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Permanent URL to this publication: http://dx.doi.org/10.5167/uzh-47692

Hasseltoft, Henrik (2012). Stocks, bonds, and long-run consumption risks. Journal of Financial and Quantitative Analysis, 47(2):309-332.

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Abstract

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 consump-
tion 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 which accounts for time-aggregation of consumption growth and utilizes a rich set of moment conditions.

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
DDC:330 Economics
Language:English
Date:1 April 2012
Deposited On:25 Mar 2011 14:02
Last Modified:27 Nov 2013 20:05
Publisher:Cambridge University Press
ISSN:0022-1090
Additional Information:Copyright: Cambridge University Press
Publisher DOI:10.1017/S0022109012000075
Official URL:http://www.jfqa.org/
Related URLs:http://depts.washington.edu/jfqa/forthcoming.html (Organisation)
Citations:Web of Science®. Times Cited: 5
Google Scholar™
Scopus®. Citation Count: 6

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