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- August 2020
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Macroeconomic Drivers of Bond and Equity Risks
By: John Y. Campbell, Carolin E. Pflueger and Luis M. Viceira
Our new model of consumption-based habit generates time-varying risk premia on bonds and stocks from loglinear, homoskedastic macroeconomic dynamics. Consumers' first-order condition for the real risk-free bond generates an exactly loglinear consumption Euler equation,... View Details
Keywords: Consumption-based Habit Formation; Consumption Euler Equation; Time-varying Risk Premia; Inflation Dynamics; Bond-stock Correlation; Risk and Uncertainty; Bonds; Macroeconomics
Campbell, John Y., Carolin E. Pflueger, and Luis M. Viceira. "Macroeconomic Drivers of Bond and Equity Risks." Journal of Political Economy 128, no. 8 (August 2020): 3148–3185.