Référence

Christian Julliard (London School of Economics), « The Consumption Risk of Bonds and Stocks », Fédération des Banques Françaises Seminar, TSE, 27 novembre 2017, 12h30–14h00, salle MF 323.

Résumé

Aggregate consumption growth reacts slowly, but significantly, to bond and stock return innovations. As a consequence, slow consumption adjustment (SCA) risk, measured by the reaction of consumption growth cumulated over many quarters following a return, can explain most of the cross-sectional variation of expected bond and stock returns. Moreover, SCA shocks explain about a quarter of the time series variation of consumption growth, a large part of the time series variation of stock returns, and a significant (but small) fraction of the time series variation of bond returns, and have substantial predictive power for future consumption growth.

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