Asset Return Dynamics under Habits and Bad Environment-Good Environment Fundamentals

• 成果类型: Article
• 署名作者: Bekaert, Geert; Engstrom, Eric
• 署名单位: Columbia University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/691450
• 发表日期: 2017
• 页码: 713-760
• 关键词: rare disasters; term structure; OPTION PRICES; risk premia; volatility; STOCK; rates; MODEL

摘要

We introduce a bad environment-good environment (BEGE) technology for consumption growth in a consumption-based asset pricing model with external habit formation. The model generates realistic non-Gaussian features of consumption growth and fits standard salient features of asset prices including the means and volatilities of equity returns and a low risk-free rate. BEGE dynamics additionally allow the model to generate realistic properties of equity index options prices and their comovements with the macroeconomic outlook. In particular, when option-implied volatility is highas measured, for instance, by the VIX indexthe distribution of consumption growth is more negatively skewed.