问题描述：
英语翻译
Table 4 shows the response of stock price indexes (illustrated in figure 1) to a one standard
deviation positive shock in the consumer price index and their corresponding t-values.The
t-values are derived based on an analytical method for estimating variances of impulse
functions suggested by Hamilton (1994,p.336).The t-values measure if a given positive
or negative response is statistically significant.As the table reports,the initial responses are
negative and become positive and statistically significant in the long run.
Our findings are consistent with the Fisher effect wherein it takes a long period of time for
inflation to be fully reflected in stock prices.These results indicate that previous evidence of
an inverted short-run,and a positive long-run,relation between stock returns and inflation
can be reconciled.It stands to reason that investors can reasonably expect stocks to be a
good inflation hedge over a long holding period in the Pacific-Basin markets.We conclude
that stock prices in the Pacific-Basin countries,like those in the U.S.and Europe,appear
to reflect a long-term memory associated with inflation shocks that make stock portfolios a
reasonably good hedge against inflation in the long run.
Table 4 shows the response of stock price indexes (illustrated in figure 1) to a one standard
deviation positive shock in the consumer price index and their corresponding t-values.The
t-values are derived based on an analytical method for estimating variances of impulse
functions suggested by Hamilton (1994,p.336).The t-values measure if a given positive
or negative response is statistically significant.As the table reports,the initial responses are
negative and become positive and statistically significant in the long run.
Our findings are consistent with the Fisher effect wherein it takes a long period of time for
inflation to be fully reflected in stock prices.These results indicate that previous evidence of
an inverted short-run,and a positive long-run,relation between stock returns and inflation
can be reconciled.It stands to reason that investors can reasonably expect stocks to be a
good inflation hedge over a long holding period in the Pacific-Basin markets.We conclude
that stock prices in the Pacific-Basin countries,like those in the U.S.and Europe,appear
to reflect a long-term memory associated with inflation shocks that make stock portfolios a
reasonably good hedge against inflation in the long run.
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