Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/186037 
Year of Publication: 
2014
Citation: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 150 [Issue:] 2 [Publisher:] Springer [Place:] Heidelberg [Year:] 2014 [Pages:] 89-118
Publisher: 
Springer, Heidelberg
Abstract: 
Based on a vector autoregressive model (VAR), this paper shows that time variation in monthly excess returns on Swiss government bonds and stocks is predominantly driven by news of inflation and dividends, respectively. This finding is in marked contrast to US evidence which points to a more prominent role of excess return news. Variance decompositions based on estimates from threshold VARs show that US stock market evidence is consistent with the view that market participants put more weight on news of macroeconomic, i.e. cash-flow, risks in periods of exceptionally low real interest rates than in normal times.
Subjects: 
bond return
news components
stock return
variance decomposition
JEL: 
E44
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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