Unexpected Inflation and Stock Returns Revisited--Evidence from Israel
利用以色列CPI挂钩债券价格直接衡量意外通胀，发现股票价格与意外通胀呈强负相关，并排除了名义合约、通胀税等假说，认为负效应源于实际经济活动下降。
This paper examines the effects of unexpected inflation on stock prices using Israeli data that provide a direct market-based measure of unexpected inflation: the price reaction of CPI-linked bonds following the CPI announcement. The results show that stock prices have a strong negative relationship with unexpected inflation. The Israeli setting rules out a number of hypotheses advanced in the United States to explain this relationship, such as nominal contracting, inflationary taxation, wealth transfer, and money illusion. This suggests that the negative effect of unexpected inflation is due to its negative association with real activity and its real economic cost. Copyright 1996 by Ohio State University Press.