Castro, Andressa Monteiro de; Issler, João Victor

doi:10.5935/0034-7140.20160022

Andressa Monteiro de Castro

Fundação Getúlio Vargas, Escola Brasileira de Economia e Finanças (FGV/EPGE). Praia de Botafogo 190, Rio de Janeiro, RJ, Brasil. CEP 22250-900. Email: dessascmc@gmail.com

João Victor Issler

FGV/EPGE. Email: jissler@fgv.br

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Figure 1
Excess Returns and Estimated cay .

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Figure 2
Excess Returns and Estimated cay .

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Table 1
Data sources.

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Table 2
Johansen Fisher Panel Cointegrating Test.

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Table 3
Panel cointegrating vector estimates.

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Table 4
In-sample one-quarter-ahead regressions

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Table 5
In-sample long-horizon regressions.

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Table 6
Out-of-sample nested comparisons.

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Table 7
Out-of-sample nonnested comparisons.

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Table 8
Panel homogeneous cointegrating vector.

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Table 9
In-sample one-quarter-ahead regressions.

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Table 10
In-sample long-horizon regressions.

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Table 11
Out-of-sample nested comparisons.

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Table 12
Out-of-sample nonnested comparisons.

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Table A-1
Heterogeneous cointegrating vectors.

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Table B-2
Heterogeneous cointegrating vectors.

(1)

(2)

(3)

(4)

(5)

(6)

(7)

(8)

(9)

(10)

(11)

(12)

(13)

Hypothesized Num. of Coint.	Fisher Stat. Trace Test	P-value^* * Probabilities are computed using asymptotic χ2 distribution.	Fisher Stat. Max-Eigen Test	P-value^* * Probabilities are computed using asymptotic χ2 distribution.
None	40.28	0.0002	36.84	0.0008
At most 1	16.56	0.2805	10.77	0.7044
At most 2	28.45	0.0124	28.45	0.0124

Estimated Parameters	Asset Wealth	Labor Income	Constant
Consumption	-1.4581 ^* ***** at 1%, computed using asymptotic Normal distribution.	0.6406 ^* * are significant at 10% level,	2.0963
	(0.4292)	(0.3674)

Panel A: Real Returns, r_t+1
#	Total Obs	Constant	lag	_t	_ht	d_t - p_t	d_t - e_t	RREL_t	R̅²
1	584	0.0065 (0.0098)		0.0326 (0.0240)					-0.0045
2	433	0.0924 (0.0917)	0.1596 (0.1091)	0.0369 (0.0320)		0.0239 (0.0252)	-0.0042 (0.0141)	3.7276 (2.9619)	0.0248
3	584	0.0065 (0.0097)			0.0708 (0.0718)				-0.0060
4	450	0.1130 (0.0951)	0.1636 (0.1160)		-0.0025 (0.1193)	0.0311 (0.0261)	-0.0094 (0.0151)	3.5497 (2.9224)	0.0234
Panel B: Excess Returns, r_t+1 - r_f,t+1
#	Total Obs	Constant	lag	_t	_ht	d_t - p_t	d_t - e_t	RREL_t	R̅²

5	559	0.0033 (0.0097)		0.0214 (0.0244)					-0.0069
6	432	0.0943 (0.0932)	0.1605 (0.1100)	0.0317 (0.0314)		0.0249 (0.0255)	-0.0042 (0.0142)	3.3996 (2.9338)	0.0209
7	559	0.0034 (0.0096)			0.0996 (0.0732)				-0.0059
8	449	0.1179 (0.0965)	0.1667 (0.1169)		0.0311 (0.1214)	0.0328 (0.0264)	-0.0096 (0.0151)	3.2541 (2.9118)	0.0201

