Building proxies that capture time-variation in expected returns using a VAR approach
I use the consumer's budget constraint to derive a relationship between stock market returns, the residuals of the trend relationship among consumption, aggregate wealth, and labour income, and three major sources of risk: future changes in the housing consumption share, future labour income gr...
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| Format: | article |
| Language: | eng |
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2011
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| Online Access: | http://hdl.handle.net/1822/11971 |
| Country: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/11971 |