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Monetary Regimes and the Relation between Stock Returns and Inflationary Expectations

Published online by Cambridge University Press:  06 April 2009

Gautam Kaul
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Abstract

This paper analyzes the impact of changes in monetary policy regimes on the relation between stock returns and changes in expected inflation. Post-war evidence from four countries reveals a direct link between these relations and the central banks' operating targets (i.e., money supply or interest rates). Specifically, the post-war negative relations between stock returns and changes in expected inflation are significantly stronger during interest rate regimes.

Information

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 25 , Issue 3 , September 1990 , pp. 307 - 321
Copyright
Copyright © School of Business Administration, University of Washington 1990

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