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Bond prices plummeted in early 1994. These losses occurred while the Fed was raising interest rates. John Y. Campbell argues that the Fed could have triggered the losses either by communicating information about incipient inflation or by increasing uncertainty about monetary policy and thus required returns. This paper presents an intertemporal model relating asset returns to news about future inflation, interest rates, risk premia, and dividends. Using this model to shed light on the empiricaldoi:10.2139/ssrn.65009 fatcat:flp3nb2phfee7noot6tmwecrau