Consumption, asset wealth, equity premium, term spread, and flight to quality
研究了消费与财富关系的暂时偏离如何预测股权回报和期限利差，并解释避险债券利差的变化，基于10个欧元区国家1984-2017年数据。
Abstract We link transitory deviations of consumption from its equilibrium relationship with aggregate wealth and labor income to equity returns on the one hand, and to two characteristics of bond investors—the premium demanded to hold long‐term assets, and “flight to quality” behavior—on the other hand. Using a panel of 10 euro area countries over the period 1984Q1–2017Q4, we show that a rise in the consumption–wealth ratio predicts both higher equity returns and the future term spread, while a fall in the consumption–wealth ratio explains a large fraction of the rise in the spread between the “risky” and the “safe‐haven” bond.