TY  - BOOK
AU  - Chernov,Mikhail
AU  - Lochstoer,Lars A.
AU  - Song,Dongho
ED  - National Bureau of Economic Research.
TI  - The Real Explanation of Nominal Bond-Stock Puzzles
T2  - NBER working paper series
PY  - 2021///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - July 2021; Hardcopy version available to institutional subscribers
N2  - We present evidence that the mix of transitory and permanent shocks to consumption is changing over time. We study the implications of this finding for asset prices. The uncovered dynamics of consumption implies modestly upward sloping real bond and equity curves, upward sloping nominal yield curve, and sign-switching correlation between equities and bonds consistent with the stylized facts. This is achieved without relying on the nominal channel too much. That is, as in the data, the variation of inflation in the model is under 40% as a fraction of variation in nominal yields
UR  - https://www.nber.org/papers/w29085
UR  - http://dx.doi.org/10.3386/w29085
ER  -