consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is … consumption changes. A more important part of aggregate consumption changes is explained by the unobserved component. The …

the aggregate consumption to income ratio. By standard intertemporal budget constraint logic, this ratio is linked to … expectations of future income and consumption growth rates. We investigate whether these expectations suffice to explain the shifts … in the consumption-income ratio that occur during disaster periods or whether, on the other hand, consumers become more …

This paper uses housing returns to estimate the elasticity of intertemporal substitution (EIS) in consumption for ….e., equity and bill returns. An estimable regression equation for aggregate consumption growth and returns is obtained from the … aggregation of the consumption Euler equations of heterogeneous agents. As the regression equation includes unobserved omitted …

in consumption in five key sectors: tourism, hospitality, services, retail, and public transports. We identify a large …-term sectoral consumption shifts may occur. …

The ratio of consumption to total household wealth (i.e., tangible assets plus unobserved human wealth) is commonly … relationship between consumption, assets and earnings (i.e., the variable "cay"). The evidence in favor of a stable cointegrating … unobserved component model applied to US data over the period 1951Q4-2016Q4. The regression of consumption on assets and earnings …

TSMod is an interactive program which allows the user to estimate a broad range of univariate models. This review …

Traditional finance is built on the rationality paradigm. This chapter discusses simple models from an alternative … the past. Calibration of simple complexity models with heterogeneous expectations to real financial market data and …

specification, we use a newly developed test statistic that compares spread curves from competing models. …