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Lookup NU author(s): Dr Xiaojing Song
This work is licensed under a Creative Commons Attribution 4.0 International License (CC BY 4.0).
Arguably the greatest concern surrounding quantitative easing is its potential for expanding the money supply at a rate which outstrips the rate of growth in national output. This will almost surely lead to greater uncertainty in inflationary expectations and this, in turn, can have adverse consequences for stock prices. Our analysis employs the hedging procedures which underscore the Fundamental Theorem of Asset Pricing in conjunction with stochastic processes for stock prices and the money supply to design hedging strategies against potential downside movements in stock prices caused by the uncertainty in inflationary expectations associated with rapid monetary growth.
Author(s): Melia A, Song X, Tippett M, van der Burg J
Publication type: Article
Publication status: Published
Journal: The European Journal of Finance
Year: 2024
Volume: 30
Issue: 3
Pages: 323-338
Online publication date: 27/07/2023
Acceptance date: 05/06/2023
Date deposited: 12/10/2023
ISSN (print): 1351-847X
ISSN (electronic): 1466-4364
Publisher: Taylor and Francis
URL: https://doi.org/10.1080/1351847X.2023.2224832
DOI: 10.1080/1351847X.2023.2224832
ePrints DOI: 10.57711/pqaw-7e53
