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CPI and Stocks Over the Short and Intermediate Terms

Posted in Economic Indicators

Do investors reliably react over short and intermediate terms to changes in the U.S. Consumer Price Index (CPI), a logical measure of the wealth discount rate? Using monthly total and core (excluding food and energy) CPI releases (for all items, not seasonally adjusted) from the Bureau of Labor Statistics (BLS) and contemporaneous S&P 500 Index open and close data for the period mid-January 1994 (the earliest for which CPI release dates are available) through mid-November 2018 (299 releases), we find that:

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