Term structures of asset prices and returns

• 成果类型: Article
• 署名作者: Backus, David; Boyarchenko, Nina; Chernov, Mikhail
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; University of California System; University of California Los Angeles; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.04.005
• 发表日期: 2018
• 页码: 1-23
• 关键词: entropy; Coentropy; term structure; yields; EXCESS RETURNS; affine models; recursive preferences; disasters

摘要

We explore the term structures of claims to a variety of cash flows, namely, US government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). The average term structures reflect the dynamics of the dollar pricing kernel, cash flow growth, and the interaction between the two. We use an affine model to illustrate how these two components can deliver term structures with a wide range of levels and shapes. Finally, we calibrate a representative agent economy to show that the evidence is consistent with the equilibrium models. (C) 2018 Elsevier B.V. All rights reserved.