70, 839-47.
    • (1980) American Economic Review , vol.70 , pp. 839-847
    • Feldstein, M.1
  • 19
    • 0000962629 scopus 로고
    • Nobel lecture: Inflation and unemployment
    • Friedman, M. (1977) Nobel lecture: inflation and unemployment, Journal of Political Economy, 85, 451-72.
    • (1977) Journal of Political Economy , vol.85 , pp. 451-472
    • Friedman, M.1
  • 20
    • 3142552732 scopus 로고
    • Effect of inflation of savings, investment, and capital markets
    • eds M. Blume and P. Taubman, Ballinger, Cambridge
    • Friend, I. (1981) Effect of inflation of savings, investment, and capital markets, in Economic Activity and Finance, eds M. Blume and P. Taubman, Ballinger, Cambridge.
    • (1981) Economic Activity and Finance
    • Friend, I.1
  • 21
    • 0038601401 scopus 로고
    • An examination of aggregate price uncertainty in four countries and some implications to output
    • Froyen, R. and Waud, R. N. (1987) An examination of aggregate price uncertainty in four countries and some implications to output, International Economic Review, 28, 353-73.
    • (1987) International Economic Review , vol.28 , pp. 353-373
    • Froyen, R.1    Waud, R.N.2
  • 23
    • 84944830931 scopus 로고
    • The fiscal and monetary links between stock returns and inflation
    • Geske, R. and Roll, R. (1983) The fiscal and monetary links between stock returns and inflation, Journal of Finance, 38, 1-30.
    • (1983) Journal of Finance , vol.38 , pp. 1-30
    • Geske, R.1    Roll, R.2
  • 24
    • 84928440780 scopus 로고
    • Asset prices and interest rates in cash-in-advance model
    • Giovannini, A. and Labadie, P. (1991) Asset prices and interest rates in cash-in-advance model, Journal of Political Economy, 99, 1215-51.
    • (1991) Journal of Political Economy , vol.99 , pp. 1215-1251
    • Giovannini, A.1    Labadie, P.2
  • 25
    • 0040999745 scopus 로고
    • Comments on inflation regimes and the sources of inflation uncertainty
    • Holland, S. A. (1993a) Comments on inflation regimes and the sources of inflation uncertainty, Journal of Money, Credit, and Banking, 25, 514-20.
    • (1993) Journal of Money, Credit, and Banking , vol.25 , pp. 514-520
    • Holland, S.A.1
  • 26
    • 84977314900 scopus 로고
    • Uncertainty effect of money and the link between inflation rate and inflation uncertainty
    • Holland, S. A. (1993b) Uncertainty effect of money and the link between inflation rate and inflation uncertainty, Economic Inquiry, 31, 39-51.
    • (1993) Economic Inquiry , vol.31 , pp. 39-51
    • Holland, S.A.1
  • 27
    • 84977738102 scopus 로고
    • Causal relations among stock returns, interest rates, real activity, and inflation
    • Lee, B.-S. (1992) Causal relations among stock returns, interest rates, real activity, and inflation, Journal of Finance, 47, 1591-1603.
    • (1992) Journal of Finance , vol.47 , pp. 1591-1603
    • Lee, B.-S.1
  • 28
    • 0039412092 scopus 로고    scopus 로고
    • An economic application of time-domain Chebyshev filters: A test of the permanent income hypothesis
    • Lee, K. (1996a) An economic application of time-domain Chebyshev filters: a test of the permanent income hypothesis, The Statistician, 45, 65-76.
    • (1996) The Statistician , vol.45 , pp. 65-76
    • Lee, K.1
  • 30
    • 0038771397 scopus 로고
    • Inflation uncertainty and real economic activities
    • Lee, K. and Ni, S. (1995) Inflation uncertainty and real economic activities, Applied Economics Letters, 2, 460-62.
    • (1995) Applied Economics Letters , vol.2 , pp. 460-462
    • Lee, K.1    Ni, S.2
  • 31
    • 0000878182 scopus 로고
    • Nominal prices and interest rates in general equilibrium: Endowment shocks
    • LeRoy, S. F. (1984) Nominal prices and interest rates in general equilibrium: endowment shocks. Journal of Business, 57, 197-213.
    • (1984) Journal of Business , vol.57 , pp. 197-213
    • LeRoy, S.F.1
  • 32
    • 0011473486 scopus 로고
    • Inflation uncertainty and the Phillips curve: Some empirical evidence
    • Levi, M. D. and Makin, J. H. (1980) Inflation uncertainty and the Phillips curve: some empirical evidence, American Economic Review, 70, 1022-27.
    • (1980) American Economic Review , vol.70 , pp. 1022-1027
    • Levi, M.D.1    Makin, J.H.2
  • 33
    • 49649131398 scopus 로고
    • Expectations and the neutrality of money
    • Lucas, R. E. (1972) Expectations and the neutrality of money, Journal of Economic Theory 4, 103-24.
    • (1972) Journal of Economic Theory , vol.4 , pp. 103-124
    • Lucas, R.E.1
  • 35
    • 84977351156 scopus 로고
    • The capital formation problem in the United States
    • Malkiel, B. G. (1979) The capital formation problem in the United States, Journal of Finance, 39, 291-306.
    • (1979) Journal of Finance , vol.39 , pp. 291-306
    • Malkiel, B.G.1
  • 36
    • 84977732134 scopus 로고
    • Inflation and asset returns in a monetary economy
    • Marshall, D. A. (1992) Inflation and asset returns in a monetary economy, Journal of Finance, 52, 1315-42.
    • (1992) Journal of Finance , vol.52 , pp. 1315-1342
    • Marshall, D.A.1
  • 37
    • 0000849928 scopus 로고
    • Long- and short-term interest rates in a risky world
    • Mascaro, A. and Meltzer, A. H. (1983) Long- and short-term interest rates in a risky world, Journal of Monetary Economics, 12, 485-518.
    • (1983) Journal of Monetary Economics , vol.12 , pp. 485-518
    • Mascaro, A.1    Meltzer, A.H.2
  • 38
    • 0002962533 scopus 로고
    • Inflation, rational valuation and the market
    • Modigliani, F. and Cohn, R. (1979) Inflation, rational valuation and the market, Financial Analysts Journal, 35, 24-44.
    • (1979) Financial Analysts Journal , vol.35 , pp. 24-44
    • Modigliani, F.1    Cohn, R.2
  • 39
    • 0011497745 scopus 로고
    • Unemployment, industrial production, and inflation uncertainty in the United States
    • Mullineaux, D. J. (1980) Unemployment, industrial production, and inflation uncertainty in the United States, Review of Economics and Statistics, 163-69.
    • (1980) Review of Economics and Statistics , pp. 163-169
    • Mullineaux, D.J.1
  • 41
    • 0003579022 scopus 로고
    • Stock returns, real activity, inflation, and money: Comment
    • Ram, R. and Spencer, D. E. (1983) Stock returns, real activity, inflation, and money: comment, American Economic Review, 73, 463-70.
    • (1983) American Economic Review , vol.73 , pp. 463-470
    • Ram, R.1    Spencer, D.E.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.