TY  - BOOK
AU  - Fang,Xiang
AU  - Liu,Yang
AU  - Roussanov,Nikolai
ED  - National Bureau of Economic Research.
TI  - Getting to the Core: Inflation Risks Within and Across Asset Classes 
T2  - NBER working paper series
PY  - 2022///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
KW  - Price Level • Inflation • Deflation
KW  - jelc
KW  - Financial Markets and the Macroeconomy
KW  - Monetary Policy, Central Banking, and the Supply of Money and Credit
KW  - Foreign Exchange
KW  - Asset Pricing • Trading Volume • Bond Interest Rates
KW  - International Financial Markets
N1  - June 2022; Hardcopy version available to institutional subscribers
N2  - Do "real" assets protect against inflation? Core inflation betas of stocks are negative while energy betas are positive; currencies, commodities, and real estate also mostly hedge against energy inflation but not core. These hedging properties are reflected in the prices of inflation risks: only core inflation carries a negative risk premium, and its magnitude is consistent both within and across asset classes, uniquely among macroeconomic risk factors. While high core inflation tends to be followed by low real output, consumption, and dividend payouts, it impacts asset prices through both cash-flow and discount rate channels. The relative contribution of core and energy changes over time, helping explain the time-varying correlation between stock and bond returns. A two-sector New Keynesian model qualitatively accounts for these facts and implies that the changing stock-bond correlation can be attributed to the shifting importance of supply and demand shocks in driving energy inflation over time
UR  - https://www.nber.org/papers/w30169
UR  - http://dx.doi.org/10.3386/w30169
ER  -