EconPapers    
Economics at your fingertips  
 

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

Abstract: 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)
Date: 1997-03
References: Add references at CitEc
Citations: View citations in EconPapers (18) Track citations by RSS feed

Downloads: (external link)
http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=1614 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Journal Article: STOCK RETURNS, TERM STRUCTURE, INFLATION, AND REAL ACTIVITY: AN INTERNATIONAL PERSPECTIVE (2000) Downloads
Working Paper: Stock returns, term structure, inflation and real activity: An international perspective (1997) Downloads
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:cpr:ceprdp:1614

Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... ers/dp.php?dpno=1614

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().

 
Page updated 2019-07-30
Handle: RePEc:cpr:ceprdp:1614