Estimating Expected Asset Returns With the Present Value Model of Consumption and Fed Forecasts

Kishor, N. Kundan (2023): Estimating Expected Asset Returns With the Present Value Model of Consumption and Fed Forecasts.

Abstract

This paper utilizes Greenbook forecasts of consumption and income to predict expected asset returns through a present-value model of consumption. The study finds that, despite the valuable information contained in Greenbook forecasts, the expected asset returns obtained from this approach do not provide meaningful insights into future asset returns. This contrasts with previous literature suggesting predictability using the present-value model.

• Item Type: MPRA Paper
• Language: English
• Keywords: Consumption, Asset Returns, Present-Value Model, Greenbook Forecasts
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E21 - Consumption ; Saving ; Wealth

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