 Time-Varying Correlations between Inflation and Stock Prices in the United States over the Last Two CenturiesNikolaos Antonakakis, Rangan Gupta and Aviral Tiwari No 201605, Working Papers from University of Pretoria, Department of Economics Abstract: The relationship between stock prices and the inflation can be either negative or positive, depending on the strengths of various theoretical channels at work. While previous studies have primarily examined this relationship in a time-invariant framework, and if at all a time-varying framework is used, it has been restricted to the post World War II period. Given this, we employ a time-varying approach to examine the dynamic correlations of inflation and stock prices in the United States over the period of 1791 to 2015. The results of our empirical analysis reveal that correlations between the inflation and stock prices in the United States evolve heterogeneously overtime. In particular, the correlations are significantly positive in the 1840s, 1860s, 1930s and 2011, and significantly negative otherwise. The policy implications of these findings are then discussed. Keywords: Conditional correlation; GARCH; Inflation and Stock Price Comovement; US Economy (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201605 Access Statistics for this paper More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC. |
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