Getting to the Core: Inflation Risks Within and Across Asset Classes
研究实物资产能否对冲通胀，发现股票对核心通胀的贝塔为负，而对能源通胀的贝塔为正；货币、商品和房地产主要对冲能源通胀而非核心通胀。核心通胀在资产类别内和跨类别中均带有负风险溢价，而能源通胀自1990年代以来变得更顺周期和波动，有助于解释股票与债券收益的时变相关性。
Abstract 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.