Asset Prices and Inflation: is there a predictive link?
2007 (English)Report (Other academic)
The relationship between asset prices and consumer price inflation has been inthe limelight again in the last decade. The reason has been the observedlinkages in the early 1990s between housing as well as stock market pricesand consumer prices in Japan and the U.K. Rapid asset price appreciation inthese countries was followed, with a lag, by consumer price inflation. Suchdevelopments have even sparked off debates about the need to replaceconventional consumer price measures with a broader definition whichincludes asset prices. It seems important, therefore, to ascertain whether assetprices influence consumer prices in general, for a broader spectrum ofcountries. We choose a sample including major industrial countries as well asemerging markets, and test for the significance of housing prices and shareprices in predicting inflation. Longer, higher frequency, time series data aswell as cross-section information are used to establish asset price – consumerprice links for the sample as a whole, and for particular individual countries.
Place, publisher, year, edition, pages
Kozhikode: IIMK , 2007. , 18 p.
Indian Institute of Management Kozhikode, Working papers, 14/ECO/2007/3
Economics and Business
IdentifiersURN: urn:nbn:se:sh:diva-6660OAI: oai:DiVA.org:sh-6660DiVA: diva2:403185