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, exposure to monetary-policy induced inflation risk is a monotonic function of firm markup. Using markup 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 develop a continuous-time Calvo model to guide our empirical exercise and to quantitatively account for the inflation risk premium in the data.