Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets … when nominal bond risk premia are low and declining, are associated with lower future dividend growth rates on value minus … growth and with lower future output growth in the short term. Because of this new nexus between stock and bond returns, a …

will be nil. With heterogeneity in coefficients of relative risk aversion, safe assets can take the form of private bond …

exist multiple pricing kernels that produce the same bond prices, but a unique pricing kernel equal to the marginal utility …, and estimate the model with both inflation and term structure data. The estimates imply that the bond portfolio for the …

model to postwar US data and compare consumption and portfolio rules with and without bond indexation, portfolio constraints … investors to shorten their bond portfolios and increase their precautionary savings. This has serious welfare costs for …

and nominal bond risks in the presence of risk-averse investors. In our model, low credibility governments inflate during …. We provide empirical support for this mechanism, showing that countries with higher nominal bond-stock betas have … significantly larger nominal bond risk premia and borrow less in local currency …

foreign real bonds. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risk … since relative bond returns are strongly correlated with real exchange rate movements. Equity home bias does not arise from … against other sources of risk, conditionally on bond returns. We estimate the optimal equity and bond portfolios implied by …

Currency denomination is a prominent feature in the analysis of the structure of international bond markets, but is … bond holdings--indirectly because the global holdings dataset does not differentiate by currency denomination--and then …

Duffie (1996), households only use the stock market to smooth consumption; the bond market is inoperative. Furthermore we …