On the Economic Link Between Asset Prices and Real Activity
在消费资本资产定价模型框架下，将股票和债券两个金融市场与实际商业周期联系起来，引入股票市场期限利差作为预测经济活动的新变量，并发现商业周期状态与两种收益率曲线形状之间存在系统关系。
Abstract: This paper presents a model linking two financial markets (stocks and bonds) with real business cycle, in the framework of the Consumption Capital Asset Pricing Model with Generalized Isoelastic Preferences. Besides interest rate term spread, the model includes a new variable to forecast economic activity: stock market term spread. This is the slope of expected stock market returns. The empirical evidence documented in this paper suggests systematic relationships between business cycle's state and the shapes of two yield curves (interest rates and expected stock returns). Results are robust to changes in measures of economic growth, stock prices, interest rates and expectations generating mechanisms.