Inflation and Asset Returns
本文回顾了通胀如何影响金融市场的经济机制与实证证据，利用新凯恩斯模型区分“好”通胀（需求冲击）与“坏”通胀（成本推动冲击），并讨论其对资产定价的含义，最后展望新通胀上升环境下的通胀风险溢价。
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.