Vliv inflace na výnosy akciového trhu

Abstract

This diploma thesis explores impact of Inflation on German Stock Market Returns. The time series of the German consumer price index and the German Stock Market Index was analyzed. Method vectorial autoregression was utilized to model it. Unit root tests confirmed the non-stationarity of the time series. Testing of cointegration was done and vector correction model was composed. Increasing level of inflation in short time influence the stock index negatively what the results had shown. Intensity of this influence is weak. Relation between impact inflation and revenue stock index is in equilibrium from long time perspective.