@article{THESIS,
      recid = {3001},
      author = {Bejarano, Jeremiah},
      title = {Essays in Macroeconomics and Finance},
      publisher = {University of Chicago},
      school = {Ph.D.},
      address = {2021-06},
      number = {THESIS},
      pages = {108},
      abstract = {In the first chapter of my dissertation, I characterize  the relationship between dividend dynamics and the term  structure of equity risk premia. Within a class of  log-linear asset pricing models, I show that the risk  exposure associated with dividend futures is equal to the  impulse response function of dividends and that the average  slope of the term structure depends on the relationship  between the permanent and transitory components of  dividends. Going beyond the class of log-linear models, I  then explore the consequences of adding a transitory,  mean-reverting component to dividend dynamics within  several classic asset pricing models, such as the extended  consumption capital asset pricing model and an external  habits model.  Recent empirical evidence suggests that the  term structure of equity may be downward sloping on  average, which is at odds with the traditional  specification of many common asset pricing models.  I show  that this potential discrepancy can be reconciled by  adjusting cash flow growth dynamics in the proposed way.  

In the second chapter of my dissertation, I argue that  the term structure of equity as characterized by expected  holding period returns on dividend strips can be used as a  diagnostic to evaluate the quantity  dynamics that arise in  a macroeconomic model. For instance, as shown in the first  chapter, the risk exposures associated with dividend  futures are equal to the impulse responses of aggregate  consumption with respect to the underlying shocks. As an  application, I derive the asset pricing implications of a  multi-sector production network model and use this to shed  light on relative importance of idiosyncratic and aggregate  total factor productivity (TFP) shocks. Though aggregate  TFP in the U.S. over the last 60 years has grown  approximately 1.4 percent annually, these gains have been  dispersed across individual sectors, with some sectors even  seeing substantial declines. This dispersion is either the  result of idiosyncratic sectoral shocks or aggregate shocks  that shift the composition of the economy without  necessarily affecting long-run aggregate output.   Decomposing the contribution of each shock to this term  structure of equity, I show that the shift shocks  contribute to a downward sloping term structure of equity  while others contribute to an upward sloping term  structure. Thus, imposing a downward sloping term structure  in this model amounts to putting a lower bound on the  contribution of aggregate shifts relative to other shocks.},
      url = {http://knowledge.uchicago.edu/record/3001},
      doi = {https://doi.org/10.6082/uchicago.3001},
}