Table 2 Data description Panel A:...

Table 2

Data description

Panel A: variables
Variables	Descriptions	Sources
Stock market indices (SP)	Price of ordinary shares in companies listed on domestic or foreign stock exchanges	OECD and IMF
Consumer price index (CPI)	CPI is a measure of the overall change in the prices of goods and services consumed	IMF
Interest rate (IR)	Money Market Rate for Russia and Iceland and long run interest rate for other countries	OECD and IMF
	Time Series data	Definitions
Inflation (INF)	It is the difference between the log-transformed CPI at time (t) and time (⁠ $t - 1$ ⁠)	${INF}_{t} = {L C P I}_{t} - {L C P I}_{t - 1}$
Expected inflation (EINF)	It is calculated using the (Hodrick and Prescott, 1997) filter	EINF = $E ({I N F}_{t} \| Ω_{t - 1})$
Unanticipated inflation (UNINF)	It is the difference between inflation and expected inflation	UNINF $= {INF}_{t} - E I N F$
Nominal return (R)	It is the difference between the log (LSP) share price at time (t) and time (⁠ $t - 1$ ⁠)	$R_{t} = {L S P}_{t} - {L S P}_{t - 1}$
Real return (RR)	It is the difference between nominal return (R) and inflation (INF)	${R R}_{t} = R_{t} - {INF}_{t}$
	Cross-sectional data creation
${\overset{̅}{R}}_{i}$	It is the average of nominal yield over time, for $i = 1$ ⁠, …, 32	${\overset{̅}{R}}_{i} = \frac{\sum_{t}^{T} R_{i t}}{T}$
${\overset{̅}{R R}}_{i}$	It is the average of real yield over time, for $i = 1$ ⁠, …, 32	${\overset{̅}{R R}}_{i} = \frac{\sum_{t}^{T} {R R}_{i t}}{T}$
${\overset{̅}{INF}}_{i}$	It is the average of inflation over time, for $i = 1$ ⁠, …, 32	${\overset{̅}{INF}}_{i} = \frac{\sum_{t}^{T} {INF}_{i t}}{T}$
${\overset{̅}{E I N F}}_{i}$	It is the average of expected inflation over time, for $i = 1$ ⁠, …, 32	${\overset{̅}{E I N F}}_{i} = \frac{\sum_{t}^{T} {E I N F}_{i t}}{T}$
${\overset{̅}{U N E I N F}}_{i}$	It is the average of unexpected inflation over time, for $i = 1$ ⁠, …, 32	${\overset{̅}{U N E I N F}}_{i} = \frac{\sum_{t}^{T} {U N E I N F}_{i t}}{T}$

Panel A: variables
Variables	Descriptions	Sources
Stock market indices (SP)	Price of ordinary shares in companies listed on domestic or foreign stock exchanges	OECD and IMF
Consumer price index (CPI)	CPI is a measure of the overall change in the prices of goods and services consumed	IMF
Interest rate (IR)	Money Market Rate for Russia and Iceland and long run interest rate for other countries	OECD and IMF
	Time Series data	Definitions
Inflation (INF)	It is the difference between the log-transformed CPI at time (t) and time ( $t - 1$ )	${INF}_{t} = {L C P I}_{t} - {L C P I}_{t - 1}$
Expected inflation (EINF)	It is calculated using the (Hodrick and Prescott, 1997) filter	EINF = $E ({I N F}_{t} \| Ω_{t - 1})$
Unanticipated inflation (UNINF)	It is the difference between inflation and expected inflation	UNINF $= {INF}_{t} - E I N F$
Nominal return (R)	It is the difference between the log (LSP) share price at time (t) and time ( $t - 1$ )	$R_{t} = {L S P}_{t} - {L S P}_{t - 1}$
Real return (RR)	It is the difference between nominal return (R) and inflation (INF)	${R R}_{t} = R_{t} - {INF}_{t}$
	Cross-sectional data creation
${\overset{̅}{R}}_{i}$	It is the average of nominal yield over time, for $i = 1$ , …, 32	${\overset{̅}{R}}_{i} = \frac{\sum_{t}^{T} R_{i t}}{T}$
${\overset{̅}{R R}}_{i}$	It is the average of real yield over time, for $i = 1$ , …, 32	${\overset{̅}{R R}}_{i} = \frac{\sum_{t}^{T} {R R}_{i t}}{T}$
${\overset{̅}{INF}}_{i}$	It is the average of inflation over time, for $i = 1$ , …, 32	${\overset{̅}{INF}}_{i} = \frac{\sum_{t}^{T} {INF}_{i t}}{T}$
${\overset{̅}{E I N F}}_{i}$	It is the average of expected inflation over time, for $i = 1$ , …, 32	${\overset{̅}{E I N F}}_{i} = \frac{\sum_{t}^{T} {E I N F}_{i t}}{T}$
${\overset{̅}{U N E I N F}}_{i}$	It is the average of unexpected inflation over time, for $i = 1$ , …, 32	${\overset{̅}{U N E I N F}}_{i} = \frac{\sum_{t}^{T} {U N E I N F}_{i t}}{T}$

Panel B: sample of countries
Group I: euro vs non-euro countries
European countries	Non-European countries
Austria, Germany, France, Belgium, Denmark, Estonia, Finland, Greece, Hungary, Island, Ireland, Italy, Latvia, Luxembourg, Poland, Portugal, Spain, United Kingdom, Russia	China, India, Indonesia, Japan, Turkey, Bangladesh, Mongolia, Malaysia, USA, Canada, Brazil, Colombia and Chile
Group II: developed vs emerging countries
Developed countries	Emerging countries
Austria, Germany, Belgium, Denmark, Spain, France, Italy, Portugal, United Kingdom, Russia, Estonia, Finland, Greece, Hungary, Iceland, Ireland, Latvia, Luxemburg, Poland, Canada, United States, Chile, Japan, Malaysia and Turkey	Brazil, Colombia, Indonesia, Mongolia, Bangladesh, China and India

Note(s): The (Hodrick and Prescott, 1997) HP filter requires the minimum of $\sum_{t = 0}^{T} {(x_{t} + \overset{̅}{x_{t}})}^{2} + θ \sum_{t = 0}^{T - 1} [({\overset{̅}{x}}_{t + 1} - {\overset{̅}{x}}_{t}) ({\overset{̅}{x}}_{t} - {\overset{̅}{x}}_{t - 1})],$ $f o r θ > 0$ ⁠. This method breaks down an x-series into its trend (the expected components) and cyclical components (the unexpected components). OECD: Organization for Economic Co-operation and Development. IMF: International Monetary Fund. The country classification is based on the 2021 IMF classification

Source(s): Authors’ elaboration

[ViewLarge]

Panel B: sample of countries
Group I: euro vs non-euro countries
European countries	Non-European countries
Austria, Germany, France, Belgium, Denmark, Estonia, Finland, Greece, Hungary, Island, Ireland, Italy, Latvia, Luxembourg, Poland, Portugal, Spain, United Kingdom, Russia	China, India, Indonesia, Japan, Turkey, Bangladesh, Mongolia, Malaysia, USA, Canada, Brazil, Colombia and Chile
Group II: developed vs emerging countries
Developed countries	Emerging countries
Austria, Germany, Belgium, Denmark, Spain, France, Italy, Portugal, United Kingdom, Russia, Estonia, Finland, Greece, Hungary, Iceland, Ireland, Latvia, Luxemburg, Poland, Canada, United States, Chile, Japan, Malaysia and Turkey	Brazil, Colombia, Indonesia, Mongolia, Bangladesh, China and India

Sharing Unavailable