What Ties Return Volatilities to Price Valuations and Fundamentals?
研究了股票和国债的联动性、波动性及其与价格估值和基本面的时变关系，通过一般均衡模型解释通胀信号对经济增长预期的影响，并得到实证支持。
Stock and Treasury bond comovement, volatilities, and their relations to their price valuations and fundamentals change stochastically over time, in both magnitude and direction. These stochastic changes are explained by a general equilibrium model in which agents learn about composite economic and inflation regimes. We estimate our model using both fundamentals and asset prices and find that inflation news signal either positive or negative future real economic growth depending on the times, thereby affecting the direction of stock-bond comovement. The learning dynamics generate strong nonlinearities between volatilities and price valuations. We find empirical support for numerous predictions of the model.