Getting to the Core: Inflation Risks Within and Across Asset Classes

• 成果类型: Article; Early Access
• 署名作者: Fang, Xiang; Liu, Yang; Roussanov, Nikolai
• 署名单位: University of Hong Kong; University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaf050
• 发表日期: 2025
• 关键词: term structure; monetary-policy; stock returns; market power; consumption; shocks; bond; explanation; demand; prices

摘要

Do real assets protect against inflation? Stocks' core inflation betas are negative, while their energy betas are positive. Currencies, commodities, and real estate mostly hedge against energy inflation, but not core inflation. These hedging properties are reflected in the prices of inflation risks: only core inflation carries a negative risk premium, and its magnitude is consistent within and across asset classes, uniquely among macroeconomic risk factors. Energy inflation has become more procyclical and volatile since the 1990s, which helps explain the time-varying correlation between stock and bond returns. A two-sector New Keynesian asset pricing model accounts for these facts quantitatively.