Stock returns and inflation: Evidence from quantile regressions

Imhotep Alagidede () and Theodore Panagiotidis

Economics Letters, 2012, vol. 117, issue 1, 283-286

Abstract: The relationship between stock returns and inflation is examined for the G7 countries and some positive coefficients in the distribution for Italy and the UK were revealed. A positive one-for-one relationship is found once a GARCH filter is employed in all cases except Canada.

Keywords: Stock returns; Inflation; Hedging; Quantile regression (search for similar items in EconPapers)
JEL-codes: C32 G10 G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (24)

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Working Paper: Stock returns and Inflation:Evidence from Quantile Regressions (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:1:p:283-286

DOI: 10.1016/j.econlet.2012.04.043

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