Inflation, Inflation Risk, and Stock Returns |
Common terms and phrases
1-month 12-month change 12-month inflation rate 99 percent quantile Arbitrage Pricing Theory basis points Belgium conditional variance Conditionally Heteroscedastic correlation cost of equity country constant covariance matrix dividend growth dividend-price ratios Economic equity capital equity returns exchange rate versus expected and unexpected expected returns expected stock returns factor prices Fama and Schwert FAME database Federal Reserve System Finance Discussion Papers Fisher Effect Fisher Hypothesis higher inflation hourly wage imply inflation and stock Inflation Equations inflation risk premium inflation shocks inflation surprise inflation uncertainty instrumental variables estimates International Finance Discussion Italy Japan John Ammer link between inflation long bond yield measured in units Netherlands nominal interest rate nominal stock returns Number parentheses real returns real stock returns risk price spread replaces Standard errors Switzerland U.S. dollar unexpected inflation unit coefficient unit root United Kingdom units of percent Variables are measured versus the U.S. wage variable world D/P