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- W2148182207 abstract "I document that durable consumption growth is persistent and predicted by the price-dividend ratio. This provides strong and direct evidence for the existence of a highly persistent expected component. I also document robust evidence that durable consumption growth is left skewed and exhibits time-varying volatility. Based on these empirical properties, I model durable consumption growth as containing a persistent expected component and driven by shocks with counter-cyclical volatility. I embed the durable consumption growth dynamics and random walk nondurable consumption growth in nonseparable Epstein-Zin preferences, and model dividend growth as a levered claim on the expected component of durable consumption growth. The resulting model can explain a number of asset pricing phenomena, including pro-cyclical price-dividend ratios, large and counter-cyclical equity premia and stock return volatilities, low and smooth risk-free rates, and the predictability of stock returns. The model also generates the volatility feedback effect and an upward sloping term structure of real bond yields." @default.
- W2148182207 created "2016-06-24" @default.
- W2148182207 creator A5017756113 @default.
- W2148182207 date "2010-01-01" @default.
- W2148182207 modified "2023-10-09" @default.
- W2148182207 title "Asset Pricing with Left-Skewed Long-Run Risk in Durable Consumption" @default.
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- W2148182207 doi "https://doi.org/10.2139/ssrn.1364107" @default.
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