Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence
利用宏观经济数据估计发达国家消费增长率与不确定性冲击的大小，发现这些冲击与“大缓和”和生产率放缓等事件吻合，并能解释跨国股权溢价差异，对资产定价有重要启示。
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.