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Replication data for: Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence

Version
V0
Resource Type
Dataset
Creator
  • Nakamura, Emi
  • Sergeyev, Dmitriy
  • Steinsson, Jón
Publication Date
2017-01-01
Description
  • Abstract

    We provide new estimates of the importance of growth-rate shocks and uncertainty shocks for developed countries. The shocks we estimate are large and correspond to well-known macroeconomic episodes such as the Great Moderation and the productivity slowdown. We compare our results to earlier estimates of "long-run risks" and assess the implications for asset pricing. Our estimates yield greater return predictability and a more volatile price-dividend ratio. In addition, we can explain a substantial fraction of cross-country variation in the equity premium. An advantage of our approach, based on macroeconomic data alone, is that the parameter estimates cannot be viewed as backward engineered to fit asset pricing data. We provide intuition for our results using the recently developed framework of shock-exposure and shock-price elasticities.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/mac.20150250 (Text)
Publications
  • Nakamura, Emi, Dmitriy Sergeyev, and Jón Steinsson. “Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence.” American Economic Journal: Macroeconomics 9, no. 1 (January 2017): 1–39. https://doi.org/10.1257/mac.20150250.
    • ID: 10.1257/mac.20150250 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-12-07

Nakamura, Emi; Sergeyev, Dmitriy; Steinsson, Jón (2017): Replication data for: Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E116404