Presentation at the 22nd Henry Thornton Lecture, City University Business School, London, England - Nov. 28, 2000

An exploration of the cross-sectional relationship between inflation and an array of indicators of financial market conditions, using time-averaged data covering several decades and a large number of countries.

“Expectations” is the Twenty-Second Henry Thornton Lecture, given by the author at the Department of Banking and Finance, City University Business School, London, England, on November 28, 2000.

This paper describes potential new markets for long-term inflation risk, and shows the relationship such markets would have to other potential new markets, markets for long-term claims on income aggregates. One inflation-risk market which would be very useful is a market for long-term (or...

Given the frequency of price changes, the real effects of a monetary shock are smaller if adjusting firms are disproportionately likely to be ones with prices set before the shock. This selection effect is important in a large class of sticky-price models with time-dependent price adjustment. We...