| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24529 |
| 来源ID | Working Paper 24529 |
| A Measure of Risk Appetite for the Macroeconomy | |
| Carolin Pflueger; Emil Siriwardane; Adi Sunderam | |
| 发表日期 | 2018-04-23 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We document a strong and robust positive relationship between real rates and the contemporaneous valuation of volatile stocks, which we contend measures the economy’s risk appetite. Our novel proxy for risk appetite explains 41% of the variation in the one-year real rate since 1970, while the valuation of the aggregate stock market explains just 1%. In addition, the real rate forecasts returns on volatile stocks, confirming our interpretation that changes in risk appetite drive the real rate. Increases in our measure of risk appetite are followed by a boom in investment and output. |
| 主题 | Macroeconomics ; Consumption and Investment ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w24529 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582202 |
| 推荐引用方式 GB/T 7714 | Carolin Pflueger,Emil Siriwardane,Adi Sunderam. A Measure of Risk Appetite for the Macroeconomy. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24529.pdf（395KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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