Learning about Consumption Dynamics

• 成果类型: Article
• 署名作者: Johannes, Michael; Lochstoer, Lars A.; Mou, Yiqun
• 署名单位: Columbia University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12246
• 发表日期: 2016
• 页码: 551-600
• 关键词: ASSET PRICING IMPLICATIONS; equity premium; information quality; Macroeconomic risk; rare disasters; stock returns; long-run; equilibrium; ECONOMY; prices

摘要

This paper characterizes U.S. consumption dynamics from the perspective of a Bayesian agent who does not know the underlying model structure but learns over time from macroeconomic data. Realistic, high-dimensional macroeconomic learning problems, which entail parameter, model, and state learning, generate substantially different subjective beliefs about consumption dynamics compared to the standard, full-information rational expectations benchmark. Beliefs about long-run dynamics are volatile, with counter-cyclical conditional volatility, and drift over time. Embedding these beliefs in a standard asset pricing model significantly improves the model's ability to match the stylized facts, as well as the sample path of the market price-dividend ratio.