Dynamics of bond and stock returns
نویسندگان
چکیده
A production-based equilibrium model jointly prices bond and stock returns produces time-varying correlation between real treasury that changes in both magnitude sign. The term premium is incorporates risk aversion two physical technologies with different cash-flow risks. Bonds hedge risk-aversion shocks command negative through this channel. Cash-flow produce co-movement of positive premium. Relative strength these mechanisms varies over time. a powerful predictor relative bond-stock long-short equity the data.
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ژورنال
عنوان ژورنال: Journal of Monetary Economics
سال: 2022
ISSN: ['0304-3932', '1873-1295']
DOI: https://doi.org/10.1016/j.jmoneco.2021.12.004