We use a standard single-agent model to conduct a simple consumption growth accounting exercise. Consumption growth is driven by news about current and expected future returns on the market portfolio. We impute the residual of consumption growth innovations that cannot be attributed to either news about financial asset returns or future labor income growth to news about expected future returns on human wealth, and we back out the implied human wealth and market return process. Innovations in current and future human wealth returns are negatively correlated with innovations in current and future financial asset returns, regardless of the elasticity of intertemporal substitution.
Lustig, Hanno, and Stijn Van Nieuwerburgh. "The Returns on Human Capital: Good News on Wall Street Is Bad News on Main Street." The Review of Financial Studies 21, no. 5 (September 2008): 2097-2137.
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