unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price …-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are … procyclical while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross …

, the model provides a closer match between theory and data with respect to the correlation between relative consumption … growth and real exchange rate changes, a key measure of international risk-sharing …

with low income uncertainty; for the high income risk worker, equity exposure rises until retirement. We also evaluate how … differences in social security benefits can influence retirement risk management …

and 2) The premium for holding equity, over a safe government bond, is large. The equity premium has two parts; a risk … savings rates and I use this model to account for a high term premium and a volatile stochastic discount factor. The fact the …

only fits standard salient asset prices features including means and volatilities for equity returns and risk free rates …

shows that regimes of low interest rates and high asset valuations are characterized by lower equity market risk premia and …