Fang, Xiang; Liu, Yang; Roussanov, Nikolai - National Bureau of Economic Research - 2022
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 …