Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?

被引：24

作者：

Schmeling, Maik ^{[1
]}

Schrimpf, Andreas ^{[2
,3
]}

机构：

[1] Leibniz Univ Hannover, Dept Econ, D-30167 Hannover, Germany

[2] Aarhus Univ, Sch Econ & Management, DK-8000 Aarhus C, Denmark

[3] Aarhus Univ, CREATES, DK-8000 Aarhus C, Denmark

来源：

EUROPEAN ECONOMIC REVIEW | 2011年 / 55卷 / 05期

关键词：

Inflation expectations; Money illusion; Proxy hypothesis; Return predictability; MACRO VARIABLES; EXCHANGE-RATES; MARKET; FUNDAMENTALS; EARNINGS; PRICES; OUTPUT;

D O I：

10.1016/j.euroecorev.2010.09.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. Empirically discriminating between competing sources of this return predictability by virtue of a comprehensive set of expectations data, we find that money illusion seems to be the driving force behind our results. Another popular hypothesis - inflation as a proxy for aggregate risk aversion - is not supported by the data. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：702 / 719

页数：18

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