Help
Cart
Skip main navigation

Available Issues

April 10, 2013 - July 6, 2026

Available Issues

April 10, 2013 - July 6, 2026

Extreme Inflation and Time-Varying Expected Consumption Growth

Published Online:14 Jun 2022https://doi.org/10.1287/mnsc.2022.4451

References

  • Ang A, Ulrich M (2012) Nominal bonds, real bonds and equity. Working paper.Google Scholar
  • Backus D, Chernov M, Martin I (2011) Disasters implied by equity index options. J. Finance. 66(6):1969–2012.Crossref, Google Scholar
  • Baele L, Bekaert G, Inghelbrecht K (2010) The determinants of stock and bond return comovements. Rev. Financial Stud. 23(6):2374–2428.Crossref, Google Scholar
  • Balduzzi P, Lan C (2016) Survey forecasts and the time-varying second moments of stock and bond returns. Working paper.Google Scholar
  • Bansal R, Shaliastovich I (2013) A long-run risks explanation of predictability puzzles in bond and currency markets. Rev. Financial Stud. 26(1):1–33.Crossref, Google Scholar
  • Bansal R, Yaron A (2004) Risks for the long run: A potential resolution of asset pricing puzzles. J. Finance 59(4):1481–1509.Crossref, Google Scholar
  • Bansal R, Kiku D, Yaron A (2012) An empirical evaluation of the long-run risks model for asset prices. Critical Finance Rev. 1(1):183–221.Crossref, Google Scholar
  • Bansal R, Kiku D, Yaron A (2016) Risks for the long run: Estimation with time aggregation. J. Monetary Econom. 82(1):52–69.Crossref, Google Scholar
  • Barro R (2006) Rare disasters and asset markets in the twentieth century. Quart. J. Econom. 121(3):823–866.Crossref, Google Scholar
  • Barro R (2009) Rare disasters, asset prices, and welfare costs. Amer. Econom. Rev. 99(1):243–264.Crossref, Google Scholar
  • Basak S, Yan H (2010) Equilibrium asset prices and investor behavior in the presence of money illusion. Rev. Econom. Stud. 77(3):914–936.Crossref, Google Scholar
  • Beeler J, Campbell J (2012) The long-run risks model and aggregate asset prices: An empirical assessment. Critical Finance Rev. 1(1):142–182.Crossref, Google Scholar
  • Benzoni L, Collin-Dufresne P, Goldstein RS (2011) Explaining asset pricing puzzles associated with the 1987 market crash. J. Financial Econom. 101(3):552–573.Crossref, Google Scholar
  • Bianchi F, Ilut C (2017) Monetary/fiscal policy mix and agents’ beliefs. Rev. Econom. Dynamics 26:113–139.Crossref, Google Scholar
  • Boons M, de Roon F, Duarte F, Szymanowska M (2020) Time-varying inflation risk and the cross-section of stock returns. J. Financial Econom. 136:444–470.Crossref, Google Scholar
  • Branger N, Kraft H, Meinerding C (2016) The dynamics of crises and the equity premium. Rev. Financial Stud. 29(1):232–270.Crossref, Google Scholar
  • Burkhardt D, Hasseltoft H (2012) Understanding asset correlations. Working paper, Swiss Finance Institute Research Paper Series, Zurich.Google Scholar
  • Campbell J, Sunderam A, Viceira L (2017) Inflation bets or deflation hedges? The changing risks of nominal bonds. Critical Finance Rev. 6(2):263–301.Crossref, Google Scholar
  • Campbell JY, Pflueger C, Viceira LM (2014) Monetary policy drivers of bond and equity risks. Working paper.Google Scholar
  • Campbell JY, Pflueger C, Viceira LM (2020) Macroeconomic drivers of bond and equity risks. J. Political Econom. 128(8):3148–3185.Crossref, Google Scholar
  • Chen H, Dou W, Kogan L (2020) Measuring the “dark matter” in asset pricing models. Working paper.Google Scholar
  • Chen H, Joslin S, Tran N-K (2012) Rare disasters and risk sharing. Rev. Financial Stud. 25:2189–2224.Crossref, Google Scholar
  • Clarida R, Gali J, Gertler M (2000) Monetary policy rules and macroeconomic stability: Evidence and some theory. Quart. J. Econom. 115(1):147–180.Crossref, Google Scholar
  • Cogley T, Sbordone AM (2008) Trend inflation, indexation, and inflation persistence in the New Keynesian Phillips curve. Amer. Econom. Rev. 98(5):2101–2126.Crossref, Google Scholar
  • Constantinides G (2008) Comment on “macroeconomic crises since 1870” by Barro and Ursua. Brookings Papers Econom. Act Issue 1:341–350.Google Scholar
  • Constantinides G, Ghosh A (2011) Asset pricing tests with long-run risk in consumption growth. Rev. Asset Pricing Stud. 1(1):96–136.Crossref, Google Scholar
  • Constantinides G, Ghosh A (2017) What information drives asset prices? Working paper, National Bureau of Economic Research, Cambridge, MA.Google Scholar
  • Croce M, Lettau M, Ludvigson S (2012) Investor information, long-run risk and the term structure of equity. Rev. Financial Stud. 28(3):706–742.Crossref, Google Scholar
