Does consumption-wealth ratio signal stock returns? VECM results for Germany

This paper studies the signalling effect of the consumption−wealth ratio (cay) on German stock returns via vector error correction models (VECMs). The effect of cay on U.S. stock returns has been recently confirmed by Lettau and Ludvigson with a two−stage method. In this paper, performance of the VECMs and the two−stage method are compared in both German and U.S. data. It is found that the VECMs are more suitable to study the effect of cay on stock returns than the two−stage method. Using the Conditional−Subset VECM, cay signals real stock returns and excess returns in both data sets significantly. The estimated coefficient on cay for stock returns turns out to be two times greater in U.S. data than in German data. When the two−stage method is used, cay has no significant effect on German stock returns. Besides, it is also found that cay signals German wealth growth and U.S. income growth significantly.

Consumption-wealth ratio and expected stock returns: evidence from panel data

This paper investigates the role of consumption-wealth ratio on predicting future stock returns through a panel approach. We follow the theoretical framework proposed by Lettau and Ludvigson (2001), in which a model derived from a nonlinear consumer’s budget constraint is used to settle the link between consumption-wealth ratio and stock returns. Using G7’s quarterly aggregate and financial data ranging from the first quarter of 1981 to the first quarter of 2014, we set an unbalanced panel that we use for both estimating the parameters of the cointegrating residual from the shared trend among consumption, asset wealth and labor income, cay, and performing in and out-of-sample forecasting regressions. Due to the panel structure, we propose different methodologies of estimating cay and making forecasts from the one applied by Lettau and Ludvigson (2001). The results indicate that cay is in fact a strong and robust predictor of future stock return at intermediate and long horizons, but presents a poor performance on predicting one or two-quarter-ahead stock returns.

Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries

Using the theoretical framework of Lettau and Ludvigson (2001), we perform an empirical investigation on how widespread is the predictability of cay {a modi ed consumption-wealth ratio { once we consider a set of important countries from a global perspective. We chose to work with the set of G7 countries, which represent more than 64% of net global wealth and 46% of global GDP at market exchange rates. We evaluate the forecasting performance of cay using a panel-data approach, since applying cointegration and other time-series techniques is now standard practice in the panel-data literature. Hence, we generalize Lettau and Ludvigson's tests for a panel of important countries. We employ macroeconomic and nancial quarterly data for the group of G7 countries, forming an unbalanced panel. For most countries, data is available from the early 1990s until 2014Q1, but for the U.S. economy it is available from 1981Q1 through 2014Q1. Results of an exhaustive empirical investigation are overwhelmingly in favor of the predictive power of cay in forecasting future stock returns and excess returns.

Robust monetary policy with the consumption - wealth channel

Robust Monetary Policy with the Consumption - Wealth Channel

Brazilian equity risk premium analysis: A macroeconomic approach

Double Degree Masters in Economics Program from Insper and NOVA School of Business and Economics

Non-durable consumption and real-estate prices in Brazil: panel-data analysis at the state level

Housing is an important component of wealth for a typical household in many countries. The objective of this paper is to investigate the effect of real-estate price variation on welfare, trying to close a gap between the welfare literature in Brazil and that in the U.S., the U.K., and other developed countries. Our first motivation relates to the fact that real estate is probably more important here than elsewhere as a proportion of wealth, which potentially makes the impact of a price change bigger here. Our second motivation relates to the fact that real-estate prices boomed in Brazil in the last five years. Prime real estate in Rio de Janeiro and São Paulo have tripled in value in that period, and a smaller but generalized increase has been observed throughout the country. Third, we have also seen a recent consumption boom in Brazil in the last five years. Indeed, the recent rise of some of the poor to middle-income status is well documented not only for Brazil but for other emerging countries as well. Regarding consumption and real-estate prices in Brazil, one cannot imply causality from correlation, but one can do causal inference with an appropriate structural model and proper inference, or with a proper inference in a reduced-form setup. Our last motivation is related to the complete absence of studies of this kind in Brazil, which makes ours a pioneering study. We assemble a panel-data set for the determinants of non-durable consumption growth by Brazilian states, merging the techniques and ideas in Campbell and Cocco (2007) and in Case, Quigley and Shiller (2005). With appropriate controls, and panel-data methods, we investigate whether house-price variation has a positive effect on non-durable consumption. The results show a non-negligible significant impact of the change in the price of real estate on welfare consumption), although smaller then what Campbell and Cocco have found. Our findings support the view that the channel through which house prices affect consumption is a financial one.

