Term structures of asset prices and returns

David Backus, Nina Boyarchenko and Mikhail Chernov

No 774, Staff Reports from Federal Reserve Bank of New York

Abstract: We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term structures reflect the dynamics of the dollar pricing kernel, of cash flow growth, and of their interaction. We use simple models to illustrate how relationships between the two components can deliver term structures with a wide range of levels and shapes.

Keywords: entropy; coentropy; term structures; yields; excess returns (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Date: 2016-04-01
New Economics Papers: this item is included in nep-mkt
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Term structures of asset prices and returns (2018)
Working Paper: Term structures of asset prices and returns (2016)
Working Paper: Term Structures of Asset Prices and Returns (2016)
Working Paper: Term structures of asset prices and returns (2016)
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