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Has the correlation of inflation and stock prices changed in the United States over the last two centuries?
16 references·4 citing·40 second hop
Has the correlation of inflation and stock prices changed in the United States over the last two centuries? (2017)Has the correlation of inflation and stoc…Forecasting Stock Returns (2013)Forecasting Stock ReturnsIdentifying the interdependence between US monetary policy and the stock market (2008)Identifying the interdependen…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…The Relationship between Stock Prices, House Prices and Consumption in OECD Countries (2004)The Relationship between Stoc…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Macro shocks and real stock prices (2001)Macro shocks and real stock p…Evolving Post-World War II U.S. Inflation Dynamics (2001)Evolving Post-World War II U.…The Conquest of American Inflation (1999)The Conquest of American Infl…The Conquest of American Inflation (1999)The Conquest of American Infl…Stock Returns and Inflation with Supply and Demand Disturbances (1999)Stock Returns and Inflation w…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Inflation, Rational Valuation and the Market (1979)Inflation, Rational Valuation…Inflation and the Stock Market (1978)Inflation and the Stock MarketThe Investment, Financing, and Valuation of the Corporation (1963)The Investment, Financing, an…Dynamic Impact of Inflation and Exchange Rate in Indonesia's Top 10 Market Capitalization Companies: Implications for Stock Prices (2023)Dynamic Impact of Inflation a…The response of asset prices to monetary policy shock in Indonesia: A structural VAR approach (2022)The response of asset prices …Stock market reaction to inflation announcement in the Indian stock market: A sectoral analysis (2020)Stock market reaction to infl…Macroeconomic variables and long-term stock market performance. A panel ARDL cointegration approach for G7 countries (2020)Macroeconomic variables and l…MONEY, INCOME, AND CAUSALITY (1972)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Econometric policy evaluation: A critique (1976)Rules, discretion and reputation in a model of monetary policy (1983)The Role of Monetary Policy (1995)The quest for prosperity without inflation (2003)Expectations, learning and macroeconomic persistence (2007)Inflation-Gap Persistence in the US (2009)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Presidential Address: Discount Rates (2011)Empirical Asset Pricing via Machine Learning (2020)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)The macroeconomy and the yield curve: a dynamic latent factor approach (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Phillips Curves, Expectations of Inflation and Optimal Unemployment over Time (1967)A Positive Theory of Monetary Policy in a Natural Rate Model (1983)State-Space Models with Regime Switching (1999)Has the Business Cycle Changed and Why? (2002)Estimating the Effects of Fiscal Policy in OECD Countries (2003)Has Monetary Policy Become More Effective? (2006)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Asset Pricing at the Millennium (2000)Beyond Greed and Fear (2002)Behavioral finance (2003)Does Corporate Headquarters Location Matter for Stock Returns? (2006)Macroeconomic Effects From Government Purchases and Taxes * (2011)Credit Spreads and Business Cycle Fluctuations (2012)A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily (2001)Chapter 24 Agent-based Computational Finance (2006)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices1,076 cited
  • 1963The Investment, Financing, and Valuation of the Corporation958 cited
  • 1979Inflation, Rational Valuation and the Market944 cited
  • 2001Evolving Post-World War II U.S. Inflation Dynamics914 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices864 cited
  • 1999The Conquest of American Inflation757 cited
  • 1999The Conquest of American Inflation653 cited
  • 2013Forecasting Stock Returns634 cited
  • 2008Identifying the interdependence between US monetary policy and the stock market441 cited
  • 1978Inflation and the Stock Market330 cited
  • 2004The Relationship between Stock Prices, House Prices and Consumption in OECD Countries189 cited
  • 1999Stock Returns and Inflation with Supply and Demand Disturbances151 cited
  • 2001Macro shocks and real stock prices

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126 cited

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  • 2020Stock market reaction to inflation announcement in the Indian stock market: A sectoral analysis28 cited
  • 2020Macroeconomic variables and long-term stock market performance. A panel ARDL cointegration approach for G7 countries28 cited
  • 2023Dynamic Impact of Inflation and Exchange Rate in Indonesia's Top 10 Market Capitalization Companies: Implications for Stock Prices26 cited
  • 2022The response of asset prices to monetary policy shock in Indonesia: A structural VAR approach15 cited