Publicação
Wealth, labour income, stock returns and government bond yields, and financial stress in the euro area
| Resumo: | I show that when the ratio of asset wealth to human wealth falls, investors become more exposed to idiosyncratic shocks and demand higher stock and government bond risk premia. I find that the residuals from the cointegrating vector among asset wealth and labour income, wy, predict both future stock and bond returns in the Euro Area. Consequently, it can be used to track time-variation in risk premium. The results are robust to the inclusion of control variables and vis-a-vis other benchmark models. Finally, I show that, conditioning the predictive ability of wy on the financial stress conditions allows one to track better future time-variation in risk premium. Moreover, when financial stress increases, investors perceive a larger risk for both stocks and government bonds. |
|---|---|
| Autores principais: | Sousa, Ricardo M. |
| Assunto: | Wealth Income Stock returns Government bond yields |
| Ano: | 2011 |
| País: | Portugal |
| Tipo de documento: | working paper |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade do Minho |
| Idioma: | inglês |
| Origem: | RepositóriUM - Universidade do Minho |
| _version_ | 1866270741019754496 |
|---|---|
| author | Sousa, Ricardo M. |
| author_facet | Sousa, Ricardo M. |
| author_role | author |
| contributor_name_str_mv | Universidade do Minho |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Sousa, Ricardo M.\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Universidade do Minho |
| datacite.creators.creator.creatorName.fl_str_mv | Sousa, Ricardo M. |
| datacite.date.Accepted.fl_str_mv | 2011-07-12T00:00:00Z |
| datacite.date.available.fl_str_mv | 2011-07-13T10:11:06Z |
| datacite.date.embargoed.fl_str_mv | 2011-07-13T10:11:06Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | Wealth Income Stock returns Government bond yields |
| datacite.titles.title.fl_str_mv | Wealth, labour income, stock returns and government bond yields, and financial stress in the euro area |
| dc.contributor.none.fl_str_mv | Universidade do Minho |
| dc.creator.none.fl_str_mv | Sousa, Ricardo M. |
| dc.date.Accepted.fl_str_mv | 2011-07-12T00:00:00Z |
| dc.date.available.fl_str_mv | 2011-07-13T10:11:06Z |
| dc.date.embargoed.fl_str_mv | 2011-07-13T10:11:06Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | https://hdl.handle.net/1822/12790 |
| dc.language.none.fl_str_mv | eng |
| dc.publisher.none.fl_str_mv | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | Wealth Income Stock returns Government bond yields |
| dc.title.fl_str_mv | Wealth, labour income, stock returns and government bond yields, and financial stress in the euro area |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_8042 |
| description | I show that when the ratio of asset wealth to human wealth falls, investors become more exposed to idiosyncratic shocks and demand higher stock and government bond risk premia. I find that the residuals from the cointegrating vector among asset wealth and labour income, wy, predict both future stock and bond returns in the Euro Area. Consequently, it can be used to track time-variation in risk premium. The results are robust to the inclusion of control variables and vis-a-vis other benchmark models. Finally, I show that, conditioning the predictive ability of wy on the financial stress conditions allows one to track better future time-variation in risk premium. Moreover, when financial stress increases, investors perceive a larger risk for both stocks and government bonds. |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | workingPaper |
| fulltext.url.fl_str_mv | https://prod-dspace.uminho.pt/bitstreams/4f6250b0-63f7-4bcb-8f39-7ce65b7f68d7/download |
| id | rum_27db10c19a669f9369e629cc2c51006f |
| identifier.url.fl_str_mv | https://hdl.handle.net/1822/12790 |
| instacron_str | repositorium |
| institution | Universidade do Minho |
| instname_str | Universidade do Minho |
| language | eng |
| network_acronym_str | rum |
| network_name_str | RepositóriUM - Universidade do Minho |
| oai_identifier_str | oai:repositorium.uminho.pt:1822/12790 |
| organization_str_mv | urn:organizationAcronym:repositorium |
| person_str_mv | Sousa, Ricardo M. |
| publishDate | 2011 |
| publisher.none.fl_str_mv | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
| reponame_str | RepositóriUM - Universidade do Minho |
| repository_id_str | urn:repositoryAcronym:rum |
| service_str_mv | urn:repositoryAcronym:rum |
| spelling | engUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)porI show that when the ratio of asset wealth to human wealth falls, investors become more exposed to idiosyncratic shocks and demand higher stock and government bond risk premia. I find that the residuals from the cointegrating vector among asset wealth and labour income, wy, predict both future stock and bond returns in the Euro Area. Consequently, it can be used to track time-variation in risk premium. The results are robust to the inclusion of control variables and vis-a-vis other benchmark models. Finally, I show that, conditioning the predictive ability of wy on the financial stress conditions allows one to track better future time-variation in risk premium. Moreover, when financial stress increases, investors perceive a larger risk for both stocks and government bonds.application/pdfporWealth, labour income, stock returns and government bond yields, and financial stress in the euro areaSousa, Ricardo M.HostingInstitutionOrganizationalUniversidade do Minhoe-mailmailto:repositorium@usdb.uminho.ptrepositorium@usdb.uminho.pt2011-07-13T10:11:06Z2011-07-122011-07-12T00:00:00ZHandlehttps://hdl.handle.net/1822/12790http://purl.org/coar/access_right/c_abf2open accessWealthIncomeStock returnsGovernment bond yields425700 bytesother research producthttp://purl.org/coar/resource_type/c_8042working paperhttp://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://prod-dspace.uminho.pt/bitstreams/4f6250b0-63f7-4bcb-8f39-7ce65b7f68d7/download |
| spellingShingle | Wealth, labour income, stock returns and government bond yields, and financial stress in the euro area Sousa, Ricardo M. Wealth Income Stock returns Government bond yields |
| status | SINGLETON |
| subject.fl_str_mv | Wealth Income Stock returns Government bond yields |
| title | Wealth, labour income, stock returns and government bond yields, and financial stress in the euro area |
| title_full | Wealth, labour income, stock returns and government bond yields, and financial stress in the euro area |
| title_fullStr | Wealth, labour income, stock returns and government bond yields, and financial stress in the euro area |
| title_full_unstemmed | Wealth, labour income, stock returns and government bond yields, and financial stress in the euro area |
| title_short | Wealth, labour income, stock returns and government bond yields, and financial stress in the euro area |
| title_sort | Wealth, labour income, stock returns and government bond yields, and financial stress in the euro area |
| topic | Wealth Income Stock returns Government bond yields |
| topic_facet | Wealth Income Stock returns Government bond yields |
| url | https://hdl.handle.net/1822/12790 |
| visible | 1 |