Format du dépôt |
Fichier |
Type de dépôt |
Communication dans un congrès |
Résumé |
en
We test for the long-run relationship between stock prices, inflation and its uncertainty for different U.S. sector stock indexes, over the recent time-span, namely 2006M1-2015M5. For this purpose we use a cointegration analysis with one structural break to capture the crisis effect, and two alternative measures of inflation uncertainty relying on a time-varying unobserved component model. In line with recent empirical studies we discover that in the long-run, the inflation and its uncertainty negatively impact the stock prices, opposed to the well-known Fisher effect. However, in the short-run the results are mixed, providing evidence for complex interdependences between stock prices, inflation and its uncertainty. Our results are robust regarding the use of a bounded or unbounded inflation trend for measuring the uncertainty, and a slight difference is noticed between different sector indexes.
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Titre |
en
Stock prices, inflation and inflation uncertainty in the U.S.: testing the long-run relationship considering Dow Jones sector indexes
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Auteur(s)
|
Claudiu Tiberiu Albulescu
1
, Christian Aubin
2, 3, 4
, Daniel Goyeau
3, 2
1
UPT -
Universității Politehnica Timișoara [România] = Polytechnic University of Timişoara [Romania] = Université polytechnique de Timișoara [Roumanie]
( 101229 )
- Bv. V. Pârvan, Nr. 2, 300223, Timisoara
- Roumanie
2
Axe 2 (2011-2016) : « Marchés, Cultures de consommation, Autonomie et Migrations » (MSHS Poitiers)
( 465907 )
- MSHS Poitiers. Bâtiment A5. 5, rue Théodore Lefebvre. TSA 21103. 86073 Poitiers Cedex 9
- France
-
Maison des sciences de l'homme et de la société de Poitiers ( 220807 )
;
-
Université de Poitiers = University of Poitiers USR 3565 ( 54493 )
;
-
Centre National de la Recherche Scientifique USR3565 ( 441569 )
3
CRIEF [Poitiers] -
Centre de recherche sur l'intégration économique et financière
( 108640 )
- 93 avenue du Recteur Pineau 86022 Poitiers Cedex
- France
-
Université de Poitiers = University of Poitiers EA 2249 ( 54493 )
4
CPER INSECT -
CPER "INnovation Sociale, Economique et Culturelle dans des Territoires en mutation" (MSHS Poitiers)
( 465919 )
- MSHS Poitiers. Bâtiment A5. 5, rue Théodore Lefebvre. TSA 21103. 86073 Poitiers Cedex 9
- France
-
Maison des sciences de l'homme et de la société de Poitiers [UAR 3565] ( 1087286 )
;
-
Université de Poitiers = University of Poitiers UAR 3565 ( 54493 )
;
-
Centre National de la Recherche Scientifique UAR3565 / USR3565 / UMS842 ( 441569 )
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Comité de lecture |
Oui
|
Invité |
Non
|
Vulgarisation |
Non
|
Langue du document |
Anglais
|
Date de production/écriture |
2016
|
Audience |
Internationale
|
Actes |
Non
|
Date de publication |
2016-03-03
|
Page/Identifiant |
1 - 14
|
Titre du congrès |
33RD GdRE Annual International Symposium on Money, Banking and Finance
|
Date début congrès |
2016-07-07
|
Date fin congrès |
2016-07-08
|
Ville |
Clermont-Ferrand
|
Pays |
France
|
URL du congrès ou éditeur |
https://gdrecerdi2016.sciencesconf.org/?lang=en
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Mots-clés (JEL) |
-
C - Mathematical and Quantitative Methods/C.C2 - Single Equation Models • Single Variables/C.C2.C22 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes
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E - Macroeconomics and Monetary Economics/E.E3 - Prices, Business Fluctuations, and Cycles
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E - Macroeconomics and Monetary Economics/E.E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy
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E - Macroeconomics and Monetary Economics/E.E3 - Prices, Business Fluctuations, and Cycles/E.E3.E31 - Price Level • Inflation • Deflation
-
E - Macroeconomics and Monetary Economics/E.E3 - Prices, Business Fluctuations, and Cycles/E.E3.E30 - General
-
G - Financial Economics/G.G1 - General Financial Markets
-
G - Financial Economics/G.G1 - General Financial Markets/G.G1.G15 - International Financial Markets
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Domaine(s) |
-
Sciences de l'Homme et Société/Economies et finances
|
Organisateur du congrès |
-
Centre d'Etudes et de Recherche sur le Développement international (CERDI)
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Mots-clés |
en
inflation uncertainty, cointegration with structural breaks, stock prices
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arXiv Id |
1603.01231 |
DOI |
10.1080/00036846.2016.1226491 |