Labor Rigidity, In ation Risk and Bond Returns

Roberto Marfe ()

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

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