and inflation responses to a source of inflation risk. Bond yields contain compensations for this risk that depend on the … policy. Credibility improvements reduce the exposure to inflation risk and bond risk premiums decline. A model calibration …

Did the decline in inflation rates from 2012 to 2015 and the low levels of market-based inflation expectations lead to … de-anchored inflation dynamics in the euro area? This paper is the first time-varying event study to investigate the … reaction of inflation-linked swap (ILS) rates - a market-based measure of inflation expectations - to macroeconomic surprises …

We analyze the degree of anchoring of inflation expectations in the euro area during the post-crisis period, with a …. Using a new estimation technique, we look at tail co-movements between short- and long-term distributions of inflation … expectations, estimated from daily quotes of inflation derivatives. We find that, during 2014, average correlations between short …

inflation rate or interest rate and the dynamics of investment fund in U.S. and Romania. The direct relationship between … inflation rate and net subscription of stock funds in the US market is validated, while in the case of Romania cannot be …

Existing research discards domestic equities as inflation hedge, yet, to the best of my knowledge, overlooks … international equities. I show that international equities hedge against inflation level and inflation changes more effectively than … domestic equities. The protection is stronger for country-specific inflation shocks and for weak domestic currencies …

I provide empirical evidence indicating that inflation risk is time-varying and priced in the cross-section of … individual stocks in the U.S. and UK equity markets. I establish that the way inflation risk is priced in equity markets is … closely related to the cyclicality of inflation. I show that the market price of inflation shocks is positive (negative) in …

We study the relation between US inflation and the performance of global asset classes (including bonds, stocks … recent 30 years (1991–2020). We find that most assets had positive average real returns in both low- and high-inflation years …. While average real returns were lower in years with higher inflation for most assets, many of the differences are not …

into account expected inflation and some measure of the expected output gap. On the other hand, realized inflation and …

Beziehung der EWU-Anleiherenditen in der jüngsten Periode hoher Inflation. Wir analysieren die täglichen 10-jährigen … most recent period of high inflation. We analyze daily 10y sovereign bond yields for both, sample and sub-samples, by … Sovereign Debt Crisis, as well as in the more recent period of sharp increases in inflation which is experienced globally. The …