《What ties return volatilities to price valuations and fundamentals? 》

此篇论文发表在2013年Journal of Political Economy上。 作者分析了通货膨胀新闻对股票和债券市场联动性的影响。

简介

Stock and Treasury bond comovement, volatilities, and their relations to their price valuations and fundamentals change stochastically over time, both in magnitude and direction. These stochastic changes are explained by a general equilibrium model in which agents learn about composite  economic and inflation regimes. We estimate our model using both fundamentals and asset prices, and find that inflation news signal either positive or negative future real economic growth depending on the times, thereby affecting the direction of stock/bond comovement.   The  learning dynamics generate  strong  non-linearities between volatilities and price valuations. We find empirical support for numerous predictions of the model.