Abstract

Two broad classes of consumption dynamics—long-run risks and rare disasters—have proven successful in explaining the equity premium puzzle when used in conjunction with recursive preferences. We show that bounds a-là Gallant, Hansen, and Tauchen that restrict the volatility of the stochastic discount factor by conditioning on a set of return predictors constitute a useful tool to discriminate between these alternative dynamics. In particular, we document that models that rely on rare disasters meet comfortably the bounds independently of the forecasting horizon and the asset returns used to construct the bounds. However, the specific nature of disasters is a relevant characteristic at the 1-year horizon: disasters that unfold over multiple years are more successful in meeting the predictors-based bounds than one-period disasters. Instead, at the 5-year horizon, the sole presence of disasters—even if one-period and permanent—is sufficient for the model to satisfy the bounds. Finally, the bounds point to multiple volatility components in consumption as a promising dimension for long-run risk models.

摘要

事实证明，与递归首选项结合使用时，长期消费风险和罕见灾害这两种广泛的消费动态可以成功地解释股票溢价之谜。我们表明，通过设置一组收益预测变量来限制随机贴现因子的波动性的a-la Gallant，Hansen和Tauchen边界，是区分这些替代动态的有用工具。特别是，我们记录了依赖于罕见灾难的模型可以轻松地满足界限，而与预测范围和用于构造界限的资产收益无关。但是，灾难的特定性质是在1年时间范围内的一个相关特征：多年发生的灾难在满足基于预测变量的界限方面比一个时期的灾难更为成功。代替，在5年的时间范围内，灾难的唯一存在-即使是一个周期或永久的-足以满足模型的要求。最后，界限指出了消费中的多个波动成分，这是长期风险模型的一个有前途的维度。