  We test for the long-run relationship between stock prices, inflation and its
uncertainty for different U.S. sector stock indexes, over the period 2002M7 to
2015M10. For this purpose we use a cointegration analysis with one structural
break to capture the crisis effect, and we assess the inflation uncertainty
based on a time-varying unobserved component model. In line with recent
empirical studies we discover that in the long-run, the inflation and its
uncertainty negatively impact the stock prices, opposed to the well-known
Fisher effect. In addition we show that for several sector stock indexes the
negative effect of inflation and its uncertainty vanishes after the crisis
setup. However, in the short-run the results provide evidence in the favor of a
negative impact of uncertainty, while the inflation has no significant
influence on stock prices, except for the consumption indexes. The
consideration of business cycle effects confirms our findings, which proves
that the results are robust, both for the long-and the short-run relationships.
