| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4487 |
| DP4487 Macroeconomic Effects of Nominal Exchange Rate Regimes: New Insights into the Role of Price Dynamics | |
| Robert Kollmann | |
| 发表日期 | 2004-07-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | We present a tractable, linear model for the simultaneous pricing of stock and bond returns that incorporates stochastic risk aversion. In this model, analytic solutions for endogenous stock and bond prices and returns are readily calculated. After estimating the parameters of the model by GMM, we investigate a series of classic puzzles of the empirical asset pricing literature. In particular, our model is shown to jointly accommodate the mean and volatility of equity and long-term bond risk premia as well as salient features of the nominal short rate, the dividend yield, and the term spread. Also, the model matches the evidence for predictability of excess stock and bond returns. The stock-bond return correlation implied by the model is, however, somewhat higher than in the data. |
| 主题 | Financial Economics |
| 关键词 | Empirical asset pricing Stock bond correlation Macroeconomic factors |
| URL | https://cepr.org/publications/dp4487 |
| 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/533431 |
| 推荐引用方式 GB/T 7714 | Robert Kollmann. DP4487 Macroeconomic Effects of Nominal Exchange Rate Regimes: New Insights into the Role of Price Dynamics. 2004. |
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