Stock Returns and Inflation: The Impact of Inflation Targeting

Alexandros Kontonikas (), Alberto Montagnoli () and Nicola Spagnolo

Working Papers from Business School - Economics, University of Glasgow

Abstract: This paper investigates the dynamic interaction between inflation and stock returns in four inflation targeting countries. We find that following the introduction of formal targets, inflation persistence and the magnitude of volatility spillovers between inflation and stock returns have been reduced.

JEL-codes: C22 E31 E44 E52 (search for similar items in EconPapers)
Date: 2006-08
New Economics Papers: this item is included in nep-cba, nep-cfn, nep-ets, nep-fmk, nep-mac and nep-mon
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:gla:glaewp:2005_11

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