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英语翻译
We also find that the time path of the response of stock prices to a shock in goods prices
exhibits an initial negative response which turns positive over the long-run.These results
help to reconcile the conflicting evidence on the inverted short-run and the positive long-run
of Fisher effects reported in the literature.The results also reveal that stock prices in the
Pacific-Basin markets have a long memory with respect to inflation shocks that make stocks
a reasonably good inflation hedge over a long holding period.In this respect,our findings are
similar to the evidence already reported by Anari and Kolari (2001) on American,European
and Japanese stock markets.
We are grateful to the editor of the journal (C.F.Lee) and three anonymous referees for their
helpful comments.An earlier version of this paper was presented at the 2002 Korea Institute
of Finance Symposium on Emerging Markets in Seoul.This study was partly supported by
a summer research grant from Fogelman College of Business and Economics and CIBER
at the University of Memphis.
We also find that the time path of the response of stock prices to a shock in goods prices
exhibits an initial negative response which turns positive over the long-run.These results
help to reconcile the conflicting evidence on the inverted short-run and the positive long-run
of Fisher effects reported in the literature.The results also reveal that stock prices in the
Pacific-Basin markets have a long memory with respect to inflation shocks that make stocks
a reasonably good inflation hedge over a long holding period.In this respect,our findings are
similar to the evidence already reported by Anari and Kolari (2001) on American,European
and Japanese stock markets.
We are grateful to the editor of the journal (C.F.Lee) and three anonymous referees for their
helpful comments.An earlier version of this paper was presented at the 2002 Korea Institute
of Finance Symposium on Emerging Markets in Seoul.This study was partly supported by
a summer research grant from Fogelman College of Business and Economics and CIBER
at the University of Memphis.
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