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- W2105736272 abstract "What are the main drivers of ‡uctuations in the aggregate US stock market? In this paper, we attempt to resolve the long-lasting debate surrounding this question by designing and solving a consumption-based asset pricing model which incorporates stochastic volatility, long-run risks in consumption and dividends, and Epstein-Zin preferences. Utilizing Bayesian MCMC techniques, we estimate the model by …tting it to US data on the level of the aggregate US stock market, the short-term real risk-free interest rate, real consumption growth, and real dividend growth. Our results indicate that, over short and medium horizons, ‡uctuations in the level of the aggregate US stock market are mainly driven by changes in expected excess returns. Conversely, low frequency movements in the aggregate stock market are primarily driven by changes in the expected long-run growth rate of real dividends." @default.
- W2105736272 created "2016-06-24" @default.
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- W2105736272 date "2010-01-01" @default.
- W2105736272 modified "2023-09-26" @default.
- W2105736272 title "Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations" @default.
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- W2105736272 doi "https://doi.org/10.2139/ssrn.1699777" @default.
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