Replication data for: Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence
Principal Investigator(s): View help for Principal Investigator(s) Emi Nakamura; Dmitriy Sergeyev; Jón Steinsson
Version: View help for Version V1
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MAC2015-0250_data | 12/07/2019 02:24:PM | ||
LICENSE.txt | text/plain | 14.6 KB | 12/07/2019 09:24:AM |
Project Citation:
Nakamura, Emi, Sergeyev, Dmitriy, and Steinsson, Jón. Replication data for: Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence. Nashville, TN: American Economic Association [publisher], 2017. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-12-07. https://doi.org/10.3886/E116404V1
Project Description
Summary:
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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.
Scope of Project
JEL Classification:
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E21 Macroeconomics: Consumption; Saving; Wealth
E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G35 Payout Policy
E21 Macroeconomics: Consumption; Saving; Wealth
E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G35 Payout Policy
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