The present paper tests for the existence of multicointegration between real per capita private consumption expenditure … income and consumption expenditure on the one hand, and the stock of consumers' wealth, which can be considered as cumulative … multicointegrating relations and find supporting evidence for the existence of multicointegration in US consumption data. …

housing crash from 2006 to 2011 and its implications for aggregate and cross-sectional consumption during the Great Recession … consumption. Balance sheets act as a transmission mechanism from housing to consumption that depends on gross portfolio positions … and the leverage distribution. Low interest rate policies accelerate the recovery in housing and consumption …

This paper provides an explanation why garbage as a measure of consumption implies a several times lower coefficient of … relative risk aversion in the consumption-based asset pricing model than consumption based on the official National Income and … Product Accounts (NIPA): Unlike garbage, NIPA consumption is filtered to mitigate measurement error. I apply a structural …

willing to give up 0.20% while the oldest retired households would be willing to give up over 1% of lifetime consumption in … to give up 2.7% of lifetime consumption to avoid a large capital outflow …

models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR …, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time series of GDP and Government Consumption Expenditures & Gross … Investment (GCEGI) from 1980 to 2013. The article is organized in three sections: (I) Definition; (II) Regression Models; (III …

This paper studies whether dynamic term structure models for US nominal bond yields should enforce the zero lower bound … models (QTSMs) and shadow rate models (SRMs) with at most four pricing factors. Our findings suggest that QTSMs give a better …

market. Unlike previous macro-finance models which assume a homoscedastic error process and suppose that the one …

spending when it undergoes large changes. In this respect, she estimates a consumption function in which only large expansions …