Consumption, Asset Markets, and Macroeconomic Fluctuations

Robert Shiller

No 838, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: A broad exploratory data analysis is conducted to assess the promise of a kind of model in which long-term asset prices change through time primarily due to consumption related changes in the rate of discount. Aggregate consumption data are used to infer ex-post marginal rates of substitution. Prices of stocks, bonds, short debt, land and housing are examined for the period 1890 to 1980, Methods are explored of evaluating this kind of model in the absence of accurate data on consumption.

Date: 1982-01
Note: ME
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Published as Shiller, Robert J. "Consumption, Asset Markets, and Macroeconomic Fluctuations." Carnegie-Rochester Conference Series on Public Policy, Vol. 17, (1982), pp. 203-238.

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