Estimating Expected Asset Returns With the Present Value Model of Consumption and Fed Forecasts

This paper utilizes Greenbook forecasts of consumption and income to predict expected asset returns through a present-value model of consumption. The study finds that, despite the valuable information contained in Greenbook forecasts, the expected asset returns obtained from this approach do not provide meaningful insights into future asset returns. This contrasts with previous literature suggesting predictability using the present-value model.

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Year of publication:	2023-12-29
Authors:	Kishor, N. Kundan

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Kishor, N. Kundan (2023): Estimating Expected Asset Returns With the Present Value Model of Consumption and Fed Forecasts.
Classification:	C32 - Time-Series Models ; E21 - Consumption; Saving
Source:	BASE

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