Stock returns and Inflation:Evidence from Quantile Regressions

Imhotep Alagidede () and Theodore Panagiotidis

Discussion Paper Series from Department of Economics, University of Macedonia

Abstract: The relationship between stock returns and inflation is examined for the G7 countries and some positive coefficients in the distribution for Italy and the UK were revealed. A positive one-for-one relationship is found once a GARCH filter is employed in all cases except Canada..

Keywords: Stock Returns; Inflation; Hedging; quantile regression. (search for similar items in EconPapers)
JEL-codes: C32 G10 G15 (search for similar items in EconPapers)
Date: 2012-04, Revised 2012-04
New Economics Papers: this item is included in nep-cba
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Citations: View citations in EconPapers (16)

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Journal Article: Stock returns and inflation: Evidence from quantile regressions (2012)
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