通货膨胀与资产回报

IF 5 3区 经济学 Q1 BUSINESS, FINANCE Annual Review of Financial Economics Pub Date : 2023-08-08 DOI:10.1146/annurev-financial-110921-104726
Anna Cieslak, Carolin Pflueger
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引用次数: 1

摘要

在过去的半个世纪里,通胀预期发生了重大变化,通胀如何与商业周期相协调,股票如何与国债相协调。在此背景下,我们回顾了通胀如何在金融市场定价的经济渠道和经验证据。并不是所有的通胀都是一样的。使用新凯恩斯主义模型,我们展示了“好的”通胀如何与需求冲击联系在一起,“坏的”通胀如何与驱动经济的成本推动冲击联系在一起。然后我们讨论了“好”和“坏”通胀对资产定价的影响。最后,我们提供了一个在新的通货膨胀上升的世界通货膨胀风险溢价的前景。《金融经济学年度评论》第15卷的最终在线出版日期预计为2023年11月。修订后的估计数请参阅http://www.annualreviews.org/page/journal/pubdates。
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Inflation and Asset Returns
The past half-century has seen major shifts in inflation expectations, how inflation comoves with the business cycle, and how stocks comove with Treasury bonds. Against this backdrop, we review the economic channels and empirical evidence on how inflation is priced in financial markets. Not all inflation episodes are created equal. Using a New Keynesian model, we show how “good” inflation can be linked to demand shocks and “bad” inflation to cost-push shocks driving the economy. We then discuss asset pricing implications of “good” and “bad” inflation. We conclude by providing an outlook for inflation risk premia in the world of newly rising inflation. Expected final online publication date for the Annual Review of Financial Economics, Volume 15 is November 2023. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.
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26
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