Using a macro quantile factor model, we examine cross-state (i.e., cross-quantile) heterogeneity in consumption … behaviors. We find that common macro factors generate a “big bang/crunch” effect on micro consumption. Generally speaking, when … the aggregate effect of the common factors on the consumption in low consumption-growth states is negative (resp. positive …

We show that two types of consumption risk are priced in the equity premium: the risk of aggregate consumption growth … and that of changing the composition of the consumption basket, when goods have heterogeneous costs of adjustment. We use … the property that the frequency of consumption adjustment is inversely related to adjustment costs and split consumption …

This paper shows that consumption-based asset pricing puzzles arise from using globally concave-shaped consumption … utility. We empirically find that asset returns correlate negatively with many individuals' low-quantile consumption growth …. This finding challenges most mainstream models and supports an asset pricing model based on an S-shaped consumption utility …

This paper investigates consumption-behavior heterogeneity across consumption growth levels by analyzing microdata from …) S-shaped utility to consumption behaviors with a simple mean regression method that doesn't require specifying the … reference points of consumption. We find that the lower and upper quantiles of micro-level consumption growth generally exhibit …

Consumption growth is predictable, a basic violation of the permanent-income hypothesis. This paper examines three … possible explanations: rule-of-thumb behavior, in which households allow consumption to track per-period income flows rather … than permanent income; habit persistence; and non-separability in preferences over consumption and leisure. The data appear …

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 …

consumption series, which includes PC, significantly improves the fit of the standard consumption-CAPM with power-utility …Priceless consumption (PC) is a type of consumption that is not available in the marketplace and, therefore, is absent … from aggregate consumption measures. We propose an estimation methodology to recover PC from its effects on the composition …

We solve Ireland's (1994) conspicuous consumption model (where social-status concerns are introduced into the utility … of explaining empirically observed consumption patterns with a CD utility model …

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 …

finite horizon economy. Utility from anticipation of future consumption makes consumers patient. Furthermore, in general, it … overcome time-inconsistency, sophisticated consumers adjust their discount factors. The resulting optimal consumption path may … consumption path differ from true time preference and observational equivalence is no longer valid …