	Forecast Horizon H
#	Reg.	1	2	3	4	8	12	16	24
	Panel A: Consumption Growth, Σ_i^H₌₁ Δc_{t + i}
1	_t	-0.0047 ^* * are significant at 10% level,	-0.0069 ^* * are significant at 10% level,	-0.0080 ^* * are significant at 10% level,	-0.0072	0.0014	0.0091	0.0141	0.0131
		(0.0026)	(0.0036)	(0.0043)	(0.0052)	(0.0107)	(0.0146)	(0.0180)	(0.0208)
		[0.0267]	[0.0454]	[0.0580]	[0.0660]	[0.0962]	[0.1218]	[0.1540]	[0.2407]
2	_ht	0.0040	0.0073	0.0081	-0.0008	-0.0290	-0.0425	-0.0597	-0.1312 ^ at 5% and
		(0.0077)	(0.0125)	(0.0169)	(0.0186)	(0.0285)	(0.0350)	(0.037802)	(0.0575)
		[0.0163]	[0.0363]	[0.0512]	[0.0621]	[0.0982]	[0.1229]	[0.1552]	[0.2490]
	Panel B: Excess Stock Returns, Σ_i^H₌₁ (r_t+i - r_{f, t+i})
3	_t	0.0214	0.0669 ^* * are significant at 10% level,	0.1331 ^* ***** at 1%.	0.2302 ^* ***** at 1%.	0.5800 ^* ***** at 1%.	0.9233 ^* ***** at 1%.	1.1272 ^* ***** at 1%.	1.2443 ^* ***** at 1%.
		(0.0244)	(0.0392)	(0.0503)	(0.0642)	(0.1308)	(0.1521)	(0.1294)	(0.1312)
		[-0.0069]	[0.0034]	[0.0175]	[0.0438]	[0.0809]	[0.1639]	[0.2379]	[0.3824]
4	_ht	0.0996	0.1534	0.1857	0.2003	0.2902 ^ at 5% and	0.2672	-0.0323	-0.7786^* ***** at 1%.
		(0.0732)	(0.1032)	(0.1290)	(0.1495)	(0.1371)	(0.1967)	(0.2269)	(0.2311)
		[-0.0059]	[0.0010]	[0.0079]	[0.0145]	[0.0526]	[0.1019]	[0.1560]	[0.3652]
5	d_t - P_t	0.0117	0.0348	0.055985	0.0657 ^ at 5% and	0.1585 ^* ***** at 1%.	0.1911 ^ at 5% and	0.2802 ^* ***** at 1%.	0.3126 ^* ***** at 1%.
		(0.0201)	(0.0302)	(0.0351)	(0.0304)	(0.0596)	(0.0787)	(0.0703)	(0.0783)
		[-0.0072]	[0.0031]	[0.0134]	[0.0214]	[0.0429]	[0.0783]	[0.1537]	[0.2783]
6	d_t - e_t	0.0009	-0.0087	-0.020391	0.0391 ^ at 5% and	0.0941 ^* ***** at 1%.	0.1445 ^* ***** at 1%.	0.3224 ^* ***** at 1%.	0.2911 ^* ***** at 1%.
		(0.0138)	(0.0306)	(0.0397)	(0.0180)	(0.0360)	(0.0393)	(0.0360)	(0.0420)
		[-0.0077]	[-0.0035]	[0.0047]	[0.0251]	[0.0554]	[0.1202]	[0.3018]	[0.3788]
7	RREL_t	0.5207	3.6982	6.0328 ^* * are significant at 10% level,	-3.5101	-4.7525	-13.174 ^ at 5% and	-13.635 ^ at 5% and	-7.1375
		(2.1074)	(2.7613)	(3.1641)	(2.7862)	(5.2727)	(5.7636)	(6.8009)	(8.0032)
		[-0.0041]	[0.0086]	[0.0219]	[0.0149]	[0.0243]	[0.0685]	[0.1038]	[0.1633]
8	d_t - p_t	0.0180	0.0557	0.0900 ^* * are significant at 10% level,	0.0621 ^* * are significant at 10% level,	0.1332 ^* * are significant at 10% level,	0.1162	0.0873	0.1577
		(0.0262)	(0.0438)	(0.0509)	(0.0340)	(0.0692)	(0.0814)	(0.0757)	(0.0979)
	d_t - e_t	-0.0016	-0.0165	-0.0348	0.0217	0.0590	0.1107 ^ at 5% and	0.2950 ^* ***** at 1%.	0.2561 ^* ***** at 1%.
		(0.0146)	(0.0330)	(0.0426)	(0.0192)	(0.0433)	(0.0459)	(0.0410)	(0.0494)
	RREL_t	2.2272	8.1993 ^ at 5% and	12.2728 ^* ***** at 1%.	-6.1581 ^ at 5% and	-9.5835 ^* * are significant at 10% level,	-17.3299 ^* ***** at 1%.	-15.2702 ^* ***** at 1%.	-20.3082 ^ at 5% and
		(3.1878)	(3.8109)	(3.8679)	(3.1330)	(5.7054)	(5.7694)	(5.6160)	(9.1230)
		[0.0002]	[0.0513]	[0.0903]	[0.0430]	[0.0723]	[0.1436]	[0.3143]	[0.3972]
9	_t	0.0179	0.0663	0.1404 ^* ***** at 1%.	0.2311 ^* ***** at 1%.	0.6340 ^* ***** at 1%.	1.0124 ^* ***** at 1%.	1.0701 ^* ***** at 1%.	0.8687 ^* ***** at 1%.
		(0.0312)	(0.0443)	(0.0523)	(0.0808)	(0.1524)	(0.1489)	(0.1413)	(0.1695)
	d_t - P_t	0.0173	0.0524	0.0814	0.0468	0.0859	0.0232	-0.0213	0.055328
		(0.0267)	(0.0438)	(0.0516)	(0.0363)	(0.0740)	(0.0828)	(0.0758)	(0.1126)
	d_t - e_t	-0.0016	-0.0168	-0.0368	0.0181	0.0489	0.1011 ^ at 5% and	0.2959 ^* ***** at 1%.	0.2569 ^* ***** at 1%.
		(0.0146)	(0.0332)	(0.0429)	(0.0189)	(0.0416)	(0.0431)	(0.0389)	(0.0499)
	RREL_t	2.4396	8.6521^ at 5% and	12.686^* ***** at 1%.	-6.2927^ at 5% and	-9.8741^* * are significant at 10% level,	-17.736^* ***** at 1%.	-14.923^* ***** at 1%.	-16.368 ^* * are significant at 10% level,
		(3.3107)	(3.9507)	(3.9608)	(3.1389)	(5.3831)	(5.2806)	(5.0180)	(9.1167)
		[-0.0002]	[0.0572]	[0.1012]	[0.0740]	[0.1366]	[0.2733]	[0.4733]	[0.5058]

