Labor Rigidity, In ation Risk and Bond Returns

Roberto Marfe (roberto.marfe@carloalberto.org)

No 461, Carlo Alberto Notebooks from Collegio Carlo Alberto

Abstract: This paper exploits information from the variance-ratios of macroeconomic variables to infer about the short and long-run components of dividend risk and in ation risk. While labor rigidity shifts dividend risk towards the short horizon, it also reveals {by means of labor-share variation{ the component of in ation risk which is correlated with fundamentals. A simple general equilibrium model with labor rigidity can explain how in ation interacts with the real growth and the labor-share, as well as many patterns of the term-structures of real and nominal bond yields. The model is robust to many properties of equity returns.

Keywords: labor rigidity; in ation; term-structure; interest rates; equilibrium asset pricing (search for similar items in EconPapers)
JEL-codes: D51 E21 G12 (search for similar items in EconPapers)
Pages: pages 41
Date: 2016
New Economics Papers: this item is included in nep-dcm and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.carloalberto.org/wp-content/uploads/2018/11/no.461.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cca:wpaper:461

Access Statistics for this paper

More papers in Carlo Alberto Notebooks from Collegio Carlo Alberto Contact information at EDIRC.
Bibliographic data for series maintained by Giovanni Bert (giovanni.bert@carloalberto.org).