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Consumption, wealth, stock and government bond returns: international evidence
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Autores
Orientador(es)
Resumo(s)
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 future stock returns to be higher, they will temporarily allow
consumption to rise. Regarding government bond yields, when bonds are
seen as a component of asset wealth, then investors react in the same way.
If, however, the increase in the yields is perceived as signalling a future rise
in taxes, then they will temporarily reduce their consumption.
Descrição
Palavras-chave
Consumer’s Budget Constraint OECD Countries Stock Returns Investors
Contexto Educativo
Citação
Afonso, António and Ricardo M. Sousa.(2011). "Consumption, wealth, stock and government bond returns: international evidence" .The Manchester School, Vol. 79, No. 6: pp. 1294-1232.
Editora
Blackwell Publishing Ltd,