Review of Financial Studies. Jan2016, Vol. 29 Issue 1, p193-231. 39p.

耐用商品，通胀风险和均衡资产价格

作者：Bj?rn Eraker (Wisconsin School of Business, University of Wisconsin), Ivan Shaliastovich (Wharton School, University of Pennsylvania), Wenyu Wang (Kelley School of Business, Indiana University)

摘要：众所周知，高预期通胀预示着低的未来实际增长。我们证明了：相较于生产非耐用品的经济部门，这一可预测性在耐用品部门更为明显。预期通胀风险对耐用品生产企业的股票回报有更大的负面影响，这一情况与宏观经济证据相符合。我们估计了一个两商品递归效用模型，其特征与耐用品和非耐用品消费的增长波动和非中性通胀一致。我们的模型可以定量地解释债券和股票价格的水平和波动性，以及股票回报、债券回报和预期通胀之间的相关关系。

Durable Goods, Inflation Risk, and Equilibrium Asset Prices

Bj?rn Eraker (Wisconsin School of Business, University of Wisconsin), Ivan Shaliastovich (Wharton School, University of Pennsylvania), Wenyu Wang (Kelley School of Business, Indiana University)

ABSTRACT: High expected inflation is known to predict low future real growth. We show that, relative to nondurable goods sectors of the economy, such predictability is significantly more pronounced in durable sectors. Consistent with this macroeconomic evidence, the equity returns of durable goods-producing firms have a larger negative exposure to expected inflation risks. We estimate a two-good recursive utility model that features persistent growth fluctuations and inflation nonneutrality for durable and nondurable consumption. Our model can quantitatively account for the levels and volatilities of bond and equity prices, and correlations of equity returns with bond returns and with expected inflation.

原文链接：https://www.researchgate.net/profile/Ivan_Shaliastovich/publication/228172055_Durable_Goods_Inflation_Risk_and_the_Equilibrium_Asset_Prices/links/54fda8320cf270426d12c80d.pdf

翻译：孙雨琦