| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18128 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w18128 |
| 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/575804 |
| 推荐引用方式 GB/T 7714 | Emi Nakamura,Dmitriy Sergeyev,Jón Steinsson. Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence. 2012. |
| 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 | ||
| w18128.pdf（574KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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