Term Structures of Asset Prices and Returns

David Backus, Nina Boyarchenko and Mikhail Chernov

No 22162, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We explore the term structures of claims to a variety of cash flows, namely, 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). The average term structures reflect the dynamics of the dollar pricing kernel, cash flow growth, and the interaction between the two. We use an affine model to illustrate how these two components can deliver term structures with a wide range of levels and shapes. Finally, we calibrate a representative agent economy to show that the evidence we document is consistent with the equilibrium models.

JEL-codes: G12 G13 (search for similar items in EconPapers)
Date: 2016-04
New Economics Papers: this item is included in nep-mkt
Note: AP
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Citations: View citations in EconPapers (7)

Published as David Backus & Nina Boyarchenko & Mikhail Chernov, 2018. "Term structures of asset prices and returns," Journal of Financial Economics, .

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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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