STOCK RETURNS, INFLATION, AND THE PROXY HYPOTHESIS - A NEW LOOK AT THE DATA

被引：21

作者：

BALDUZZI, P

机构：

[1] Management Education Center, L. Stern School of Business, New York University, New York, NY 10012-1126

来源：

ECONOMICS LETTERS | 1995年 / 48卷 / 01期

关键词：

VECTOR AUTOREGRESSION; VECTOR MOVING AVERAGE; COVARIANCE DECOMPOSITION;

D O I：

10.1016/0165-1765(94)00568-M

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper reexamines the proxy hypothesis of Fama (American Economic Review, 1981, 71, 545-565) as the main explanation for the negative correlation between stock returns and inflation. We look at quarterly data on industrial-production growth, monetary-base growth, CPI inflation, three-month Treasury-bill rates, and returns on the equally-weighted NYSE portfolio, for the 1954-1976 and 1977-1990 periods. Using time-series techniques, we find that production growth induces only a weak negative correlation between inflation and stock returns, and explains less of the covariance between the two series than inflation and interest-rate innovations.

引用

页码：47 / 53

页数：7