The Long-Run Relationship between Inflation and Real Stock Prices: Empirical Evidence from South Africa

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dc.contributor.authorArjoon, Riona
dc.contributor.authorBotes, Mariƫtte
dc.contributor.authorChesang, Laban K.
dc.contributor.authorGupta, Rangan
dc.date.accessioned2021-06-25T10:57:42Z
dc.date.available2021-06-25T10:57:42Z
dc.date.issued2012
dc.description.abstractThe existing literature on the theoretical relationship between the rate of inflation and real stock prices in an economy has shown varied predictions about the long run effects of inflation on real stock prices. In this paper, we present some time series evidence on this issue using South African data, by applying the structural bivariate vector autoregressive (VAR) methodology proposed by King and Watson (1997). Our empirical results provide considerable support of the view that, in the long run real stock prices are invariant to permanent changes in the rate of inflation. The impulse responses reveal a positive real stock price response to a permanent inflation shock in the long run, indicating that any deviations in short run real stock prices will be corrected towards the long run value. It is therefore concluded that inflation does not lower the real value of stocks in South Africa, at least in the long run.en_US
dc.identifier.citationArjoon, R., Botes, M., Chesang, L.K., & Gupta, R. (2012). The long-run relationship between inflation and real stock prices: Empirical evidence from South Africa. Journal of Business Economics and Management, 13(4), 600-613en_US
dc.identifier.issn2029-4433
dc.identifier.urihttps://repository.daystar.ac.ke/handle/123456789/3646
dc.language.isoenen_US
dc.publisherJournal of Business Economics and Managementen_US
dc.subjectInflationen_US
dc.subjectReal stock pricesen_US
dc.subjectVector autoregressive (VAR) modelen_US
dc.titleThe Long-Run Relationship between Inflation and Real Stock Prices: Empirical Evidence from South Africaen_US
dc.typeArticleen_US

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