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Asset pricing with countercyclical household consumption risk
Kōnstantinidēs, Giōrgos; Ghosh, Anisha - 2014
Persistent link: https://www.econbiz.de/10010360490
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Asset pricing with countercyclical household consumption risk
Kōnstantinidēs, Giōrgos; Ghosh, Anisha - In: The journal of finance : the journal of the American … 72 (2017) 1, pp. 415-460
Persistent link: https://www.econbiz.de/10011738413
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Asset Pricing with Countercyclical Household Consumption Risk
Constantinides, George M. - 2014
We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of...
Persistent link: https://www.econbiz.de/10013054039
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Asset Pricing with Countercyclical Household Consumption Risk
Constantinides, George M. - 2015
We present evidence that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional...
Persistent link: https://www.econbiz.de/10013034190
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Estimating consumption responses to income shocks of different persistence using self-reported income measures
Kukk, Merike; Kulikov, Dmitry; Stæhr, Karsten - In: The review of income and wealth : journal of the … 62 (2016) 2, pp. 311-333
Persistent link: https://www.econbiz.de/10011621719
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Asset Pricing with Countercyclical Household Consumption Risk
Constantinides, George M. - 2014
We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of...
Persistent link: https://www.econbiz.de/10012458555
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Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence
Arellano, Manuel; Blundell, Richard W.; Bonhomme, Stéphane - 2023
Persistent link: https://www.econbiz.de/10014383853
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Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence
Arellano, Manuel; Blundell, Richard W.; Bonhomme, Stéphane - 2023
In this paper we use the enhanced consumption data in the Panel Survey of Income Dynamics (PSID) from 2005-2017 to … explore the transmission of income shocks to consumption. We build on the nonlinear quantile framework introduced in Arellano …, Blundell and Bonhomme (2017). Our focus is on the estimation of consumption responses to persistent nonlinear income shocks in …
Persistent link: https://www.econbiz.de/10014248416
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Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence
Arellano, Manuel; Blundell, Richard W.; Bonhomme, Stéphane - 2023
Persistent link: https://www.econbiz.de/10014283731
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Showing off to the new neighbors? : income, socioeconomic status and consumption patterns of internal migrants
Danzer, Alexander M.; Dietz, Barbara; Gatskova, Ksenia; … - 2013
. Using a novel dataset from the emerging economy of Kazakhstan we find that internal migrants earn an income and status …. -- absolute and relative welfare ; income ; status consumption ; signaling model ; conspicuous consumption ; adaptation ; internal …
Persistent link: https://www.econbiz.de/10009740076