Ensaios em econometria aplicada

Este tese é composta por quatro ensaios sobre aplicações econométricas em tópicos econômicos relevantes. Os estudos versam sobre consumo de bens não-duráveis e preços de imóveis, capital humano e crescimento econômico, demanda residencial de energia elétrica e, por fim, periodicidade de variáveis fiscais de Estados e Municípios brasileiros. No primeiro artigo, "Non-Durable Consumption and Real-Estate Prices in Brazil: Panel-Data Analysis at the State Level", é investigada a relação entre variação do preço de imóveis e variação no consumo de bens não-duráveis. Os dados coletados permitem a formação de um painel com sete estados brasileiros observados entre 2008- 2012. Os resultados são obtidos a partir da estimação de uma forma reduzida obtida em Campbell e Cocco (2007) que aproxima um modelo estrutural. As estimativas para o caso brasileiro são inferiores as de Campbell e Cocco (2007), que, por sua vez, utilizaram microdados britânicos. O segundo artigo, "Uma medida alternativa de capital humano para o estudo empírico do crescimento", propõe uma forma de mensuração do estoque de capital humano que reflita diretamente preços de mercado, através do valor presente do fluxo de renda real futura. Os impactos dessa medida alternativa são avaliados a partir da estimação da função de produção tradicional dos modelos de crescimento neoclássico. Os dados compõem um painel de 25 países observados entre 1970 e 2010. Um exercício de robustez é realizado para avaliar a estabilidade dos coeficientes estimados diante de variações em variáveis exógenas do modelo. Por sua vez, o terceiro artigo "Household Electricity Demand in Brazil: a microdata approach", parte de dados da Pesquisa de Orçamento Familiar (POF) para mensurar a elasticidade preço da demanda residencial brasileira por energia elétrica. O uso de microdados permite adotar abordagens que levem em consideração a seleção amostral. Seu efeito sobre a demanda de eletricidade é relevante, uma vez que esta demanda é derivada da demanda por estoque de bens duráveis. Nesse contexto, a escolha prévia do estoque de bens duráveis (e consequentemente, a escolha pela intensidade de energia desse estoque) condiciona a demanda por eletricidade dos domicílios. Finalmente, o quarto trabalho, "Interpolação de Variáveis Fiscais Brasileiras usando Representação de Espaço de Estados" procurou sanar o problema de baixa periodicidade da divulgação de séries fiscais de Estados e Municípios brasileiros. Através de técnica de interpolação baseada no Filtro de Kalman, as séries mensais não observadas são projetadas a partir de séries bimestrais parcialmente observadas e covariáveis mensais selecionadas.

Is the Netherlands sustainable as a global-scale inner-city? Intenscoping spatial sustainability

Is the Netherlands sustainable or not? The answer inherently involves addressing the issues of system boundaries, statistical units and a vision of sustainability. As an analytical answer we offer the Intenscope (IS), a two-dimensional graphical tool based on dimensionless percentages of triple rate ratios which overcomes several limitations of sustainability analyses. First, it is not sensitive to the size of statistical units so an area with twice the amount of resources of another, with double the population (and double the total consumption) would have the same triple ratio of population:biocapacity:consumption. Second, the IS is sensitive to anomalies which may originate either from the use of arbitrary statistical units (e.g. the boundaries of a city) or those which may indicate truly unsustainable practices. To judge spatial sustainability we use ecological footprint data from which we construct a plausible country plot based on the IS. Despite the relative nature of IS-analyses, the employed consumption:biocapacity ratio inherently refers to the absolute limit of sustainability: we cannot continually use more resources on a global scale than nature provides us with. The analysis introduces some associations of human preferences and attributions of settlement types which may help to elaborate sustainability policies based on voluntary action.

