Gürkaynak, Levin, and Swanson (2008) examined far-ahead forward inflation compensation and found significant effects of news for the United States but not for Sweden or the United Kingdom; Gürkaynak, Levin, Marder, and Swanson (2007) obtained consistent results for Canada and Chile, and Beechey, Johannsen, and Levin (2008) found no significant effects of news on far-ahead forward inflation compensation for the euro area.
Our basic message is that this same discount rate variation may also be central to thinking about financial intermediation and, in particular, the connection between the asset and liability sides of intermediary balance sheets. In a world with transitory pricing shocks, a stable funding structure can be an important source of comparative advantage for holding certain types of assets.