{"id":7718,"date":"2019-04-23T09:51:06","date_gmt":"2019-04-23T07:51:06","guid":{"rendered":"https:\/\/www.uni.lu\/fr\/events\/consumption-in-asset-returns\/"},"modified":"2019-04-23T09:51:06","modified_gmt":"2019-04-23T07:51:06","slug":"consumption-in-asset-returns","status":"publish","type":"events","link":"https:\/\/www.uni.lu\/fr\/events\/consumption-in-asset-returns\/","title":{"rendered":"Consumption in Asset Returns"},"content":{"rendered":"<section class=\"wp-block-unilux-blocks-free-section section\"><div class=\"container xl:max-w-screen-xl\"><p>Consumption dynamics are hard to measure accurately in the data, yet they are the crucial ingredient of macro-finance asset pricing models. The central insight of these models is that, in equilibrium, both consumption and returns are largely driven by the same fundamental shocks. Therefore, we use the information in returns to identify the underlying process of consumption. We _find that aggregate consumption growth<\/p><p>reacts over multiple quarters to the innovations spanned by bond and stock returns. This persistent component: (a) is economically large i.e. it accounts for about 26% of the total variation in consumption; (b) drives most of the time series variation of stocks and a significant (yet small) fraction of bond returns; (c) is reflected in the term structure of interest rates; and (d) is priced jointly in the cross-sections of bond and stock returns. These results, stable across estimation techniques and robustness checks, pose a novel challenge for asset pricing theory.<\/p><\/div><\/section>","protected":false},"excerpt":{"rendered":"","protected":false},"author":0,"featured_media":7719,"parent":0,"menu_order":0,"comment_status":"open","ping_status":"closed","template":"","format":"standard","meta":{"featured_image_focal_point":[],"show_featured_caption":false,"ulux_newsletter_groups":"","uluxPostTitle":"","uluxPrePostTitle":"","_trash_the_other_posts":false,"_price":"","_stock":"","_tribe_ticket_header":"","_tribe_default_ticket_provider":"","_tribe_ticket_capacity":"0","_ticket_start_date":"","_ticket_end_date":"","_tribe_ticket_show_description":"","_tribe_ticket_show_not_going":false,"_tribe_ticket_use_global_stock":"","_tribe_ticket_global_stock_level":"","_global_stock_mode":"","_global_stock_cap":"","_tribe_rsvp_for_event":"","_tribe_ticket_going_count":"","_tribe_ticket_not_going_count":"","_tribe_tickets_list":"[]","_tribe_ticket_has_attendee_info_fields":false,"event_start_date":"2019-04-30 12:30:00","event_end_date":"2019-04-30 13:45:00","event_speaker_name":"Svetlana Bryzgalova - London Business School","event_speaker_link":"","event_is_online":false,"event_location":"Kirchberg Campus\r\nMain Building \/ Salle des conseils D17\r\n6, rue Richard Coudenhove-Kalergi\r\nL-1359 Luxembourg","event_street":"","event_location_link":"","event_zip_code":"","event_city":"","event_country":"LU"},"events-topic":[309],"events-type":[],"organisation":[116,101,226],"authorship":[],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v22.3 (Yoast SEO v22.3) - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>Consumption in Asset Returns - Universit\u00e9 du Luxembourg<\/title>\n<meta name=\"description\" content=\"Consumption dynamics are hard to measure accurately in the data, yet they are the crucial ingredient of macro-finance asset pricing models. The central\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.uni.lu\/fr\/events\/consumption-in-asset-returns\/\" \/>\n<meta property=\"og:locale\" content=\"fr_FR\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Consumption in Asset Returns\" \/>\n<meta property=\"og:description\" content=\"Consumption dynamics are hard to measure accurately in the data, yet they are the crucial ingredient of macro-finance asset pricing models. The central\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.uni.lu\/fr\/events\/consumption-in-asset-returns\/\" \/>\n<meta property=\"og:site_name\" content=\"UNI FR\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/uni.lu\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"2560\" \/>\n\t<meta property=\"og:image:height\" content=\"2560\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Dur\u00e9e de lecture estim\u00e9e\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/consumption-in-asset-returns\/\",\"url\":\"https:\/\/www.uni.lu\/fr\/events\/consumption-in-asset-returns\/\",\"name\":\"Consumption in Asset Returns - Universit\u00e9 du Luxembourg\",\"isPartOf\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/#website\"},\"primaryImageOfPage\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/consumption-in-asset-returns\/#primaryimage\"},\"image\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/consumption-in-asset-returns\/#primaryimage\"},\"thumbnailUrl\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2019\/04\/consumption_in_asset_returns.jpg\",\"datePublished\":\"2019-04-23T07:51:06+00:00\",\"dateModified\":\"2019-04-23T07:51:06+00:00\",\"description\":\"Consumption dynamics are hard to measure accurately in the data, yet they are the crucial ingredient of macro-finance asset pricing models. 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