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Stocks, bonds, and long-run consumption risks
I evaluate whether the so-called long-run risk framework can jointly explain key features of both equity and bond markets as well as the interaction between asset prices and the macroeconomy. I find that shocks to expected consumption growth and time-varying macroeconomic volatility can account for the level of risk premia and its variation over time in both markets. The results suggest a common set of macroeconomic risk factors operating in equity and bond markets. I estimate the model using a simulation estimator that accounts for time aggregation of consumption growth and utilizes a rich set of moment conditions..Printed Journal, baca ditempat
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| JFQA4702 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Cambridge: Cambridge University Press |
|---|---|
| Edisi | - |
| Subjek | - |
| ISBN/ISSN | 221090 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |