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Inflation, inflation risks and asset returns

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  • Jo Corkish
  • David Miles

Abstract

If low and stable inflation is maintained then the economic environment in the United Kingdom will be very different from any sustained period in the post-war era. This may have significant implications for financial markets: asset prices, the demand and supply for various types of financial contract, and the structure of financial intermediation are likely to be affected by a low inflationary environment. This paper examines the empirical evidence on the links between asset returns, inflation and inflation variability. The real returns on a range of financial and physical assets and are calculated a model of inflation expectations and inflation variability developed. The impact of anticipated inflation, inflation shocks and the variability of inflation on asset values are then estimated.

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File URL: http://www.bankofengland.co.uk/archive/Documents/historicpubs/workingpapers/1994/wp27.pdf
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Bibliographic Info

Paper provided by Bank of England in its series Bank of England working papers with number 27.

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Date of creation: Nov 1994
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Handle: RePEc:boe:boeewp:27

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  1. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 59(3), pages 383-403, July.
  2. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-47, February.
  3. Breeden, Douglas T., 1986. "Consumption, production, inflation and interest rates : A synthesis," Journal of Financial Economics, Elsevier, Elsevier, vol. 16(1), pages 3-39, May.
  4. Hall, Stephen G & Miles, David K, 1992. "Measuring Efficiency and Risk in the Major Bond Markets," Oxford Economic Papers, Oxford University Press, vol. 44(4), pages 599-625, October.
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Cited by:
  1. Kenny, Geoff, 1998. "The Housing Market and the Macroeconomy: Evidence From Ireland," Research Technical Papers 1/RT/98, Central Bank of Ireland.

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