Long-Run Risk and the Persistence of Consumption Shocks
提出一种按持续性水平分解时间序列的方法，发现消费增长中存在与消费波动代理变量高度相关的可预测成分，这些成分产生显著的风险溢价，其中低频成分与长期生产率增长相关，年溢价约2%，高频成分贡献另外2%的股权溢价。
We propose a decomposition for time series in components classified by levels of persistence. Employing this decomposition, we provide empirical evidence that consumption growth contains predictable components highly correlated with well-known proxies of consumption variability. These components generate a term-structure of sizable risk premia. At low frequencies we identify a component correlated with long-run productivity growth and commanding a yearly premium of approximately 2%. At high frequencies we identify a component with yearly half-life, which contributes to the equity premium for another 2%. Accounting for persistence heterogeneity, we obtain an estimate of the IES strictly above one and robust across subsamples.