Monday, June 26, 2017

Slides from SoFiE NYU Discussion

Here are the slides from my pre-conference discussion of Yang Liu's interesting paper, "Government Debt and Risk Premia", at the NYU SoFiE meeting. The key will be to see whether his result (that debt/GDP is a key driver of the equity premium) remains when he controls for expected future real activity. (See Campbell and Diebold, "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," Journal of Business and Economic Statistics, 27, 266-278, 2009.)