EconPapers    
Economics at your fingertips  
 

Stock returns and inflation: a new test of competing hypotheses

Pierre Siklos () and Ben Kwok

Applied Financial Economics, 1999, vol. 9, issue 6, 567-581

Abstract: In this paper, an unrestricted cointegrating VAR is employed to test the dynamic implications of three competing explanations of the negative stock return-inflation relationship. Test results are provided which make use of recent advances in testing for Granger-causality. One implication is that Granger-causality testing using the newly recommended procedures results in a different interpretation of the links between inflation and stock returns. It is also found that Geske and Roll's is the only theory with a dynamic structure that is not rejected by a sample of quarterly US data from 1960 to 1992, although results are not entirely inconsistent with Fama's proxy hypothesis. Only Benderly and Zwick's hypothesis is clearly rejected by the data. The results also provide stylized facts on the dynamics linkages among key macroeconomic variables.

Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/096031099332023 (text/html)
Access to full text is restricted to subscribers.

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: https://EconPapers.repec.org/RePEc:taf:apfiec:v:9:y:1999:i:6:p:567-581

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2019-07-29
Handle: RePEc:taf:apfiec:v:9:y:1999:i:6:p:567-581