Stocks, Bonds, and Long-Run Consumption Risks
评估长期风险框架能否同时解释股票和债券市场的风险溢价水平及其随时间的变化，发现预期消费增长冲击和时变宏观经济波动是共同的风险因素。
Abstract I evaluate whether the so-called long-run risk framework can jointly explain key features of both equity and bond markets as well as the interaction between asset prices and the macroeconomy. I find that shocks to expected consumption growth and time-varying macroeconomic volatility can account for the level of risk premia and its variation over time in both markets. The results suggest a common set of macroeconomic risk factors operating in equity and bond markets. I estimate the model using a simulation estimator that accounts for time aggregation of consumption growth and utilizes a rich set of moment conditions.