Consumption and expected asset returns without assumptions about unobservables

• 成果类型: Article
• 署名作者: Whelan, Karl
• 署名单位: University College Dublin
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2008.08.006
• 发表日期: 2008
• 页码: 1209-1221
• 关键词: consumption; asset returns

摘要

If asset returns are predictable, then rational expectations and the arithmetic of budget constraints together imply that these predictable changes in returns should affect current consumption. This paper presents a new framework linking consumption, income, and observable assets to expectations of future asset returns. Relative to previous work on this topic, the framework proposed in this paper has a number of advantages including not relying on untestable assumptions concerning unobservable variables and not requiring estimation of unknown parameters to arrive at a forecasting variable. (C) 2008 Elsevier B.V. All rights reserved