| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w30169 |
| 来源ID | Working Paper 30169 |
| Getting to the Core: Inflation Risks Within and Across Asset Classes | |
| Xiang Fang; Yang Liu; Nikolai Roussanov | |
| 发表日期 | 2022-06-20 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | Do “real” assets protect against inflation? Core inflation betas of stocks are negative while energy betas are positive; currencies, commodities, and real estate also mostly hedge against energy inflation but not core. These hedging properties are reflected in the prices of inflation risks: only core inflation carries a negative risk premium, and its magnitude is consistent both within and across asset classes, uniquely among macroeconomic risk factors. While high core inflation tends to be followed by low real output, consumption, and dividend payouts, it impacts asset prices through both cash-flow and discount rate channels. The relative contribution of core and energy changes over time, helping explain the time-varying correlation between stock and bond returns. A two-sector New Keynesian model qualitatively accounts for these facts and implies that the changing stock-bond correlation can be attributed to the shifting importance of supply and demand shocks in driving energy inflation over time. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Monetary Policy ; International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w30169 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587843 |
| 推荐引用方式 GB/T 7714 | Xiang Fang,Yang Liu,Nikolai Roussanov. Getting to the Core: Inflation Risks Within and Across Asset Classes. 2022. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w30169.pdf（920KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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