Consumption and expected asset returns without assumptions about unobservables
|Title:||Consumption and expected asset returns without assumptions about unobservables||Authors:||Whelan, Karl||Permanent link:||http://hdl.handle.net/10197/219||Date:||May-2006||Abstract:||If asset returns are predictable, then rational expectations and the arithmetic of budget constraints together imply that these predictable changes in returns should affect current consumption. This paper presents a new framework linking consumption, income, and observable assets to expectations of future asset returns. Relative to previous work on this topic, the framework proposed in this paper has a number of advantages including not relying on untestable assumptions concerning unobservable variables and not requiring estimation of unknown parameters to arrive at a forecasting variable.||Type of material:||Technical Report||Publisher:||Central Bank of Ireland||Copyright (published version):||2006 Copyright Central Bank of Ireland||Subject LCSH:||Consumption (Economics)
|Language:||en||Status of Item:||Not peer reviewed|
|Appears in Collections:||Economics Research Collection|
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