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Issue 5(1), October 2010 -- Paper Abstracts
Girard  (p. 9-22)
Cooper (p. 23-32)
Kunz-Osborne (p. 33-41)
Coulmas-Law (p.42-46)
Stasio (p. 47-56)
Albert-Valette-Florence (p.57-63)
Zhang-Rauch (p. 64-70)
Alam-Yasin (p. 71-78)
Mattare-Monahan-Shah (p. 79-94)
Nonis-Hudson-Hunt (p. 95-106)



JOURNAL OF APPLIED BUSINESS AND ECONOMICS

Inflation Targeting Regime and the Relationship Between Stock Returns and Inflation: New Evidence using the VAR Approach

Author(s): Unro Lee

Citation: Lee Unro, (2016)Inflation Targeting Regime and the Relationship Between Stock Returns and Inflation: New Evidence using the VAR Approach," Journal of Applied Business and Economics, Vol. 18, Iss. 7, pp. 79-92

Article Type: Research paper

Publisher: North American Business Press

Abstract:

Many industrialized and emerging countries have adopted inflation targeting monetary policy since 1990
to combat persistently high inflation rate. Based on the assertion that a unique and interesting
relationship between stock returns and inflation rate exists for inflation targeting countries, this study
investigates dynamic relationship between stock returns and inflation rate for a selected group of
countries that implemented inflation targeting policy in the 1990s – namely, Brazil, Canada, Chile,
Israel, South Korea, Sweden and the United Kingdom. It is found that changes in inflation rate precede
or Granger cause changes in real stock returns for most of these countries. This relationship implies that
forward-looking investors in inflation targeting countries are inclined to trade stocks based on
anticipated future economic events resulting from a change in current inflation rate.