What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns
用向量自回归模型分解股票和10年期债券的超额收益，发现股票收益主要由未来超额股票收益的预期驱动，债券收益主要由通胀预期驱动，而实际利率影响不大。
ABSTRACT This paper uses a vector autoregressive model to decompose excess stock and 10‐year bond returns into changes in expectations of future stock dividends, inflation, short‐term real interest rates, and excess stock and bond returns. In monthly postwar U.S. data, stock and bond returns are driven largely by news about future excess stock returns and inflation, respectively. Real interest rates have little impact on returns, although they do affect the short‐term nominal interest rate and the slope of the term structure. These findings help to explain the low correlation between excess stock and bond returns.