The Wealth-Consumption Ratio

被引：50

作者：

Lustig, Hanno ^{[1
,2
]}

Van Nieuwerburgh, Stijn ^{[2
,3
]}

Verdelhan, Adrien ^{[2
,4
]}

机构：

[1] UCLA Anderson, Los Angeles, CA USA

[2] NBER, Cambridge, MA 02138 USA

[3] NYU Stern, CEPR, New York, NY USA

[4] MIT, Cambridge, MA 02139 USA

来源：

REVIEW OF ASSET PRICING STUDIES | 2013年 / 3卷 / 01期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1093/rapstu/rat002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We derive new estimates of total wealth, the returns on total wealth, and the wealth effect on consumption. We estimate the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we compute total wealth as the price of a claim to aggregate consumption. We find that U.S. households have a surprising amount of total wealth, most of it human wealth. This wealth ismuch less risky than stock market wealth. Events in long-term bond markets, not stock markets, drive most total wealth fluctuations. The wealth effect on consumption is small and varies over time with real interest rates.

引用

页码：38 / 94

页数：57

共 55 条

[1] Using asset prices to measure the cost of business cycles [J].