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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
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:113:y:2011:i:2:p:168-171

DOI: 10.1016/j.econlet.2011.07.003

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