股票收益和通胀预期:来自20个主要国家的证据

IF 3.2 Q1 BUSINESS, FINANCE Quantitative Finance and Economics Pub Date : 2023-01-01 DOI:10.3934/qfe.2023027
Thomas C. Chiang
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引用次数: 0

摘要

& lt; abstract>我们使用20个发达国家的数据检验了股市收益与通胀预期之间的关系。证据显示,在18个国家中,每个国家都呈现负相关;巴西和俄罗斯是例外。不确定性假设是通过美国通货膨胀正增加股票市场波动率(EMV)的证据建立的,这对美国和全球股票回报产生了负面影响。有证据表明,预期国内通货膨胀和EMV对股票收益都有不利影响。该模型对不同形式的通胀预期具有鲁棒性,无论测试方程是使用名义回报还是实际股票回报进行检验。& lt; / abstract>
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Stock returns and inflation expectations: Evidence from 20 major countries

We examine the relation between stock market returns and inflation expectations using data for 20 advanced countries. Evidence reveals that a negative relation presents in each of 18 countries; the exceptions are Brazil and Russia. The uncertainty hypothesis is established via evidence that U.S. inflation positively increases equity market volatility (EMV), which has a negative impact on U.S. and global stock returns. Evidence leads to the conclusion that both expected domestic inflation and EMV have adverse impacts on stock returns. The model is robust with different formations of inflation expectations and whether the test equations are examined using nominal or real stock returns.

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来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
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