We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 … aggregation of returns and consumption growth over suitable horizons. Consistent with our formalization, we show that the factor … loadings associated with consumption growth aggregated over a 2-year horizon have similar pricing ability as those associated …

The welfare cost of random consumption fluctuations is known from DeSantis (2007) to be increasing in the level of … individual consumption risk in the economy. It is also known from Barillas et al. (2009) to increase if agents in the economy … business cycles in an economy with consumers who face individual consumption risk and who fear model misspecification. We find …

The welfare cost of random consumption fluctuations is known from De Santis (2007) to be increasing in the level of … individual consumption risk in the economy. It is also known from Barillas et al. (2009) to increase if agents in the economy … business cycles in an economy with consumers who face individual consumption risk and who fear model misspecification. We find …

is characterized by several years of expansion in private consumption and a gradual appreciation of the real exchange … be accompanied by a decline in consumption. I show that this price-consumption problem can be resolved by relaxing the … boom in consumption and gradual real exchange rate appreciation. A temporary program induces, in addition, a smooth boom …

This paper shows how risk may aggravate fluctuations in economies with imperfect insurance and multiple assets. A two … unique under full insurance. If investment is fully insured but unemployment risk is uninsured, the precautionary saving … poverty traps or persistent multiplicity. Greater insurance is doubly beneficial in this context since it can both prevent …