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L'inflation et la rentabilité des actions : une relation énigmatique et un casse-tête pour les banques centrales

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  • Abdelaziz Rouabah

Abstract

[eng] This paper sheds a new light on the puzzling negative relationship between nominal stock returns and expected inflation. The assertion that stocks offer a hedge against inflation is theoretically founded on the Fisher identity. Contrary to this fundamental view, recent empirical tests reject both the Fisher hypothesis and the Fama proxy hypothesis even when accommodating expected economic growth in the estimates . This article proposes to consider different regimes underlying stock market returns in the analysis of the relationship between inflation expectations and nominal stock returns. Using monthly data for the euro area and for Luxembourg over the past two decades, our results show that the Fisher hypothesis cannot be rejected when stock market regimes are accommodated in the estimates of the Geske & Roll reverse causality relation. In this context, shares allow for hedging against inflation and their prices can be used by central banks as a leading indicator for inflation. [fre] Cet article réexamine la problématique de la relation empirique négative entre la rentabilité des actions et les anticipations d’inflation. Le fondement théorique de cette relation est l’identité de Fisher. Dans ce contexte, la valeur réelle d’un actif est indépendante de l’inflation anticipée. Or les récents tests empiriques semblent rejeter le postulat de Fisher et les résultats des estimations économétriques tenant compte de l’activité économique anticipée vont à l’encontre de l ’ hypothèse proxy de Fama. Cette analyse propose l’introduction d’une dimension supplémentaire, qui est la pluralité des régimes sous-jacents à la rentabilité boursière, dans l'analyse de la relation de l’inflation anticipée et des taux nominaux de la rentabilité des actions. Les estimations obtenues sur des données relatives à la zone euro et au Luxembourg sont plutôt en faveur du postulat de Fisher. Ainsi, les actions offrent une protection contre l’inflation et l’évolution de leur prix serait un indicateur avancé pour l’inflation anticipée.

Suggested Citation

  • Abdelaziz Rouabah, 2007. "L'inflation et la rentabilité des actions : une relation énigmatique et un casse-tête pour les banques centrales," Économie et Prévision, Programme National Persée, vol. 177(1), pages 19-34.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2007_num_177_1_7976
    DOI: 10.3406/ecop.2007.7976
    Note: DOI:10.3406/ecop.2007.7976
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