The impact of aggregate and disaggregate consumption shocks on the Equity Risk Premium in the United Kingdom

Poshakwale, Sunil and Chandorkar, Pankaj (2019) The impact of aggregate and disaggregate consumption shocks on the Equity Risk Premium in the United Kingdom. Annals of Economics and Finance, 20 (2). pp. 489-524. ISSN 1529-7373

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Official URL: http://aeconf.com/Articles/Nov2019/aef200201.pdf

Abstract

We examine the impact of aggregate and disaggregate consumption shocks on the ex-post Equity Risk Premium (ERP) of FTSE indices and the 25 Fama-French portfolios. Findings suggest that aggregate consumption shocks seem to explain significant time variation in the ERP. At disaggregated level, the ERP increases when the actual consumption is less than expected. Finally, durable and semi-durable consumption shocks have a greater impact on the ERP than non-durable consumption shocks.

Item Type: Article
Uncontrolled Keywords: Equity Risk Premium; Consumption Wealth Channel; Consumption Shocks; Structural Vector Autoregression; Asset Pricing.
Subjects: N300 Finance
N400 Accounting
Department: Faculties > Business and Law > Newcastle Business School
Related URLs:
Depositing User: Paul Burns
Date Deposited: 01 Jun 2018 08:51
Last Modified: 28 Sep 2020 15:43
URI: http://nrl.northumbria.ac.uk/id/eprint/34430

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