Has the correlation of inflation and stock prices changed in the United States over the last two centuries?
| dc.contributor.author | Antonakakis, Nikolaos | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Tiwari, Aviral Kumar | |
| dc.date.accessioned | 2018-01-15T11:37:16Z | |
| dc.date.issued | 2017-12 | |
| dc.description.abstract | The relationship between stock prices and the inflation can be either negative or positive, depending on the strengths of various theoretical channels at work. In this study, we examine the dynamic conditional correlations of stock prices and inflation in the United States over the period of 1791–2015 under a time-varying framework. The results of our empirical analysis reveal that correlations between the inflation and stock prices in the United States evolve heterogeneously overtime. In particular, the correlations are significantly positive in the 1840s, 1860s, 1930s and 2011, and significantly negative otherwise. The policy implications of these findings are then discussed. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2018-12-30 | |
| dc.description.librarian | hj2018 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/ribaf | en_ZA |
| dc.identifier.citation | Antonakakis, N., Gupta, R. & Tiwari, A.K. 2017, 'as the correlation of inflation and stock prices changed in the United States over the last two centuries?', Research in International Business and Finance, vol. 42, pp. 1-8. | en_ZA |
| dc.identifier.issn | 0275-5319 (online) | |
| dc.identifier.other | 10.1016/j.ribaf.2017.04.005 | |
| dc.identifier.uri | http://hdl.handle.net/2263/63548 | |
| dc.language.iso | en_US | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2017 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Research in International Business and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Research in International Business and Finance, vol. 42, pp. 1-8, 2017. doi : 10.1016/j.ribaf.2017.04.005. | en_ZA |
| dc.subject | Conditional correlation | en_ZA |
| dc.subject | Inflation and stock price comovement | en_ZA |
| dc.subject | United States economy | en_ZA |
| dc.subject | Dynamic conditional correlation (DCC) | en_ZA |
| dc.subject | DCC-GARCH | en_ZA |
| dc.title | Has the correlation of inflation and stock prices changed in the United States over the last two centuries? | en_ZA |
| dc.type | Postprint Article | en_ZA |