TY  - JOUR
AU  - Nakamura,Emi
AU  - Sergeyev,Dmitriy
AU  - Steinsson,Jón
TI  - Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 18128
PY  - 2012
Y2  - June 2012
UR  - http://www.nber.org/papers/w18128
L1  - http://www.nber.org/papers/w18128.pdf
N1  - Author contact info:
Emi Nakamura
Columbia Business School
3022 Broadway, Uris Hall 820
New York, NY 10027
Tel: 212/854-8162
E-Mail: enakamura@columbia.edu

Dmitriy Sergeyev
Department of Economics
Columbia University
1022 International Affairs Building
420 West 118th Street
New York, NY 10027
E-Mail: ds2635@columbia.edu

Jón Steinsson
Department of Economics
Columbia University
1026 International Affairs Building
420 West 118th Street
New York, NY 10027
Tel: 212/854-3690
Fax: 212/854-8059
E-Mail: jsteinsson@columbia.edu
AB  - We quantify the importance of long-run risks – persistent shocks to growth rates and uncertainty – in a panel of long-term aggregate consumption data for developed countries. We identify sizable and highly persistent world growth-rate shocks as well as less persistent country-specific growth rate shocks. The world growth-rate shocks capture the productivity speed-up and slow-down many countries experienced in the second half of the 20th century. We also identify large and persistent common shocks to uncertainty. Our world uncertainty process captures the large but uneven rise and fall of volatility that occurred over the course of the 20th century. We find that negative shocks to growth rates are correlated with shocks that increase uncertainty. Our estimates based on macroeconomic data alone line up well with earlier calibrations of the long-run risks model designed to match asset pricing data. We document how these dynamics, combined with Epstein-Zin-Weil preferences, help explain a number of asset pricing puzzles.
ER  -