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经济疲软时期的股票回报和通胀冲击

Christopher T. Stivers,博士 康诺利 孙,L。
财务管理。 十一月20,2021

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我们表明,只有在经济疲软时期,季度股票回报和通胀冲击之间的并发关系才具有经济意义和稳健意义,在 1990 年代后期之前为强烈负值,之后为强正值。 相反,在我们 1981 年至 2017 年样本的强劲经济时期,这种股票-通胀关系相对较小,通常略为负。 我们的证据表明两个互补渠道的作用。 首先,我们发现通胀冲击如何与预期经济增长和股票风险溢价相关的状态依赖模式一致,表明通胀非中性在经济疲软时期更强。 其次,我们的研究结果表明,由于当时经济状态的不确定性升高,有关潜在经济状态的通胀信号在经济疲软时期会增强。 我们还通过对比主观(基于调查)与客观通胀冲击以及评估通胀冲击与远期股票收益率之间的关系做出贡献。

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