Using information in returns we identify the stochastic process of consumption – the crucial ingredient of most macro …-finance models. We find that aggregate consumption reacts over multiple quarters to innovations spanned by financial markets, and … this persistent component accounts for 26% of the consumption variation. These innovations drive most of the time series …

Macroeconomic research on consumption has been influenced profoundly by rational expectations. First, rational … expectations together with the hypothesis of constant expected real interest rates implies that consumption should evolve as a … its failure. Three branches of the literature have developed. The first relies on the durability of consumption to explain …

Macroeconomic research on consumption has been influenced profoundly by rational expectations. First, rational … expectations together with the hypothesis of constant expected real interest rates implies that consumption should evolve as a … its failure. Three branches of the literature have developed. The first relies on the durability of consumption to explain …

consumption commitment for most households { their monthly rent or mortgage payment. I find that non-durable and food spending … weekly, biweekly and monthly income streams but the same timing of rent/mortgage payments have very similar consumption …