Stock returns and inflation in Greece: A Markov switching approach

Review of Financial Economics - Tập 15 - Trang 76-94 - 2006
George Hondroyiannis1, Evangelia Papapetrou2
1Bank of Greece, Economic Research Department, and Harokopio University, El. Venizelou 21,102 50 Athens, Greece
2Bank of Greece, Economic Research Department, University of Athens, Athens, Greece

Tóm tắt

AbstractThe paper studies the dynamic relationship between real stock returns and expected and unexpected inflation utilizing a Markov Switching vector autoregressive model (MS‐VAR). The MS‐VAR model has the advantage that it is able to capture the dependence structure of the series both in terms of mean and variance. Univariate and multivariate innovation decompositions are employed to separate inflation into two components, the expected and unexpected. The empirical evidence suggests that real stock returns are not related to expected and unexpected inflation and this result is independent of the method used to separate inflation into the two components. Rather, the results suggest that stock market movements are regime dependent, implying that stock market performance is not predictable.

Tài liệu tham khảo

10.1007/BF02757711 Álvarez L. J. &Matea M.(1999).Underlying inflation measures in Spain.Banco de Espana Working Paper 9911. 10.1093/rfs/15.4.1137 10.1016/S0304-405X(02)00068-5 10.1016/S0161-8938(02)00105-9 10.1016/0014-2921(95)00020-8 10.1016/j.econlet.2003.07.006 Blanchard O.J., 1989, The dynamic effects of aggregate supply and demand disturbances, American Economic Review, 79, 655 10.1080/096031097333556 Chauvet M., 2000, Coincident and leading indicators of the stock market, Journal of Empirical Finance, 20, 25 10.1016/S1042-4431(00)00037-8 10.1111/1467-8454.00119 10.1093/biomet/64.2.247 10.1111/j.2517-6161.1977.tb01600.x 10.2307/2286348 10.2307/1912517 10.1016/S0164-0704(06)80008-X 10.1016/S1042-4431(01)00052-X Fama E.F., 1981, Stock returns, real activity, inflation, and money, American Economic Review, 71, 545 10.1086/296161 10.1016/0304-405X(77)90014-9 Feldstein M., 1980, Inflation and the stock market, American Economic Review, 70, 839 Fisher I., 1930, The theory of interest 10.1257/aer.89.1.249 10.1016/S0165-1765(01)00613-9 Gartner C. &Wehinger G. D.(1998).Core inflation in selected European Union Countries. Oestrreichische Nationalbank Working Paper Series No. 33. 10.1111/j.1540-6261.1983.tb03623.x 10.1016/S0014-2921(02)00205-2 10.1016/S1057-5219(03)00062-0 10.1093/rfs/12.5.1203 Hondroyiannis G., 2001, Stock market performance and macroeconomic experience in Greece, Greek Economic Review, 21, 65 10.1111/j.1540-6261.1985.tb02389.x 10.1016/0165-1889(88)90041-3 10.1111/j.1468-0084.1990.mp52002003.x 10.1016/0304-4076(92)90086-7 10.1016/0014-2921(94)90049-3 10.1016/0304-405X(87)90041-9 10.2307/2330698 King R.G., 1997, Testing long‐run neutrality, Economic Quarterly‐Federal Reserve Bank of Richmond, 83, 69 10.1007/978-3-642-51684-9 10.1007/s001810100117 10.1016/0304-4076(92)90104-Y Lee B., 1992, Causal relationships among stock returns, interest rates, real activity, and inflation, Journal of Finance, 38, 1591, 10.1111/j.1540-6261.1992.tb04673.x 10.1111/j.1540-6261.1992.tb04660.x Mio H., 2002, Identifying aggregate demand and aggregate supply components of inflation rate: Structural vector autoregression analysis for Japan, Monetary and Economic Studies, 33 10.2469/faj.v35.n2.24 10.1016/S1044-0283(98)90015-1 10.1016/S1566-0141(01)00020-6 10.1016/S0304-4076(01)00045-8 10.1016/0165-1889(88)90043-7 Perron P., 1990, Tests of joint hypotheses in time series regression with a unit root, 135 10.2307/1913237 10.1111/1468-2362.00087 10.2307/2235408 10.1016/S0164-0704(02)00041-1 10.3386/w2589 10.1162/003465302760556468 10.1080/13504850010003280 10.1080/0003684042000177189 10.1016/0167-2231(94)00014-X 10.1080/135048599352835 10.2307/1391541
Thông tin
Thông tin xuất bản

Review of Financial Economics

Tập 15

76-94

Thông tin tác giả