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

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  • Kishor Narayan Kundan

    (Department of Economics, University of Wisconsin-Milwaukee, Milwaukee, WI 53201, USA)

Abstract

This paper utilizes Greenbook forecasts of consumption and income to estimate 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.

Suggested Citation

  • Kishor Narayan Kundan, 2024. "Estimating Expected Asset Returns with the Present Value Model of Consumption and Fed Forecasts," The B.E. Journal of Macroeconomics, De Gruyter, vol. 24(2), pages 997-1007.
    • Handle: RePEc:bpj:bejmac:v:24:y:2024:i:2:p:997-1007:n:1010
    DOI: 10.1515/bejm-2024-0084
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    More about this item

    Keywords

    consumption; asset returns; present-value model; Greenbook forecasts;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

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