		MSE_u/MSE_r
#	Comparison	r_t+1 - r_f,t+1	Σ⁸_i=1(r_t+i - r_f,t+i)
1	_t vs. r_t - r_f,t	0-9978	0-9893
2	_t vs. const	0-9981	0-9851
3	_t vs. (d_t - p_t) + (d_t - e_t) + RREL_t	1-0097	0-9822
4	reest_t vs. r_t - r_f,t	0-9988	0-9954
5	_t vs. const	0-9980	0-9897
6	reest _t vs. (d_t - p_t) + (d_t — e_t) + RREL_t	1-0076	0-9872

		MSE₁/MSE₂
#	Comparison	r_t+1 - r_f,t+1	Σ⁸_i=1(r_t+i - r_f,t+i)
1	_t vs. r_t - r_ft	1.0032	0.9862
2	_t vs. d_t - p_t	0.9956	0.9938
3	_t vs. d_t - e_t	0.9822	0.9616
4	_t vs. RREL_t	0.9863	0.9874
5	reest _t vs. r_t - r_ft	1.0035	0.9915
6	reest_t vs. d_t - p_t	0.9959	0.9992
7	reest_t vs. d_t - e_t	0.9825	0.9668
8	reest_t vs. RREL_t	0.9866	0.9928

Estimated Parameters	Asset Wealth	Labor Income	R²
Consumption	-0.1952***	-0.8244***	0.99
	(0.0144)	(0.0327)

	Panel A: Real Returns, r_t+1
#	Total Obs	Constant	lag	_ft	_ht	d_t - p_t	d_t - e_t	RREL_t	R̅²
1	584	0.0069		0.3547 ^* ***** at 1%.					0.0018
		(0.0097)		(0.1267)
2	433	0.1120	0.1549	0.3232 ^* * are significant at 10% level,		0.0284	-0.0001	3.7247	0.0309
		(0.0941)	(0.1104)	(0.1919)		(0.0254)	(0.0146)	(3.0236)
3	584	0.0069			0.3127				-0.0041
		(0.0098)			(0.2421)
4	450	0.1076	0.1649		0.1577	0.0294	-0.0089	3.5740	0.0243
		(0.0880)	(0.1161)		(0.2196)	(0.0244)	(0.0151)	(2.9221)
Panel B: Excess Returns, r_t+1 - r_f,t+1
#	Total Obs	Constant	lag	_ft	_ht	d_t - p_t	d_t - e_t	RREL_t	R̅²
5	559	0.0037		0.4244 ^* ***** at 1%.					0.0051
		(0.0096)		(0.1297)
6	432	0.1148	0.1540	0.3903 ^ at 5% and		0.0295	0.0004	3.3901	0.0317
		(0.0955)	(0.1112)	(0.1950)		(0.0257)	(0.0146)	(3.0125)
7	559	0.0039			0.3881				-0.0033
		(0.0096)			(0.2421)
8	449	0.1075	0.1673		0.2300	0.0297	-0.0086	3.2640	0.0219
		(0.0891)	(0.1171)		(0.2205)	(0.0246)	(0.0152)	(2.9111)

