We link transitory deviations of consumption from its equilibrium relationship with aggregate wealth and labor income to equity returns on the one hand, and to two characteristics of bond investors—the premium demanded to hold long-term assets, and “flight to quality” behavior—on the other hand. Using a panel of 10 euro area countries over the period 1984Q1–2017Q4, we show that a rise in the consumption–wealth ratio predicts both higher equity returns and the future term spread, while a fall in the consumption–wealth ratio explains a large fraction of the rise in the spread between the “risky” and the “safe-haven” bond.
Consumption, asset wealth, equity premium, term spread, and flight to quality / Costantini, M.; Sousa, R. M.. - In: EUROPEAN FINANCIAL MANAGEMENT. - ISSN 1468-036X. - 26:(2020), pp. 778-807. [10.1111/eufm.12243]
Consumption, asset wealth, equity premium, term spread, and flight to quality
Costantini M.;
2020
Abstract
We link transitory deviations of consumption from its equilibrium relationship with aggregate wealth and labor income to equity returns on the one hand, and to two characteristics of bond investors—the premium demanded to hold long-term assets, and “flight to quality” behavior—on the other hand. Using a panel of 10 euro area countries over the period 1984Q1–2017Q4, we show that a rise in the consumption–wealth ratio predicts both higher equity returns and the future term spread, while a fall in the consumption–wealth ratio explains a large fraction of the rise in the spread between the “risky” and the “safe-haven” bond.File | Dimensione | Formato | |
---|---|---|---|
Costantini_Sousa_European_Financial_Managment_2020.pdf
solo gestori archivio
Tipologia:
Versione editoriale (versione pubblicata con il layout dell'editore)
Licenza:
Tutti i diritti riservati (All rights reserved)
Dimensione
1.47 MB
Formato
Adobe PDF
|
1.47 MB | Adobe PDF | Contatta l'autore |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.