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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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2011
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| Texto completo: | http://hdl.handle.net/1822/14869 |
| País: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/14869 |