宏观经济新闻和股票-债券走势

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Review of Finance Pub Date : 2022-09-29 DOI:10.1093/rof/rfac066

G. Duffee

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引用次数: 9

摘要

股票总回报率和债券收益率变化之间的协方差随时间变化。现有理论要么强调预期通胀的时变性质，要么强调实际收益率的时变特性。使用调查预测的修正作为宏观经济新闻的代理，这两种方法在经验上都不成功。以通胀为中心的模型需要比我们从调查中观察到的更多关于预期未来通胀的消息。以实物为中心的模型假设宏观经济新闻、收益率变化和股票回报率之间存在协变量，这些协变量与数据中的不匹配。简言之，宏观经济新闻似乎在很大程度上推动了股票和债券的共同运动，但与我们的理论并不一致。

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Macroeconomic News and Stock–Bond Comovement

Covariances between aggregate stock returns and changes in bond yields change sign over time. Existing theories emphasize either time-varying properties of expected inflation or time-varying properties of real yields. Using revisions in survey forecasts as proxies for macroeconomic news, neither approach succeeds empirically. Inflation-centric models require much more news about expected future inflation than we observe from surveys. Real-centric models posit signs of covariances among macroeconomic news, changes in yields, and stock returns that do not match those in the data. In a nutshell, macroeconomic news appears to drive a substantial part of stock–bond comovement, but not in ways consistent with our theories.

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来源期刊

Review of Finance Multiple-

CiteScore

7.80

自引率

2.30%

发文量

期刊介绍： The Review of Finance, the official journal of the European Finance Association, aims at a wide circulation and visibility in the finance profession. The journal publishes high-quality papers in all areas of financial economics, both established and newly developing fields: • •Asset pricing •Corporate finance •Banking and market microstructure •Law and finance •Behavioral finance •Experimental finance Review of Finance occasionally publishes special issues on timely topics, including selected papers presented at the meetings of the European Finance Association or at other selected conferences in the field.