Consumption, wealth, stock and government bond returns : international evidence
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 fut...
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| Format: | workingPaper |
| Language: | eng |
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2011
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| Online Access: | http://hdl.handle.net/1822/11950 |
| Country: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/11950 |