  • David A, Veronesi P (2013) What ties return volatilities to price valuations and fundamentals. J. Political Econom. 121(4):682–746.Crossref, Google Scholar
  • Detemple JB (1986) Asset pricing in a production economy with incomplete information. J. Finance 41:383–391.Crossref, Google Scholar
  • Drechsler I (2013) Uncertainty, time-varying fear and asset prices. J. Finance 68(5):1843–1889.Crossref, Google Scholar
  • Duffee G (2018a) Expected inflation and other determinants of treasury yields. J. Finance 73:2139–2180.Crossref, Google Scholar
  • Duffee G (2018b) Expected inflation, real rates, and stock-bond comovement. Working paper, National Bureau of Economic Research, Cambridge, MA.Google Scholar
  • Duffie D, Epstein LG (1992a) Asset pricing with stochastic differential utility. Rev. Financial Stud. 5(3):411–436.Crossref, Google Scholar
  • Duffie D, Epstein LG (1992b) Stochastic differential utility. Econometrica 60(2):353–394.Crossref, Google Scholar
  • Erceg CJ, Levin AT (2003) Imperfect credibility and inflation persistence. J. Monetary Econom. 50(4):915–944.Crossref, Google Scholar
  • Ermolov A (2018) Time-varying risks of nominal bonds: How important are macroeconomic shocks. Working paper, Economics Research Network, SSRN, Rochester, NY.Google Scholar
  • Fleckenstein M, Longstaff F, Lustig H (2022) Deflation risk. Rev. Financial Stud. 30(8):2719–2760.Google Scholar
  • Gabaix X (2012) Variable rare disasters: An exactly solved framework for ten puzzles in macro-finance. Quart. J. Econom. 127(2):645–700.Crossref, Google Scholar
  • Gürkaynak RS, Sack B, Wright JH (2007) The U.S. Treasury yield curve: 1961 to the present. J. Monetary Econom. 54:2291–2304.Crossref, Google Scholar
  • Hasseltoft H (2009) The “Fed Model” and the changing correlation of stock and bond returns: An equilibrium approach. Preprint, submitted March 17, http://dx.doi.org/10.2139/ssrn.1361489.Google Scholar
  • Hasseltoft H (2012) Stocks, bonds, and long-run consumption risks. J. Financial Quant. Anal. 47(2):309–332.Crossref, Google Scholar
  • Julliard C, Ghosh A (2012) Can rare events explain the equity premium puzzle? Rev. Financial Stud. 25:3037–3076.Crossref, Google Scholar
  • Liptser R, Shiryaev A (2001) Statistics of Random Processes I: General Theory (Springer-Verlag, Berlin).Google Scholar
  • Lubik TA, Schorfheide F (2004) Testing for indeterminacy: An application to US monetary policy. Amer. Econom. Rev. 94(1):190–217.Crossref, Google Scholar
  • Marfe R (2015) Labor rigidity, inflation risk and bond returns. Preprint, submitted October 17, http://dx.doi.org/10.2139/ssrn.2675166.Google Scholar
  • Ortu F, Tamoni A, Tebaldi C (2013) Long-run risk and the persistence of consumption shocks. Rev. Financial Stud. 26(11):2876–2915.Crossref, Google Scholar
  • Piazzesi M, Schneider M (2006) Equilibrium yield curves. NBER Macroeconom. Annu. 389–442.Crossref, Google Scholar
  • Rietz T (1988) The equity premium: A solution. J. Monetary Econom. 22(1):117–131.Crossref, Google Scholar
  • Rudebusch GD, Swanson ET (2012) The bond premium in a DSGE model with long-run real and nominal risks. Amer. Econom. J. Macroeconom. 4(1):105–143.Crossref, Google Scholar
  • Schmeling M, Schrimpf A (2011) Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations? Eur. Econom. Rev. 55(5):702–719.Crossref, Google Scholar
  • Schorfheide F, Song D, Yaron A (2018) Identifying long-run risks: A Bayesian mixed-frequency approach. Econometrica 86(2):617–654.Crossref, Google Scholar
  • Schwenkler G (2018) Estimating the dynamics of consumption growth. Preprint, submitted March 17, http://dx.doi.org/10.2139/ssrn.3140044.Google Scholar
  • Sims CA (2011) Stepping on a rake: The role of fiscal policy in the inflation of the 1970s. Eur. Econom. Rev. 55(1):48–56.Crossref, Google Scholar
  • Song D (2017) Bond market exposures to macroeconomic and monetary policy risks. Rev. Financial Stud. 30(8):2761–2817.Crossref, Google Scholar
  • Tsai J, Wachter J (2015) Disaster risk and its implications for asset pricing. Annu. Rev. Financial Econom. 7:219–252.Crossref, Google Scholar
  • Wachter J (2006) A consumption-based model of the term structure of interest rates. J. Financial Econom. 79(2):365–399.Crossref, Google Scholar
  • Wachter J (2013) Can time-varying risk of rare disasters explain aggregate stock market volatility? J. Finance 68(3):987–1035.Crossref, Google Scholar
Previous
Back to Top
Next
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.
Agree