for the mild effects on inflation and economic activity of the recent increase in the price of oil: (a) good luck (i …

Estimating the liquidity differential between inflation-indexed and nominal bond yields, we separately test for time …-varying real rate risk premia, inflation risk premia, and liquidity premia in U.S. and U.K. bond markets. We find strong, model … independent evidence that real rate risk premia and inflation risk premia contribute to nominal bond excess return predictability …

impact of time-varying inflation. Consistent with the Modigliani-Cohn hypothesis, we find that the level of inflation …

We propose a new approach to constructing inflation tracking portfolios. The key to this approach is the insight that … asset returns track expected inflation far better than they track current realized inflation. Thus, we can construct … portfolios that track next month's inflation much more closely than they track this month's inflation. We show this staggered …

and bond returns into changes in expectations of future stock dividends, inflation, short-term real interest rates, and … about future excess stock returns, while excess 10-year bond returns are driven largely by news about future inflation. Real …

over the business cycle. In addition, commodity futures are positively correlated with inflation, unexpected inflation, and … changes in expected inflation …