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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w20070 |
来源ID | Working Paper 20070 |
Macroeconomic Drivers of Bond and Equity Risks | |
John Y. Campbell; Carolin Pflueger; Luis M. Viceira | |
发表日期 | 2014-04-24 |
出版年 | 2014 |
语种 | 英语 |
摘要 | Our new model of consumption-based habit formation preferences generates loglinear, homoskedastic macroeconomic dynamics and time-varying risk premia on bonds and stocks. Consumers' first-order condition for the real risk-free interest rate takes the form of an exactly loglinear consumption Euler equation, commonly assumed in New Keynesian models. Estimating the model separately for 1979-2001 and 2001-2011 explains why the exposure of US Treasury bonds to the stock market changed from positive to negative. A change in the comovement between inflation and the output gap explains changing bond risks, but only when risk premia change endogenously as predicted by the model. |
主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing |
URL | https://www.nber.org/papers/w20070 |
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/577744 |
推荐引用方式 GB/T 7714 | John Y. Campbell,Carolin Pflueger,Luis M. Viceira. Macroeconomic Drivers of Bond and Equity Risks. 2014. |
条目包含的文件 | 条目无相关文件。 |
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