Consumption, wealth, stock and government bond returns: international evidence

Detalhes bibliográficos
Autor(a) principal: Afonso, António
Data de Publicação: 2011
Outros Autores: Sousa, Ricardo M.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/25612
Resumo: In this paper, we show, from the consumer’s budget constraint, that the residuals of the trend relationship among consumption, aggregate wealth and labour income should predict both stock returns and government bond yields. We use data for several OECD countries and find that when agents expect future stock returns to be higher, they will temporarily allow consumption to rise. Regarding government bond yields, when bonds are seen as a component of asset wealth, then investors react in the same way. If, however, the increase in the yields is perceived as signalling a future rise in taxes, then they will temporarily reduce their consumption.
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spelling Consumption, wealth, stock and government bond returns: international evidenceConsumer’sBudget ConstraintOECD CountriesStock ReturnsInvestorsIn this paper, we show, from the consumer’s budget constraint, that the residuals of the trend relationship among consumption, aggregate wealth and labour income should predict both stock returns and government bond yields. We use data for several OECD countries and find that when agents expect future stock returns to be higher, they will temporarily allow consumption to rise. Regarding government bond yields, when bonds are seen as a component of asset wealth, then investors react in the same way. If, however, the increase in the yields is perceived as signalling a future rise in taxes, then they will temporarily reduce their consumption.Blackwell Publishing Ltd,Repositório da Universidade de LisboaAfonso, AntónioSousa, Ricardo M.2022-09-28T13:36:48Z20112011-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25612engAfonso, António and Ricardo M. Sousa.(2011). "Consumption, wealth, stock and government bond returns: international evidence" .The Manchester School, Vol. 79, No. 6: pp. 1294-1232.10.1111/j.1467-9957.2011.02247.xinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:55:10Zoai:www.repository.utl.pt:10400.5/25612Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:26.312504Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Consumption, wealth, stock and government bond returns: international evidence
title Consumption, wealth, stock and government bond returns: international evidence
spellingShingle Consumption, wealth, stock and government bond returns: international evidence
Afonso, António
Consumer’s
Budget Constraint
OECD Countries
Stock Returns
Investors
title_short Consumption, wealth, stock and government bond returns: international evidence
title_full Consumption, wealth, stock and government bond returns: international evidence
title_fullStr Consumption, wealth, stock and government bond returns: international evidence
title_full_unstemmed Consumption, wealth, stock and government bond returns: international evidence
title_sort Consumption, wealth, stock and government bond returns: international evidence
author Afonso, António
author_facet Afonso, António
Sousa, Ricardo M.
author_role author
author2 Sousa, Ricardo M.
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Afonso, António
Sousa, Ricardo M.
dc.subject.por.fl_str_mv Consumer’s
Budget Constraint
OECD Countries
Stock Returns
Investors
topic Consumer’s
Budget Constraint
OECD Countries
Stock Returns
Investors
description In this paper, we show, from the consumer’s budget constraint, that the residuals of the trend relationship among consumption, aggregate wealth and labour income should predict both stock returns and government bond yields. We use data for several OECD countries and find that when agents expect future stock returns to be higher, they will temporarily allow consumption to rise. Regarding government bond yields, when bonds are seen as a component of asset wealth, then investors react in the same way. If, however, the increase in the yields is perceived as signalling a future rise in taxes, then they will temporarily reduce their consumption.
publishDate 2011
dc.date.none.fl_str_mv 2011
2011-01-01T00:00:00Z
2022-09-28T13:36:48Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/25612
url http://hdl.handle.net/10400.5/25612
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Afonso, António and Ricardo M. Sousa.(2011). "Consumption, wealth, stock and government bond returns: international evidence" .The Manchester School, Vol. 79, No. 6: pp. 1294-1232.
10.1111/j.1467-9957.2011.02247.x
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Blackwell Publishing Ltd,
publisher.none.fl_str_mv Blackwell Publishing Ltd,
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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