Some international evidence on the 'equity premium'

Ketil Hviding

Applied Economics Letters, 1997, vol. 4, issue 10, 599-602

Abstract: This note presents results from tests on the proposition that a 'surprise' in inflation is positively related to the equity premium using data from four financial markets: the United States, Japan, the United Kingdom and Germany. The results appear to confirm previous work by Blanchard indicating a positive relationship in the United States. This result does, however, not seem to be applicable to other markets; there is no evidence of such a relationship in Japan, Germany, or in the United Kingdom.

Date: 1997
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DOI: 10.1080/758533281

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