Empirical Tests of the Proxy Hypothesis

Joseph McCarthy, Mohammad Najand and Bruce Seifert

The Financial Review, 1990, vol. 25, issue 2, 251-63

Abstract: The proxy hypothesis states that the negative relationship between inflation and stock returns is spurious and really only proxies for the positive relationship between stock returns and real variables. Previous tests of the proxy hypothesis have used actual values instead of forcasted values for the real activity variable. Using only forcasted variables, the authors' results do not support the proxy hypothesis. Copyright 1990 by MIT Press.

Date: 1990
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