Estimating The Effect Of Inflation On Stock Returns Using Regime-Dependent Impulse Response Analysis
Journal Title: AURUM Sosyal Bilimler Dergisi - Year 2017, Vol 2, Issue 2
Abstract
This study investigates the effect of inflation on stock market in South Africa with regime-dependent impulse response analysis. Nonlinear regime-dependent interaction is tested with the Markov switching vector autoregression approach between July, 1995 and July, 2017. The results show that there is a negative impact of inflation in the short-term, and that a long-term relationship does not exist. This indicates that common stocks cannot be a hedge against inflation. The other findings relate to regime dependency and nonlinear correlation. I also found that movements of stock market are strongly regime-dependent. These results are robust in controlling additional macroeconomic variables.
Authors and Affiliations
Alper KALİBER
Keywords
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