		Forecast Horizon H
#	Reg.	1	2	3		8	12	16	24
	Panel A: Consumption Growth, Σ_i^H₌₁ Δc_{t + i}
1	_{f t}	-0.0323 ^* ***** at 1%.	-0.0578 ^* ***** at 1%.	-0.1537 ^* ***** at 1%.	-0.0838 ^* ***** at 1%.	-0.1079 ^ at 5% and	-0.1348 ^* * are significant at 10% level,	-0.1691 ^* * are significant at 10% level,	-0.3456 ^ at 5% and
		(0.0108)	(0.0166)	(0.0329)	(0.0248)	(0.0474)	(0.0733)	(0.1017)	(0.1621)
		[0.0305]	[0.0549]	[0.0830]	[0.0767]	[0.1043]	[0.1272]	[0.1586]	[0.2533]
2	_{f h t}	-0.0714 ^* ***** at 1%.	-0.1219 ^* ***** at 1%.	-0.1537 ^* ***** at 1%.	-0.1839 ^* ***** at 1%.	-0.2159 ^* ***** at 1%.	-0.1741	-0.1082	-0.2700
		(0.0148)	(0.0241)	(0.0329)	(0.0423)	(0.0807)	(0.1141)	(0.1368)	(0.1940)
		[0.0459]	[0.0718]	[0.0830]	[0.0922]	[0.1106]	[0.1254]	[0.1532]	[0.2435]
	Panel B: Excess Stock Returns, Σ_i^H₌₁ (r_t+i - r_{f, t+i})
3	_{f t}	0.4244 ^* ***** at 1%.	0.8800 ^* ***** at 1%.	1.3672 ^* ***** at 1%.	1.4580 ^* ***** at 1%.	3.7857 ^* ***** at 1%.	5.3733 ^* ***** at 1%.	5.2354 ^* ***** at 1%.	3.0325 ^* ***** at 1%.
		(0.1297)	(0.1943)	(0.2509)	(0.2800)	(0.5579)	(0.6422)	(0.7373)	(1.0610)
		[0.0051]	[0.0248]	[0.0462]	[0.0529]	[0.0984]	[0.1619]	[0.1855]	[0.2547]
4	_{f h t}	0.3881	0.8770 ^ at 5% and	1.4381 ^* ***** at 1%.	2.1433 ^* ***** at 1%.	5.4529 ^* ***** at 1%.	7.9904 ^* ***** at 1%.	8.5069 ^* ***** at 1%.	6.6140 ^* ***** at 1%.
		(0.2421)	(0.3621)	(0.4265)	(0.5020)	(0.7686)	(0.8105)	(0.8090)	(1.0691)
		[-0.0033]	[0.0097]	[0.0249]	[0.0440]	[0.1436]	[0.2298]	[0.2730]	[0.4250]
5	d_t - p_t	0.0117	0.0348	0.055985	0.0657 ^ at 5% and	0.1585 ^* ***** at 1%.	0.1911 ^ at 5% and	0.2802 ^* ***** at 1%.	0.3126 ^* ***** at 1%.
		(0.0201)	(0.0302)	(0.0351)	(0.0304)	(0.0596)	(0.0787)	(0.0703)	(0.0783)
		[-0.0072]	[0.0031]	[0.0134]	[0.0214]	[0.0429]	[0.0783]	[0.1537]	[0.2783]
6	d_t - e_t	0.0009	-0.0087	-0.020391	0.0391 ^ at 5% and	0.0941 ^* ***** at 1%.	0.1445 ^* ***** at 1%.	0.3224 ^* ***** at 1%.	0.2911 ^* ***** at 1%.
		(0.0138)	(0.0306)	(0.0397)	(0.0180)	(0.0360)	(0.0393)	(0.0360)	(0.0420)
		[-0.0077]	[-0.0035]	[0.0047]	[0.0251]	[0.0554]	[0.1202]	[0.3018]	[0.3788]
