Term Structures of Asset Prices and Returns

Abstract

We explore the term structures of claims to a variety of cash flows, namely, U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflationadjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends).The average term structures reflect the dynamics of the dollar pricing kernel, cash flow growth, and the interaction between the two.We use an affine model to illustrate how these two components can deliver term structures with a wide range of levels and shapes.Finally, we calibrate a representative agent economy to show that the evidence we document is consistent with the equilibrium models.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 25 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.