Constantinides, George M.; Ghosh, Anisha - National Bureau of Economic Research (NBER) - 2014
We present evidence that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and … preferences and a single state variable drives the conditional cross-sectional moments of household consumption growth. The … estimated model fits well the cross-sectional moments of household consumption growth and the unconditional moments of the risk …