| 题名 | Does fiscal policy matter for stock-bond return correlation? |
| 作者 | |
| 通讯作者 | Zhang, Ji |
| 发表日期 | 2022
|
| DOI | |
| 发表期刊 | |
| ISSN | 0304-3932
|
| EISSN | 1873-1295
|
| 卷号 | 128 |
| 摘要 | Switching between monetary and fiscal regimes is incorporated in a general-equilibrium model to explain three stylized facts: (1) a positive correlation of stock and bond returns in 1971-2001 and a negative correlation after 2001, (2) a negative correlation of consumption and inflation in 1971-2001 and a positive correlation after 2001, and (3) the coexistence of a positive bond risk premium and a negative correlation of stock and bond returns. While the technology shock drives the positive stock-bond and negative consumption-inflation correlations in the monetary regime, the investment shock drives the negative stock-bond and positive consumption-inflation correlations in the fiscal regime. (C) 2022 Elsevier B.V. All rights reserved. |
| 关键词 | |
| 相关链接 | [来源记录] |
| 收录类别 | |
| 语种 | 英语
|
| 学校署名 | 非南科大
|
| 资助项目 | National Science Foundation through the NBER[SES 1558486]
; National Natural Science Foundation of China[72003102]
|
| WOS研究方向 | Business & Economics
|
| WOS类目 | Business, Finance
; Economics
|
| WOS记录号 | WOS:000842503200002
|
| 出版者 | |
| ESI学科分类 | ECONOMICS BUSINESS
|
| 来源库 | Web of Science
|
| 引用统计 |
被引频次[WOS]：2
|
| 成果类型 | 期刊论文 |
| 条目标识符 | http://sustech.caswiz.com/handle/2SGJ60CL/394204 |
| 专题 | 南方科技大学 |
| 作者单位 | 1.Cheung Kong Grad Sch Business, Dept Finance, Beijing, Peoples R China 2.Fed Reserve Bank Atlanta, Atlanta, GA USA 3.Emory Univ, Dept Econ, Atlanta, GA 30322 USA 4.Natl Bur Econ Res, Cambridge, MA 02138 USA 5.Tsinghua Univ, PBC Sch Finance, Beijing, Peoples R China 6.Southern Univ Sci & Technol, SUSTech Business Sch, Shenzhen, Peoples R China |
| 推荐引用方式 GB/T 7714 |
Li, Erica X. N.,Zha, Tao,Zhang, Ji,et al. Does fiscal policy matter for stock-bond return correlation?[J]. JOURNAL OF MONETARY ECONOMICS,2022,128.
|
| APA |
Li, Erica X. N.,Zha, Tao,Zhang, Ji,&Zhou, Hao.(2022).Does fiscal policy matter for stock-bond return correlation?.JOURNAL OF MONETARY ECONOMICS,128.
|
| MLA |
Li, Erica X. N.,et al."Does fiscal policy matter for stock-bond return correlation?".JOURNAL OF MONETARY ECONOMICS 128(2022).
|
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
; 
修改评论