Stock Returns as Predictors of Interest Rates and Inflation
研究发现股票收益率与未来通胀和利率变化正相关，且房地产投资信托基金比大盘指数预测效果更好，这种预测能力主要出现在1979-1982年美联储不干预利率的时期。
This study examines whether stock returns provide forecasts of changes in interest rates and inflation. In contrast to earlier work that indicated that changes in expected inflation negatively affect stock returns, we find a statistically significant positive relation between stock returns and future inflation rate changes as well as a significant positive relation between stock returns and future interest rate changes. Real estate investment trusts, which are particularly interest- and inflation-sensitive securities, provide better forecasts than a broad market index. Finally, we find that most of the evidence supporting the forecasting ability of stock returns occurs in the October 1979 to October 1982 period when the Federal Reserve Board chose not to counteract interest rate changes.