Abstract
This study investigates the effect of inflation on stock market in South Africa with regime-dependent impulse
response analysis. Nonlinear regime-dependent interaction is tested with the Markov switching vector autoregression
approach between July, 1995 and July, 2017. The results show that there is a negative impact
of inflation in the short-term, and that a long-term relationship does not exist. This indicates that common
stocks cannot be a hedge against inflation. The other findings relate to regime dependency and nonlinear
correlation. I also found that movements of stock market are strongly regime-dependent. These results are
robust in controlling additional macroeconomic variables.
stock market fisher hypothesis regime-dependent impulse response analysis
Birincil Dil | İngilizce |
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Bölüm | Makaleler |
Yazarlar | |
Yayımlanma Tarihi | 31 Aralık 2017 |
Yayımlandığı Sayı | Yıl 2017 Cilt: 2 Sayı: 2 |