Download or read book Stock Returns Interest Rates and Inflation written by Greg Vickers and published by . This book was released on 1995 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Returns as Predictors of Interest Rates and Inflation written by Sheridan Titman and published by . This book was released on 1987 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Can US Stocks Provide a Safe Haven from Interest and Inflation Risk written by María de la O. González Pérez and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Returns and Inflation Redux An Explanation from Monetary Policy in Advanced and Emerging Markets written by Mr. Zhongxia Zhang and published by International Monetary Fund. This book was released on 2021-08-20 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: Classical theories of monetary economics predict that real stock returns are negatively correlated with inflation when monetary policy is countercyclical. Previous empirical studies mostly focus on a small group of developed countries or a few countries with hyperinflation. In this paper, I examine the stock return-inflation relation under different monetary policy regimes and conditions using an expanded dataset of 71 economies. Empirical evidence suggests that the stock return-inflation relation is partially driven by monetary policy. If a country’s monetary authority conducts a more countercyclical monetary policy, the stock return-inflation relation becomes more negative. In addition, the results differ by monetary policy framework. In exchange rate anchor countries, stock markets do not respond to monetary policy cyclicality. In inflation targeting countries, stock markets react more strongly to inflation. A key contribution of this paper is to classify inflation targeters by their behaviors, and illustrate that behavior matters in shaping market perceptions: markets react to inflation and monetary policy cyclicality when central banks are able to control inflation within their target bands. In this case markets are sensitive to inflation dynamics when inflation is above the announced target bands. Finally, when monetary policy is constrained by the Zero Lower Bound (ZLB), a structural break is introduced and real stock returns no longer respond to inflation and monetary policy cyclicality.

Download or read book Inflation Interest Rates and Stock Returns written by William N. Pugh and published by . This book was released on 1986 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Interest Rate Risk Inflation and the Cross Section of Stock Returns written by Heungju Park and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We posit that the pricing mechanism of interest rate risk is contingent upon the prevailing inflation levels; in times of high (low) inflation, a positive (negative) shock to interest rates is indicative of a negative economic state. In line with this proposition, we introduce a conditional interest rate factor, defined as the shock to interest rates multiplied by the standardized inflation level. The proposed single factor effectively indicates the states of both raising interest rates to combat inflation and lowering interest rates to counteract a recession. We find supporting evidence that interest rate risk is not unconditionally priced, but rather contingent upon inflation. Specifically, the sensitivity of stock returns to interest rate innovation cannot account for the cross-section of stock returns, but when interacted with standardized inflation, it produces significant cross-sectional return differences, even after controlling for standard risk factors. Moreover, when examining standard equity portfolios as test assets, our conditional interest rate factor outperforms its unconditional counterpart in terms of pricing performance, as measured by R2 and absolute pricing error, and is comparable to the Fama-French three-factor model. Finally, we provide further validation for our proposed factor by demonstrating its ability to predict future consumption growth and achieving a Sharpe ratio comparable to the tangency portfolio.

Download or read book Stock Prices and Monetary Policy written by Paul De Grauwe and published by CEPS. This book was released on 2008 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: The question of whether central banks should target stock prices so as to prevent bubbles and crashes from occurring has been hotly debated. This paper analyses this question using a behavioural macroeconomic model. This model generates bubbles and crashes. It analyses how 'leaning against the wind' strategies, which aim to reduce the volatility of stock prices, can help in reducing volatility of output and inflation. We find that such policies can be effective in reducing macroeconomic volatility, thereby improving the trade-off between output and inflation variability. The strength of this result, however, depends on the degree of credibility of the inflation-targeting regime. In the absence of such credibility, policies aiming at stabilising stock prices do not stabilise output and inflation.

Download or read book The Effects of Inflation and Interest Rates on Stock Returns written by Mark Mullins and published by . This book was released on 1990 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The effects of inflation and interest rates on stock returns written by Mark Mullins and published by . This book was released on 1990 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Inflation Stock Returns and Interest Rates written by Bong-Soo Lee and published by . This book was released on 1986 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Cyclical Behavior of the Term Structure of Interest Rates written by Reuben A. Kessel and published by . This book was released on 1965 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book IMPACT OF INTEREST RATES AND INFLATION ON VIETNAM S STOCK RETURNS written by and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Returns Interest Rates and Inflation in a Rational Expectations Model of the Macroeconomy written by Laurence S. Copeland and published by . This book was released on 1984 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.

Download or read book An Empirical Analysis of Stock Returns Inflation and Interest Rates in the Pacific Basin Countries written by Osamah Mohammad Alkhazali and published by . This book was released on 1997 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Stock Returns and Inflation written by Sang-yŏng Chu and published by . This book was released on 1994 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dynamic Interactions Among Interest Rates Stock Market Inflation and Real Economic Activity written by Nikiforos T. Laopodis and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the dynamic linkages among the equity market, economic activity, inflation and monetary policy since the 1970s. The main findings are as follows. First, bivariate results for the linkages between real stock returns and inflation confirm the surprising result of negative correlation between the two magnitudes for the 1970s and 1980s. Second, the bivariate and multivariate findings suggest a weak negative relationship between real stock returns and the federal funds rate for every decade. Third, the results for the real stock returns-real activity pair reveal a weak negative relationship in the 1970s and 1990s, a positive in the 1980s, but no significant relationship within the multivariate framework. Finally, our results seem to imply that there is no concrete and consistent dynamic relationship between monetary policy and the stock market and that the nature of such dynamics has been different in each decade.