two identification strategies to monthly household panel data, we find that consumption significantly responds to …

We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility … news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are … aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an …

Monitoring Survey (RLMS) for 1994-2005. We analyze cross-sectional income and consumption inequality and find that inequality … decreased during the 2000-2005 economic recovery. The decrease appears to be driven by falling volatility of transitory income … shocks. The response of consumption to permanent and transitory income shocks becomes weaker later in the sample, consistent …

This paper shows how changes in the volatility of the real interest rate at which small open emerging economies borrow … have a quantitatively important effect on real variables like output, consumption, investment, and hours worked. To … motivate our investigation, we document the strong evidence of time-varying volatility in the real interest rates faced by a …

mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for … Bansal, Kiku, and Yaron (BKY, 2007a). BY's calibration counterfactually implies that long-run consumption and dividend growth …

We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term …-frequency data. We find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely …-diffusive models is incapable of accommodating the observed yield volatility dynamics. An important implication is that the bond …

recent volatility in asset markets - that the effects of declines in housing wealth in reducing consumption are at least as … financial assets, and measures of aggregate consumption for each of the geographic units over time. We estimate regression … models in levels, first differences and in error-correction form, relating per capita consumption to per capita income and …

The last 15 years has brought forth an explosion of research on consumption-based asset pricing as a leading contender … for explaining aggregate stock market behavior. This research has propelled further interest in consumption-based asset … consumption-based asset pricing theories using formal estimation, hypothesis testing, and model comparison. In addition to …

distribution of household consumption. The analysis integrates the labor economics literature on time variation in the wage … structure with the consumption insurance literature. In contrast to previous tests of consumption insurance, we examine the … longitudinal data with high quality information on both consumption and labor market outcomes, we draw upon the best available …