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RePEcAsset Pricing & Factors

A New Keynesian Model of the Term Structures of Equity and Bond Returns

A production economy with sticky prices explains equity and bond term structure slopes and cyclicality through countercyclical inflation and habit-driven risk premiums.

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Featured in No. 136 on 23 Oct 2026 · 4 days after release

Time variation of the term structures of one-period returns and yields
Figure 3: Time variation of the term structures of one-period returns and yields. Bad (good) times are periods in which the aggregate price-dividend ratio is below (above) its bottom (top) quartile.
Released
19 Oct 2026
First featured
No. 136 · 23 Oct 2026
Published in
Not yet, as far as Semantic Scholar knows
Fanfare
2 of 5
Identifier
RePEc:bde:wpaper:2635e
Authors
Pierlauro Lopez et al.

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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