Credible inference requires attention to the possible fragility of the results (p-values for key hypothesis tests) to flaws in the model assumptions, notably including the validity of any instruments used. Past sensitivity analysis has mainly consisted of experimentation with alternative model...

From the log-linearized consumption Euler equation, consumption growth of any horizon m is a function of the expected real return of maturity m, and they are linked through the elasticity of intertemporal substitution (EIS). Instead of using only the 1- period return and consumption growth, this...