Paper #203
- Título:
- Stock returns, term structure, inflation and real activity: An international perspective
- Autores:
- Fabio Canova y Gianni de Nicolo
- Data:
- Enero 1997
- Resumen:
- This paper analyses the empirical interdependences among asset returns, real activity and inflation from a multicountry and international point of view. We find that nominal stock returns are significantly related to inflation only in the US, that the US 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.
- Palabras clave:
- Transmission, business cycles, international stock returns, financial markets
- Códigos JEL:
- C15, E43
- Área de investigación:
- Macroeconomía y Economía Internacional
- Publicado en:
- Macroeconomic Dynamics, 4(3), 2000, 343-372
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