"To measure the wealth-consumption ratio, we estimate an exponentially affine model of the stochastic discount factor on bond yields and stock returns. We use that discount factor to compute the no-arbitrage price of a claim to aggregate US consumption. Our estimates indicate that total wealth...

"We use bank stock returns to develop an ex-ante measure of the distortion created by the implicit collective guarantee extended to large U.S. financial institutions. The average return on a stock portfolio that goes long in the largest U.S. commercial banks and short in the smallest banks is...

"We find that the US consumption growth beta of an investment strategy that goes long in high interest rate currencies and short in low interest rate currencies is larger than one. These consumption beta estimates are statistically significant, contrary to what is claimed by Burnside (2007)....