Durable Goods, Inflation Risk, and Equilibrium Asset Prices

• 成果类型: Article
• 署名作者: Eraker, Bjorn; Shaliastovich, Ivan; Wang, Wenyu
• 署名单位: University of Wisconsin System; University of Wisconsin Madison; University of Pennsylvania; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv049
• 发表日期: 2016
• 页码: 193
• 关键词: CONSUMPTION-BASED EXPLANATION; LONG-RUN RISKS; term structure; monetary-policy; intertemporal substitution; temporal behavior; interest-rates; returns; STOCK; aversion

摘要

High expected inflation is known to predict low future real growth. We show that, relative to nondurable goods sectors of the economy, such predictability is significantly more pronounced in durable sectors. Consistent with this macroeconomic evidence, the equity returns of durable goods-producing firms have a larger negative exposure to expected inflation risks. We estimate a two-good recursive utility model that features persistent growth fluctuations and inflation nonneutrality for durable and nondurable consumption. Our model can quantitatively account for the levels and volatilities of bond and equity prices, and correlations of equity returns with bond returns and with expected inflation.