A New Keynesian model of the term structures of equity and bond returns

• 成果类型: Article
• 署名作者: Lopez, Pierlauro; Vazquez-Grande, Francisco; Lopez-Salido, David
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Cleveland; Banco de Espana
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2026.104351
• 发表日期: 2026-10
• 页码: 104351
• 关键词: Equity and bond yields; Campbell-Cochrane habits; nominal rigidities; Macro-finance separation; new Keynesian model; business-cycle; asset returns; monetary-policy; RISK; habit; explanation; persistence; rigidities; inflation; duration

摘要

A simple production economy with nominal price rigidities explains several key asset pricing facts, including the average slopes and cyclicality of equity and interest rate term structures. Nominal rigidities amplify the procyclicality of dividends after negative productivity shocks and generate countercyclical inflation, as sluggish price adjustment leads to a gradual dividend recovery. Consequently, short-duration equities (bonds) have more (less) procyclical payoffs than their long-duration counterparts. Slow-moving consumption habits produce large, countercyclical risk prices, yielding realistic asset valuations. Extending Campbell-Cochrane preferences with both market-and home-consumption habits allows them to operate in production economies while preserving realistic macroeconomic dynamics.