Classical theories of monetary economics predict that real stock returns are negatively correlated with inflation when … countries with hyperinflation. In this paper, I examine the stock return-inflation relation under different monetary policy … regimes and conditions using an expanded dataset of 71 economies. Empirical evidence suggests that the stock return-inflation …

Inflation risk is greatest in times of national or global stress; inflation risk is a form of a “tail risk.” A … traditional portfolio of stocks and bonds is exposed to inflation risk. The specific nature of an investor's liabilities and … spending determines inflation sensitivity beyond that of the asset portfolio. Commodities and TIPS are the most effective short …

by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … inflation risks are not necessarily reduced with the inclusion of real estate assets in the minimum variance portfolio. Our … investors for holding the less attractive inflation-linked debt asset. …

Compared with stocks, bonds are more directly affected by fluctuations in oil prices through the expected inflation … shocks predict negative real bond risk premium and positive inflation risk premium. Since these two effects offset each other … bond yield, breakeven inflation, and nominal bond yield respond differently to oil supply and demand shocks …

We show that inflation risk is priced in stock returns and that inflation risk premia in the cross-section and the … quantities of inflation risk changing over time. Using a consumption-based asset pricing model, we argue that inflation risk is … priced because inflation predicts real consumption growth. The historical changes in this predictability and in stocks …

We review the relationship between inflation and real stock returns. Stocks tend to outperform inflation over long … horizons, and recent data show a weakened correlation between inflation and real returns. However, controlling for monetary … inflation. We find that a one standard deviation increase in unexpected inflation can lower expected returns by about 1% per …