market returns volatility. The squared residuals of the GARCH(1,1) regression model proxied macroeconomic uncertainty levels …

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 …

a rise in consumption in response to an innovation in government spending is not a robust feature of the model. …

I study the consumption responses of heterogeneous households following changes in both house prices and interest rates …. I show the common assumption that household period utility is separable in housing and consumption can be consistent …, consumption no longer increases after a rise in house prices. As it is well known, transaction costs are an important ingredient …

long-run risk into standard business-cycle models of asset prices because it tightly intertwines the cyclical and long … homoscedastic consumption innovations. Not only does changing forecast variance make discrimination between protracted spells of …