I show that when the ratio of asset wealth to human wealth falls, investors become more exposed to idiosyncratic shocks … asset wealth and labour income, wy, predict both future stock and bond returns in the Euro Area. Consequently, it can be …

deviations from the common trend among consumption, aggregate wealth, and labour income, cay, and focus on the implications for …

consumption, aggregate wealth, and labour income should predict both stock returns and housing returns. We use quarterly data for … wealth held in the form of housing (i.e., when stock and housing assets are substitutes), then they will temporarily reduce …

time-variation in expected future returns using data for the U.S. and the U.K.. I show that the wealth composition risk by …

wealth, and labour income for stock returns and government bond yields in the euro area, the UK and the US . I find that when …. As for bond returns, when government bonds are seen as a component of asset wealth, then investors react in the same …

facts. This deviation typically implies that wealth shocks generate transitory variations in agents’ relative risk aversion … results suggest, therefore, that wealth-dependent, habit-formation or loss and disappointment aversion utility functions are a … good description of preferences. Controlling for observed versus expected asset returns, I also show that: (i) wealth …

determinant of private consumption is analyzed, namely, by the consideration of wealth effects. It is also analyzed the potential … wealth effects associated to direct property are about 3.5 times superior to those associated to indirect property. Short … in income and in wealth and that the adjustment to long-run component is very slow, which constitutes an indicator that …

trend relationship among consumption, aggregate wealth, and labour income, cay, and three major sources of risk: future …

This paper assesses the importance of nonlinearity in estimating the wealth effects on consumption for the US, the UK … and the Euro area. We look at the impact of both (i) aggregate wealth and (ii) disaggregate wealth, namely, by comparing … financial wealth effects with housing wealth effects. We also assess the magnitude of the response of consumption using both a …

This paper investigates empirically the relation between monetary policy and wealth using quarterly data for the U ….S. and the Euro Area. I find that a monetary policy contraction leads to a substantial fall in wealth. Nevertheless, while … financial wealth effects are of short duration, housing wealth e¤ects are very persistent. After a positive interest rate shock …