7	RREL_t	0.5207	3.6982	6.0328 ^* * are significant at 10% level,	-3.5101	-4.7525	-13.174 ^ at 5% and	-13.635 ^ at 5% and	-7.1375
		(2.1074)	(2.7613)	(3.1641)	(2.7862)	(5.2727)	(5.7636)	(6.8009)	(8.0032)
		[-0.0041]	[0.0086]	[0.0219]	[0.0149]	[0.0243]	[0.0685]	[0.1038]	[0.1633]
8	d_t - p_t	0.0180	0.0557	0.0900 ^* * are significant at 10% level,	0.0621 ^* * are significant at 10% level,	0.1332 ^* * are significant at 10% level,	0.1162	0.0873	0.1577
		(0.0262)	(0.0438)	(0.0509)	(0.0340)	(0.0692)	(0.0814)	(0.0757)	(0.0979)
	d_t - e_t	-0.0016	-0.0165	-0.0348	0.0217	0.0590	0.1107 ^ at 5% and	0.2950 ^* ***** at 1%.	0.2561 ^* ***** at 1%.
		(0.0146)	(0.0330)	(0.0426)	(0.0192)	(0.0433)	(0.0459)	(0.0410)	(0.0521)
	RREL_t	2.2272	8.1993 ^ at 5% and	12.272 ^* ***** at 1%.	-6.1581 ^ at 5% and	-9.5835 ^* * are significant at 10% level,	-17.329 ^* ***** at 1%.	-15.270 ^* ***** at 1%.	-20.308 ^ at 5% and
		(3.1878)	(3.8109)	(3.8679)	(3.1330)	(5.7054)	(5.7694)	(5.6160)	(9.1230)
		[0.0002]	[0.0513]	[0.0903]	[0.0430]	[0.0723]	[0.1436]	[0.3143]	[0.3972]
9	_{f t}	0.3949 ^ at 5% and	0.8832 ^* ***** at 1%.	1.3711 ^* ***** at 1%.	2.0112 ^* ***** at 1%.	4.8117 ^* ***** at 1%.	5.8325 ^* ***** at 1%.	5.3440 ^* ***** at 1%.	3.1608 ^ at 5% and
		(0.1956)	(0.2642)	(0.2819)	(0.3194)	(0.5854)	(0.6328)	(0.7381)	(1.2583)
	d_t - p_t	0.0214	0.0630	0.1003 ^ at 5% and	0.0762 ^ at 5% and	0.1678 ^* ***** at 1%.	0.1664 ^ at 5% and	0.1423 ^* * are significant at 10% level,	0.2175 ^ at 5% and
		(0.0269)	(0.0437)	(0.0496)	(0.0322)	(0.0612)	(0.0757)	(0.0739)	(0.1037)
	d_t - e_t	0.0026	-0.0067	-0.0201	0.0438 ^ at 5% and	0.1092 ^ at 5% and	0.1668 ^* ***** at 1%.	0.3511 ^* ***** at 1%.	0.3004 ^* ***** at 1%.
		(0.0150)	(0.0329)	(0.0424)	(0.0197)	(0.0436)	(0.0439)	(0.0393)	(0.0535)
	RREL_t	2.4770	8.7199 ^ at 5% and	12.705 ^* ***** at 1%.	-6.2200 ^ at 5% and	-9.2138	-16.235 ^* ***** at 1%.	-14.157 ^* ***** at 1%.	-17.045 ^* * are significant at 10% level,
		(3.3823)	(3.9924)	(3.9796)	(3.0262)	(5.6297)	(5.7525)	(5.3590)	(9.3017)
		[0.0120]	[0.0808]	[0.1333]	[0.1373]	[0.2186]	[0.3077]	[0.4666]	[0.4734]

