Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence

• 成果类型: Article
• 署名作者: Nakamura, Emi; Sergeyev, Dmitriy; Steinsson, Jon
• 署名单位: Columbia University; Bocconi University; Columbia University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20150250
• 发表日期: 2017
• 页码: 1-39
• 关键词: Long-run risks; international evidence; dividend yields; equity premium; asset prices; random-walk; volatility; expectations; returns; MODEL

摘要

We provide new estimates of the importance of growth-rate shocks 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. (JEL E21, E32, E44, G12, G35)