Wealth-to-income ratio, government bond yields and financial stress in the Euro Area

摘要

I show that when the ratio of asset wealth to human wealth, wy, falls, investors become more exposed to idiosyncratic shocks and demand a higher government bond risk premium. Using data for the Euro Area as a whole and conditioning the forecasting ability of wy on the financial stress conditions, one is able to track better future time-variation in risk premium.View full textDownload full textKeywordswealth, labour income, government bond yields, financial stress, Euro AreaJEL ClassificationE21, E44, D12Related var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/13504851.2011.613751