A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from a Large Data Set
Using the informational sufficiency procedure from Forni and Gambetti (2014) along with data from McCracken and Ng (2014), we update the results of Lee (1992) and find that his vector autoregression (VAR) is informationally deficient. To correct this problem, we estimate a factor augmented VAR (FAVA...
Ausführliche Beschreibung
Autor*in: |
Jones, Paul M [verfasserIn] |
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Format: |
Artikel |
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Sprache: |
Englisch |
Erschienen: |
2017 |
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Rechteinformationen: |
Nutzungsrecht: © 2017 The Eastern Finance Association © COPYRIGHT 2017 Blackwell Publishers Ltd. |
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Schlagwörter: |
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Übergeordnetes Werk: |
Enthalten in: The financial review - Malden, Mass. [u.a.] : Blackwell, 1972, 52(2017), 3, Seite 405-433 |
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Übergeordnetes Werk: |
volume:52 ; year:2017 ; number:3 ; pages:405-433 |
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DOI / URN: |
10.1111/fire.12137 |
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10.1111/fire.12137 doi PQ20171228 (DE-627)OLC1995767336 (DE-599)GBVOLC1995767336 (PRQ)g937-910c52774478bbb6717d2702f43b18f2e61dbb5b118464e92ed5acf686a2692c0 (KEY)0011117120170000052000300405reexaminationofrealstockreturnsrealinterestratesre DE-627 ger DE-627 rakwb eng 330 ZDB Jones, Paul M verfasserin aut A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from a Large Data Set 2017 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier Using the informational sufficiency procedure from Forni and Gambetti (2014) along with data from McCracken and Ng (2014), we update the results of Lee (1992) and find that his vector autoregression (VAR) is informationally deficient. To correct this problem, we estimate a factor augmented VAR (FAVAR) and analyze the differences once informational deficiency is corrected with an emphasis on the relationship between real stock returns and inflation. In particular, we examine Modigliani and Cohn's (1979) inflation illusion hypothesis, Fama's (1983) proxy hypothesis, and the “anticipated policy hypothesis.” Nutzungsrecht: © 2017 The Eastern Finance Association © COPYRIGHT 2017 Blackwell Publishers Ltd. stock returns informational sufficiency FAVAR G10 Stocks Analysis Inflation (Finance) Regression analysis Interest rates Economic models Olson, Eric oth Wohar, Mark E oth Enthalten in The financial review Malden, Mass. [u.a.] : Blackwell, 1972 52(2017), 3, Seite 405-433 (DE-627)168940167 (DE-600)864322-2 (DE-576)385411774 0732-8516 nnns volume:52 year:2017 number:3 pages:405-433 http://dx.doi.org/10.1111/fire.12137 Volltext http://onlinelibrary.wiley.com/doi/10.1111/fire.12137/abstract https://search.proquest.com/docview/1919407039 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_24 GBV_ILN_26 GBV_ILN_4326 AR 52 2017 3 405-433 |
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10.1111/fire.12137 doi PQ20171228 (DE-627)OLC1995767336 (DE-599)GBVOLC1995767336 (PRQ)g937-910c52774478bbb6717d2702f43b18f2e61dbb5b118464e92ed5acf686a2692c0 (KEY)0011117120170000052000300405reexaminationofrealstockreturnsrealinterestratesre DE-627 ger DE-627 rakwb eng 330 ZDB Jones, Paul M verfasserin aut A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from a Large Data Set 2017 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier Using the informational sufficiency procedure from Forni and Gambetti (2014) along with data from McCracken and Ng (2014), we update the results of Lee (1992) and find that his vector autoregression (VAR) is informationally deficient. To correct this problem, we estimate a factor augmented VAR (FAVAR) and analyze the differences once informational deficiency is corrected with an emphasis on the relationship between real stock returns and inflation. In particular, we examine Modigliani and Cohn's (1979) inflation illusion hypothesis, Fama's (1983) proxy hypothesis, and the “anticipated policy hypothesis.” Nutzungsrecht: © 2017 The Eastern Finance Association © COPYRIGHT 2017 Blackwell Publishers Ltd. stock returns informational sufficiency FAVAR G10 Stocks Analysis Inflation (Finance) Regression analysis Interest rates Economic models Olson, Eric oth Wohar, Mark E oth Enthalten in The financial review Malden, Mass. [u.a.] : Blackwell, 1972 52(2017), 3, Seite 405-433 (DE-627)168940167 (DE-600)864322-2 (DE-576)385411774 0732-8516 nnns volume:52 year:2017 number:3 pages:405-433 http://dx.doi.org/10.1111/fire.12137 Volltext http://onlinelibrary.wiley.com/doi/10.1111/fire.12137/abstract https://search.proquest.com/docview/1919407039 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_24 GBV_ILN_26 GBV_ILN_4326 AR 52 2017 3 405-433 |
