Federal Reserve Bank of New York
Term structures of asset prices and returns
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.
Cite this item
David K. Backus & Nina Boyarchenko & Mikhail Chernov, Term structures of asset prices and returns, Federal Reserve Bank of New York, Staff Reports 774, 01 Apr 2016.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
Keywords: entropy; coentropy; term structure; yields; excess returns
This item with handle RePEc:fip:fednsr:774
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