Is it Inflation or Inflation Variability? A Note on the Stock Return-Inflation Puzzle

Author First name, Last name, Institution

K. Peren Peren Arin
Abdullah Mamun

Document Type

Article

Source of Publication

SSRN Electronic Journal

Publication Date

1-1-2004

Abstract

This paper investigates the effects of inflation and inflation variability on the economic and stock market activity within a VAR framework by using U.S data for the 1988:01-2002:12 period. Our results show that the detrimental effects of inflation come from the inflation variability, not the level of inflation itself.

DOI Link

10.2139/ssrn.501163

ISSN

1556-5068

Publisher

Elsevier BV

Disciplines

Business

Recommended Citation

Arin, K. Peren Peren and Mamun, Abdullah, "Is it Inflation or Inflation Variability? A Note on the Stock Return-Inflation Puzzle" (2004). All Works. 2162.
https://zuscholars.zu.ac.ae/works/2162

Indexed in Scopus

no

Open Access

yes

Open Access Type

Green: A manuscript of this publication is openly available in a repository