Asset returnsSustained inflation is detrimental to long-run growth and the financial system. A recent theoretical literature suggests that high inflation implies low real returns on assets. These low returns exacerbate informational frictions, interfering with the functioning of financial markets and the ...
inflationand asset returns NORTHERN ILLINOIS UNIVERSITY Evan W. Anderson BiswasAnindyaThis dissertation is about the output gap, inflation, and asset returns. The first chapter analyzes the impact of the output gap on market excess returns. The output gap is usually defined as the deviation of the...
Nakibullah, AshrafElsevierJournal of MacroeconomicsNakibullah, A., 1992. Asset returns and inflation in a cash-in-advance economy. Journal of Macroeco- nomics 14, 155-164.NAKIBULLAH, A. (1992). «Asset Returns and Inflation in a Cash-in-Advance Economy». Journal of Macroeconomics, 14,...
Do Lagged Asset Returns and Inflation Rates Matter for the Smooth Regime Switching of Asset Returns? This paper constructs smooth regime switching Fisher equations for market participants directly applying available past inflation rates to detect whether t......
Volatility is the price you pay for potentially superior annual returns. Also notice that because the averagerealannual returns from cash and bonds are low compared to shares, a period of high inflation can see them still post negative real returns even after 20 years. ...
摘要: This paper derives solutions for inflation and asset prices in a cash-in-advance economy with logarithmic preferences. Although the monetary and real processes are independent, the money supply affects real interest rates and stock returns, as well as nominal interest rates.关键词:...
the obligation. In this case, the employer is not obligated to make any additional contributions for prior periods. The ability of the plan to provide an adequate retirement benefit will depend heavily on the size of the periodic contributions and the investment returns to the assets in the ...
Notice that this is very close to the $116K adjusted for inflation since Menzie wrote that post. Give or take. What you’re missing is that GDP (as a proxy for national income) includes returns to all factors of production. When you divide GDP by the total n...
between asset returns and inflation and the optimal strategic asset allocation for investors seeking to hedge inflation risk in two types of macroeconomic ... M Briere,O Signori - 《Journal of Portfolio Management》 被引量: 26发表: 2012年 Style analysis of funds of hedge funds This chapter ana...
Asset returns and inflation J. Financ. Econ (1977) W. Ferson et al. The ″out-of-sample″ performance of long run risk models J. Financ. Econ (2013)View more references Cited by (17) Crude oil prices and clean energy stock indices: Lagged and asymmetric effects with quantile regression ...