Fang, Xiang; Liu, Yang; Roussanov, Nikolai - National Bureau of Economic Research - 2022
Do "real" assets protect against inflation? Core inflation betas of stocks are negative while energy betas are positive … reflected in the prices of inflation risks: only core inflation carries a negative risk premium, and its magnitude is consistent … both within and across asset classes, uniquely among macroeconomic risk factors. While high core inflation tends to be …