Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/11950

TitleConsumption, wealth, stock and government bond returns : international evidence
Author(s)Afonso, António
Sousa, Ricardo M.
KeywordsConsumption
Wealth
Stock returns
Bond returns
Issue dateMar-2011
PublisherUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
CitationAFONSO, António ; SOUSA, Ricardo M. - "Consumption, wealth, stock and government bond returns : international evidence" [Em linha]. Braga : Núcleo de Investigação em Políticas Economias, 2011. [Consult. 24 Mar. 2011]. Disponível em WWW:<URL: http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_09_2011.pdf>.
Abstract(s)In this paper, we show, from the consumer’s budget constraint, that the residuals of the trend relationship among consumption, aggregate wealth, and labour income should predict both stock returns and government bond yields. We use data for several OECD countries and find that when agents expect future stock returns to be higher, they will temporarily allow consumption to rise. Regarding government bond yields, when bonds are seen as a component of asset wealth, then investors react in the same way. If, however, the increase in the yields is perceived as signalling a future rise in taxes, then they will temporarily reduce their consumption.
TypeWorking paper
URIhttp://hdl.handle.net/1822/11950
Publisher versionhttp://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_09_2011.pdf
Peer-Reviewedno
AccessOpen access
Appears in Collections:NIPE - Documentos de Trabalho

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