		MSE_u/MSE_r
#	Comparison	r_t+1 - r_f,t+1	Σ⁸_i=1(r_t+i - r_f,t+i)
1	_ft vs. r_t - r _f,t	0.9887	0.8833
2	_{f t} vs. const	0.9892	0.8804
3	_{f t} vs. (d_t - p_t) + (d_t - e_t) + RREL_t	1.0005	0.8603
4	resst _{f t} vs. r_t - r_f,t	1.0192	0.8727
5	resst_{f t} vs. const	1.0169	0.8759
6	resst_{f t} vs. (d_t - p_t) + (d_t - e_t) + RREL_t	1.0169	0.8767

		MSE₁/MSE₂
#	Comparison	r_t+1 - r_f,t+1	Σ ⁸_i=1(r_t+i - r_f,t+i)
1	_{f t} vs. r_t - r_f,t	0.9916	0.8798
2	_{f t} vs. d_t - p_t	0.9841	0.8866
3	_{f t} vs. d_t - e_t	0.9708	0.8578
4	_{f t} vs. RREL_t	0.9748	0.8809
5	reest_{f t} vs. r_t — r_f,t	1.0192	0.8695
6	reest_{f t} vs. d_t — p_t	1.0116	0.8762
7	reest_{f t} vs. d_t — e_t	0.9979	0.8477
8	reest_{f t} vs. RREL_t	1.0020	0.8706

