| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14701 |
| 来源ID | Working Paper 14701 |
| Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds | |
| John Y. Campbell; Adi Sunderam; Luis M. Viceira | |
| 发表日期 | 2009-02-05 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | The covariance between US Treasury bond returns and stock returns has moved considerably over time. While it was slightly positive on average in the period 1953--2009, it was unusually high in the early 1980''s and negative in the 2000''s, particularly in the downturns of 2000--02 and 2007--09. This paper specifies and estimates a model in which the nominal term structure of interest rates is driven by four state variables: the real interest rate, temporary and permanent components of expected inflation, and the ""nominal-real covariance"" of inflation and the real interest rate with the real economy. The last of these state variables enables the model to ...fit the changing covariance of bond and stock returns. Log bond yields and term premia are quadratic in these state variables, with term premia determined by the nominal-real covariance. The concavity of the yield curve - the level of intermediate-term bond yields, relative to the average of short- and long-term bond yields - is a good proxy for the level of term premia. The nominal-real covariance has declined since the early 1980''s, driving down term premia. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w14701 |
| 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/572377 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,Adi Sunderam,Luis M. Viceira. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds. 2009. |
| 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 | ||
| w14701.pdf（2504KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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