Is disinflation good for the stock market?

• 成果类型: Article
• 署名作者: Henry, PB
• 署名单位: Stanford University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00473
• 发表日期: 2002
• 页码: 1617-1648
• 关键词: inflation; crises; INVESTMENT; returns

摘要

The stock market appreciates by an average of 24 percent in real dollar terms when countries attempt to stabilize annual inflation rates that are greater than 40 percent. In contrast, the average market response is 0 when the pre-stabilization rate of inflation is less than 40 percent. These results suggest that the potential long-run benefits of stabilization may dominate short-run costs at high levels of inflation, but at low to moderate levels of inflation, benefits may be offset by costs in a present value sense. Stock market responses also help predict the change in inflation and output in the year following all 81 stabilization efforts.