Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/146673
Authors: 
Backus, David
Boyarchenko, Nina
Chernov, Mikhail
Year of Publication: 
2016
Series/Report no.: 
Staff Report, Federal Reserve Bank of New York 774
Abstract: 
We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term structures reflect the dynamics of the dollar pricing kernel, of cash flow growth, and of their interaction. We use simple models to illustrate how relationships between the two components can deliver term structures with a wide range of levels and shapes.
Subjects: 
entropy
coentropy
term structure
yields
excess returns
JEL: 
G12
G13
Document Type: 
Working Paper

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