消费增长的持续性和股票与债券的相关性

IF 3.9 2区经济学 Q1 Economics, Econometrics and Finance

Journal of Financial and Quantitative Analysis Pub Date : 2024-04-01 DOI:10.1017/s002210902400019x

Christopher S. Jones, Sungjune Pyun

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引用次数: 0

摘要

在我们的模型中，消费冲击与预期未来消费增长之间的相关性不为零，且随时间变化。我们利用该模型的含义，即消费增长持续性（CGP）的时间变化驱动股票和债券收益之间的相关性，通过经验验证了这一假设。我们的模型暗示，股票与债券的相关性还与债券收益率和未来股票收益率之间的预测关系有关。最后，我们提供了提示性证据，表明资产价格波动是消费增长持续性变化的主要驱动力。

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Consumption Growth Persistence and the Stock–Bond Correlation

We consider a model in which the correlation between shocks to consumption and to expected future consumption growth is nonzero and varies over time. We validate this assumption empirically using the model’s implication that time variation in consumption growth persistence (CGP) drives the correlation between stock and bond returns. Our model implies that the stock–bond correlation is also related to the predictive relation between bond yields and future stock returns. Finally, we provide suggestive evidence that asset price fluctuations are the primary driver of changes in CGP.

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来源期刊

Journal of Financial and Quantitative Analysis Multiple-

CiteScore

6.60

自引率

5.10%

发文量

131

期刊介绍： The Journal of Financial and Quantitative Analysis (JFQA) publishes theoretical and empirical research in financial economics. Topics include corporate finance, investments, capital and security markets, and quantitative methods of particular relevance to financial researchers. With a circulation of 3000 libraries, firms, and individuals in 70 nations, the JFQA serves an international community of sophisticated finance scholars—academics and practitioners alike. The JFQA prints less than 10% of the more than 600 unsolicited manuscripts submitted annually. An intensive blind review process and exacting editorial standards contribute to the JFQA’s reputation as a top finance journal.