Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
Consumption Growth Persistence and the Stock-Bond Correlation
Christopher S. Jones and Sungjune Pyun ♦ We consider a model in which the correlation between shocks to consumption and to expected future consumption growth is nonzero and varies over time. We validate this assumption empirically using the model’s implication that time-variation in consumption…