In this study, I propose a consumption-based asset pricing model to capture the dynamic properties of term structures of bonds and equity. I extend the long-run risks model by introducing a mean-reversion of dividend growth and the external habit formation of a representative agent. The mean-reverting dividend growth generates a negative equity term premium, while the habit formation augments the equity premium and renders an upward-sloping bond yield curve, on average. In addition, fluctuations in the surplus consumption ratio and the conditional variance of consumption growth allow the model to reproduce pro-cyclical variations in bond and equity yield spreads and counter-cyclical variations in bond and equity term premiums, as observed in the U.S. data.

中文翻译：

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基于消费的债券和股票期限结构模型

在这项研究中，我提出了一种基于消费的资产定价模型，以捕捉债券和股票期限结构的动态特性。我通过引入股息增长的均值回归和代表代理人的外部习惯形成来扩展长期风险模型。平均而言，均值回归的股息增长会产生负的股票期限溢价，而习惯的形成会增加股票溢价并呈现出向上倾斜的债券收益率曲线。此外，剩余消费率的波动和消费增长的条件方差使模型能够再现债券和股票收益率利差的顺周期变化以及债券和股票期限溢价的反周期变化，正如美国数据中观察到的那样。