Stock vs. Bond Yields, and Demographic Fluctuations

Arie Gozluklu, Annaïg Morin

Publikation: Working paperForskning

Resumé

This paper analyzes the strong comovement between real stock and nominal
bond yields at generational (low) frequencies. Life-cycle patterns in savings behavior
in an overlapping generations model with cash-in-advance constraints explain this
persistent comovement between financial yields. We argue that the slow-evolving
time-series covariation due to changing population age structure accounts for the
equilibrium relation between stock and bond markets. As a result, by exploiting
the demographic information into distant future, the forecasting performance of
valuation models improves. Finally, using a cross-country panel, we document the
cross-sectional variation of the demographic effect and explain the cross-country
differences in comovement between stock and bond markets.
OriginalsprogEngelsk
Udgivelses stedwww
UdgiverUniversity of Warwick
Antal sider59
StatusUdgivet - 2015

Citer dette

Gozluklu, A., & Morin, A. (2015). Stock vs. Bond Yields, and Demographic Fluctuations. www: University of Warwick.
Gozluklu, Arie ; Morin, Annaïg . / Stock vs. Bond Yields, and Demographic Fluctuations. www : University of Warwick, 2015.
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Stock vs. Bond Yields, and Demographic Fluctuations. / Gozluklu, Arie; Morin, Annaïg .

www : University of Warwick, 2015.

Publikation: Working paperForskning

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Gozluklu A, Morin A. Stock vs. Bond Yields, and Demographic Fluctuations. www: University of Warwick. 2015.