Stock Returns, Term Structure, Inflation and Real Activity: An International Perspective

Universitat Pompeu Fabra Economics WP 203

Posted: 14 Apr 1997

See all articles by Fabio Canova

Fabio Canova

Bi norwegian business school

Gianni De Nicolo

Johns Hopkins University - Carey Business School; CESifo (Center for Economic Studies and Ifo Institute)

Abstract

This paper analyzes the empirical interdependencies among asset returns, real activity and inflation from a multi-country and international point of view. We find that nominal stock returns are significantly related to inflation only in the U.S, that the U.S. term structure of interest rates predicts both domestic and foreign inflation rates while foreign term structures do not have this predictive power, and that innovations in inflation and exchange rates induce insignificant responses of real and financial variables. An interpretation of the dynamics and some policy implications of the results are provided.

JEL Classification: C15, E43

Suggested Citation

Canova, Fabio and De Nicolo, Gianni, Stock Returns, Term Structure, Inflation and Real Activity: An International Perspective. Universitat Pompeu Fabra Economics WP 203. Available at SSRN: https://ssrn.com/abstract=31210

Fabio Canova (Contact Author)

Bi norwegian business school ( email )

Nydalsveien 37
Oslo, 0484
Norway

Gianni De Nicolo

Johns Hopkins University - Carey Business School ( email )

100 International Drive
Baltimore, MD 21202
United States
(410) 234-4507 (Phone)

CESifo (Center for Economic Studies and Ifo Institute) ( email )

Poschinger Str. 5
Munich, DE-81679
Germany

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
900
PlumX Metrics