全球智库信息集成服务系统(G2TT): What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w3760
来源ID	Working Paper 3760
	What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns
	John Y. Campbell; John Ammer
发表日期	1991-06-01
出版年	1991
语种	英语
摘要	This paper uses a log-linear asset pricing framework and a vector autoregressive model to break down movements in stock and bond returns into changes in expectations of future stock dividends, inflation, short-term real interest rates, and excess returns on stocks and bonds. In monthly postwar U.S. data, excess stock returns are found to be driven largely by news about future excess stock returns, while excess 10-year bond returns are driven largely by news about future inflation. Real interest rate changes have little impact on either stock or 10-year bond returns, although they do affect the short-term nominal interest rate and the slope of the term structure. These findings help to explain why postwar excess stock and bond returns have been almost uncorrelated.
主题	Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w3760
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/561077
推荐引用方式 GB/T 7714	John Y. Campbell,John Ammer. What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns. 1991.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w3760.pdf（540KB）	智库出版物		限制开放	CC BY-NC-SA	浏览