Estimating Expected Asset Returns with the Present Value Model of Consumption and Fed Forecasts

Kishor Narayan Kundan ()
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Kishor Narayan Kundan: Department of Economics, University of Wisconsin-Milwaukee, Milwaukee, WI 53201, USA

The B.E. Journal of Macroeconomics, 2024, vol. 24, issue 2, 997-1007

Abstract: This paper utilizes Greenbook forecasts of consumption and income to estimate expected asset returns through a present value model of consumption. The study finds that, despite the valuable information contained in Greenbook forecasts, the expected asset returns obtained from this approach do not provide meaningful insights into future asset returns. This contrasts with previous literature suggesting predictability using the present-value model.

Keywords: consumption; asset returns; present-value model; Greenbook forecasts (search for similar items in EconPapers)
JEL-codes: C32 E21 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1515/bejm-2024-0084

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