Engel, Charles; Kazakova, Ekaterina; Wang, Mengqi; … - National Bureau of Economic Research - 2021
evidence that year-on-year inflation rate differentials consistently predict excess returns - when the U.S. dollar y ….o.y. inflation rate has been relatively high, subsequent returns on U.S. deposits tend to be high. We interpret this evidence as … monetary policy. Interestingly, the predictive power of relative y.o.y. inflation only begins in the mid-1980s when central …