| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18357 |
| 来源ID | Working Paper 18357 |
| A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets | |
| Ravi Bansal; Ivan Shaliastovich | |
| 发表日期 | 2012-09-06 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We show that bond risk-premia rise with uncertainty about expected inflation and fall with uncertainty about expected growth; the magnitude of return predictability using these two uncertainty measures is similar to that by multiple yields. Motivated by this evidence, we develop and estimate a long-run risks model with time-varying volatilities of expected growth and inflation. The model simultaneously accounts for bond return predictability and violations of uncovered interest parity in currency markets. We find that preference for early resolution of uncertainty, time-varying volatilities, and non-neutral effects of inflation on growth are important to account for these aspects of asset markets. |
| 主题 | Macroeconomics ; International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w18357 |
| 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/576034 |
| 推荐引用方式 GB/T 7714 | Ravi Bansal,Ivan Shaliastovich. A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets. 2012. |
| 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 | ||
| w18357.pdf（291KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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