volatility based upon two hypotheses—inflation illusion and heterogeneous beliefs. Our theoretical framework posits that equity … sources of equity mispricing and market excess volatility under a VAR framework. Empirically, we find that both inflation … explaining stock mispricing in the long run. We also find that heterogeneous beliefs cause excess volatility, but inflation …

about mean payoffs, price bubbles arise without collateralisation, which may discipline prices as pessimists demand higher …

correlation between the US dividend yield and expected inflation. It finds that results derived from the procedure are sensitive … inflation raise subjective real equity premia. …

A reduction in inflation can fuel run-ups in housing prices if people suffer from money illusion. For example … account that inflation lowers future real mortgage costs. We decompose the price-rent ratio in a rational component — meant to … capture the proxy effect and risk premia — and an implied mispricing. We find that inflation and nominal interest rates …