Risk premia in the consumption capital asset pricing model depend on preferences and dividends. We develop a … elasticity of a preference-based stochastic discount factor for pricing assets with respect to the consumption innovation … correlated with individual consumption. …

-Modigliani style consumption function. The models incorporate income growth expectations, income uncertainty, housing collateral and …The consumption behaviour of UK, US and Japanese households is examined and compared using a modern Ando … other credit effects. These models therefore capture important parts of the financial accelerator. The evidence is that …

There is widespread disagreement about the role of housing wealth in explaining consumption. This paper exploits liquid …, to explain fluctuations in the ratios of consumption and household debt to income in South Africa, from 1971 to 2005. The … variable with key interactions with drivers of consumption and debt. Credit conditions are proxied by a spline function …

consumption adapt with a lag to permanent movements in wealth? Despite their quantitative importance, transitory fluctuations in … asset values are found to be unrelated to aggregate consumer spending. Instead, aggregate consumption can be well described … as a function of the trend components in wealth and income. We find no evidence that consumption adapts with a long lag …

Australian data, we model non-price credit supply conditions within equilibrium correction models of consumption, house prices …, but also interact with key economic variables. We show that credit conditions impact on consumption by: (i) lowering the … real activity; and (iii) facilitating intertemporal consumption smoothing. …

, agents’ prior beliefs are endogenously heterogeneous. Finally, in a consumption-saving problem with stochastic income, agents …

properties of the estimated consumption/portfolio rules, under both the empirical and the true dynamics of excess returns. The … consider, the estimation issues are so severe that simple unconditional consumption and portfolio rules actually outperform (in …

This paper shows how two standard models of consumption risk-sharing - self-insurance through borrowing and saving and … distributions of consumption, income and wealth. Method of moments estimation shows how measurement error in consumption eliminates … excessive skewness and concentration of consumption growth. Moreover, counterfactual non-linearities disappear at high estimated …