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The Fisher hypothesis and the interaction between share returns, inflation and supply shocks

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  • Madsen, Jakob B.
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  • Madsen, Jakob B., 2005. "The Fisher hypothesis and the interaction between share returns, inflation and supply shocks," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 103-120, February.
    • Handle: RePEc:eee:jimfin:v:24:y:2005:i:1:p:103-120
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    References listed on IDEAS

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    1. Benderly, Jason & Zwick, Burton, 1985. "Inflation, Real Balances, Output, and Real Stock Returns [Stock Returns, Real Activity, Inflation, and Money]," American Economic Review, American Economic Association, vol. 75(5), pages 1115-1123, December.
    2. Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-565, September.
    3. Tony Caporale & Chulho Jung, 1997. "Inflation and real stock prices," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 265-266.
    4. Barnes, Michelle & Boyd, John H. & Smith, Bruce D., 1999. "Inflation and asset returns," European Economic Review, Elsevier, vol. 43(4-6), pages 737-754, April.
    5. Balduzzi, Pierluigi, 1995. "Stock returns, inflation, and the 'proxy hypothesis': A new look at the data," Economics Letters, Elsevier, vol. 48(1), pages 47-53, April.
    6. Nelson, Charles R, 1976. "Inflation and Rates of Return on Common Stocks," Journal of Finance, American Finance Association, vol. 31(2), pages 471-483, May.
    7. Kaul, Gautam, 1987. "Stock returns and inflation : The role of the monetary sector," Journal of Financial Economics, Elsevier, vol. 18(2), pages 253-276, June.
    8. A. Bhargava & L. Franzini & W. Narendranathan, 2006. "Serial Correlation and the Fixed Effects Model," World Scientific Book Chapters, in: Econometrics, Statistics And Computational Approaches In Food And Health Sciences, chapter 4, pages 61-77, World Scientific Publishing Co. Pte. Ltd..
    9. Firth, Michael, 1979. "The Relationship between Stock Market Returns and Rates of Inflation," Journal of Finance, American Finance Association, vol. 34(3), pages 743-749, June.
    10. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
    11. Madsen, Jakob B, 1998. "General Equilibrium Macroeconomic Models of Unemployment: Can They Explain the Unemployment Path in the OECD?," Economic Journal, Royal Economic Society, vol. 108(448), pages 850-867, May.
    12. David P. Ely & Kenneth J. Robinson, 1989. "The stock market and inflation: a synthesis of the theory and evidence," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Mar, pages 17-29.
    13. Gultekin, N Bulent, 1983. "Stock Market Returns and Inflation: Evidence from Other Countries," Journal of Finance, American Finance Association, vol. 38(1), pages 49-65, March.
    14. Poterba, James M., 1998. "The rate of return to corporate capital and factor shares: new estimates using revised national income accounts and capital stock data," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 48(1), pages 211-246, June.
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    Cited by:

    1. Shu‐Chin Lin, 2009. "Inflation And Real Stock Returns Revisited," Economic Inquiry, Western Economic Association International, vol. 47(4), pages 783-795, October.
    2. Aviral Kumar Tiwari & Adeolu O. Adewuyi & Olabanji B. Awodumi & David Roubaud, 2022. "Relationship between stock returns and inflation: New evidence from the US using wavelet and causality methods," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4515-4540, October.
    3. Francis In & Sangbae Kim, 2012. "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431, August.
    4. Abdelaziz Rouabah, 2007. "L'inflation et la rentabilité des actions : une relation énigmatique et un casse-tête pour les banques centrales," Économie et Prévision, Programme National Persée, vol. 177(1), pages 19-34.
    5. Sung Bae & Taihyeup David Yi, 2009. "Structural breaks and the Fisher hypothesis in bond and stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(24), pages 1961-1973.
    6. Rushdi, Mustabshira & Kim, Jae H. & Silvapulle, Param, 2012. "ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia," Economic Modelling, Elsevier, vol. 29(3), pages 535-543.
    7. Dragos Stefan Oprea, 2014. "The Fisher effect: Evidence from the Romanian Stock Market," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(5), pages 637-644, May.
    8. Kamrul Hassan & Ariful Hoque & Ananth Rao, 2015. "Revisiting the Link Between Stock Prices and Goods Prices in OECD Countries," Australian Economic Papers, Wiley Blackwell, vol. 54(3), pages 135-150, September.
    9. Aliyu, Shehu Usman Rano, 2020. "What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?," MPRA Paper 110382, University Library of Munich, Germany, revised 06 Jun 2021.
    10. Abdelaziz Rouabah, 2006. "L'identité de Fisher et l'interaction entre l'inflation et la rentabilité des actions: l'importance des régimes sous-jacents aux marchés boursiers," BCL working papers 18, Central Bank of Luxembourg.

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