Do Asset Prices Help Predict Inflation? Evidence from Individual Stock Prices
资产价格能否帮助预测通胀？来自个股价格的证据
This paper revisits the predictive power of asset prices for inflation, focusing on individual stock prices rather than aggregate indices. Using a large panel data of firm-level stock prices and applying machine learning techniques, we demonstrate that individual stock prices significantly enhance the accuracy of inflation forecasts, particularly over medium- to long-term horizons and during periods of high inflationary and deflationary pressure. Compared to composite and…