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来源类型Working Paper
规范类型报告
DOI10.3386/w18128
来源IDWorking Paper 18128
Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence
Emi Nakamura; Dmitriy Sergeyev; Jón Steinsson
发表日期2012-06-08
出版年2012
语种英语
摘要We provide new estimates of the importance of growth rate and uncertainty shocks for developed countries. The shocks we estimate are large and correspond to well-known macroeconomic episodes such as the Great Moderation and the productivity slowdown. We compare our results to earlier estimates of “long-run risks” and assess the implications for asset pricing. Our estimates yield greater return predictability and a more volatile price-dividend ratio. In addition, we can explain a substantial fraction of cross-country variation in the equity premium. An advantage of our approach, based on macroeconomic data alone, is that the parameter estimates cannot be viewed as backward engineered to fit asset pricing data. We provide intuition for our results using the recently developed framework of shock-exposure and shock-price elasticities.
主题Macroeconomics ; Consumption and Investment ; Financial Economics ; Portfolio Selection and Asset Pricing
URLhttps://www.nber.org/papers/w18128
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/575804
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Emi Nakamura,Dmitriy Sergeyev,Jón Steinsson. Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence. 2012.
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