to account for anticipation effects on consumption. We investigate this using high-frequency spending and balance sheet … with a standard buffer-stock consumption model, and implies that it is less effective to target stimulus to low liquidity …

consumption from its permanent level warranted by productivity—termed the consumption gap—comove with survey measures of consumer … sentiment and forecast stock returns in- and out-of-sample, subsuming other well-known consumption-based predictors. Using the … consumption gap to time the market, a mean-variance investor would achieve an annualized average certainty equivalent return of 2 …

This paper evaluates the central insight of the Consumption Capital Asset Pricing Model (CCAPM) that an asset …'s expected return is determined by its equilibrium risk to consumption. Rather than measure the risk of a portfolio by the … contemporaneous covariance of its return and consumption growth - as done in the previous literature on the CCAPM and the pattern of …

for structural changes with known and unknown change point are applied to the models estimated by the generalized method …

This paper estimates and tests several versions of the consumption-based asset pricing model extended to allow for time … significant effects on an individual's intertemporal consumption behaviour …

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 …

Several papers show that the apparent disconnect between stock returns and consumption growth is due to mismeasurement … in standard consumption data, and propose to use new consumption measures instead. This paper finds that standard … consumption is valuable for asset pricing if one focuses on consumption levels rather than growth. I analytically show that, when …

Standard applications of the consumption-based asset pricing model assume that goods and services within the nondurable … consumption bundle are substitutes. We estimate substitution elasticities between different consumption bundles and show that … households cannot substitute energy consumption by consumption of other nondurables. As a consequence, energy consumption affects …

the finance literature. The study is undertaken within a class of well-known dynamic stochastic general equilibrium models …

asset pricing models. …