The cyclical properties of consumption growth and the real term structure

• 成果类型: Article
• 署名作者: Chapman, DA
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(97)00012-3
• 发表日期: 1997
• 页码: 145-172
• 关键词: General equilibrium; term structure of interest rates

摘要

Expected real yields on nominally risk-free bonds and expected consumption growth at horizons from one-quarter to two years are identified using time series models, and their basic propel-ties are examined. The principal results are: (1) real yields and consumption growth are (weakly) negatively correlated over the full sample period of 1953-1991; (2) excluding the 1979-1985 sub-period, real yields and consumption growth are (strongly) positively correlated; (3) the cyclical properties of real yields and consumption growth are qualitatively similar in the pre-1979 data, and they are consistent with a simple real business cycle model.