The real term structure and consumption growth


Journal Article

One version of the consumption-based asset pricing model implies a linear relation between expected returns and expected consumption growth. This paper provides evidence that the expected real term structure contains information that can be used to forecast consumption growth. The evidence is strongest for the 1970s and 1980s. The real term structure contains more information than two alternative measures: lagged consumption growth and lagged stock returns. Further, the real term structure appears to have slightly more forecasting power than the leading commercial econemetric models. © 1988.

Full Text

Cited Authors

  • Harvey, CR

Published Date

  • January 1, 1988

Published In

Volume / Issue

  • 22 / 2

Start / End Page

  • 305 - 333

International Standard Serial Number (ISSN)

  • 0304-405X

Digital Object Identifier (DOI)

  • 10.1016/0304-405X(88)90073-6

Citation Source

  • Scopus