Countercyclical Risks, Consumption, and Portfolio Choice: Theory and Evidence
References
- (1989) On the covariance structure of earnings and hours changes. Econometrica 57(2):411–445.Crossref, Google Scholar
- (2023) Temperature shocks and industry earnings news. J. Financial Econom. 150(1):1–45.Google Scholar
- (2021) Thy neighbor’s misfortune: Peer effect on consumption. Amer. Econom. J. Econom. Policy 13(2):1–25.Crossref, Google Scholar
- (1995) Consumption over the life cycle and over the business cycle. Amer. Econom. Rev. 85(5):1118–1137.Google Scholar
- (1996) Relative wage movements and the distribution of consumption. J. Polit. Econom. 104(6):1227–1262.Crossref, Google Scholar
- (1993) Consumption growth, the interest rate and aggregation. Rev. Econom. Stud. 60(3):631–649.Crossref, Google Scholar
- (1995) Is consumption growth consistent with intertemporal optimization? Evidence from the Consumer Expenditure Survey. J. Polit. Econom. 103(6):1121–1157.Crossref, Google Scholar
- (2019) A life-cycle model with unemployment traps. Working paper, University of Turin, Turin, Italy.Google Scholar
- (2006) Rare disasters and asset markets in the twentieth century. Quart. J. Econom. 121(3):823–866.Crossref, Google Scholar
- (2006) A review of determinant factors of environmental proactivity. Bus. Strategy Environ. 15(2):87–102.Crossref, Google Scholar
- (2007) Portfolio choice over the life-cycle when the stock and labor markets are cointegrated. J. Finance 5:2123–2167.Crossref, Google Scholar
- (2012) Hedging labor income risk. J. Financial Econom. 105(3):622–639.Crossref, Google Scholar
- (2002) Asset pricing with heterogeneous consumers and limited participation: Empirical evidence. J. Polit. Econom. 110(4):793–824.Crossref, Google Scholar
- (2008) Consumption inequality and partial insurance. Amer. Econom. Rev. 98(5):1887–1921.Crossref, Google Scholar
- Bodie Z, Merton RC, Samuelson WF (1992) Labor supply flexibility and portfolio choice in a life cycle model. J. Econom. Dynam. Control 16:427–449.Google Scholar
- (2008) Do wealth fluctuations generate time-varying risk aversion? Micro-evidence on individuals’ asset allocation. Amer. Econom. Rev. 98(3):713–736.Crossref, Google Scholar
- (2006) Household finance. J. Finance 61(4):1553–1604.Crossref, Google Scholar
- (1989) Consumption, income, and interest rates: Reinterpreting the time series evidence. Blanchard OJ, Fischer S, eds. NBER Macroeconomics Annual, vol. 4 (MIT Press, Cambridge, MA), 185–246.Crossref, Google Scholar
- (2001) Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. J. Finance 56(1):1–43.Crossref, Google Scholar
- (1997) Buffer-stock saving and the life-cycle/permanent income hypotesis. Quart. J. Econom. 112:1–55.Crossref, Google Scholar
- (1997) The nature of precautionary wealth. J. Monetary Econom. 40:41–71.Crossref, Google Scholar
- (1991) Consumption growth parallels income growth: Some new evidence. Bernheim BD, Shoven JB, eds. National Saving and Economic Performance (The University of Chicago Press, Chicago), 305–348.Google Scholar
- (2003) Unemployment risk and precautionary wealth: Evidence from households’ balance sheets. Rev. Econom. Statist. 85(3):586–604.Crossref, Google Scholar
- (2021) Countercyclical income risk and portfolio choice over the life-cycle. Working paper, Review of Financial Studies, University of Pennsylvania, Philadelphia.Google Scholar
- (2018) Labor market uncertainty and portfolio choice puzzles. Amer. Econom. J. Macroeconom. 10(2):222–262.Crossref, Google Scholar
- (2020) Stock portfolio and housing choice when the stock and housing markets are cointegrated. Working paper, South China University of Technology, Guangzhou, China.Google Scholar
- (2005) Consumption and portfolio choice over the life-cycle. Rev. Financial Stud. 18:491–533.Crossref, Google Scholar
- (1991) Production-based asset pricing and the link between stock returns and economic fluctuations. J. Finance 46(1):209–237.Crossref, Google Scholar
- (2017) Asset pricing with countercyclical household consumption risk. J. Finance 72(1):415–460.Crossref, Google Scholar
- (1991) Saving and liquidity constraints. Econometrica 59(5):1221–1248.Crossref, Google Scholar
- (2019) Countercyclical stockholders’ consumption risk and tests of conditional CCAPM. Working paper, University of Toronto, Toronto.Google Scholar
- (1989) Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework. Econometrica 57(4):937–969.Crossref, Google Scholar
- (2017) Asset market participation and portfolio choice over the life-cycle. J. Finance 72(2):705–750.Crossref, Google Scholar
- (2013) Inequality, stock market participation, and the equity premium. J. Financial Econom. 107:740–759.Crossref, Google Scholar
- (1996) Risk vulnerability and the tempering effect of background risk. Econometrica 64(5):1109–1123.Crossref, Google Scholar
- (2005) Optimal life cycle asset allocation: Understanding the empiric evidence. J. Finance 60:869–904.Crossref, Google Scholar
- (2008) Asset pricing with limited risk sharing and heterogeneous agents. Rev. Financial Stud. 21(1):415–448.Crossref, Google Scholar
