Export Ready — 

Consumption, wealth, stock and government bond returns : international evidence

Bibliographic Details
Main Author: Afonso, António
Publication Date: 2011
Other Authors: Sousa, Ricardo M.
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/1822/11950
Summary: In this paper, we show, from the consumer’s budget constraint, that the residuals of the trend relationship among consumption, aggregate wealth, and labour income should predict both stock returns and government bond yields. We use data for several OECD countries and find that when agents expect future stock returns to be higher, they will temporarily allow consumption to rise. Regarding government bond yields, when bonds are seen as a component of asset wealth, then investors react in the same way. If, however, the increase in the yields is perceived as signalling a future rise in taxes, then they will temporarily reduce their consumption.
id RCAP_8cef55c36e1f916b1a08444d1fb56a8c
oai_identifier_str oai:repositorium.sdum.uminho.pt:1822/11950
network_acronym_str RCAP
network_name_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository_id_str https://opendoar.ac.uk/repository/7160
spelling Consumption, wealth, stock and government bond returns : international evidenceConsumptionWealthStock returnsBond returnsIn this paper, we show, from the consumer’s budget constraint, that the residuals of the trend relationship among consumption, aggregate wealth, and labour income should predict both stock returns and government bond yields. We use data for several OECD countries and find that when agents expect future stock returns to be higher, they will temporarily allow consumption to rise. Regarding government bond yields, when bonds are seen as a component of asset wealth, then investors react in the same way. If, however, the increase in the yields is perceived as signalling a future rise in taxes, then they will temporarily reduce their consumption.Fundação para a Ciência e a Tecnologia (FCT)Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)Universidade do MinhoAfonso, AntónioSousa, Ricardo M.2011-032011-03-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/11950engAFONSO, António ; SOUSA, Ricardo M. - "Consumption, wealth, stock and government bond returns : international evidence" [Em linha]. Braga : Núcleo de Investigação em Políticas Economias, 2011. [Consult. 24 Mar. 2011]. Disponível em WWW:<URL: http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_09_2011.pdf>.http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_09_2011.pdfinfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2024-05-11T05:36:49Zoai:repositorium.sdum.uminho.pt:1822/11950Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T15:24:04.816917Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Consumption, wealth, stock and government bond returns : international evidence
title Consumption, wealth, stock and government bond returns : international evidence
spellingShingle Consumption, wealth, stock and government bond returns : international evidence
Afonso, António
Consumption
Wealth
Stock returns
Bond returns
title_short Consumption, wealth, stock and government bond returns : international evidence
title_full Consumption, wealth, stock and government bond returns : international evidence
title_fullStr Consumption, wealth, stock and government bond returns : international evidence
title_full_unstemmed Consumption, wealth, stock and government bond returns : international evidence
title_sort Consumption, wealth, stock and government bond returns : international evidence
author Afonso, António
author_facet Afonso, António
Sousa, Ricardo M.
author_role author
author2 Sousa, Ricardo M.
author2_role author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Afonso, António
Sousa, Ricardo M.
dc.subject.por.fl_str_mv Consumption
Wealth
Stock returns
Bond returns
topic Consumption
Wealth
Stock returns
Bond returns
description In this paper, we show, from the consumer’s budget constraint, that the residuals of the trend relationship among consumption, aggregate wealth, and labour income should predict both stock returns and government bond yields. We use data for several OECD countries and find that when agents expect future stock returns to be higher, they will temporarily allow consumption to rise. Regarding government bond yields, when bonds are seen as a component of asset wealth, then investors react in the same way. If, however, the increase in the yields is perceived as signalling a future rise in taxes, then they will temporarily reduce their consumption.
publishDate 2011
dc.date.none.fl_str_mv 2011-03
2011-03-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/1822/11950
url http://hdl.handle.net/1822/11950
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv AFONSO, António ; SOUSA, Ricardo M. - "Consumption, wealth, stock and government bond returns : international evidence" [Em linha]. Braga : Núcleo de Investigação em Políticas Economias, 2011. [Consult. 24 Mar. 2011]. Disponível em WWW:<URL: http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_09_2011.pdf>.
http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_09_2011.pdf
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
_version_ 1833595292935520256

Similar Items