Extracting Inflation from Stock Returns to Test Purchasing Power Parity

Relative purchasing power parity (PPP) holds for pure price inflations, which affect prices of all goods and services by the same proportion, while leaving relative prices unchanged. Pure price inflations also affect nominal returns of all traded financial assets by exactly the same amount. Recogniz...

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Veröffentlicht in:	The American economic review 2005-03, Vol.95 (1), p.255-276
Hauptverfasser:	Chowdhry, Bhagwan, Roll, Richard, Xia, Yihong
Format:	Artikel
Sprache:	eng
Schlagworte:	Capital market Consumer Price Index Economic models Empirical research Estimation Exchange rates Expectation Financial assets Foreign exchange rates Germany Inflation Inflation rates Japan Methodology Monetary economics Monetary policy Null hypothesis P values Point estimators Price level Prices Purchasing power parity Rates of return Standard error Stock prices Stock returns Studies Time series U.S.A United Kingdom
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