The Impact of Aggregate and Disaggregate Consumption Shocks on the Equity Risk Premium in the United Kingdom

Sunil Poshakwale () and Pankaj Chandorkar ()
Additional contact information
Sunil Poshakwale: Cranfield School of Management, Cranfield University
Pankaj Chandorkar: Newcastle Business School (NBS), Northumbria University

Annals of Economics and Finance, 2019, vol. 20, issue 2, 489-524

Abstract: We examine the impact of aggregate and disaggregate consumption shocks on the ex-post Equity Risk Premium (ERP) of FTSE indices and the 25 FamaFrench portfolios. Findings suggest that aggregate consumption shocks seem to explain significant time variation in the ERP. At disaggregated level, the ERP increases when the actual consumption is less than expected. Finally, durable and semi-durable consumption shocks have a greater impact on the ERP than non-durable consumption shocks.

Keywords: Equity Risk Premium; Consumption Wealth Channel; Consumption Shocks; Structural Vector Autoregression; Asset Pricing (search for similar items in EconPapers)
JEL-codes: E0 E2 E6 G0 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://down.aefweb.net/AefArticles/aef200201PoshakwaleChandorkar.pdf (application/pdf)

Related works:
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:cuf:journl:y:2019:v:20:i:2:poshakwalechandorkar

Access Statistics for this article

Annals of Economics and Finance is currently edited by Heng-fu Zou

More articles in Annals of Economics and Finance from Society for AEF Contact information at EDIRC.
Bibliographic data for series maintained by Qiang Gao ().