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长期风险识别：贝叶斯混频方法AI 解读

We document that consumption growth rates are far from i.i.d. and have a highly persistent component. First, we estimate univariate and multivariate models of cash‐flow (consumption, output, dividends) growth that feature measurement errors, time‐varying volatilities, and mixed‐frequency observations. Monthly consumption data are important for identifying the stochastic volatility process; yet the data are contaminated, which makes the inclusion of measurement errors…

好与坏的不确定性：宏观经济和金融市场含义AI 解读

Does macroeconomic uncertainty increase or decrease aggregate growth and asset prices? To address this question, we decompose aggregate uncertainty into ‘good’ and ‘bad’ volatility components, associated with positive and negative innovations to macroeconomic growth. We document that in line with our theoretical framework, these two uncertainties have opposite impact on aggregate growth and asset prices. Good uncertainty predicts an increase in future economic activity, such…

Is individual labor income more risky in recessions? This is a difficult question to answer because existing panel data sets are so short. To address this problem, we develop a generalized method of moments estimator that conditions on the macroeconomic history that each member of the panel has experienced. Variation in the cross‐sectional variance between households with differing macroeconomic histories allows us to incorporate business cycle information dating back to…

若干 GMM 估计量的有限样本性质AI 解读

The authors investigate the small sample properties of three alternative generalized method of moments estimators of asset pricing models. The estimators that they consider include ones in which the weighting matrix is iterated to convergence and ones in which the weighting matrix is changed with each choice of the parameters. Particular attention is devoted to assessing the performance of the asymptotic theory for making inferences based directly on the deterioration of GMM…