Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/242358 
Year of Publication: 
2021
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2021: Climate Economics
Publisher: 
ZBW - Leibniz Information Centre for Economics, Kiel, Hamburg
Abstract: 
This paper assesses whether the global fall in inflation expectations together with increased fear of recession, the economic mechanism that drives asset prices in a model with consumption habits, help to explain the downward trajectory in nominal government bond yields and the stock price dynamics of six major economies from 1988 until 2019. We calibrate the habit model for each country separately. For most countries, focusing the calibrations on matching average ten-year government bond yields allows one to generate articifical time series of bond yields and price-consumption ratios that follow the long-run time series patterns of their counterparts in the data.
Subjects: 
consumption habit
return
risk premium
yields
JEL: 
G12
G15
Document Type: 
Conference Paper

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