主题：Nominal Rigidity and the Inflation Risk Premium: Identification from the Cross Section of Equity Returns

主讲人：Hengjie Ai，威斯康辛大学商学院金融学教授

时间：2月26日（周三）上午10:00-11:30

地点：4-101教室

语言：英文

摘要：

Inflation risk premium is hard to identify in the data, because inflation induced by real shocks and that by nominal shocks carry risk premiums with opposite signs. We show that in the Calvo model of price rigidity, a firm’s exposure to inflation risk—induced by monetary policy—is a monotonic function of its profit margin. Using profit margin sorted portfolios around pre-scheduled FOMC announcements, we identify an inflation risk premium from the cross-section of equity returns that supports the Calvo mechanism of price adjustment. We also develop a continuous-time Calvo model to guide our empirical analysis and provide an explanation for the inflation risk premium observed in the data.

主讲人介绍：

Hengjie Ai joins the Wisconsin School of Business in January 2022 as a professor in the Department of Finance.

Professor Ai’s research interests include topics in asset pricing, corporate finance, and macroeconomic theory. His research has been published in top Economics journals such as Econometrica, and top finance journals such as the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies.

Prior to joining the Wisconsin School of Business, Professor Ai served as a faculty member in Finance at the Carlson School of Management at the University of Minnesota.

Hengjie holds a PhD in Economics from the University of Minnesota.