التفاصيل البيبلوغرافية
| العنوان: |
Long-Run Risk and the Persistence of Consumption Shocks. |
| المؤلفون: |
Ortu, Fulvio, Tamoni, Andrea, Tebaldi, Claudio |
| المصدر: |
Review of Financial Studies; Nov2013, Vol. 26 Issue 11, p2876-2915, 40p |
| مصطلحات موضوعية: |
FINANCIAL risk, RISK premiums, MATHEMATICAL models of consumption, TIME series analysis, ECONOMIC shock, MATHEMATICAL models of pricing, SUBSTITUTION (Economics), MATHEMATICAL models of economics, ELASTICITY (Economics), MATHEMATICAL models |
| مستخلص: |
We propose a decomposition for time series in components classified by levels of persistence. Employing this decomposition, we provide empirical evidence that consumption growth contains predictable components highly correlated with well-known proxies of consumption variability. These components generate a term-structure of sizable risk premia. At low frequencies we identify a component correlated with long-run productivity growth and commanding a yearly premium of approximately 2%. At high frequencies we identify a component with yearly half-life, which contributes to the equity premium for another 2%. Accounting for persistence heterogeneity, we obtain an estimate of the IES strictly above one and robust across subsamples. [ABSTRACT FROM PUBLISHER] |
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| قاعدة البيانات: |
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