inflation differ over time. We show that the impact varies considerably over time, depends on the source of increased liquidity … (M1, M3-M1 or credit) and the underlying state of the economy (asset price boom-bust, business cycle, inflation cycle …

I find that nominal equity returns respond to unexpected inflation more negatively during contractions than expansions … correlations with unexpected inflation across the business cycle. The cross-sectional correlations of returns on book-to-market and … size portfolios with unexpected inflation mostly reflect the heterogeneous factor loadings of these portfolios on one of …

This paper considers a sticky price model with a cash-in-advance constraint where agents forecast inflation rates with …. While average output and inflation result the same as under rational expectations, higher moments differ substantially …: output and inflation show persistence, inflation responds sluggishly to nominal disturbances, and the dynamic correlations of …