Extreme Inflation and Time-Varying Expected Consumption Growth
通过一个简洁的体制转换模型，发现预期消费增长随时间变化，加入通胀后识别出两种低消费增长状态，并在一般均衡资产定价模型中解释了股票收益波动和股债相关性的时变特征。
In a parsimonious regime switching model, we find strong evidence that expected consumption growth varies over time. Adding inflation as a second variable, we uncover two states in which expected consumption growth is low, one with high and one with negative expected inflation. Embedded in a general equilibrium asset pricing model with learning, these dynamics replicate the observed time variation in stock return volatilities and stock-bond return correlations. They also provide an alternative derivation for a measure of time-varying disaster risk suggested by Watcher [ Wachter J (2013 ) Can time-varying risk of rare disasters explain aggregate stock market volatility? J. Finance 68(3):987–1035]. implying that both the disaster and the long-run risk paradigm can be extended toward explaining movements in the stock-bond correlation. This paper was accepted by Kay Giesecke, finance. Funding: We gratefully acknowledge research and financial support from the Leibniz Center for Financial Research SAFE (formerly Research Center SAFE, funded by the State of Hessen initiative for research LOEWE). Supplemental Material: The data files and online appendices are available at https://doi.org/10.1287/mnsc.2022.4451 .