G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w20070
来源IDWorking 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
URLhttps://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.
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