| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3120 |
| DP3120 A Theory of Currency Denomination of International Trade | |
| Philippe Bacchetta; Eric van Wincoop | |
| 发表日期 | 2002 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | Evidence suggests that expected excess stock market returns vary over time, and that this variation is much larger than that of expected real interest rates. It follows that a large fraction of the movement in the cost of capital in standard investment models must be attributable to movements in equity risk premia. In this Paper we emphasise that such movements in equity risk premia should have implications not merely for investment today, but also for future investment over long horizons. In this case, predictive variables for excess stock returns over long-horizons are also likely to forecast long-horizon fluctuations in the growth of marginal Q, and therefore investment. We test this implication directly by performing long-horizon forecasting regressions of aggregate investment growth using a variety of predictive variables shown elsewhere to have forecasting power for excess stock market returns. |
| 主题 | Financial Economics |
| 关键词 | Q-theory investment Risk premia |
| URL | https://cepr.org/publications/dp3120 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532145 |
| 推荐引用方式 GB/T 7714 | Philippe Bacchetta,Eric van Wincoop. DP3120 A Theory of Currency Denomination of International Trade. 2002. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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