Stock returns and inflation in Greece: A Markov switching approach
G Hondroyiannis, E Papapetrou - Review of Financial Economics, 2006 - Elsevier
The paper studies the dynamic relationship between real stock returns and expected and
unexpected inflation utilizing a Markov Switching vector autoregressive model (MS-VAR).
The MS-VAR model has the advantage that it is able to capture the dependence structure of
the series both in terms of mean and variance. Univariate and multivariate innovation
decompositions are employed to separate inflation into two components, the expected and
unexpected. The empirical evidence suggests that real stock returns are not related to …
unexpected inflation utilizing a Markov Switching vector autoregressive model (MS-VAR).
The MS-VAR model has the advantage that it is able to capture the dependence structure of
the series both in terms of mean and variance. Univariate and multivariate innovation
decompositions are employed to separate inflation into two components, the expected and
unexpected. The empirical evidence suggests that real stock returns are not related to …
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