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

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  • Ricardo M. Sousa

Abstract

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.

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File URL: http://hdl.handle.net/10.1080/13504851.2011.613751
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 19 (2012)
Issue (Month): 11 (July)
Pages: 1085-1088

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Handle: RePEc:taf:apeclt:v:19:y:2012:i:11:p:1085-1088

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Cited by:
  1. Fredj Jawadi & Ricardo M. Sousa, 2012. "Structural Breaks and Nonlinearity in US and UK Public Debt," NIPE Working Papers 25/2012, NIPE - Universidade do Minho.
  2. Gnegne, Yacouba & Jawadi, Fredj, 2013. "Boundedness and nonlinearities in public debt dynamics: A TAR assessment," Economic Modelling, Elsevier, vol. 34(C), pages 154-160.

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