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Consumption Habit and Equity Premium in the G7 Countries

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  • Olivier Allais
  • Loic Cadiou
  • Stéphane Dees

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Bibliographic Info

Paper provided by CEPII research center in its series Working Papers with number 2000-19.

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Date of creation: Dec 2000
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Handle: RePEc:cii:cepidt:2000-19

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Related research

Keywords: Behaviour of economic agents; MARMOTTE; Consumption; Factor markets; Economic policy; Models; Econometrics;

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References

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  1. Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," NBER Working Papers 2829, National Bureau of Economic Research, Inc.
  2. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
  3. A. Abel, 2010. "Asset prices under habit formation and catching up with the Jones," Levine's Working Paper Archive 1395, David K. Levine.
  4. G. Constantinides, 1990. "Habit formation: a resolution of the equity premium puzzle," Levine's Working Paper Archive 1397, David K. Levine.
  5. Phillip A. Braun & George M. Constantinides & Wayne E. Ferson, 1992. "Time Nonseparability in Aggregate Consumption: International Evidence," NBER Working Papers 4104, National Bureau of Economic Research, Inc.
  6. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, December.
  7. Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1992. "Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns," NBER Technical Working Papers 0124, National Bureau of Economic Research, Inc.
  8. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
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Cited by:
  1. Loïc Cadiou & Julien Genet & Jean-Louis Guérin, 2002. "Evolutions démographiques et marché du travail : des liens complexes parfois contradictoires," Working Papers 2002-16, CEPII research center.
  2. Ryan Banerjee & Nicoletta Batini, 2003. "UK Consumers’ Habits," Discussion Papers 13, Monetary Policy Committee Unit, Bank of England.
  3. Olivier Allais & Loic Cadiou & Stéphane Dees, 2001. "Defining Consumption Behaviour in a Multi-Country Model," Working Papers 2001-02, CEPII research center.
  4. Stuart Hyde & Mohamed Sherif, 2005. "Don't break the habit: structural stability tests of consumption asset pricing models in the UK," Applied Economics Letters, Taylor & Francis Journals, vol. 12(5), pages 289-296.
  5. Douch, Mohamed, 2004. "Equity Premiums In Small Open Economy," MPRA Paper 14613, University Library of Munich, Germany.

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