| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13896 |
| 来源ID | Working Paper 13896 |
| The Wealth-Consumption Ratio | |
| Hanno Lustig; Stijn Van Nieuwerburgh; Adrien Verdelhan | |
| 发表日期 | 2008-03-20 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We set up an exponentially affine stochastic discount factor model for bond yields and stock returns in order to estimate the prices of aggregate risk. We use the estimated risk prices to compute the no-arbitrage price of a claim to aggregate consumption. The price-dividend ratio of this claim is the wealth-consumption ratio. Our estimates indicate that total wealth is much safer than stock market wealth. The consumption risk premium is only 2.2 percent, substantially below the equity risk premium of 6.9 percent. As a result, the average US household has more wealth than one might think; most of it is human wealth. A large fraction of the variation in total wealth can be traced back to changes in long-term real interest rates. Contrary to conventional wisdom, we find that events in bond markets, not stock markets, matter most for understanding fluctuations in total wealth. |
| 主题 | Macroeconomics ; Consumption and Investment ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w13896 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571570 |
| 推荐引用方式 GB/T 7714 | Hanno Lustig,Stijn Van Nieuwerburgh,Adrien Verdelhan. The Wealth-Consumption Ratio. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w13896.pdf（485KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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