Wealth, labour income, stock returns and government bond yields, and financial stress in the euro area
I show that when the ratio of asset wealth to human wealth falls, investors become more exposed to idiosyncratic shocks and demand higher stock and government bond risk premia. I find that the residuals from the cointegrating vector among asset wealth and labour income, wy, predict both future stock...
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| Format: | workingPaper |
| Language: | eng |
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2011
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| Online Access: | http://hdl.handle.net/1822/12790 |
| Country: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/12790 |