Extreme Inflation and Time-Varying Expected Consumption Growth

The authors thank the editor (Kay Giesecke), the associate editor, the two referees, seminar participants and colleagues at Goethe University, Deutsche Bundesbank, Wharton, BI Oslo, Leibniz-Institut fuer Wirtschaftsforschung Halle, Schweizerische Nationalbank, and Oesterreichische Nationalbank, as well as the participants of the Western Finance Association 2018 Coronado, Swiss Society for Financial Market Research 2018, German Economists Abroad Conference 2017, Paris December Finance Meeting 2017, German Finance Association 2017, European Summer Symposium on Financial Markets Gerzensee 2017, Midwest Finance Association 2017, French Finance Association 2017, and the 2017 Colloquium on Financial Markets in Cologne for comments and suggestions; Angela Abbate (discussant), Geert Bekaert, Fernando Duarte, Stefan Eichler (discussant), Tom Holden, Philipp Illeditsch, Martin Kliem, Jan Kragt (discussant), Mattia Landoni, Sydney Ludvigson, Emanuel Mönch, Olesya Grishchenko (discussant), Philippe Mueller, Athanasios Orphanides, Marcel Priebsch, Dongho Song (discussant), Marta Szymanowska, Jules van Binsbergen, Jessica Wachter (discussant), Todd Walker, Rüdiger Weber (discussant), and Amir Yaron; and Franziska Schulte and Iliya Karaivanov for excellent research assistance. A previous version of this paper was circulated under the title “Extreme inflation and time-varying disaster risk.” This work represents the authors' personal opinions and does not necessarily reflect the views of the Deutsche Bundesbank or the Eurosystem.