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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19589Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.creator | Kim, Jeong-Ryeol | - |
| dc.date | 2003 | - |
| dc.date.accessioned | 2013-10-16T07:05:49Z | - |
| dc.date.available | 2013-10-16T07:05:49Z | - |
| dc.date.issued | 2013-10-16 | - |
| dc.identifier | http://hdl.handle.net/10419/19589 | - |
| dc.identifier | ppn:362310831 | - |
| dc.identifier | RePEc:zbw:bubdp1:4198 | - |
| dc.identifier.uri | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19589 | - |
| dc.description | In this paper, we use a modified concept of Granger-(non)causality in reconsidering the negative correlation between stock returns and inflation known in the literature as stock return-inflation puzzle. Based on the quarterly data for Germany including stock returns, inflation rates and growth rates of gross domestic production, it turns out that the proxy causality between stock returns and inflation may be regarded as an asymmetric one, and the indicative role of stock returns may be also asymmetrically Granger-causal to the growth rates of gross domestic production. | - |
| dc.description | In der vorliegenden Arbeit soll das konventionelle Konzept der Granger-Kausalität modifiziert werden, um die negative Korrelation zwischen Aktienrenditen und Inflationsrate zu untersuchen, das in der Literatur als Rätsel der Aktienrendite-Inflation- Relation (bzw. Proxy-Hypothese) bekannt ist. Es zeigt sich auf der Grundlage deutscher Quartalsdaten für Aktienrendite, Inflationsrate und Wachstumsrate des Inlandsprodukts, dass die Proxy-Kausalität zwischen Aktienrenditen und Inflationsrate als eine asymmetrische Beziehung anzusehen ist. Darüber hinaus ist die führende Rolle der Aktienrendite für die Wachstumsrate der Inlandsprodukts ebenfalls als eine asymmetrische Beziehung zu betrachten. | - |
| dc.language | eng | - |
| dc.relation | Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2003,03 | - |
| dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | - |
| dc.subject | E44 | - |
| dc.subject | C12 | - |
| dc.subject | ddc:330 | - |
| dc.subject | Proxy hypothesis | - |
| dc.subject | Granger-causality | - |
| dc.subject | asymmetry | - |
| dc.subject | threshold | - |
| dc.subject | nonlinearity | - |
| dc.subject | Kapitalertrag | - |
| dc.subject | Börsenkurs | - |
| dc.subject | Inflationsrate | - |
| dc.subject | Wirtschaftswachstum | - |
| dc.subject | Kausalanalyse | - |
| dc.subject | Schätzung | - |
| dc.subject | Deutschland | - |
| dc.title | The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity | - |
| dc.type | doc-type:workingPaper | - |
| Appears in Collections: | EconStor | |
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