This paper elucidates the influence of stock market volatility on U.S. consumption using pooled mean group (PMG) estimation of 46 states over the period from 1998 to 2017. The findings confirm that the PMG estimates of the effect of stock market volatility on consumption are robust to the lag...

Theoretische Fundierung -- Ökonometrische Implikationen -- Untersuchungsmethoden -- Messung der relevanten Daten -- Stationarität und deskriptive Statistik -- Untersuchungsergebnisse -- Zusammenfassung, Beitrag und Ausblick.

Empirical evidence suggests that risk premia are higher at business cycle troughs than they are at peaks. Existing asset pricing theories ascribe moves in risk premia to changes in volatility or risk aversion. Nevertheless, in a simple general equilibrium model, risk premia can be procyclical...