Stocks, Bonds, and Long-Run Consumption Risks. Bansal and Yaron (2004) show that long-run consumption risks and time-varying economic uncertainty in conjunction with recursive preferences can account for important features of equity markets. I bring the model to the term structure of interest rates and show that a calibrated version of the model can simultaneously explain properties of bonds and equities. Specifically, the model accounts for deviations from the expectations hypothesis, the upward sloping nominal yield curve, and the predictive power of the nominal yield spread. However, an estimation of the model using Simulated Method of Moments yields less convincing results and illustrates the difficulty of precisely estimating parameters of the model. Real (nominal) interest rates in the model are positively (negatively) correlated with consumption growth and real stock returns move inversely with inflation. The cyclicality of nominal interest rates and yield spreads is shown to depend on the relative values of the elasticity of intertemporal substitution and the correlation between real consumption growth and inflation. The “Fed-model” and the Changing Correlation of Stock and Bond Returns: An Equilibrium Approach. This paper presents an equilibrium model that provides a rational explanation for two features of data that have been considered puzzling: The positive relation between US dividend yields and nominal interest rates, often called the Fed-model, and the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of consumption growth, inflation, and dividend growth in conjunction with Epstein-Zin and Weil recursive preferences. Historically in the US, inflation has signaled low future consumption growth. The representative agent therefore dislikes positive inflation shocks and demands a positive risk premium for holding assets that are poor inflation hedges, such as equity and nominal bonds. As a result, risk premiums on equity and nominal bonds comove positively through their exposure to macroeconomic volatility. This generates a positive correlation between dividend yields and nominal yields and between stock and bond returns. High levels of macro volatility in the late 1970s and early 1980s caused stock and bond returns to comove strongly. The subsequent moderation in aggregate economic risk has brought correlations lower. The model is able to produce correlations that can switch sign by including the covariances between consumption growth, inflation, and dividend growth as state variables. International Bond Risk Premia. We extend Cochrane and Piazzesi (2005, CP) to international bond markets by constructing forecasting factors for bond excess returns across different countries. While the international evidence for predictability is weak using Fama and Bliss (1987) regressions, we document that local CP factors have significant predictive power. We also construct a global CP factor and provide evidence that it predicts bond returns with high R2 across countries. The local and global factors are jointly significant when included as regressors, which suggests that variation in bond excess returns are driven by country-specific factors and a common global factor. Shocks to US bond risk premia seem to be particularly important determinants for international bond premia. Motivated by these results, we estimate a parsimonious no-arbitrage affine term structure model in which risk premia are driven by one local and one global CP factor. We find that international bond risk premia are driven by a local slope factor and a world interest rate level factor.

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A travers cette recherche, nous souhaitons identifier et définir le genre duroman utopique de la fin des Qing via la lecture attentive d'une sélection deromans chinois écrits entre 1902 et 1910. A partir de l'analyse de romans telsque Xin Zhongguo weilai ji de Liang Qichao (1902 ), Shizi hou de Chen Tianhua(1905), Xin shitou ji de Wu Jianren (1908) et Xin Zhongguo de Lu Shi'e(1910), nous pensons qu'un tel genre littéraire puisse être considéré à la foiscomme un produit particulier du climat de fragmentation socio-historique quicaractérise la période de la fin des Qing, et comme un prisme utile à sacompréhension. La structure de cette thèse est celle d'un itinéraire critique àtravers l’imaginaire utopique chinois moderne. Cet itinéraire est débuté par latraduction de l’histoire courte Xinnian Meng, écrite par Cai Yuanpei en 1905. Lecorps de cette recherche est divisé en cinq chapitres: dans le premier, lalégitimité de la catégorie générique de "wutuobang xiaoshuo" comme outilcritique valable est questionnee; le deuxième chapitre concerne les deuxromans inachevés de Liang Qichao et Chen Tianhua, dont l'étatd’«incomplétude» est utilisé comme métaphore pour la compréhension de laconstruction utopique; le troisième chapitre touche à la relation entre le romanutopique de la fin des Qing et ses modèles étrangers; enfin, dans les deuxderniers chapitres, les éléments critiques développés dans les sectionsprécédentes de la thèse sont appliqués à la lecture attentive de Xin shitou ji deWu Jianren et de Xin Zhongguo de Lu Shi'e, deux des romans les plusintéressants écrits durant cette période. / With this research it is our intention to identify and define the genre of the lateQing utopian novel from the close reading of a selection of Chinese novelswritten between 1902 and 1910. With the analysis of novels such as LiangQichao's Xin Zhongguo weilai ji (1902), Chen Tianhua's Shizi hou (1905), WuJianren's Xin shitou ji (1908) and Lu Shi'e's Xin Zhongguo (1910), we believethat such a literary genre can be considered both as a peculiar product of theclimate of socio-historical fragmentation that characterises the late Qingperiod, and as a useful lens for its understanding. The structure of this thesis isthat of a critical itinerary within the Chinese modern utopian imaginary. Thisitinerary is introduced by the translation of the short story Xinnian meng,written by Cai Yuanpei in 1905. The body of this research is divided into fivechapters: in the first one, the legitimacy of the generic category of “wutuobangxiaoshuo” as a viable critical tool is put under question; the second chapterconcerns the two unfinished novels by Liang Qichao and Chen Tianhua, whosecondition of “incompleteness” is adopted as metaphor for the understanding ofthe utopian construct; the third chapter concerns the relation between the lateQing utopian novel and its foreign models; while in the last two chapters, thecritical framework developed in previous sections of the thesis is applied to theclose reading of Wu Jianren's Xin shitou ji and Lu Shi'e's Xin Zhongguo, two ofthe most interesting novels written in this period.