Stagflation as a Portfolio Risk Regime: Financial Market Effects and Implications for Risk Management
研究滞胀作为一种宏观金融风险状态，发现其与股市表现疲弱、市场波动显著上升相关，且主要通过波动渠道而非回报预测影响市场，对投资组合风险管理而非战术资产配置更有意义。
Stagflation represents a challenging macroeconomic environment for investors because it combines inflation pressures with weakening growth, conditions that can disrupt diversification and increase financial market uncertainty. This article examines stagflation as a macro-financial risk regime and develops a composite framework designed to track its evolution using both traditional macroeconomic indicators and real-time signals of geopolitical supply disruptions. The empirical results show that stagflation risk is associated with weaker equity market performance and significantly higher market volatility, with the strongest effects operating through the volatility channel rather than through return predictability. The analysis also documents a strong relationship between stagflation risk and economic policy uncertainty, suggesting that stagflation environments coincide with broader institutional uncertainty. Forward-looking tests indicate limited predictive power for returns but persistent predictive power for market volatility across multiple horizons. Taken together, the findings suggest that stagflation risk is most relevant for portfolio risk management rather than tactical asset allocation. From an asset management perspective, monitoring stagflation conditions may help inform volatility management, stress testing, and assessments of portfolio resilience under adverse macroeconomic environments. These results contribute to the literature on macro-financial regimes by highlighting the importance of incorporating stagflation risk into portfolio risk monitoring frameworks.