Stock returns, term structure, inflation and real activity: An international perspective
Fabio Canova () and
Gianni de Nicolo
Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra
This paper analyses the empirical interdependences among 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 US, 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: Transmission; business cycles; international stock returns; financial markets (search for similar items in EconPapers)
JEL-codes: C15 E43 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dge, nep-fmk and nep-ifn
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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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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:203
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