Asset Pricing with Countercyclical Household Consumption Risk
研究发现家庭消费增长冲击具有负偏态、持久且逆周期的特征，并驱动资产价格。构建了一个包含异质性家庭和递归偏好的简约模型，该模型能很好地拟合无风险利率、股权溢价等关键金融变量，并解释超额收益的横截面差异。
ABSTRACT We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross‐sectional moments of household consumption growth. The estimated model fits well the unconditional cross‐sectional moments of household consumption growth and the moments of the risk‐free rate, equity premium, price‐dividend ratio, and aggregate dividend and consumption growth. The model‐implied risk‐free rate and price‐dividend ratio are procyclical, while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross section of excess returns.