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10.1111/fire.12137 doi PQ20171228 (DE-627)OLC1995767336 (DE-599)GBVOLC1995767336 (PRQ)g937-910c52774478bbb6717d2702f43b18f2e61dbb5b118464e92ed5acf686a2692c0 (KEY)0011117120170000052000300405reexaminationofrealstockreturnsrealinterestratesre DE-627 ger DE-627 rakwb eng 330 ZDB Jones, Paul M verfasserin aut A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from a Large Data Set 2017 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier Using the informational sufficiency procedure from Forni and Gambetti (2014) along with data from McCracken and Ng (2014), we update the results of Lee (1992) and find that his vector autoregression (VAR) is informationally deficient. To correct this problem, we estimate a factor augmented VAR (FAVAR) and analyze the differences once informational deficiency is corrected with an emphasis on the relationship between real stock returns and inflation. In particular, we examine Modigliani and Cohn's (1979) inflation illusion hypothesis, Fama's (1983) proxy hypothesis, and the “anticipated policy hypothesis.” Nutzungsrecht: © 2017 The Eastern Finance Association © COPYRIGHT 2017 Blackwell Publishers Ltd. stock returns informational sufficiency FAVAR G10 Stocks Analysis Inflation (Finance) Regression analysis Interest rates Economic models Olson, Eric oth Wohar, Mark E oth Enthalten in The financial review Malden, Mass. [u.a.] : Blackwell, 1972 52(2017), 3, Seite 405-433 (DE-627)168940167 (DE-600)864322-2 (DE-576)385411774 0732-8516 nnns volume:52 year:2017 number:3 pages:405-433 http://dx.doi.org/10.1111/fire.12137 Volltext http://onlinelibrary.wiley.com/doi/10.1111/fire.12137/abstract https://search.proquest.com/docview/1919407039 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_24 GBV_ILN_26 GBV_ILN_4326 AR 52 2017 3 405-433 |
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10.1111/fire.12137 doi PQ20171228 (DE-627)OLC1995767336 (DE-599)GBVOLC1995767336 (PRQ)g937-910c52774478bbb6717d2702f43b18f2e61dbb5b118464e92ed5acf686a2692c0 (KEY)0011117120170000052000300405reexaminationofrealstockreturnsrealinterestratesre DE-627 ger DE-627 rakwb eng 330 ZDB Jones, Paul M verfasserin aut A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from a Large Data Set 2017 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier Using the informational sufficiency procedure from Forni and Gambetti (2014) along with data from McCracken and Ng (2014), we update the results of Lee (1992) and find that his vector autoregression (VAR) is informationally deficient. To correct this problem, we estimate a factor augmented VAR (FAVAR) and analyze the differences once informational deficiency is corrected with an emphasis on the relationship between real stock returns and inflation. In particular, we examine Modigliani and Cohn's (1979) inflation illusion hypothesis, Fama's (1983) proxy hypothesis, and the “anticipated policy hypothesis.” Nutzungsrecht: © 2017 The Eastern Finance Association © COPYRIGHT 2017 Blackwell Publishers Ltd. stock returns informational sufficiency FAVAR G10 Stocks Analysis Inflation (Finance) Regression analysis Interest rates Economic models Olson, Eric oth Wohar, Mark E oth Enthalten in The financial review Malden, Mass. [u.a.] : Blackwell, 1972 52(2017), 3, Seite 405-433 (DE-627)168940167 (DE-600)864322-2 (DE-576)385411774 0732-8516 nnns volume:52 year:2017 number:3 pages:405-433 http://dx.doi.org/10.1111/fire.12137 Volltext http://onlinelibrary.wiley.com/doi/10.1111/fire.12137/abstract https://search.proquest.com/docview/1919407039 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_24 GBV_ILN_26 GBV_ILN_4326 AR 52 2017 3 405-433 |
