investigate the empirical relation between three cointegrated variables: aggregate consumption, asset wealth, and labor income … the following structural question about the short-run dynamics: "How quickly does consumption adjust to changes in income … in income or wealth have been realized. We argue here, however, that a statistical methodology different from that used …

idiosyncratic income shocks. Following Mankiw (1986), the paper develops an equilibrium factor model in which risk premia depend on …This paper uses household consumption data to investigate whether uninsurable idiosyncratic risk accounts for the …

This paper uses minimum-variance (MV) admissible kernels to estimate risk premia associated with economic risk … variables and to test multi-beta models. Estimating risk premia using MV kernels is appealing because it avoids the need to 1 …) identify all relevant sources of risk and 2) assume a linear factor model for asset returns. Testing multi-beta models in terms …

settings where prices of risk vary with observed state variables. We identify conditions under which four-stage regression … time-varying prices of risk are pervasive, thus favoring dynamic cross-sectional asset pricing models over standard …

This paper uses minimum-variance (MV) admissible kernels to estimate risk premia associated with economic risk … variables and to test multi-beta models. Estimating risk premia using MV kernels is appealing because it avoids the need to 1 …) identify all relevant sources of risk and 2) assume a linear factor model for asset returns. Testing multi-beta models in terms …

elsewhere. Still, the increase in international income flows falls short of explaining all of the consumption risk sharing we …This paper documents a marked increase in international consumption risk sharing throughout the recent globalization … measure long-run risk sharing among OECD countries and US federal states. We derive our empirical setup from a deliberately …