英文标题：
《Stock prices, inflation and inflation uncertainty in the U.S.: Testing
  the long-run relationship considering Dow Jones sector indexes》
---
作者：
Claudiu Albulescu (UPT), Christian Aubin (CRIEF), Daniel Goyeau
  (CRIEF)
---
最新提交年份：
2016
---
英文摘要：
  We test for the long-run relationship between stock prices, inflation and its uncertainty for different U.S. sector stock indexes, over the period 2002M7 to 2015M10. For this purpose we use a cointegration analysis with one structural break to capture the crisis effect, and we assess the inflation uncertainty based on a time-varying unobserved component model. In line with recent empirical studies we discover that in the long-run, the inflation and its uncertainty negatively impact the stock prices, opposed to the well-known Fisher effect. In addition we show that for several sector stock indexes the negative effect of inflation and its uncertainty vanishes after the crisis setup. However, in the short-run the results provide evidence in the favor of a negative impact of uncertainty, while the inflation has no significant influence on stock prices, except for the consumption indexes. The consideration of business cycle effects confirms our findings, which proves that the results are robust, both for the long-and the short-run relationships.
---
中文摘要：
我们测试了2002年7月至2015年10月期间，不同美国行业股票指数的股价、通货膨胀及其不确定性之间的长期关系。为此，我们使用一个结构突变的协整分析来捕捉危机效应，并基于时变未观测分量模型评估通货膨胀的不确定性。与最近的实证研究一致，我们发现，从长期来看，通货膨胀及其不确定性会对股价产生负面影响，而不是众所周知的费希尔效应。此外，我们还表明，对于几个部门的股票指数，通货膨胀及其不确定性的负面影响在危机发生后消失。然而，在短期内，结果提供了有利于不确定性负面影响的证据，而通货膨胀对股价没有显著影响，但消费指数除外。对商业周期效应的考虑证实了我们的发现，这证明了结果是稳健的，无论是长期还是短期的关系。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
--
一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
--

---
PDF下载：
-->