NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Consumption, Asset Markets, and Macroeconomic Fluctuations

Robert J. Shiller

NBER Working Paper No. 838
Issued in 1982
NBER Program(s):   ME

A broad exploratory data analysis is conducted to assess the promise of a kind of model in which long-term asset prices change through time primarily due to consumption related changes in the rate of discount. Aggregate consumption data are used to infer ex-post marginal rates of substitution. Prices of stocks, bonds, short debt, land and housing are examined for the period 1890 to 1980, Methods are explored of evaluating this kind of model in the absence of accurate data on consumption.

download in pdf format
   (495 K)

download in djvu format
   (393 K)

email paper

This paper is available as PDF (495 K) or DjVu (393 K) (Download viewer) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Published: Shiller, Robert J. "Consumption, Asset Markets, and Macroeconomic Fluctuations." Carnegie-Rochester Conference Series on Public Policy, Vol. 17, (1982), pp. 203-238.

Users who downloaded this paper also downloaded these:
Grossman and Shiller w0564 The Determinants of the Variability of Stock Market Prices
Grossman and Shiller w0690 Consumption Correlatedness and Risk Measurement in Economies with Non trade Assets and Heterogeneous Information
Cochrane and Hansen Asset Pricing Explorations for Macroeconomics
Grossman, Melino, and Shiller w1643 Estimating the Continuous Time Consumption Based Asset Pricing Model
Shiller w2446 Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence
 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us