-linearity, and multiple seasonality or time-varying correlations. Our study indicates that the joint dual long-memory process can …

We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 … aggregation of returns and consumption growth over suitable horizons. Consistent with our formalization, we show that the factor … loadings associated with consumption growth aggregated over a 2-year horizon have similar pricing ability as those associated …

This paper studies why investors buy dividend-paying assets and how they time their consumption accordingly. We combine … administrative bank data linking customers' consumption transactions and income to detailed portfolio data and survey responses on … financial behavior. We find that private consumption is excessively sensitive to dividend income. Investors across wealth …

This paper examines the responses of private consumption, residential investment, and business investment in 11 EU … structure. We are thus able to document the importance of a wealth/balance sheet channel for private consumption and residential …

. Further, while during earlier parts of our sample both a slowdown in consumption and investment growth contribute to a … decomposition for consumption growth shows that the contribution of stock market volatility becomes negligible as we go from earlier … of stock market volatility. -- Dow Jones index ; stock market volatility shocks ; economic growth ; consumption …