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.
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|
|Date:||1 April 2012|
|Deposited On:||25 Mar 2011 14:02|
|Last Modified:||27 Nov 2013 20:05|
|Publisher:||Cambridge University Press|
|Additional Information:||Copyright: Cambridge University Press|
|Related URLs:||http://depts.washington.edu/jfqa/forthcoming.html (Organisation)|
|Citations:||Web of Science®. Times Cited: 3|
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