We show that the relation between stock returns and changes in expected inflation depends importantly on economic conditions. For both quarterly and monthly stock returns over 1982:Q1-1997:Q3 (1997:Q4-2017:Q4), we find a negative (positive) stock-inflation relation that was much stronger during...

We study the comovement of U.S. REIT equity returns and inflation shocks over 1981 to 2019, measured using both survey-based expected inflation and the realized CPI. Our empirical analysis reveals a complex relation between REIT equity returns and inflation shocks that changes sign depending on...

This paper integrates the literature of Mortgage Design with that of Rotating Savings and Credit Associations (ROSCAs) to present a novel way of mortgage financing (with a zero interest rate) using cooperatives. This mode of financing dissipates credit (default) risk better than the normal mode...

The effects of changes in monetary policy are studied in a general equilibrium model where money facilitates transactions. Because there are two types of agents, workers and capitalists, different elasticities of money demand exist, implying that monetary policy influences the distribution of...

In this paper we model the contribution of monetary growth shocks to aggregate fluctuations. Our innovation is to combine persistent money growth shocks with taxes on nominal capital gains in a model in which the central bank operates policy using an interest rate rule. All three features are...

In this paper we show that a model featuring durables consumption, weak credibility, and sticky prices can explain many of the stylized facts associated with exchange-rate-based stabilization, including the quantitative variation exhibited by key macroeconomic variables. In standard models, the...

The performance of a "capital certain" Divisia index constructed using the same components included in the Bank of England"s MSI plus national savings; a "risky" Divisia index constructed by adding bonds, shares and unit trusts to the list of assets included in the first index; and a capital...