Stock returns and inflation: Evidence from quantile regressions

被引：26

作者：

Alagidede, Paul ^{[2
]}

Panagiotidis, Theodore ^{[1
]}

机构：

[1] Univ Macedonia, Dept Econ, Thessaloniki 54006, Greece

[2] Rhodes Univ, Dept Econ & Econ Hist, Grahamstown, South Africa

来源：

ECONOMICS LETTERS | 2012年 / 117卷 / 01期

关键词：

Stock returns; Inflation; Hedging; Quantile regression; COMMON-STOCKS; MARKET;

D O I：

10.1016/j.econlet.2012.04.043

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The relationship between stock returns and inflation is examined for the G7 countries and some positive coefficients in the distribution for Italy and the UK were revealed. A positive one-for-one relationship is found once a GARCH filter is employed in all cases except Canada. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：283 / 286

页数：4

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