Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/186037 
Autor:innen: 
Erscheinungsjahr: 
2014
Quellenangabe: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 150 [Issue:] 2 [Publisher:] Springer [Place:] Heidelberg [Year:] 2014 [Pages:] 89-118
Verlag: 
Springer, Heidelberg
Zusammenfassung: 
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.
Schlagwörter: 
bond return
news components
stock return
variance decomposition
JEL: 
E44
G12
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