Stock Market Investment and Inflation: Evidence from the United States and Canada

IF 0.7 Q3 ECONOMICS
Janesh Sami
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引用次数: 0

Abstract

This paper examines the long-run relationship between goods prices and stock prices to understand whether stock market investment can help hedge against inflation in the United States (US) and Canada. This study employed an autoregressive distributed lag (ARDL) cointegration test developed by Pesaran, Shin, and Smith (2001), and finds evidence of a positive long-run economic relationship between stock prices and goods prices in both economies over the sample period 1960 to 2019. The long-run elasticity is above one for both economies implying that the developments in the goods market significantly affect the stock market. We undertake a suite of sensitivity checks and find robust evidence that the stock market investment can help hedge against inflation in the United States and Canada.
股票市场投资与通货膨胀:来自美国和加拿大的证据
本文考察了商品价格和股票价格之间的长期关系,以了解股票市场投资是否有助于对冲美国和加拿大的通货膨胀。本研究采用了Pesaran、Shin和Smith(2001)开发的自回归分布滞后(ARDL)协整检验,发现在1960年至2019年的样本期内,两个经济体的股票价格和商品价格之间存在正的长期经济关系。两个经济体的长期弹性都高于1,这意味着商品市场的发展对股票市场产生了重大影响。我们进行了一系列敏感性检查,发现了强有力的证据,证明股市投资有助于对冲美国和加拿大的通货膨胀。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
1.10
自引率
0.00%
发文量
10
审稿时长
26 weeks
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