| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11227 |
| DP11227 Term structures of asset prices and returns | |
| Mikhail Chernov; David Backus; Nina Boyarchenko | |
| 发表日期 | 2016-04-13 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We explore the term structures of claims to a variety of cash flows: US government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term structures reflect the dynamics of the dollar pricing kernel, of cash flow growth, and of their interaction. We use simple models to illustrate how relations between the two components can deliver term structures with a wide range of levels and shapes. |
| 主题 | Financial Economics |
| 关键词 | Coentropy Excess returns Entropy Term structure Yields |
| URL | https://cepr.org/publications/dp11227 |
| 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/540045 |
| 推荐引用方式 GB/T 7714 | Mikhail Chernov,David Backus,Nina Boyarchenko. DP11227 Term structures of asset prices and returns. 2016. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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