transitory shocks? The implications for consumption and welfare depend crucially on the answer to this question. We use CEX … repeated cross-section data on consumption and income to decompose idiosyncratic changes in income into predictable life … evolution of consumption and income inequality well and delivers two main results. First, we find that permanent changes in …

consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is …We investigate the importance of aggregate and consumer-specific or idiosyncratic labour income risk for aggregate … decomposed into an aggregate and into an idiosyncratic part. Empirically, aggregate risk is modelled through a GARCH process on …

producing human capital. We also demonstrate that this attenuation effect tends to concentrate generational consumption risk … into an i.i.d. generational consumption shock. In other words, each generation bears all of the risk associated with their …

individual consumption risk in the economy. It is also known from Barillas et al. (2009) to increase if agents in the economy … business cycles in an economy with consumers who face individual consumption risk and who fear model misspecification. We find …The welfare cost of random consumption fluctuations is known from De Santis (2007) to be increasing in the level of …

individual consumption risk in the economy. It is also known from Barillas et al. (2009) to increase if agents in the economy … business cycles in an economy with consumers who face individual consumption risk and who fear model misspecification. We find …The welfare cost of random consumption fluctuations is known from DeSantis (2007) to be increasing in the level of …

Standard applications of the consumption-based asset pricing model make the assumption 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 nondurable goods or services. As …

consumption insurance. Based on insights from a theoretical model, we propose a new test to detect advance information, which … requires only panel data on consumption and income. Using the Panel Study of Income Dynamics, we find-in contrast to the … incomplete markets model and find that advance information reduces households' income forecast errors by 15%. Our estimation …

We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 … and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently … aggregation of returns and consumption growth over suitable horizons. Consistent with our formalization, we show that the factor …

The ratio of consumption to total household wealth (i.e., tangible assets plus unobserved human wealth) is commonly … calculated from the estimation of a log-linear version of the household intertemporal budget constraint as a cointegrating … relationship between consumption, assets and earnings (i.e., the variable "cay"). The evidence in favor of a stable cointegrating …