A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from a Large Data Set
本文利用大数据集和因子增广向量自回归模型，修正了Lee(1992)研究中的信息不足问题，重新检验了实际股票收益与通货膨胀的关系，并评估了通胀幻觉、代理和预期政策三种假说。
Abstract Using the informational sufficiency procedure from Forni and Gambetti (2014) along with data from McCracken and Ng (2014), we update the results of Lee (1992) and find that his vector autoregression (VAR) is informationally deficient. To correct this problem, we estimate a factor augmented VAR (FAVAR) and analyze the differences once informational deficiency is corrected with an emphasis on the relationship between real stock returns and inflation. In particular, we examine Modigliani and Cohn's (1979) inflation illusion hypothesis, Fama's (1983) proxy hypothesis, and the “anticipated policy hypothesis.”