Abstract

http://ssrn.com/abstract=1946686
 


 



Consumption, Wealth, Stock and Government Bond Returns: International Evidence


Antonio Afonso


Technical University of Lisbon - ISEG (School of Economics and Management); UECE (Research Unit on Complexity and Economics); European Central Bank (ECB)

December 2011

The Manchester School, Vol. 79, Issue 6, pp. 1294-1232, 2011

Abstract:     
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.

Number of Pages in PDF File: 29

Accepted Paper Series


Date posted: October 20, 2011  

Suggested Citation

Afonso, Antonio, Consumption, Wealth, Stock and Government Bond Returns: International Evidence (December 2011). The Manchester School, Vol. 79, Issue 6, pp. 1294-1232, 2011. Available at SSRN: http://ssrn.com/abstract=1946686 or http://dx.doi.org/10.1111/j.1467-9957.2011.02247.x

Contact Information

Antonio Afonso (Contact Author)
Technical University of Lisbon - ISEG (School of Economics and Management) ( email )
R. Miguel Lupi, 20
Lisbon, 1248-078
Portugal
+351 21 392 2807 (Phone)
+351 21 396 6407 (Fax)
HOME PAGE: http://www.iseg.utl.pt/~aafonso/AAWeb.html
UECE (Research Unit on Complexity and Economics)
Rua Miguel Lupi 20
Lisbon, 1249-078
Portugal
+351-213 925 912 (Phone)
+351-213 971 196 (Fax)
HOME PAGE: http://www.iseg.utl.pt/~uece/
European Central Bank (ECB) ( email )
Kaiserstrasse 29
Frankfurt am Main, D-60311
Germany
HOME PAGE: http://www.ecb.int/home/html/index.en.html
Feedback to SSRN


Paper statistics
Abstract Views: 106
Downloads: 2

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.406 seconds