Long-Run Risk and the Persistence of Consumption Shocks

• 成果类型: Article
• 署名作者: Ortu, Fulvio; Tamoni, Andrea; Tebaldi, Claudio
• 署名单位: Bocconi University; University of London; London School Economics & Political Science; Bocconi University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht038
• 发表日期: 2013
• 页码: 2876
• 关键词: cross-section; temporal behavior; asset returns; stock returns; substitution; GROWTH; predictability; elasticity; RESOLUTION; Dividends

摘要

We propose a decomposition for time series in components classified by levels of persistence. Employing this decomposition, we provide empirical evidence that consumption growth contains predictable components highly correlated with well-known proxies of consumption variability. These components generate a term-structure of sizable risk premia. At low frequencies we identify a component correlated with long-run productivity growth and commanding a yearly premium of approximately 2%. At high frequencies we identify a component with yearly half-life, which contributes to the equity premium for another 2%. Accounting for persistence heterogeneity, we obtain an estimate of the IES strictly above one and robust across subsamples.