Asset prices, wealth, and inflation predictability

Title: Asset prices, wealth, and inflation predictability
Identifier: d_2009_2013:62a8e6b3d6a8:10293
identifier: 10270
Creator: Silatchom Foyou, Francois de Paul,
Contributor: Thom Thurston
Date: 2009
Language: English
Publisher: City University of New York.
Subject: Finance
Abstract: This study examines the relationship between wealth, consumption and inflation. The study investigates whether the movements in asset prices can, among other things, have significant impact on the level of inflation. The study finds, from a permanent-transitory decomposition analysis of the variables, that consumption shocks are transitory while wealth shocks are permanent. It also finds evidence that the consumption-wealth ratio significantly predicts not only future asset returns, but also future inflation, over the entire time-horizon considered. These results imply that asset values appear to give helpful information about inflation in advance of its appearance, and to that extent it can help guide monetary policy.
Type: dissertation
Source: 2009_2013.csv
degree: Ph.D.
Program: Economics