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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26939
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| Title: | Macroeconomic Foundations of Higher Moments in Bond Yields |
| Authors: | David, Backus
Foresi, Silverio
Wu, Liuren |
| Keywords: | term structure
skewness and kurtosis
multi-factors affine models
pricing kernels
consumption growth
inflation |
| Issue Date: | 19-Jan-1997 |
| Series/Report no.: | FIN-96-010 |
| Abstract: | Kurtosis in asset prices and returns has been so widely documented it
hardly bears comment. Equally interesting, in our view, is the
relatively modest kurtosis in consumption growth and inflation. The
question is how to reconcile the two: Is kurtosis in asset prices
inherited from macroeconomic fundamentals, or does some feature of the
economy generate leptokurtotic returns internally? We describe a model
that reconciles the two by generating leptokurtotic interest rates from
a near-normal pricing kernel. |
| URI: | http://hdl.handle.net/2451/26939 |
| Appears in Collections: | Finance Working Papers
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