Working papers
Inflation Surprises and Asset Returns: A Macrohistory Perspective
with Chi Hyun Kim and Moritz Schularick
Abstract
We study the relationship between inflation surprises and asset returns across 18 advanced countries from 1870 to 2023. Using a newly constructed dataset of inflation surprises we show that stocks, housing, and bond returns decline following a surprise increase in inflation. The monetary policy reaction to inflation surprises matters for the asset price response. In fixed exchange regimes, i.e., when monetary policy is restrained, the negative response of real assets is much more muted. The source of inflation, on the other hand, plays only a minor role in explaining the negative responses of asset
returns.
PDF (March 2025)
Data: inflation expectations (.dta)
Presentations: Princeton, FED St. Louis, St. Gallen, UPenn, Bonn, CEBRA, Singapore, Kiel-CEPR
The picture shows the time-varying impact response of real equity returns and short-term interest rates to a 5 p.p. inflation surprise, for a panel 18 OECD countries in 1870-2023
Work in progress
Who gains from capital gains? Realizations over the lifecycle - with Moritz Kuhn
The Credit Channel of Inflation - [Job market paper]