Review of Financial Studies. Jan2016, Vol. 29 Issue 1, p193-231. 39p.
耐用商品,通脹風險和均衡資産價格
作者:Bj?rn Eraker (Wisconsin School of Business, University of Wisconsin), Ivan Shaliastovich (Wharton School, University of Pennsylvania), Wenyu Wang (Kelley School of Business, Indiana University)
摘要:衆所周知,高預期通脹預示着低的未來實際增長。我們證明了:相較于生産非耐用品的經濟部門,這一可預測性在耐用品部門更為明顯。預期通脹風險對耐用品生産企業的股票回報有更大的負面影響,這一情況與宏觀經濟證據相符合。我們估計了一個兩商品遞歸效用模型,其特征與耐用品和非耐用品消費的增長波動和非中性通脹一緻。我們的模型可以定量地解釋債券和股票價格的水平和波動性,以及股票回報、債券回報和預期通脹之間的相關關系。
Durable Goods, Inflation Risk, and Equilibrium Asset Prices
Bj?rn Eraker (Wisconsin School of Business, University of Wisconsin), Ivan Shaliastovich (Wharton School, University of Pennsylvania), Wenyu Wang (Kelley School of Business, Indiana University)
ABSTRACT: High expected inflation is known to predict low future real growth. We show that, relative to nondurable goods sectors of the economy, such predictability is significantly more pronounced in durable sectors. Consistent with this macroeconomic evidence, the equity returns of durable goods-producing firms have a larger negative exposure to expected inflation risks. We estimate a two-good recursive utility model that features persistent growth fluctuations and inflation nonneutrality for durable and nondurable consumption. Our model can quantitatively account for the levels and volatilities of bond and equity prices, and correlations of equity returns with bond returns and with expected inflation.
原文鍊接:https://www.researchgate.net/profile/Ivan_Shaliastovich/publication/228172055_Durable_Goods_Inflation_Risk_and_the_Equilibrium_Asset_Prices/links/54fda8320cf270426d12c80d.pdf
翻譯:孫雨琦