Replication data for: Extracting Inflation from Stock Returns to Test Purchasing Power Parity

Principal Investigator(s):  View help for Principal Investigator(s) Bhagwan Chowdhry; Richard Roll; Yihong Xia

Version:  View help for Version V1

Name File Type Size Last Modified
LICENSE.txt text/plain 14.6 KB 12/02/2019 07:40:AM
cpippi.txt text/plain 31.9 KB 12/02/2019 07:40:AM
ff3fmres.txt text/plain 25.1 KB 12/02/2019 07:40:AM
ff4fmres.txt text/plain 29.6 KB 12/02/2019 07:40:AM
ind19mgm.txt text/plain 50 KB 12/02/2019 07:40:AM
ind30vwm.txt text/plain 147.5 KB 12/02/2019 07:40:AM
ind33mjp.txt text/plain 95.4 KB 12/02/2019 07:40:AM
ind36muk.txt text/plain 108.1 KB 12/02/2019 07:40:AM
nwest.m text/plain 571 bytes 12/02/2019 07:40:AM
ppptabxi.wf1 application/octet-stream 143.6 KB 12/02/2019 07:40:AM
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Project Citation: 

Project Description

Summary:  View help for Summary Relative purchasing power parity (PPP) holds for pure price inflations, which affect prices of all goods and services by the same proportion, while leaving relative prices unchanged. Pure price inflations also affect nominal returns of all traded financial assets by exactly the same amount. Recognizing that relative PPP may not hold for the official inflation data constructed from commodity price indices because of relative price changes and other frictions that cause prices to be "sticky," we provide a novel method for extracting a proxy for realized pure price inflation from stock returns. We find strong support for relative PPP in the short run using the extracted inflation measures.

Scope of Project

JEL Classification:  View help for JEL Classification
      E31 Price Level; Inflation; Deflation
      F31 Foreign Exchange


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Published Versions

V1 [2019-12-02]

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