Macroeconomic Drivers of Bond and Equity Risks
构建了一个基于消费习惯形成的模型，解释了美国国债与股票市场风险关联从正转负的原因，并指出通胀与产出缺口联动性的变化是债券风险转变的关键，但仅当风险溢价内生变化时成立。
Our new model of consumption-based habit formation preferences generates loglinear, homoscedastic macroeconomic dynamics and time-varying risk premia on bonds and stocks. Consumers' first-order condition for the real risk-free interest rate takes the form of an exactly loglinear consumption Euler equation, commonly assumed in New Keynesian models. Estimating the model separately for 1979-2001 and 2001-2011 explains why the exposure of US Treasury bonds to the stock market changed from positive to negative. A change in the comovement between inflation and the output gap explains changing bond risks, but only when risk premia change endogenously as predicted by the model.