- (2002) Consumption over the life. Econometrica 70:47–91.Crossref, Google Scholar
- (2001) Saving behaviour and earnings uncertainty: Evidence from the British Household Panel Survey. J. Population Econom. 14:619–634.Crossref, Google Scholar
- (1996) Income risk, borrowing constraints, and portfolio choice. Amer. Econom. Rev. 86(1):158–172.Google Scholar
- (2014) The nature of countercyclical income risk. J. Polit. Econom. 122(3):621–660.Crossref, Google Scholar
- (1982) The sensitivity of consumption to transitory income: Estimates from panel data on households. Econometrica 50:461–481.Crossref, Google Scholar
- (1997) Market frictions, savings behavior, and portfolio choice. Macroeconom. Dyn. 1(1):76–101.Crossref, Google Scholar
- (2000) Portfolio choice and asset prices: The importance of entrepreneurial risk. J. Finance 55(3):1163–1198.Crossref, Google Scholar
- (1995) Precautionary saving and social insurance. J. Polit. Econom. 103:360–399.Crossref, Google Scholar
- (2000) Growth and business cycles. Staff Report 271, Federal Reserve Bank of Minneapolis, Minneapolis.Google Scholar
- (2014) The wealthy hand-to-mouth. Brookings Papers Econom. Activity 45(1):77–153.Crossref, Google Scholar
- (1991) Precautionary motives for holding assets. NBER Working Paper 3586, National Bureau of Economic Research, Cambridge, MA.Google Scholar
- King MA, Leape JI (1987) Asset accumulation, information, and the life cycle. NBER Working Paper No. 2392, National Bureau of Economic Research, Cambridge, MA.Google Scholar
- (1998) Consumption and portfolio selection with labor income: A continuous time approach. Math. Finance 8(1):49–65.Crossref, Google Scholar
- (2002) Wealth inequality and altruistic bequests. Amer. Econom. Rev. 92(2):270–273.Crossref, Google Scholar
- (2001) Approximation bias in linearized Euler equation. Rev. Econom. Statist. 83(2):242–256.Crossref, Google Scholar
- (1998) On the importance of the precautionary saving motive. Amer. Econom. Rev. 88(2):449–453.Google Scholar
- (2002) Explaining why so many households do not save. George Washington University No 1, Working Papers from Harris School of Public Policy Studies, University of Chicago, Chicago.Google Scholar
- (2011) Labor income dynamics at business-cycle frequencies: Implications for portfolio choice. J. Financial Econom. 101(2):333–359.Crossref, Google Scholar
- (1996) Unemployment and consumption. Oxford Econom. Papers 48:584–600.Crossref, Google Scholar
- (2009) Long-run stockholders consumption risk and asset returns. J. Finance 64(6):2427–2479.Crossref, Google Scholar
- (1991) The consumption of stockholders and nonstockholders. J. Financial Econom. 29:97–112.Crossref, Google Scholar
- (2017) Time-varying idiosyncratic risk and aggregate consumption dynamics. J. Monetary Econom. 88:1–14.Crossref, Google Scholar
- (2004) Income variance dynamics and heterogeneity. Econometrica 72(1):1–32.Crossref, Google Scholar
- (2009) Who bears aggregate fluctuations and how? Amer. Econom. Rev. 99(2):399–405.Crossref, Google Scholar
- (2007) Life-cycle portfolio choice with additive habit formation preferences and uninsurable labor income risk. Rev. Financial Stud. 20(1):83–124.Crossref, Google Scholar
- (1987) Proper risk aversion. Econometrica 55(1):143–154.Crossref, Google Scholar
- (2006) Inattentive consumers. J. Monetary Econom. 53:1761–1800.Crossref, Google Scholar
- (1988) The equity risk premium a solution. J. Monetary Econom. 22(1):117–131.Crossref, Google Scholar
- (1991) Liquidity constraints and the permanent-income hypothesis: Evidence from panel data. J. Monetary Econom. 27(1):73–98.Crossref, Google Scholar
- Schmidt LDW (2022) Climbing and falling off the ladder: Asset pricing implications of labor market event risk. MIT Sloan Working Paper 5500-16, MIT Sloan School of Management, Boston.Google Scholar
- (2004) Consumption and risk sharing over the life-cycle. J. Monetary Econom. 51(3):609–633.Crossref, Google Scholar
- (1994) Risk and insurance in village India. Econometrica 62(3):539–591.Crossref, Google Scholar
- (2008) Macroeconomic crises since 1870. Brookings Papers Econom. Activity 2008(1):255–350.Crossref, Google Scholar
- (2019) Limited stock market participation among renters and homeowners. Rev. Financial Stud. 32(4):1494–1535.Crossref, Google Scholar
- (2001) Optimal portfolio choice for long-horizon investors with nontradable labor income. J. Finance 55:1163–1198.Google Scholar
- (2002) Limited asset market participation and the elasticity of intertemporal substitution. J. Polit. Econom. 110(4):825–853.Crossref, Google Scholar
- (2010) Why do household portfolio shares rise in wealth? Rev. Financial Stud. 2:3929–3965.Crossref, Google Scholar
- (1989) Consumption and liquidity constraints: An empirical investigation. J. Polit. Econom. 97(2):305–346.Crossref, Google Scholar
- (2009) Tailoring the Gaussian law for excess kurtosis and skewness by Hermite polynomials. Commun. Statist. Theory Methods 39(1):52–64.Crossref, Google Scholar

