منابع مشابه
Nominal Bonds, Real Bonds, and Equity∗
We decompose the term structure of expected equity returns into (1) the real short rate, (2) a premium for holding real long-term bonds, or the real duration premium, the excess returns of nominal long-term bonds over real bonds which reflects (3) expected inflation and (4) inflation risk, and (5) a real cashflow risk premium, which is the excess return of equity over nominal bonds. The shape o...
متن کاملSocietal Benefits of Nominal Bonds
In this paper, I provide a possible explanation of why nominally risk-free bonds are essential in monetary economies. I argue that the role of nominal bonds is to serve as record-keeping devices in intertemporal exchanges of money. I show that bonds can only serve this role if they are illiquid (costly to exchange for goods). Finally, I show that in economies in which nominal bonds are essentia...
متن کاملEfficiency Improvement from Restricting the Liquidity of Nominal Bonds∗
This paper provides a normative theory of partially illiquid bonds jointly with optimal monetary policy. The model has a centralized asset market and a decentralized goods market. Individuals face matching shocks which affect the marginal utility of consumption and which they cannot insure, borrow or trade assets against. The government imposes a legal restriction to prohibit nominal bonds from...
متن کاملThe Changing Role of Nominal Government Bonds in Asset Allocation
The covariance between nominal bonds and stocks has varied considerably over recent decades and has even switched sign. It has been predominantly positive in periods such as the late 1970s and early 1980s when the economy has experienced supply shocks and the central bank has lacked credibility. It has been predominantly negative in periods such as the 2000s when investors have feared weak a...
متن کاملUnderstanding Term Premia on Real Bonds∗
This paper studies the dynamic behavior and determinants of risk premia on real bonds, using GDTSMs. We find that the real term structure itself contains a component that drives risk premia but is undetectable from cross section of bond yields. In addition, we present evidence on the link between real bond premia and macroeconomic variables. More specifically, we find that macro factors associa...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.1976288