The purpose of the present paper is to investigate the effects of expected inflation on the general level of common … inflation on P. To anticipate, we find that increases in expected inflation depress current equity prices by bout the same … amount as found in a related study of Modigliani and Cohn: a l00 basis point increase in expected inflation, holding real …

these securities represent the only true long-run hedge against inflation risk. CPI-linked bonds make possible the creation … inflation-protected retirement annuities. The introduction of index-linked bonds eliminates one of the main obstacles to the …

We propose a new approach to constructing inflation tracking portfolios. The key to this approach is the insight that … asset returns track expected inflation far better than they track current realized inflation. Thus, we can construct … portfolios that track next month's inflation much more closely than they track this month's inflation. We show this staggered …

to the fact that both bond and equity yields commove strongly and positively with expected inflation. While inflation … commoves with nominal bond yields for well-known reasons, the positive correlation between expected inflation and equity yields … uncertainty about real growth prospects and habit -- based risk version. In the US, high expected inflation has tended to …

If inflation expectations become firmly anchored at the inflation target even when average inflation deviates from the … target, the long-run Phillips curve becomes non-vertical. During 1997-2011, average inflation expectations in Sweden have … been close to the inflation target of 2 percent, whereas average inflation has fallen short of the target by 0.6 percentage …

We implement a survey of Dutch households in which random subsets of respondents receive information about inflation …. The resulting exogenously generated variation in inflation expectations is used to assess how expectations affect … subsequent monthly consumption decisions relative to those in a control group. The causal effects of elevated inflation …

This paper examines the effects of expected inflation on the responsiveness of output to nominal disturbances in the … framework of a localized markets model. The mechanism described in the theoretical part of the paper is that expected inflation … sensitivity of real output to these socks. The empirical implication of this proposition -- namely ,that expected inflation …

This paper presents a model of monetary policy in which a rise in inflation raises uncertainty about future inflation …. When inflation is low, there is a consensus that the monetary authority will try to keep it low. When inflation is high …

This paper presents a new explanation for the negative correlation between ex post real interest rates and inflation … movements in ex post real interest rates and inflation. We argue that such a correlation can arise when people incorporate … anticipated shifts in inflation policy into their expectations. Under these circumstances, a shift to lower (higher) inflation …

We consider the puzzling behavior of interest rates and inflation in the United States and the United Kingdom between … World War I; the average inflation rate was 3.8 percentage points higher in the second period than in the first. Yet nominal … consistent with rational expectations if inflation were not forecastable, and indeed univariate tests show little sign of serial …