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Consumption
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| Other Authors: | Julliard, Christian [Author] |
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| Type of Resource: | E-Book |
| Language: | English |
| published: |
[S.l.]
SSRN
[2021]
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| Source: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Summary: | Using information in returns we identify the stochastic process of consumption – the crucial ingredient of most macro-finance models. We find that aggregate consumption reacts over multiple quarters to innovations spanned by financial markets, and this persistent component accounts for 26% of the consumption variation. These innovations drive most of the time series variation of equity returns and are priced in the cross-sections of both bonds and stocks. The data rejects the hypothesis that the stochastic volatility of consumption is proportional to market volatility, and that either of them is priced, posing a novel challenge for consumption-based asset pricing models |
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| Item Description: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 10, 2021 erstellt |
| Physical Description: | 1 Online-Ressource (74 p) |
| DOI: | 10.2139/ssrn.3783070 |
| Access: | Open Access |