Collateralizable wealth, asset returns, and systemic risk : international evidence
Autor(a) principal: | |
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Data de Publicação: | 2010 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/1822/11678 |
Resumo: | I assess the role of wealth and systemic risk in explaining future asset returns. I show that the residuals of the trend relationship among asset wealth and human wealth predict both stock returns and government bond yields. Using data for a set of industrialized countries, I find that when the wealth-to-income ratio falls, investors demand a higher risk premium for stocks. As for government bond returns: (i) when they are seen as a component of asset wealth, investors react in the same manner; (ii) if, however, investors perceive the increase in government bond returns as signalling a future rise in taxes or a deterioration of public finances, then investors interpret the fall in the wealth-to-income ratio as a fall in future bond premia. Finally, I show that the occurrence of crises episodes (in particular, systemic crises) amplifies the transmission of housing market shocks to financial markets and the banking sector. |
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Collateralizable wealth, asset returns, and systemic risk : international evidenceStock returnsGovernment bond yieldsSystemic crisesI assess the role of wealth and systemic risk in explaining future asset returns. I show that the residuals of the trend relationship among asset wealth and human wealth predict both stock returns and government bond yields. Using data for a set of industrialized countries, I find that when the wealth-to-income ratio falls, investors demand a higher risk premium for stocks. As for government bond returns: (i) when they are seen as a component of asset wealth, investors react in the same manner; (ii) if, however, investors perceive the increase in government bond returns as signalling a future rise in taxes or a deterioration of public finances, then investors interpret the fall in the wealth-to-income ratio as a fall in future bond premia. Finally, I show that the occurrence of crises episodes (in particular, systemic crises) amplifies the transmission of housing market shocks to financial markets and the banking sector.Fundação para a Ciência e a Tecnologia (FCT) - Programa Operacional Ciência e Inovação 2010 (POCI 2010)Fundo Europeu de Desenvolvimento Regional (FEDER)Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)Universidade do MinhoSousa, Ricardo M.20102010-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/11678engSOUSA, Ricardo M. - “Collateralizable wealth, asset returns, and systemic risk : international evidence“ [Em linha]. Braga : Núcleo de Investigação em Políticas Económicas, 2010. [Consult. 7 Fev. 2011]. Disponível em WWW: <URL:www3.eeg.uminho.pt/economia/nipe/docs/2010/NIPE_WP_15_2010.pdf>.info: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:RCAAP2023-07-21T12:18:55Zoai:repositorium.sdum.uminho.pt:1822/11678Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:11:46.033886Repositório 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 |
Collateralizable wealth, asset returns, and systemic risk : international evidence |
title |
Collateralizable wealth, asset returns, and systemic risk : international evidence |
spellingShingle |
Collateralizable wealth, asset returns, and systemic risk : international evidence Sousa, Ricardo M. Stock returns Government bond yields Systemic crises |
title_short |
Collateralizable wealth, asset returns, and systemic risk : international evidence |
title_full |
Collateralizable wealth, asset returns, and systemic risk : international evidence |
title_fullStr |
Collateralizable wealth, asset returns, and systemic risk : international evidence |
title_full_unstemmed |
Collateralizable wealth, asset returns, and systemic risk : international evidence |
title_sort |
Collateralizable wealth, asset returns, and systemic risk : international evidence |
author |
Sousa, Ricardo M. |
author_facet |
Sousa, Ricardo M. |
author_role |
author |
dc.contributor.none.fl_str_mv |
Universidade do Minho |
dc.contributor.author.fl_str_mv |
Sousa, Ricardo M. |
dc.subject.por.fl_str_mv |
Stock returns Government bond yields Systemic crises |
topic |
Stock returns Government bond yields Systemic crises |
description |
I assess the role of wealth and systemic risk in explaining future asset returns. I show that the residuals of the trend relationship among asset wealth and human wealth predict both stock returns and government bond yields. Using data for a set of industrialized countries, I find that when the wealth-to-income ratio falls, investors demand a higher risk premium for stocks. As for government bond returns: (i) when they are seen as a component of asset wealth, investors react in the same manner; (ii) if, however, investors perceive the increase in government bond returns as signalling a future rise in taxes or a deterioration of public finances, then investors interpret the fall in the wealth-to-income ratio as a fall in future bond premia. Finally, I show that the occurrence of crises episodes (in particular, systemic crises) amplifies the transmission of housing market shocks to financial markets and the banking sector. |
publishDate |
2010 |
dc.date.none.fl_str_mv |
2010 2010-01-01T00:00:00Z |
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/1822/11678 |
url |
http://hdl.handle.net/1822/11678 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
SOUSA, Ricardo M. - “Collateralizable wealth, asset returns, and systemic risk : international evidence“ [Em linha]. Braga : Núcleo de Investigação em Políticas Económicas, 2010. [Consult. 7 Fev. 2011]. Disponível em WWW: <URL:www3.eeg.uminho.pt/economia/nipe/docs/2010/NIPE_WP_15_2010.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 |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799132550625492992 |