全球智库信息集成服务系统(G2TT): Common Shocks in Stocks and Bonds

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w28184
来源ID	Working Paper 28184
	Common Shocks in Stocks and Bonds
	Anna Cieslak; Hao Pang
发表日期	2020-12-14
出版年	2020
语种	英语
摘要	We propose an approach to identifying economic shocks (monetary, growth, and risk-premium news) from stock returns and Treasury yield changes, which allows us to study the drivers of asset prices at a daily frequency since the early 1980s. We apply the identification to examine investors’ responses to news from the Fed and key macro announcements. We uncover two risk-premium shocks—time-varying compensation for discount-rate and cash-flow news—which have distinct effects on stocks and bonds. Since the mid-1990s, the Fed-induced reductions in both risk premium sources have generated high average stock returns but an ambiguous response in bonds on FOMC days.
主题	Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w28184
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/585858
推荐引用方式 GB/T 7714	Anna Cieslak,Hao Pang. Common Shocks in Stocks and Bonds. 2020.