A VARMA Analysis of the Causal Relations Among Stock Returns, Real Output, and Nominal Interest Rates
Previous research has documented a negative relation between common stock returns and inflation. Recently, Fama  and Geske and Roll  have argued that this relation results from a more fundamental one between real activity and expected inflation. Stock returns, they argue, signal changes in rea...
|Published in:||The Journal of Finance, Vol. 40, No. 5 (1985), p. 1375-1384|
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|Item Description:||Copyright: Copyright 1985 American Finance Association|
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