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
收藏
页码：283 / 286
页数：4
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