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文章基本信息

  • 标题:Are Asset Returns Predictable from the National Accounts?
  • 本地全文:下载
  • 作者:Pierre Lafourcade
  • 期刊名称:DNB Working Papers / De Nederlandsche Bank
  • 出版年度:2008
  • 卷号:1
  • 出版社:De Nederlandsche Bank
  • 摘要:Rational expectations and the logic of budget constraints imply that the predictability of asset returns hinges on the stability and persistence of households' ratio of saving to asset wealth, not of consumption to total wealth. This misalignment undermines the rationale for Lettau and Ludvigson's estimated cay, a stationary but unduly loose approximation to the true but non-mean-reverting cay. Definitional considerations on saving, assets and returns suggest rehabilitating money in the households' flow of funds identity. Accounting for money balances in cay restores stationarity, but at the cost of drastically lower persistence and predictive potential.
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