In this paper, based on a quarterly dataset of G7 countries with the application of a nonlinear ARDL model we test for the presence of a short-run and long-term asymmetry in the relationship between government spending and economic activity. The main aim of this study is to analyze the...

Duffee (2005) documents that the amount of consumption risk (i.e., the conditional covariance between market returns and consumption growth) is procyclical. In light of this "Duffee Puzzle", I empirically demonstrate that the conditional covariance between dividend growth (i.e., the immediate...