Inflation and Real Interest Rates on Assets with Different Risk Characteristics


  • We thank Robert Dennis, Gene Fama, Larry Fisher, Bob Holthausen, Roger Ibbotson, Steve LeRoy and participants in seminars at the University of Chicago, Northwestern University, University of California at Berkeley, Stanford University, University of California at Santa Barbara, North Carolina State University, the Congressional Budget Office and the Federal Reserve Bank of Philadelphia for their helpful comments. Randy Picker and Dan Goldman provided valuable research assistance. This research has been financed by the National Science Foundation and the Sloan Foundation. It is part of the National Bureau of Economic Research's Program in Economic Fluctuations.