Expectations and aggregate risk

• 成果类型: Article
• 署名作者: Bretscher, Lorenzo; Malkhozov, Aytek; Tamoni, Andrea
• 署名单位: University of Lausanne; Swiss Finance Institute (SFI); Swiss Finance Institute (SFI); University of Lausanne; Federal Reserve System - USA; Federal Reserve System Board of Governors; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2021.08.001
• 发表日期: 2021
• 页码: 91-108
• 关键词: News shocks; Consumption-CAPM; Cross section of asset returns

摘要

We estimate agents' expectations about future fundamentals using a dynamic stochastic general equilibrium model augmented with anticipated shocks. Accounting for agents' expectations at the business cycle horizon results in aggregate risk factor innovations that have significant explanatory power for the cross section of stock and bond returns. Further, risk arising from macroeconomic fluctuations driven by expectation shocks is important to explain the value premium. Overall, expectations emerge as key to the link between financial markets and the real economy. (c) 2021 Elsevier B.V. All rights reserved.