What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns
收藏NBER1991-06-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w3760
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资源简介：
This paper uses a log-linear asset pricing framework and a vector autoregressive model to break down movements in stock and bond returns into changes in expectations of future stock dividends, inflation, short-term real interest rates, and excess returns on stocks and bonds. In monthly postwar U.S.
提供机构：
美国国家经济研究局
创建时间：
1991-06-01