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10.1111/fire.12137 doi PQ20171228 (DE-627)OLC1995767336 (DE-599)GBVOLC1995767336 (PRQ)g937-910c52774478bbb6717d2702f43b18f2e61dbb5b118464e92ed5acf686a2692c0 (KEY)0011117120170000052000300405reexaminationofrealstockreturnsrealinterestratesre DE-627 ger DE-627 rakwb eng 330 ZDB Jones, Paul M verfasserin aut A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from a Large Data Set 2017 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier Using the informational sufficiency procedure from Forni and Gambetti (2014) along with data from McCracken and Ng (2014), we update the results of Lee (1992) and find that his vector autoregression (VAR) is informationally deficient. To correct this problem, we estimate a factor augmented VAR (FAVAR) and analyze the differences once informational deficiency is corrected with an emphasis on the relationship between real stock returns and inflation. In particular, we examine Modigliani and Cohn's (1979) inflation illusion hypothesis, Fama's (1983) proxy hypothesis, and the “anticipated policy hypothesis.” Nutzungsrecht: © 2017 The Eastern Finance Association © COPYRIGHT 2017 Blackwell Publishers Ltd. stock returns informational sufficiency FAVAR G10 Stocks Analysis Inflation (Finance) Regression analysis Interest rates Economic models Olson, Eric oth Wohar, Mark E oth Enthalten in The financial review Malden, Mass. [u.a.] : Blackwell, 1972 52(2017), 3, Seite 405-433 (DE-627)168940167 (DE-600)864322-2 (DE-576)385411774 0732-8516 nnns volume:52 year:2017 number:3 pages:405-433 http://dx.doi.org/10.1111/fire.12137 Volltext http://onlinelibrary.wiley.com/doi/10.1111/fire.12137/abstract https://search.proquest.com/docview/1919407039 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_24 GBV_ILN_26 GBV_ILN_4326 AR 52 2017 3 405-433 |
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Using the informational sufficiency procedure from Forni and Gambetti (2014) along with data from McCracken and Ng (2014), we update the results of Lee (1992) and find that his vector autoregression (VAR) is informationally deficient. To correct this problem, we estimate a factor augmented VAR (FAVAR) and analyze the differences once informational deficiency is corrected with an emphasis on the relationship between real stock returns and inflation. In particular, we examine Modigliani and Cohn's (1979) inflation illusion hypothesis, Fama's (1983) proxy hypothesis, and the “anticipated policy hypothesis.” |
abstractGer |
Using the informational sufficiency procedure from Forni and Gambetti (2014) along with data from McCracken and Ng (2014), we update the results of Lee (1992) and find that his vector autoregression (VAR) is informationally deficient. To correct this problem, we estimate a factor augmented VAR (FAVAR) and analyze the differences once informational deficiency is corrected with an emphasis on the relationship between real stock returns and inflation. In particular, we examine Modigliani and Cohn's (1979) inflation illusion hypothesis, Fama's (1983) proxy hypothesis, and the “anticipated policy hypothesis.” |
abstract_unstemmed |
Using the informational sufficiency procedure from Forni and Gambetti (2014) along with data from McCracken and Ng (2014), we update the results of Lee (1992) and find that his vector autoregression (VAR) is informationally deficient. To correct this problem, we estimate a factor augmented VAR (FAVAR) and analyze the differences once informational deficiency is corrected with an emphasis on the relationship between real stock returns and inflation. In particular, we examine Modigliani and Cohn's (1979) inflation illusion hypothesis, Fama's (1983) proxy hypothesis, and the “anticipated policy hypothesis.” |
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title_short |
A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from a Large Data Set |
url |
http://dx.doi.org/10.1111/fire.12137 http://onlinelibrary.wiley.com/doi/10.1111/fire.12137/abstract https://search.proquest.com/docview/1919407039 |
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Olson, Eric Wohar, Mark E |
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doi_str |
10.1111/fire.12137 |
up_date |
2024-07-03T22:41:11.035Z |
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