Macroeconomic News in Asset Pricing and Reality

• 成果类型: Article; Early Access
• 署名作者: Duffee, Gregory R.
• 署名单位: Johns Hopkins University; Johns Hopkins University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13218
• 发表日期: 2023
• 关键词: intertemporal substitution; risk-aversion; interest-rates; temporal behavior; long-run; consumption; elasticity; returns; prices; MODEL

摘要

Revisions in successive Greenbook forecasts of quarterly real GDP growth proxy for news of current and expected future economic growth. In the sample 1975 through 2015, news of future growth is slightly negatively related to contemporaneous changes in Treasury bond yields, while news of current growth is strongly positively related to changes in these yields. Both results are difficult to reconcile with a representative agent's bondholding first-order condition. A continuous-time dynamic model of output attributes almost all of the covariation with yields to martingale innovations in log output and a minimal amount to innovations in the conditional drift of log output.