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/1822/11950
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 evidenceConsumptionWealthStock returnsBond returnsIn 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.Fundação para a Ciência e a Tecnologia (FCT)Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)Universidade do MinhoAfonso, AntónioSousa, Ricardo M.2011-032011-03-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/11950engAFONSO, António ; SOUSA, Ricardo M. - "Consumption, wealth, stock and government bond returns : international evidence" [Em linha]. Braga : Núcleo de Investigação em Políticas Economias, 2011. [Consult. 24 Mar. 2011]. Disponível em WWW:<URL: http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_09_2011.pdf>.http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_09_2011.pdfinfo: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:RCAAP2023-07-21T12:18:59Zoai:repositorium.sdum.uminho.pt:1822/11950Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:11:51.112327Repositório 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
Consumption
Wealth
Stock returns
Bond returns
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 Universidade do Minho
dc.contributor.author.fl_str_mv Afonso, António
Sousa, Ricardo M.
dc.subject.por.fl_str_mv Consumption
Wealth
Stock returns
Bond returns
topic Consumption
Wealth
Stock returns
Bond returns
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 2011-03
2011-03-01T00:00:00Z
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/1822/11950
url http://hdl.handle.net/1822/11950
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv AFONSO, António ; SOUSA, Ricardo M. - "Consumption, wealth, stock and government bond returns : international evidence" [Em linha]. Braga : Núcleo de Investigação em Políticas Economias, 2011. [Consult. 24 Mar. 2011]. Disponível em WWW:<URL: http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_09_2011.pdf>.
http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_09_2011.pdf
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 Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
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
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