panel data. We construct point predictors using Tweedie's formula for the posterior mean of heterogeneous coefficients under … Carlo study. In an empirical application we use the predictor to forecast revenues for a large panel of bank holding …

GNP shock that holds consumption constant. This is intuitive: if consumption does not change, permanent income did not … change, so the change in GNP should be transitory. Similarly, a stock price shock that holds dividends constant suggests a … discount rate change, and prices display a large transitory movement in response to this shock. The paper also examines …

We construct shock elasticities that are pricing counterparts to impulse response functions. Recall that impulse … response functions measure the importance of next-period shocks for future values of a time series. Shock elasticities measure … the contributions to the price and to the expected future cash flow from changes in the exposure to a shock in the next …

dispersion should also have increased. The relevant data for the US is problematic, so we utilize a UK panel dataset covering the …