purpose, cointegration was tested for between equities, bonds and real estate markets in the period 1980 to 2014, whereas the … U. S. monetary base M2 was used as an exogenous variable. Our cointegration tests suggest that the exogenous component …

lower levels of wealth. We quantify how changingcorrelations between inflation, real bond and stock returns, and changes … inthe inflation process affect household portfolios. Higher mean inflationincreases stock market participation, while … portfolios shift to bonds andstocks, and away from money. A negative inflation-bond return correlation,or a positive stock …

impact on stock holdings, while inflation risk can give rise to significant hedging demands. The impact of inflation … volatility depends on whether stocks are a hedge against inflation risk. Higher inflation volatility reduces (increases) stock … at lower levels of financial wealth. Higher mean inflation leads to a reallocation between money and bonds with a modest …

implications to risk-based asset allocation. Using a regime-switching model that controls for the economic effects of monetary … policy we identify three co-movement regimes. We document that risk-based portfolio strategies poorly perform in the low … correlation regime which features inflation shocks. We find outperformance evidence under the negative correlation regime with a …

The modern theory on money demand incorporates the evolution of financial markets behaviour, and then of households … utility of money holdings, through wealth and substitution effects. Liquidity has to be weighted with risk aversion and … function, and utility depends on profitability and liquidity, the first being related to risk too. Futures are (more) liquid …

estimates to account for parameter uncertainty. We find that for most European countries the dividend-price ratio and inflation …We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model … the long-horizon allocation. Parameter uncertainty plays a second-order role, dominated by strong variation in the dynamic …

estimated to be about 7% in 2007 with large standard errors mainly due to uncertainty in asset prices. The gap between actual … euro area M3 growth and model-based fitted or predicted values helps forecast euro area inflation. …

The paper aims to examine the effects of global economic policy uncertainty and monetary policy on corporate investment … uncertainty and analyzes the determinants of firms’ investments, particularly financial and fixed investments. The study shows … that monetary policy, relative risk in fixed investment, and the risk-adjusted return gap between financial and fixed …

beta risk in emerging stock markets. The results imply that investors interested in hedging inflation in emerging markets … should go beyond individual asset classes and embrace the portfolio optimization concept to reduce inflation risk. Given the …This study evaluated the relationship between inflation and infrastructure sector stock returns in emerging markets in …