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Inflation Volatility and Stock Returns:Some International Evidence

Economic Research Institute (82-2-759-5432) 2008.11.24 843
I. Introduction   1
II. A Review of the Recent Literature   6
III. The Theoretical Model 11
IV. The Return-Inflation Relation Is Contingent on the Volatility of Inflation  17
1. Three Propositions  17
2. Implications  20
V. Empirical Analysis  22
1. The Estimation Equation  22
2. The Description of the Data  25
3. Empirical Results  26
IV. Concluding Remarks  31
References  34
Appendix  43
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