Download or read book Casual Relations Among Stock Returns Real Activity Inflation and Money Growth written by Kwangwoo Park and published by . This book was released on 1996 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using various regression models and a vector autoregressions (VAR) framework, this paper examines causal relations and dynamic interactions among stock returns, interest rates, real activity, inflation, and money growth using the post-war United States data. While stock returns have long been presumed as an important indicator of real activity in theory, the predictive ability of the stock market as perceived by macro-economists has been questioned. The purpose of this paper is to answer following two main questions: (1) What causal relationship exists among macro-economic variables behind the apparent negative stock returns-inflation relations in the post-war U.S. data? and (2) Is the stock market a good predictor of the future real activity? Major findings of this paper are that (1) the negative inflation-stock returns relations are in part induced by the negative inflation-future output relations during most of the post-war U.S. data. (2) The persistent component of inflation predicts future output better than temporary output in the regression results. (3) In a dynamic framework of real stock returns, real activity, inflation, and money in the VAR system, the theory by Fama (1981) holds well during the period 1972 to 1995, which suggests aggregate supply shocks have been pronounced in the recent two decades. (4) Stock returns (both real and nominal) seem to Granger cause and explain a substantial fraction of the variance in real activity. (5) Real activity also explains a substantial fraction of variance in inflation. This shows that additional spending has been purely inflationary for the post-war U.S. economy. (6) The asymmetry effects of real stock returns have been captured. Positive real stock returns seem to better predict the real activity, and the 'proxy' hypothesis of Fama does not hold in both cases.

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 STOCK RETURNS AND INLFATION THE ROLE OF THE MONETARY SECTOR written by GAUTAM KAUL and published by . This book was released on 1987 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Monetary Regimes and the Relation Between Stock Returns and Inflationary Expectations written by Gautam Kaul and published by . This book was released on 1987 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Returns Inflation and Macroeconomy written by Marc Chopin and published by . This book was released on 2002 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: We re-examine the inverse relationship between stock returns and inflation in the post- World War II period. Fama (1981) theorizes that the inverse inflation-stock return correlation is a proxy for the negative relationship between inflation and real activity. Geske and Roll (1983) argue that the inflation-stock return correlation reflects changes in government expenditures, real economic conditions and monetization of budget deficits. We test these hypotheses simultaneously using a multivariate vector-Error-Correction Model (VECM) proposed by Johansen and Juselius (1992, 1994). We find that both real activity and monetary fluctuations generate the contemporaneous correlation between stock returns and inflation. However, the Federal Reserve bank seems not to monetize Federal deficits, nor do government deficits appear to drive changes in real economic activity during the period examined. Thus, our results appear more compatible with Fama's explanation than that of Geske and Roll. More intriguingly, the sources of both real activity and monetary fluctuations are the long-run disequilibria of macroeconomy.

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.

Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.

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 International Macroeconomics in the Wake of the Global Financial Crisis written by Laurent Ferrara and published by Springer. This book was released on 2018-06-13 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.

Download or read book An Introduction to Wavelets and Other Filtering Methods in Finance and Economics written by Ramazan Gençay and published by Elsevier. This book was released on 2001-10-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. The first book to present a unified view of filtering techniques Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series Provides easy access to a wide spectrum of parametric and non-parametric filtering methods

Download or read book The Art of Monetary Policy written by David C. Colander and published by Routledge. This book was released on 2015-02-24 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt: Offering an introduction to the Japanese political system, this book covers the end of the Koizumi era, the brief and troubled premiership of Abe, and the selection of Fukuda as prime minister. It includes material on "bubble" and "post-bubble" economic developments, as well as coverage of health care policy.

Download or read book Economic Policy and the Great Stagflation written by Alan S. Blinder and published by Elsevier. This book was released on 2013-09-11 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic Policy and the Great Stagflation discusses the national economic policy and economics as a policy-oriented science. This book summarizes what economists do and do not know about the inflation and recession that affected the U.S. economy during the years of the Great Stagflation in the mid-1970s. The topics discussed include the basic concepts of stagflation, turbulent economic history of 1971-1976, anatomy of the great recession and inflation, and legacy of the Great Stagflation. The relation of wage-price controls, fiscal policy, and monetary policy to the Great Stagflation is also elaborated. This publication is beneficial to economists and students researching on the history of the Great Stagflation and policy errors of the 1970s.

Download or read book Inflation Matters written by Pete Comley and published by Pete Comley. This book was released on 2015-01-30 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation Matters is the first truly comprehensive book about inflation written in a simple and easy-to-read style. The book covers everything from the basics of how inflation is defined and measured through to the impact of inflation and its winners and losers. It highlights the difficulty in calculating inflation and that conventional measures (such as CPI in the UK) often underestimate it for a number of reasons. It also examines deflation and why it is regarded as a problem by economists. The book examines the history of world inflation. It looks at the causes of inflation and shows that they are many and complex. The book reveals a new model of inflation – Inflationary Wave Theory. It proposes that long-term inflation is created by population growth and competition for resources. Price increases depict a wave-like pattern over the centuries due to effects of man exploiting the inflation trend to such a point that prices eventually consolidate over a long period. The world is about to enter this stage of near-zero inflation. The book examines how this transition might take place and the conditions that need to be fulfilled. It is likely to be accompanied by some form of deflationary shock. Investing over the coming decades will therefore be difficult and the book discusses the implications of it for future wealth management. Book contents: PART I: INFLATION FACT AND FICTION 1 What is inflation? 2 Inflation and the money supply theory 3 Other theories about inflation 4 Deflation and why it is regarded as a problem 5 UK inflation measures 6 Inflation measurement issues PART II: INFLATION PAST 7 Inflationary Wave Theory 8 World War I and learning about hyperinflation 9 The 1930s depression and the deflation bogeyman 10 World War II, debts and the low inflation world 11 The 1970s inflation crisis and fiat currencies PART III: INFLATION PRESENT 12 The Great Moderation and the Great Recession 13 Japan and deflation 14 Governments and inflation 15 The era of inflation targeting 16 The impact of current inflation PART IV: DEFLATION YET TO COME 17 The big picture: a century of more stable prices 18 The transition period and near-term inflation 19 Price stability and the consolidation period 20 Managing wealth as we head towards near-zero inflation More information can be found at: inflationmatters.com.

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 Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.

Download or read book The Economics of Adjustment and Growth written by Pierre-Richard Agénor and published by La Editorial, UPR. This book was released on 2004-09-30 with total page 794 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a systematic and coherent framework for understanding the interactions between the micro and macro dimensions of economic adjustment policies; that is, it explores short-run macroeconomic management and structural adjustment policies aimed at promoting economic growth. It emphasizes the importance of structural microeconomic characteristics in the transmission of policy shocks and the response of the economy to adjustment policies. It has particular relevance to the economics of developing countries. The book is directed to economists interested in an overview of the economics of reform; economists in international organizations, such as the UN, the IMF, and the World Bank, dealing with development; and economists in developing countries. It is also a text for advanced undergraduate students pursuing a degree in economic policy and management and students in political science and public policy.

Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel