INFLATION AND REAL STOCK RETURNS REVISITED
使用16个OECD国家1957-2000年的面板数据，区分预期与非预期通胀及通胀不确定性，发现预期通胀和通胀不确定性在长期对实际股票回报有负向影响，而非预期通胀在短期有正向效应、长期有负向效应。
The article uses the (unbalanced) panel data to revisit the effects of expected inflation, unexpected inflation, and inflation uncertainty on real stock returns. The empirical results are obtained via the pooled mean group estimator, which can be applied to I(1) and/or I(0) variables, and can distinguish long- and short-run effects. Using a panel of 16 industrialized Organization for Economic Cooperation and Development countries over the 1957:Q1 to 2000:Q1 period, we find that anticipated inflation and inflation uncertainty tend to have insignificant short-run effects, while they appear to have negative long-run impacts on real stock returns. Moreover, we find coexistence of a negative long-run effect and a positive short-run effect of unanticipated inflation on real stock returns. These findings help clarify the conflicting conclusions of both empirical and theoretical studies on this issue.