منابع مشابه
Empirical Proxies for the Consumption-Wealth Ratio
Campbell (1993) has employed a log-linearized approximation to an aggregate budget constraint to show how the ratio of consumption to total (human and non-human) wealth summarizes agents’ expectations concerning both future labor income and future asset returns. A problem with implementing this approach empirically is the unobservability of human wealth. Recently, Lettau and Ludvigson (2001a) h...
متن کاملOn the Real-Time Forecasting Ability of the Consumption-Wealth Ratio
Lettau and Ludvigson (2001a) show that the consumption-wealth ratio—the error term from the cointegration relation among consumption, net worth, and labor income—forecasts stock market returns out of sample. In this paper, we reexamine their evidence using real-time data. Consistent with the early authors, we find that consumption and labor income data are subject to substantial revisions, whic...
متن کاملAlcohol consumption, wealth, and health - Authors' reply.
Authors’ reply We thank Martin Frisher for his Correspondence about our Article, in which we used linked data to investigate the alcohol harms paradox. We found that increased alcohol consumption was associated with greater harms attributable to alcohol, but that populations of low socioeconomic status (measured by area-based deprivation, income, educational attainment, and social class) were d...
متن کاملConsumption , Wealth and Business Cycles in Germany
This paper studies the long-run relationship between consumption, asset wealth and income in Germany, based on data from 1980 to 2003. While earlier studies — mostly for the AngloSaxon economies — have generally documented that departures of these three variables from their common trend signal changes in asset prices, we find that for Germany they predict changes in income. Asset price changes ...
متن کاملConsumption, Aggregate Wealth and Expected Stock Returns
This paper studies the role of detrended wealth in predicting stock returns. We call a transitory movement in wealth one that produces a deviation from its shared trend with consumption and labor income. Using U.S. quarterly stock market data we find that these trend deviations in wealth are strong predictors of both real stock returns and excess returns over a Treasury bill rate. We also find ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.1354532