S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
Department of Economics, Copenhagen Business School Working Paper Series, Department of Economics, Copenhagen Business School

No 06-2000:
STOCKS HEDGE AGAINST INFLATION IN THE LONG RUN: EVIDENCE FROM A COIN- TEGRATION ANALYSIS FOR DENMARK

Jan Overgaard Olesen

Abstract: We suggest an alternative approach to testing whether stocks provide a hedge against

inflation in the long run. Based on a simple structural model, we test the hedge hypothesis in

terms of the long-run linkage between stock prices and the general price level, as estimated

by cointegration analysis. Using data for the Danish stock market over the post-World War

II-period, results give strong support for the hedge property, defined in the narrow sense of

a perfect hedge. This contrasts with the weak support found in the literature and also

represents stronger support than produced by standard methods. We argue that our

approach has the advantage of allowing for a clear distinction between short- and long-run

dynamics of stock prices which adjust slowly to long-run equilibrium.

Keywords: Stocks; Hedge; Inflation; Denmark; Stock prices; (follow links to similar papers)

JEL-Codes: G11; (follow links to similar papers)

55 pages, March 1, 2000

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

x648097101.pdf    PDF-file
Download Statistics

Questions (including download problems) about the papers in this series should be directed to Lars Nondal ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:cbsnow:2000_006 This page was generated on 2014-12-14 19:21:48