Generalized Fama proxy hypothesis: Impact of shocks on Phillips curve and relation of stock returns with inflation

A generalized version of Fama's proxy hypothesis identifies a downward bias in Phillips curve estimations. The (spurious) negative relation between real stock returns and inflation emerges if output rate fluctuations dominate cyclical component fluctuations of a Lucas-type Phillips curve.

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Year of publication:	2009
Authors:	Kryzanowski, Lawrence ; Rahman, Abdul H.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 103.2009, 3, p. 135-137
Publisher:	Elsevier
Subject:	Proxy hypothesis Inflation Stock returns

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005023447