| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29085 |
| 来源ID | Working Paper 29085 |
| The Real Channel for Nominal Bond-Stock Puzzles | |
| Mikhail Chernov; Lars A. Lochstoer; Dongho Song | |
| 发表日期 | 2021-07-26 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We present evidence that the mix of transitory and permanent shocks to consumption is changing over time. We identify three regimes: two highly persistent regimes where either permanent or transitory shocks are relatively more dominant, and a disaster regime that is largely transitory. We study implications of this finding for asset prices. The transition from the second to the first regime in the mid-1990s makes the correlation between equities and bonds switch sign from positive to negative as in the data. The real bond and equity yield curves are approximately flat. The nominal bond curve is upward sloping. These results are achieved without relying on the nominal channel too much. That is, as in the data, the variation of inflation in the model is under 40% as a fraction of variation in nominal yields. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w29085 |
| 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/586759 |
| 推荐引用方式 GB/T 7714 | Mikhail Chernov,Lars A. Lochstoer,Dongho Song. The Real Channel for Nominal Bond-Stock Puzzles. 2021. |
| 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 | ||
| w29085.pdf（750KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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