1. Estimating the Effect of Inflation on Stock Returns Using Regime-Dependent Impulse Response Analysis
- Author:
- Atilla Çi̇fter
- Publication Date:
- 02-2018
- Content Type:
- Journal Article
- Journal:
- AURUM Journal of Social Sciences
- Institution:
- Altinbas University
- Abstract:
- This study investigates the effect of inflation on stock market in South Africa with regime-dependent impulse response analysis. Nonlinear regime-dependent interaction is tested with the Markov switching vector autoregression approach between July, 1995 and July, 2017. The results show that there is a negative impact of inflation in the short-term, and that a long-term relationship does not exist. This indicates that common stocks cannot be a hedge against inflation. The other findings relate to regime dependency and nonlinear correlation. I also found that movements of stock market are strongly regime-dependent. These results are robust in controlling additional macroeconomic variables.
- Topic:
- Inflation, Macroeconomics, Stock Markets, and Fisher Hypothesis
- Political Geography:
- Global Focus