THE CONTRIBUTION OF INFLATION UNCERTAINTY TO THE VARIABLE IMPACTS OF MONEY ON STOCK PRICES
- 1 March 1986
- journal article
- Published by Wiley in Journal of Financial Research
- Vol. 9 (1) , 97-101
- https://doi.org/10.1111/j.1475-6803.1986.tb00438.x
Abstract
This paper examines the effects of inflation uncertainty on the lag structure between money growth and stock prices. Using a varying parameter model and the Livingston survey data1 as a proxy for inflation uncertainty, the results suggest that only current money growth influences stock prices. However, a large percentage of this positive impact can be expected to be offset by inflation uncertainty prevailing at the time.Keywords
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