Analyzing time-dependent relationships: The impact of unexpected and expected inflation on stock and commodity markets

Abstract

This Master’s thesis attempts to analyse and examine the effects of inflation on market returns for different areas. The research analysis is aimed initially at the stock market returns indices within major global economic regions: United States, Euro Zone19 and OECD countries.

This thesis contributes to the academic literature by providing evidence that challenges the traditional inflation – market returns relationship analysis. Based on the analyses evidences, further recommendations are to include in future research analysis more macroeconomic and economic activity variables to incorporate all macroeconomic shocks and global economic events.