Consumption to biomass (Q/B) ratio and estimates of Q/B-predictor parameters for Caribbean fishes

Estimates of the Q/B ratio and parameters of equations to 'predict' Q/B values for 116 fish stocks in the Gulf of Salamanca, Colombia are presented. A compilation of these estimates available for Caribbean Sea fishes (264 stocks) is also provided for comparison purposes. General trends in the value of Q/B resulting from differences in the equation and parameter values used are briefly discussed.

Life style habits such as alcohol consumption and physical activity in relation to serum apoB / apoA-I ratio amongst 64-year-old women with varying degrees of glucose tolerance.

OBJECTIVES To investigate how life style factors such as alcohol consumption and physical activity relate to the serum apoB / apoA-I ratio in a cohort of middle-aged women with varying degrees of glucose tolerance. DESIGN Observational, cross-sectional cohort study. SETTING Research laboratory at a University Hospital. SUBJECTS A screened cohort of 64-year-old postmenopausal women with varying degrees of glucose tolerance, ranging from diabetes (n = 232), impaired (n = 212) and normal (n = 191) glucose tolerance. MAIN OUTCOME MEASURE ApoB / apoA-I ratio in relation to alcohol consumption and physical activity as assessed by questionnaires. RESULTS Alcohol consumption and regular physical activity at high levels were inversely associated with the serum apoB / apoA-I ratio independently of confounding factors such as obesity, lipid-lowering treatment, degree of glucose tolerance and hormone replacement therapy. Alcohol seemed related to the apoB / apoA-I ratio mainly through increasing apoA-I, whereas physical activity seemed mainly related to lowering of apoB. Alcohol consumption above a daily intake of 8.9 g, i.e. less than a glass of wine was accompanied by a decrease in apoB / apoA-I ratio. CONCLUSIONS Amongst these 64-year-old women with varying degrees of glucose tolerance, a moderate alcohol intake and regular physical exercise leading to sweating were associated with lower apoB / apoA-I ratio and these effects seem to be additive.

Synergistic effects of pCO2 and iron availability on nutrient consumption ratio of the Bering Sea phytoplankton community

Little is known concerning the effect of CO2 on phytoplankton ecophysiological processes under nutrient and trace element-limited conditions, because most CO2 manipulation experiments have been conducted under elements-replete conditions. To investigate the effects of CO2 and iron availability on phytoplankton ecophysiology, we conducted an experiment in September 2009 using a phytoplankton community in the iron limited, high-nutrient, low-chlorophyll (HNLC) region of the Bering Sea basin . Carbonate chemistry was controlled by the bubbling of the several levels of CO2 concentration (180, 380, 600, and 1000 ppm) controlled air, and two iron conditions were established, one with and one without the addition of inorganic iron. We demonstrated that in the iron-limited control conditions, the specific growth rate and the maximum photochemical quantum efficiency (Fv/Fm) of photosystem (PS) II decreased with increasing CO2 levels, suggesting a further decrease in iron bioavailability under the high-CO2 conditions. In addition, biogenic silica to particulate nitrogen and biogenic silica to particulate organic carbon ratios increased from 2.65 to 3.75 and 0.39 to 0.50, respectively, with an increase in the CO2 level in the iron-limited controls. By contrast, the specific growth rate, Fv/Fm values and elemental compositions in the iron-added treatments did not change in response to the CO2 variations, indicating that the addition of iron canceled out the effect of the modulation of iron bioavailability due to the change in carbonate chemistry. Our results suggest that high-CO2 conditions can alter the biogeochemical cycling of nutrients through decreasing iron bioavailability in the iron-limited HNLC regions in the future.

A treatise on political economy; or, The production, distribution, and consumption of wealth.

Includes bibliographical references.

A treatise on political economy; or the production, distribution, and consumption of wealth.

This ed. first published 1834.