期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2008
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：We examine the long run relationship between stock prices and goods prices to gauge whether stock market investment can
hedge against inflation. Data from sixteen OECD countries over the period 1970-2006 are used. We account for different
inflation regimes with the use of sub-sample regressions, whilst maintaining the power of tests in small sample sizes by
combining time-series data across our sample countries in a panel unit root and panel cointegration econometric
framework. The evidence supports a positive long-run relationship between goods prices and stock prices with the
estimated goods price coefficient being in line with the generalized Fisher hypothesis.
