Generalized Fama proxy hypothesis: Impact of shocks on Phillips curve and relation of stock returns with inflation

Lawrence Kryzanowski and Abdul H. Rahman

Economics Letters, 2009, vol. 103, issue 3, 135-137

Abstract: A generalized version of Fama's proxy hypothesis identifies a downward bias in Phillips curve estimations. The (spurious) negative relation between real stock returns and inflation emerges if output rate fluctuations dominate cyclical component fluctuations of a Lucas-type Phillips curve.

Keywords: Proxy; hypothesis; Inflation; Stock; returns (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:103:y:2009:i:3:p:135-137

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