کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
959639 929338 2011 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Long-run risk in durable consumption
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Long-run risk in durable consumption
چکیده انگلیسی

Durable consumption growth is persistent and predicted by the price–dividend ratio. This provides strong and direct evidence for the existence of a highly persistent expected component. Durable consumption growth is left-skewed and exhibits time-varying volatility. I model durable consumption growth as containing a persistent expected component and driven by counter-cyclical volatility, nondurable consumption as a random walk, and dividend growth as exposed to the expected component of durable consumption growth. Together with nonseparable Epstein-Zin preferences, the model demonstrates that long-run risk in durable consumption can explain major asset market phenomena. The model also generates an upward-sloping real term structure.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 102, Issue 1, October 2011, Pages 45–61
نویسندگان
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