Abstract
This paper studies the co-movements of real asset returns, inflation and money growth. The model implies negative correlations between expected asset returns and expected inflation, and it predicts that the inflation-asset return correlation will be more strongly negative when inflation is generated by fluctuations in real economic activity than when it is generated by monetary fluctuations.
Volume
47
Page
1315-1342
Year
1992
Categories
Financial and Statistical Methods
Asset and Econometric Modeling
Inflation
Actuarial Applications and Methodologies
Valuation
Publications
Journal of Finance