Home About Latest Browse RSS Advanced Search

Federal Reserve Bank of Boston
Working Papers
Near common factors and confidence regions for present value models
Stephen R. Blough
Abstract

The evidence for excess smoothness of aggregate consumption and excess volatility of stock prices is reexamined, using a method that nests parsimonious trend- and difference-stationary specifications of the forcing processes. The confidence interval for the present value of an innovation to labor income is found to be very wide, so that aggregate consumption may be anything from much too smooth to much too volatile. The confidence interval for the present value of an innovation to dividends is narrower and weakly supports excess volatility in the stock market.


Download Full text
Download Full text
Cite this item
Stephen R. Blough, Near common factors and confidence regions for present value models, Federal Reserve Bank of Boston, Working Papers 94-3, 1994.
More from this series
JEL Classification:
Subject headings:
Keywords: Econometric models
For corrections, contact Catherine Spozio ()
Fed-in-Print is the central catalog of publications within the Federal Reserve System. It is managed and hosted by the Economic Research Division, Federal Reserve Bank of St. Louis.

Privacy Legal