Inflation and Stock Prices: No Illusion
用结构模型证明，一个完全理性的动态一般均衡模型能产生数据中观察到的股息率与通胀正相关，而非通胀幻觉所致。
Campbell and Vuolteenaho (2004) use VAR results to advocate inflation illusion as the explanation for the positive association between inflation and dividend yields. Using a structural approach, we find that a fully rational dynamic general equilibrium model can generate a positive correlation between dividend yields and inflation as observed in the data. The paper describes a channel by which the technology shock moves both inflation and dividend yields in the same direction, resulting in a positive correlation between the two.