Long-run risk in durable consumption

• 成果类型: Article
• 署名作者: Yang, Wei
• 署名单位: University of Rochester
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.03.023
• 发表日期: 2011
• 页码: 45-61
• 关键词: Durable consumption; Long-run risk; skewness; equity premium; Term structure of real interest rates

摘要

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. (C) 2011 Elsevier B.V. All rights reserved.