search query: @author Baxter, M. / total: 10
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| Author: | Baxter, M. Jermann, U. J. King, R. G. |
| Title: | Synthetic returns on NIPA assets: An international comparison |
| Journal: | European Economic Review
1998 : JUN, VOL. 42:6, p. 1141-1172 |
| Index terms: | SECURITIES DIVERSIFICATION ASSETS |
| Language: | eng |
| Abstract: | The components of national product and income may be usefully viewed as non-traded assets that yield flows of 'dividends' over time. Several open questions in public finance and macroeconomic policy depend critically on the risk and return properties of NIPA components. The paper presents some measurements on the risk and return of the NIPA components using the Campbell-Shiller (1988) model which assumes constant expected returns. It is found that the returns to NIPA components are (i) more volatile than growth rates and (ii) the returns to consumprion, investment and government purchases are very highly correlated with own-country output returns. The correlations btw. trade variables and output are weaker. Across countries, the correlation btw. returns on consumption and output are very similar to the one btw. the growth rates of the variables. |
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