Return predictability with endogenous growth

• 成果类型: Article
• 署名作者: Bandi, Federico M.; Bretscher, Lorenzo; Tamoni, Andrea
• 署名单位: Johns Hopkins University; University of Lausanne; Swiss Finance Institute (SFI); Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.103724
• 发表日期: 2023
• 关键词: TFP volatility; Uncertainty trends; endogenous growth; Price rigidities

摘要

The component of the volatility of total factor productivity (TFP) that is orthogonal to the dividend price ratio is shown to have long-run predictive ability for excess market returns. This finding implies that TFP volatility should also predict real cash flows and/or real interest rates: it is found to mainly predict real cash flows through inflation. A model with endogenous growth, Epstein-Zin preferences and price rigidities reconciles both TFP volatility-driven long-run predictability and its real implications. Within the model, we justify the similar (to that of TFP volatility) predictive ability of a low-frequency notion of market volatility as well as the cross-sectional pricing of TFP volatility risk in alternative asset classes.