| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14708 |
| DP14708 Common shocks in stocks and bonds | |
| Anna Cieslak; Hao Pang | |
| 发表日期 | 2020-05-04 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We propose a new approach to identify economic shocks (monetary, growth, and risk-premium news) from stock returns and Treasury yields. The method allows us to study the drivers of asset prices at a daily frequency over the last three-and-a-half decades. We analyze the content of news from the Fed, major macro announcements, and sources of time-varying stock-bond comovement. The results emphasize the importance of two risk-premium shocks—compensation for discount-rate and cash-flow news—which have different effects on stocks and bonds. The impact of the Fed on both risk premiums explains why stocks but not bonds earn high FOMC-day returns. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| 关键词 | Stock-bond comovement Federal Reserve Risk premia |
| URL | https://cepr.org/publications/dp14708 |
| 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/543625 |
| 推荐引用方式 GB/T 7714 | Anna Cieslak,Hao Pang. DP14708 Common shocks in stocks and bonds. 2020. |
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