Economics at your fingertips  

Common stocks as a hedge against inflation: Evidence from century-long US data

Jae Kim () and Heajin Ryoo

Economics Letters, 2011, vol. 113, issue 2, 168-171

Abstract: We find strong evidence that US common stocks have been a hedge against inflation in the long run, from the early 1950s. Adopting a two-regime threshold vector error-correction model, we find that the stock price and the goods price are co-integrated with unit elasticity, with stock return and inflation showing asymmetric error correction.

Keywords: Asymmetry; Co-integration; Fisher hypothesis; Stock market (search for similar items in EconPapers)
JEL-codes: C12 E44 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.econlet.2011.07.003

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Haili He ().

Page updated 2020-11-22
Handle: RePEc:eee:ecolet:v:113:y:2011:i:2:p:168-171