کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
968053 931440 2006 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Consumption, the persistence of shocks, and asset price volatility
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Consumption, the persistence of shocks, and asset price volatility
چکیده انگلیسی

In a general equilibrium setting, a temporary component in consumption introduces a wedge between the volatility of equity returns and the volatility of consumption growth. This paper explores the asset pricing consequences of this property in a model in which consumption is the sum of a permanent and a transitory component. Permanent shocks are assumed to be rare events, while transitory shocks follow a diffusion process. When calibrated to US annual data, the model matches first and second moments of equity and bond returns for preference parameters within acceptable bounds. Permanent and transitory shocks together explain the equity premium, while transitory shocks alone explain the excess volatility of returns.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Monetary Economics - Volume 53, Issue 8, November 2006, Pages 1741–1760
نویسندگان
,