Risk Premia and the Sources of Inflation
指出通胀不仅带来物价上涨，还伴随变化率的不确定性，这种不确定性可能导致名义资产相对于真实安全资产产生风险溢价。作者回顾了基于CAPM框架分析通胀下风险溢价结构的文献，并指出这些文献将通胀视为外生变量，未将货币实际回报与其他变量关联，导致协方差任意且未考虑政府名义转移支付。
THE PROCESS OF INFLATION is associated not only with a rising general price level, but also with uncertainty about its rate of change. It is the latter aspect of inflation that may give rise to risk premia on nominal assets as compared with a real safe asset. A possible framework for analyzing the structure of risk premia under inflationary conditions is the well-known Capital Asset Pricing Model (CAPM) developed by Sharpe and Lintner. Indeed, a number of papers have recently dealt with these risk premia by means of the CAPM framework or some close variety of it. We may mention the works of Roll [9], Sarnat [10], Fischer [4], Chen and Boness [1], and Friend, Landskroner, and Losq [5].1 The CAPM and its extentions to conditions of inflation use a microeconomic approach in a partial equilibrium analysis of the risk premia. A basic feature of the foregoing literature is the implicit treatment of inflation as exogenous. Alternatively, there is no theory to relate the real return on money (to be denoted 7r) to the other variables in the CAPM formulation. This leads to two important shortcomings. First, the covariance of 7r with the rates of return appears as completely arbitrary. Second, since X was considered as exogenous, the authors did not consider the need to include in their models the government's nominal transfer pay-