Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/11678
Título: | Collateralizable wealth, asset returns, and systemic risk : international evidence |
Autor(es): | Sousa, Ricardo M. |
Palavras-chave: | Stock returns Government bond yields Systemic crises |
Data: | 2010 |
Editora: | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
Citação: | SOUSA, Ricardo M. - “Collateralizable wealth, asset returns, and systemic risk : international evidence“ [Em linha]. Braga : Núcleo de Investigação em Políticas Económicas, 2010. [Consult. 7 Fev. 2011]. Disponível em WWW: <URL:www3.eeg.uminho.pt/economia/nipe/docs/2010/NIPE_WP_15_2010.pdf>. |
Resumo(s): | I assess the role of wealth and systemic risk in explaining future asset returns. I show that the residuals of the trend relationship among asset wealth and human wealth predict both stock returns and government bond yields. Using data for a set of industrialized countries, I find that when the wealth-to-income ratio falls, investors demand a higher risk premium for stocks. As for government bond returns: (i) when they are seen as a component of asset wealth, investors react in the same manner; (ii) if, however, investors perceive the increase in government bond returns as signalling a future rise in taxes or a deterioration of public finances, then investors interpret the fall in the wealth-to-income ratio as a fall in future bond premia. Finally, I show that the occurrence of crises episodes (in particular, systemic crises) amplifies the transmission of housing market shocks to financial markets and the banking sector. |
Tipo: | Documento de trabalho |
URI: | https://hdl.handle.net/1822/11678 |
Arbitragem científica: | no |
Acesso: | Acesso aberto |
Aparece nas coleções: | NIPE - Documentos de Trabalho |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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NIPE_WP_15_2010.pdf | 610,11 kB | Adobe PDF | Ver/Abrir |