Journal of Financial Economics Vol. 18 No. 2 1987
Stock returns and inflation
open access
Abstract
This paper hypothesizes that the relation between stock returns and inflation is caused by the equilibrium process in the monetary sector. More importantly, these relations vary over time in a systematic manner depending on the influence of money demand and supply factors. Post-war evidence from the United States, Canada, the United Kingdom and Germany indicates that the negative stock return-inflation relations are caused by money demand and counter-cyclical money supply effects. On the other hand, pro-cyclical movements in money, inflation, and stock prices during the 1930's lead to relations which are either positive or insignificant.
- DOI
- 10.1016/0304-405x(87)90041-9
- Volume
- 18
- Issue
- 2
- Pages
- 253-276
- Language
- en
- Sources
- crossref bibtex:phds-export.bib openalex