Term Structures of Asset Prices and Returns

53 Pages Posted: 11 Apr 2016

See all articles by David K. Backus

David K. Backus

NYU Stern School of Business; National Bureau of Economic Research (NBER)

Nina Boyarchenko

Federal Reserve Bank of New York

Mikhail Chernov

UCLA Anderson

Multiple version iconThere are 3 versions of this paper

Date Written: April 2016


We explore the term structures of claims to a variety of cash flows, namely, 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). The average term structures reflect the dynamics of the dollar pricing kernel, cash flow growth, and the interaction between the two. We use an affine model to illustrate how these two components can deliver term structures with a wide range of levels and shapes. Finally, we calibrate a representative agent economy to show that the evidence we document is consistent with the equilibrium models.

Suggested Citation

Backus, David K. and Boyarchenko, Nina and Chernov, Mikhail, Term Structures of Asset Prices and Returns (April 2016). NBER Working Paper No. w22162. Available at SSRN: https://ssrn.com/abstract=2762069

David K. Backus (Contact Author)

NYU Stern School of Business

44 West Fourth Street
New York, NY 10012
United States
212-998-0873 (Phone)
212-995-4220 (Fax)

HOME PAGE: http://pages.stern.nyu.edu/~dbackus/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

HOME PAGE: http://pages.stern.nyu.edu/~dbackus/

Nina Boyarchenko

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States
212-720-7339 (Phone)
212-720-1582 (Fax)

Mikhail Chernov

UCLA Anderson ( email )

110 Westwood Plaza
Los Angeles, CA 90095-1481
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
PlumX Metrics