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• W1887788213 abstract "Different explanations have been suggested for the puzzling negative relationship observed between stock returns and inflation. The most popular ones have been the Tax-Effects Hypothesis (Feldstein, 1980), the Proxy Hypothesis (Fama, 1981), and the Reverse Causality Hypothesis (Geske and Roll, 1983). Distinguishing the causal chain between the variables is crucial to sort out which hypothesis best fits the data. This paper employs a VAR approach to investigate the causality relationships among inflation, stock returns, interest rates, and real activity in a sample of seven Latin American developing countries and seven industrial countries. Extant empirical research employs mostly advanced economies data, and only a few uses emerging markets data. The main findings indicate that the differences between industrial and developing countries are not as sharp as one might initially presume, with slightly more support to the Reverse Causality Hypothesis. Also, the results do not in general support previous findings that are largely based on United States data, even among other industrial countries." @default.
• W1887788213 created "2016-06-24" @default.
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• W1887788213 date "2006-01-01" @default.
• W1887788213 modified "2023-09-26" @default.
• W1887788213 title "Revisiting the Causality between Stock Returns and Inflation: Evidence from Advanced and Emerging Markets" @default.
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• W1887788213 doi "https://doi.org/10.2139/ssrn.889961" @default.
• W1887788213 hasPublicationYear "2006" @default.
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