Is it Inflation or Inflation Variability? A Note on the Stock Return-Inflation Puzzle
Source of Publication
SSRN Electronic Journal
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.
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.
Indexed in Scopus
Open Access Type
Green: A manuscript of this publication is openly available in a repository