| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22162 |
| 来源ID | Working Paper 22162 |
| Term Structures of Asset Prices and Returns | |
| David Backus; Nina Boyarchenko; Mikhail Chernov | |
| 发表日期 | 2016-04-11 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We explore the term structures of claims to a variety of cash flows, namely, U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). The average term structures reflect the dynamics of the dollar pricing kernel, cash flow growth, and the interaction between the two. We use an affine model to illustrate how these two components can deliver term structures with a wide range of levels and shapes. Finally, we calibrate a representative agent economy to show that the evidence we document is consistent with the equilibrium models. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w22162 |
| 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/579836 |
| 推荐引用方式 GB/T 7714 | David Backus,Nina Boyarchenko,Mikhail Chernov. Term Structures of Asset Prices and Returns. 2016. |
| 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 | ||
| w22162.pdf（638KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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