Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence

Emi Nakamura, Dmitriy Sergeyev and Jon Steinsson

American Economic Journal: Macroeconomics, 2017, vol. 9, issue 1, 1-39

Abstract: We provide new estimates of the importance of growth-rate shocks and uncertainty shocks for developed countries. The shocks we estimate are large and correspond to well-known macroeconomic episodes such as the Great Moderation and the productivity slowdown. We compare our results to earlier estimates of "long-run risks" and assess the implications for asset pricing. Our estimates yield greater return predictability and a more volatile price-dividend ratio. In addition, we can explain a substantial fraction of cross-country variation in the equity premium. An advantage of our approach, based on macroeconomic data alone, is that the parameter estimates cannot be viewed as backward engineered to fit asset pricing data. We provide intuition for our results using the recently developed framework of shock-exposure and shock-price elasticities.

JEL-codes: E21 E32 E44 G12 G35 (search for similar items in EconPapers)
Date: 2017
Note: DOI: 10.1257/mac.20150250
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (71)

Downloads: (external link)
https://www.aeaweb.org/articles?id=10.1257/mac.20150250 (application/pdf)
https://www.aeaweb.org/articles/attachments?retrie ... OA_jxPYKacjnyCJjLMQq (application/zip)
https://www.aeaweb.org/articles/attachments?retrie ... xN758_V7bvJJNEf4AWzf (application/zip)

Related works:
Working Paper: Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aea:aejmac:v:9:y:2017:i:1:p:1-39

Ordering information: This journal article can be ordered from
https://www.aeaweb.org/journals/subscriptions

Access Statistics for this article

American Economic Journal: Macroeconomics is currently edited by Simon Gilchrist

More articles in American Economic Journal: Macroeconomics from American Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Michael P. Albert ().