Arbeitspapier
Extreme inflation and time-varying consumption growth
In a parsimonious regime switching model, expected consumption growth varies over time. Adding in ation as a conditioning variable, we uncover two states in which expected consumption growth is low, one with high and one with negative expected in ation. Embedded in a general equilibrium asset pricing model with learning, these dynamics replicate the observed time variation in stock return volatilities and stock-bond return correlations. Furthermore, they provide an alternative way to come up with a measure of time-varying disaster risk in the spirit of Wachter (2013). Our findings imply that both the disaster and the long-run risk paradigm can be extended towards explaining movements in the stock-bond return correlation.
- ISBN
-
978-3-95729-584-2
- Sprache
-
Englisch
- Erschienen in
-
Series: Deutsche Bundesbank Discussion Paper ; No. 16/2019
- Klassifikation
-
Wirtschaft
Price Level; Inflation; Deflation
Financial Markets and the Macroeconomy
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
long-run risk
inflation
recursive utility
filtering
disaster risk
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dergunov, Ilya
Meinerding, Christoph
Schlag, Christian
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2019
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Dergunov, Ilya
- Meinerding, Christoph
- Schlag, Christian
- Deutsche Bundesbank
Entstanden
- 2019
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