Report

Term structures of asset prices and returns


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 structure; yields; excess returns;

JEL Classification: G12; G13;

Access Documents

File(s): File format is text/html https://www.newyorkfed.org/research/staff_reports/sr774.html
Description: Summary

File(s): File format is application/pdf https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr774.pdf?la=en
Description: Full text

Authors

Bibliographic Information

Provider: Federal Reserve Bank of New York

Part of Series: Staff Reports

Publication Date: 2016-04-01

Number: 774