Stocks are a Good Hedge for Inflation (In the Long Run)

Jacob Boudoukh and Matthew Richardson

Rodney L. White Center for Financial Research Working Papers from Wharton School Rodney L. White Center for Financial Research

Abstract: It is a common empirical finding that stocks are not a good hedge for either ex-ante or ex-post inflation at short horizons. In contrast, using two centuries of data, we demonstrate that there is a positive relation between stock returns and inflation at long horizons. This result is reconciled with the anomalous short run evidence by appealing to the proxy-effect in the context of a consumption based asset pricing model.

References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fth:pennfi:14-92

Access Statistics for this paper

More papers in Rodney L. White Center for Financial Research Working Papers from Wharton School Rodney L. White Center for Financial Research Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().