| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27025 |
| 来源ID | Working Paper 27025 |
| Portfolio Choice with Sustainable Spending: A Model of Reaching for Yield | |
| John Y. Campbell; Roman Sigalov | |
| 发表日期 | 2020-04-20 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We show that reaching for yield -- a tendency to take more risk when the real interest rate declines while the risk premium remains constant -- results from imposing a sustainable spending constraint on an otherwise standard infinitely lived investor with power utility. When the interest rate is initially low, reaching for yield intensifies. The sustainable spending constraint also affects the response of risktaking to a change in the risk premium, which can even change sign. In a variant of the model where the sustainable spending constraint is formulated in nominal terms, low inflation also encourages risktaking. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w27025 |
| 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/584697 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,Roman Sigalov. Portfolio Choice with Sustainable Spending: A Model of Reaching for Yield. 2020. |
| 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 | ||
| w27025.pdf（594KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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