Year: 2016
Type: report
Abstract: We explore the term structures of claims to a variety of cash flows, namely, U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflationadjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends).The average term structures reflect the dynamics of the dollar pricing kernel, cash flow growth, and the interaction between the two.We use an affine model to illustrate how these two components can deliver term structures with a wide range of levels and shapes.Finally, we calibrate a representative agent economy to show that the evidence we document is consistent with the equilibrium models.
DOI: 10.3386/w22162
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2340400232