Monetary Regimes and the Relation between Stock Returns and Inflationary Expectations

Gautam Kaul ()

Journal of Financial and Quantitative Analysis, 1990, vol. 25, issue 3, 307-321

Abstract: This paper analyzes the impact of changes in monetary policy regimes on the relation between stock returns and changes in expected inflation. Post-war evidence from four countries reveals a direct link between these relations and the central banks' operating targets (i.e., money supply or interest rates). Specifically, the post-war negative relations between stock returns and changes in expected inflation are significantly stronger during interest rate regimes.

Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:25:y:1990:i:03:p:307-321_00

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