Estimated Parameters Consumption	Asset Wealth	Labor lncome	Constant
Canada	1.0091 ^* ***** at 1%, computed using asymptotic Normal distribution.	-3.0200 ^* ***** at 1%, computed using asymptotic Normal distribution.	9.5197
	(0.2245)	(0.4719)
France	0.7842 ^* ***** at 1%, computed using asymptotic Normal distribution.	-2.7832 ^* ***** at 1%, computed using asymptotic Normal distribution.	6.4006
	(0.1925)	(0.3837)
Germany	-0.2011 ^* ***** at 1%, computed using asymptotic Normal distribution.	-0.4126 ^* ***** at 1%, computed using asymptotic Normal distribution.	-2.7835
	(0.0107)	(0.0772)
Italy	-0.1789	0.5172	-10.4017
	(0.1215)	(0.3965)
Japan	-0.3486 ^* ***** at 1%, computed using asymptotic Normal distribution.	-0.3826 ^* ***** at 1%, computed using asymptotic Normal distribution.	-2.0229
	(0.0331)	(0.0709)
United Kingdom	-0.1073 ^ at 5% and	-0.8947 ^* ***** at 1%, computed using asymptotic Normal distribution.	0.0846
	(0.0452)	(0.0451)
United States	-0.6898 ^* ***** at 1%, computed using asymptotic Normal distribution.	0.1587	-2.1200
	(0.23672)	(0.4907)

Estimated Parameters Consumption	Asset Wealth	Labor lncome	Constant	R ²
Canada	-0.2322 ^* ***** at 1%, computed using asymptotic χ2 distribution.	-0.5455 ^* ***** at 1%, computed using asymptotic χ2 distribution.	0.4957	0.99
	(0.0324)	(0.0695)	(0.3412)
France	0.0008	-0.9523 ^* ***** at 1%, computed using asymptotic χ2 distribution.	0.4770 ^* * are significant at 10% level,	0.97
	(0.0381)	(0.0694)	(0.2856)
Germany	-0.1931 ^* ***** at 1%, computed using asymptotic χ2 distribution.	-0.3664 ^* ***** at 1%, computed using asymptotic χ2 distribution.	3.2525 ^* ***** at 1%, computed using asymptotic χ2 distribution.	0.95
	(0.0087)	(0.0575)	(0.4430)
Italy	-0.2874 ^* ***** at 1%, computed using asymptotic χ2 distribution.	-0.1677 ^* * are significant at 10% level,	3.8119 ^* ***** at 1%, computed using asymptotic χ2 distribution.	0.89
	(0.0339)	(0.0995)	(0.5481)
Japan	-0.3107 ^* ***** at 1%, computed using asymptotic χ2 distribution.	-0.3372 ^* ***** at 1%, computed using asymptotic χ2 distribution.	3.298 ^* ***** at 1%, computed using asymptotic χ2 distribution.	0.76
	(0.0272)	(0.0606)	(1.2337)
United Kingdom	0.0006	-0.8837 ^* ***** at 1%, computed using asymptotic χ2 distribution.	1.1555 ^* ***** at 1%, computed using asymptotic χ2 distribution.	0.97
	(0.0286)	(0.0267)	(0.4118)
United States	-0.4810 ^* ***** at 1%, computed using asymptotic χ2 distribution.	-0.4591 ^ at 5% and	-1.4607	0.96
	(0.1046)	(0.2180)	(0.9745)

[TFN1] Notes: This table reports the panel cointegration test on consumption, asset wealth and income, assuming that there is a linear deterministic trend in data, including an intercept in the cointegration equation, and using one lag in difference (two lags in level) on the VAR tested.

[TFN2] ^*
Probabilities are computed using asymptotic χ² distribution.

Canada (1990Q1–2014Q1)	CANSIM, Statistics Canada: Net worth of households and non-profit institutions serving households (NPISH)
France (1996Q1–2014Q1)	Webstat, Banque de France: Net financial assets of households and NPISH
Germany (1991Q1–2014Q1)	Deutsche Bundesbank: Financial Asset of households and NPISH
Italy (1995Q1–2014Q1)	BDS, Banca D’Italia: Total financial instruments held by households and NPISH
Japan (1997Q4–2014Q1)	Bank of Japan: Total assets of households
United Kingdom (1997Q1–2014Q1)	Bank of England: Financial assets of households and NPISH
United States (1981Q1–2014Q1)	Board of Governors of the Federal Reserve System: Net worth of households and NPISH