Stock Returns, Term Structure, Inflation and Real Activity: An International Perspective
Fabio Canova () and
Gianni de Nicolò
No 1614, CEPR Discussion Papers from C.E.P.R. Discussion Papers
This paper analyses the empirical interdependence of asset returns, real activity and inflation from a multicountry and international point of view. We find that nominal stock returns are significantly related to inflation only in the United States, that the US term structure of interest rates predicts both domestic and foreign inflation rates while foreign term structures do not have this predictive power and that innovations in inflation and exchange rates induce insignificant responses of real and financial variables. An interpretation of the dynamics and some policy implications of the results are provided.
Keywords: Business Cycles; Financial Markets; International Stock Returns; Transmission (search for similar items in EconPapers)
JEL-codes: C15 E43 (search for similar items in EconPapers)
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Journal Article: STOCK RETURNS, TERM STRUCTURE, INFLATION, AND REAL ACTIVITY: AN INTERNATIONAL PERSPECTIVE (2000)
Working Paper: Stock returns, term structure, inflation and real activity: An international perspective (1997)
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