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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/26060

Title: A reexamination of real stock returns, real interest rates, real activity, and inflation: Evidence from a large data set
Authors: Jones, Paul M.
Olson, Eric
Wohar, Mark E.
Issue Date: 2017
Publisher: © The Eastern Finance Association. Published by Wiley.
Citation: JONES, P.M., OLSON, E. and WOHAR, M.E., 2017. A reexamination of real stock returns, real interest rates, real activity, and inflation: Evidence from a large data set. The Financial Review, 52(3), pp. 405–433.
Abstract: 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.”
Description: This paper is in closed access until 17th July 2019.
Version: Accepted for publication
DOI: 10.1111/fire.12137
URI: https://dspace.lboro.ac.uk/2134/26060
Publisher Link: https://doi.org//10.1111/fire.12137
ISSN: 0732-8516
Appears in Collections:Closed Access (Business School)

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