| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27861 |
| 来源ID | Working Paper 27861 |
| Does Fiscal Policy Matter for Stock-Bond Return Correlation? | |
| Erica X.N. Li; Tao Zha; Ji Zhang; Hao Zhou | |
| 发表日期 | 2020-09-28 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We explore an important role of monetary-fiscal policy interactions in explaining three stylized facts: (1) a positive correlation of stock and bond returns in 1971-2001 and a negative one after 2001, (2) a negative correlation of consumption and inflation in 1971-2001 and a positive one after 2001, and (3) the coexistence of a positive bond risk premium and a negative correlation of stock and bond returns. Our general equilibrium model shows that these correlation changes across two policy regimes are driven by a combination of technology and investment shocks, while positive risk premiums are driven by the technology shock only. |
| 主题 | Macroeconomics ; Monetary Policy ; Fiscal Policy ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w27861 |
| 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/585535 |
| 推荐引用方式 GB/T 7714 | Erica X.N. Li,Tao Zha,Ji Zhang,et al. Does Fiscal Policy Matter for Stock-Bond Return Correlation?. 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 | ||
| w27861.pdf（2379KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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