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University of Pennsylvania

Finance Papers

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Full-Text Articles in Macroeconomics

Volatility, The Macroeconomy, And Asset Prices, Ravi Bansal, Dana Kiku, Ivan Shaliastovich, Amir Yaron Dec 2014

Volatility, The Macroeconomy, And Asset Prices, Ravi Bansal, Dana Kiku, Ivan Shaliastovich, Amir Yaron

Finance Papers

How important are volatility fluctuations for asset prices and the macroeconomy? We find that an increase in macroeconomic volatility is associated with an increase in discount rates and a decline in consumption. We develop a framework in which cash flow, discount rate, and volatility risks determine risk premia and show that volatility plays a significant role in explaining the joint dynamics of returns to human capital and equity. Volatility risk carries a sizable positive risk premium and helps account for the cross section of expected returns. Our evidence demonstrates that volatility is important for understanding expected returns and macroeconomic fluctuations.


Consumer Spending And The Economic Stimulus Payments Of 2008, Jonathan A. Parker, Nicholas S. Souleles, David S. Johnson, Robert Mcclelland Oct 2013

Consumer Spending And The Economic Stimulus Payments Of 2008, Jonathan A. Parker, Nicholas S. Souleles, David S. Johnson, Robert Mcclelland

Finance Papers

We measure the change in household spending caused by receipt of the economic stimulus payments of 2008, using questions added to the Consumer Expenditure Survey and variation from the randomized timing of disbursement. Households spent 12-30 percent (depending on specification) of their payments on nondurable goods during the three-month period of payment receipt, and a significant amount more on durable goods, primarily vehicles, bringing the total response to 50-90 percent of the payments. The responses are substantial and significant for older, lower-income, and home-owning households. Spending does not vary significantly with the method of disbursement (check versus electronic transfer).