ریسک تورم متغیر با زمان و بازده سهام
ترجمه نشده

ریسک تورم متغیر با زمان و بازده سهام

عنوان فارسی مقاله: ریسک تورم متغیر با زمان و بازده سهام
عنوان انگلیسی مقاله: Time-varying inflation risk and stock returns
مجله/کنفرانس: مجله اقتصاد امور مالی - Journal Of Financial Economics
رشته های تحصیلی مرتبط: اقتصاد، مدیریت
گرایش های تحصیلی مرتبط: اقتصاد مالی، اقتصاد پولی، مهندسی مالی و ریسک، توسعه اقتصادی و برنامه ریزی، مدیریت مالی
کلمات کلیدی فارسی: تورم، صرف ریسک تورم متغیر با زمان، مقابله با تورم، بازده سهام اختصاصی، قیمت گذاری دارایی مقطعی، کواریانس اسمی-واقعی
کلمات کلیدی انگلیسی: Inflation، Time-varying inflation risk premium، Inflation hedging، Individual stock returns، Cross-sectional asset-pricing، Nominal-real covariance
نوع نگارش مقاله: مقاله پژوهشی (Research Article)
نمایه: Scopus - Master Journals List - JCR
شناسه دیجیتال (DOI): https://doi.org/10.1016/j.jfineco.2019.09.012
دانشگاه: Nova School of Business and Economics, Rua Holanda 1, Carcavelos 2775-405, Portugal
صفحات مقاله انگلیسی: 54
ناشر: الزویر - Elsevier
نوع ارائه مقاله: ژورنال
نوع مقاله: ISI
سال انتشار مقاله: 2020
ایمپکت فاکتور: 5/037 در سال 2019
شاخص H_index: 223 در سال 2020
شاخص SJR: 13/636 در سال 2019
شناسه ISSN: 0304-405X
شاخص Quartile (چارک): Q1 در سال 2019
فرمت مقاله انگلیسی: PDF
وضعیت ترجمه: ترجمه نشده است
قیمت مقاله انگلیسی: رایگان
آیا این مقاله بیس است: بله
آیا این مقاله مدل مفهومی دارد: دارد
آیا این مقاله پرسشنامه دارد: ندارد
آیا این مقاله متغیر دارد: دارد
کد محصول: E14709
رفرنس: دارای رفرنس در داخل متن و انتهای مقاله
فهرست مطالب (انگلیسی)

Abstract

1- Introduction

2- Data

3- The time-varying relation between inflation and consumption

4- The time-varying inflation risk premium

5- Origins of the time-varying inflation risk premium

6- Model

7- Calibration

8- Robustness checks

9- Conclusion

References

بخشی از مقاله (انگلیسی)

Abstract

We show that inflation risk is priced in stock returns and that inflation risk premia in the cross-section and the aggregate market vary over time, even changing sign as in the early 2000s. This time variation is due to both price and quantities of inflation risk changing over time. Using a consumption-based asset pricing model, we argue that inflation risk is priced because inflation predicts real consumption growth. The historical changes in this predictability and in stocks’ inflation betas can account for the size, variability, predictability, and sign reversals in inflation risk premia.

Introduction

We show that inflation risk is priced in stock returns and that both the price and quantities of inflation risk are strongly time-varying, even changing sign over our sample from 1962 to 2014. We argue that inflation is risky because it predicts real consumption growth in a time-varying way. Positive shocks to inflation sometimes contain bad news for future consumption, whereas at other times they contain good news. We provide new empirical evidence, for both the cross-section of stock returns and the aggregate stock market, and develop an equilibrium model to argue that it is the time-variation in the predictive content of inflation that drives the observed time-variation in the price and quantities of inflation risk. To quantify the predictive content of inflation at a given point in time, we define the nominal-real covariance as the slope coefficient in a conditional (that is, rolling) regression of real consumption growth on lagged inflation. We find that this nominal-real covariance is an economically strong and statistically significant predictor of the inflation risk premium in the cross-section of stocks. We measure the quantity of inflation risk of stocks by their conditional inflation beta, that is, the slope coefficient in a rolling regression of returns on inflation shocks. A one standard deviation increase in the nominal-real covariance predicts an increase in annualized expected return of 5.3% for a high-minus-low portfolio constructed by sorting stocks in deciles according to their inflation beta. Given an unconditional average return for the high-minus-low inflation beta portfolio of -4.2%, this increase implies that the inflation risk premium can switch sign.