Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/3291
Título: Consumption, wealth, stock and government bond returns : international evidence
Autor: Afonso, António
Sousa, Ricardo M.
Palavras-chave: Consumption
Wealth
Stock returns
Bond returns
Data: 2011
Editora: ISEG - Departamento de Economia
Citação: Afonso, António, Ricardo M. Sousa. 2011. "Consumption, wealth, stock and government bond returns : international evidence". Instituto Superior de Economia e Gestão. DE Working papers; nº 9-2011/DE/UECE
Relatório da Série N.º: DE Working papers; nº9-2011/DE/UECE
Resumo: In this paper, we show, from the consumer’s budget constraint, that the residuals of the trend relationship among consumption, aggregate wealth, and labour income should predict both stock returns and government bond yields. We use data for several OECD countries and find that when agents expect future stock returns to be higher, they will temporarily allow consumption to rise. Regarding government bond yields, when bonds are seen as a component of asset wealth, then investors react in the same way. If, however, the increase in the yields is perceived as signalling a future rise in taxes, then they will temporarily reduce their consumption.
URI: http://hdl.handle.net/10400.5/3291
ISSN: 0874-4548
Aparece nas colecções:DE - Documentos de trabalho / Working Papers
UECE - Documentos de Trabalho / UECE - Working Papers

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