of housing and stock prices on US consumption over time. We use annual data from 1890 to 2012 and find that over … different horizons and over time, generally the housing price positively affects consumption while the stock price negatively … affects consumption. These opposite responses to changes in housing and stock prices suggest different mechanisms through …

of housing and stock prices on US consumption over time. We use annual data from 1890 to 2012 and find that over … different horizons and over time, generally the housing price positively affects consumption while the stock price negatively … affects consumption. These opposite responses to changes in housing and stock prices suggest different mechanisms through …

This paper argues that nonlinear adjustment may provide a better explanation of °uctuations in the consumption … markets. In fact, estimation of the system suggests that short-term deviations in the consumption-wealth ratio will forecast … either asset returns or consumption growth: the ¯rst when changes in wealth are transitory; the second when changes in wealth …

This paper argues that nonlinear adjustment may provide a better explanation of fluctuations in the consumption … financial markets. In fact, estimation of the system suggests that short-term deviations in the consumption-wealth ratio will … forecast either asset returns or consumption growth: the first when changes in wealth are transitory; the second when changes …

Risk premia in the consumption capital asset pricing model depend on preferences and dividends. We develop a … elasticity of a preference-based stochastic discount factor for pricing assets with respect to the consumption innovation … correlated with individual consumption. …