| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20110 |
| 来源ID | Working Paper 20110 |
| Asset Pricing with Countercyclical Household Consumption Risk | |
| George M. Constantinides; Anisha Ghosh | |
| 发表日期 | 2014-05-08 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of household consumption growth. The estimated model fits well the unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are procyclical while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross-section of excess returns. |
| 主题 | Microeconomics ; Market Structure and Distribution ; General Equilibrium ; Macroeconomics ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Labor Economics ; Unemployment and Immigration |
| URL | https://www.nber.org/papers/w20110 |
| 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/577783 |
| 推荐引用方式 GB/T 7714 | George M. Constantinides,Anisha Ghosh. Asset Pricing with Countercyclical Household Consumption Risk. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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