Extracting Inflation from Stock Returns to Test Purchasing Power Parity (AER 2005)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Bhagwan Chowdhry, Richard Roll, Yihong Xia Extracting Inflation from Stock Returns to Test Purchasing Power Parity AER 2005 1 255 - 276 F31, G15 -

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
1 - accessible on journal website 1 - accessible on journal website 0 - not available online two-stage Fama-MacBeth regression Time series, Macro CPI Inflation Measures, Price Data USA, Canada MATLAB

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Shiu-Sheng Chen Does extracting inflation from stock returns solve the purchasing power parity puzzle? Emp Econ 2012 3 1097 - 1105 F31, E31 Purchasing power parity, Inflation, Long-run PPP puzzle 3 - reproduction (new methods) 4 - partially successful 3 - final dataset can be exactly replicated from raw data 2 - partly -

References

DOI: 10.1257/0002828053828554 IDEAS: a/aea/aecrev/v95y2005i1p255-276.html EconPapers: RePEc:aea:aecrev:v:95:y:2005:i:1:p:255-276


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