Template-type: ReDIF-Paper 1.0
Author-Name: Dr. Thomas Nitschka
Author-Name-First: Thomas
Author-Name-Last: Nitschka
Author-Person: pni214
Author-Name: Shajivan Satkurunathan
Author-Name-First: Shajivan
Author-Name-Last: Satkurunathan
Title: Habits die hard: implications for bond and stock markets internationally
Abstract: This paper assesses whether the global fall in inflation expectations together with increased fear of recession, the economic mechanism that drives asset prices in a model with consumption habits, help to explain the downward trajectory in nominal government bond yields and the stock price dynamics of six major economies from 1988 to 2019. We calibrate the habit model for each country separately. For most countries, focusing the calibrations on matching average ten-year bond yields allows one to generate artificial time series of bond yields and price-consumption ratios that follow the long-run time series patterns of their counterparts in the data.
Length: 58 pages
Creation-Date: 2021
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2021/working_paper_2021_08
File-Format: text/html
Number: 2021-08
Classification-JEL: G12, G15
Keywords: Consumption habit, return, risk premium, yields
Handle: RePEc:snb:snbwpa:2021-08