We document a strong and robust relation between the one-year real rate and precautionary savings motives, as measured by the stock market. Our novel proxy for precautionary savings, based on the difference in valuations between low- and high-volatility stocks, explains 37% of variation in the real rate. In addition, the real rate forecasts returns on the low-minus-high volatility portfolio, though it appears unrelated with measures of the quantity of risk. Our results suggest that precautionary savings motives, and thus the real rate, are driven by time-varying attitudes towards risk. We rationalize these findings in a stylized model with segmented investor clienteles and habit formation.

中文翻译：

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金融市场风险认知与宏观经济*

我们记录了一年的实际利率与按股票市场衡量的预防性储蓄动机之间的牢固关系。我们基于预防性储蓄的新颖代理，基于低波动率股票和高波动率股票之间的估值差异，解释了实际利率变化的37％。此外，尽管实际利率预测似乎与风险量度无关，但它对低负高波动性投资组合的回报率很高。我们的结果表明，预防性储蓄动机以及实际利率是由对风险的时变态度驱动的。我们在具有细分投资者客户群和习惯养成的程式化模型中合理化这些发现。