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Citations for "The Equity Premium and the Risk Free Rate: Matching the Moments"

by Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Clark

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  1. Ravi Bansal, 2007. "Long-Run Risks and Financial Markets," NBER Working Papers 13196, National Bureau of Economic Research, Inc.
  2. Mordecai Kurz & Hehui Jin & Maurizio Motolese, 2005. "Determinants of stock market volatility and risk premia," Annals of Finance, Springer, Springer, vol. 1(2), pages 109-147, 07.
  3. Pennings, Joost M. E., 2002. "Pulling the trigger or not: Factors affecting behavior of initiating a position in derivatives markets," Journal of Economic Psychology, Elsevier, Elsevier, vol. 23(2), pages 263-278, April.
  4. Kent D. Daniel & David A. Marshall, 1998. "Consumption-based modeling of long-horizon returns," Working Paper Series, Federal Reserve Bank of Chicago WP-98-18, Federal Reserve Bank of Chicago.
  5. Lo, Andrew W & Wang, Jiang, 1995. " Implementing Option Pricing Models When Asset Returns Are Predictable," Journal of Finance, American Finance Association, American Finance Association, vol. 50(1), pages 87-129, March.
  6. GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 2001-09, Universite de Montreal, Departement de sciences economiques.
  7. Andrew Ang & Li Gu & Yael V. Hochberg, 2006. "Is IPO Underperformance a Peso Problem?," NBER Working Papers 12203, National Bureau of Economic Research, Inc.
  8. Boldrin, M. & Christiano, L.J. & Fisher, J.D.M., 1995. "Asset Pricing Lessons for Modeling Business Cycles," UWO Department of Economics Working Papers, University of Western Ontario, Department of Economics 9513, University of Western Ontario, Department of Economics.
  9. Mordecai Kurz & Maurizio Motolese, 1999. "Endogenous Uncertainty and Market Volatility," Working Papers, Fondazione Eni Enrico Mattei 1999.27, Fondazione Eni Enrico Mattei.
  10. Fatih Guvenen, 2005. "A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation of Cross-sectional Heterogeneity?," Finance, EconWPA 0507009, EconWPA.
  11. Michele Boldrin & Lawrence J. Christiano & Jonas D.M. Fisher, 1997. "Habit persistence and asset returns in an exchange economy," Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago WP-97-04, Federal Reserve Bank of Chicago.
  12. Lawrence J. Christiano & Wouter Den Haan, 1995. "Small sample properties of GMM for business cycle analysis," Staff Report, Federal Reserve Bank of Minneapolis 199, Federal Reserve Bank of Minneapolis.
  13. Zemcik, Petr, 2001. "Mean reversion in asset returns and time non-separable preferences," International Review of Economics & Finance, Elsevier, Elsevier, vol. 10(3), pages 223-245, July.
  14. Choi, Woon Gyu & Wen, Yi, 2000. "Measuring Interest Rates as Determined by Thrift and Productivity," Working Papers, Cornell University, Center for Analytic Economics 00-03, Cornell University, Center for Analytic Economics.
  15. Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," FMG Discussion Papers, Financial Markets Group dp489, Financial Markets Group.
  16. Brennan, Michael J. & Xia, Yihong, 2001. "Stock price volatility and equity premium," Journal of Monetary Economics, Elsevier, Elsevier, vol. 47(2), pages 249-283, April.
  17. Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Working Papers melino-03-01, University of Toronto, Department of Economics.
  18. Ang, Andrew & Bekaert, Geert, 2002. "Regime Switches in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(2), pages 163-82, April.
  19. Brian J. Hall & Jeffrey B. Liebman, 1997. "Are CEOs Really Paid Like Bureaucrats?," NBER Working Papers 6213, National Bureau of Economic Research, Inc.
  20. Ivilina Popova & Joseph G. Haubrich, 1998. "Executive compensation: a calibration approach," Economic Theory, Springer, Springer, vol. 12(3), pages 561-581.
  21. V. I. Yukalov & D. Sornette & E. P. Yukalova, 2007. "Nonlinear Dynamical Model of Regime Switching Between Conventions and Business Cycles," Papers nlin/0701014, arXiv.org.
  22. N. Gregory Mankiw & Stephen P. Zeldes, 1990. "The Consumption of Stockholders and Non-Stockholders," NBER Working Papers 3402, National Bureau of Economic Research, Inc.
  23. Yukalov, V.I. & Sornette, D. & Yukalova, E.P., 2009. "Nonlinear dynamical model of regime switching between conventions and business cycles," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 70(1-2), pages 206-230, May.
  24. Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1994. "The implications of first-order risk aversion for asset market risk premiums," Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago 94-22, Federal Reserve Bank of Chicago.
  25. Chew Lian Chua & Sandy Suardi, 2005. "Is There a Unit Root in East-Asian Short-Term Interest Rates?," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne wp2005n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  26. Wayne E. Ferson & George M. Constantinides, 1991. "Habit Persistence and Durability in Aggregate Consumption: Empirical Tests," NBER Working Papers 3631, National Bureau of Economic Research, Inc.
  27. Pakoš, Michal, 2013. "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(9), pages 1911-1928.
  28. Juha Ilmari Seppala, 2000. "Asset Prices and Business Cycles Under Limited Commitment," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0244, Econometric Society.
  29. Fabio Canova & Eva Ortega, 1996. "Testing calibrated general equilibrium models," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 166, Department of Economics and Business, Universitat Pompeu Fabra.
  30. Marco Antonio Bonomo & Rene Garcia, 1993. "Disappointment aversion as a solution to the equity premium and the risk-free rate puzzles," Textos para discussão, Department of Economics PUC-Rio (Brazil) 308, Department of Economics PUC-Rio (Brazil).
  31. Andrew B. Abel, . "The Effects of Investing Social Security Funds in the Stock Market When Fixed Costs Prevent Some Households from Holding Stocks," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 09-00, Wharton School Rodney L. White Center for Financial Research.
  32. Brennan, Michael & Xia, Yihong, 1997. "Stock Price Volatility, Learning, and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt3zw2w634, Anderson Graduate School of Management, UCLA.
  33. Nelson C. Mark & S.G. Cecchetti & P-s. Lam, 1997. "Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?," Working Papers, Ohio State University, Department of Economics 017, Ohio State University, Department of Economics.
  34. Jessica A. Wachter & Missaka Warusawitharana, 2006. "Predictable returns and asset allocation: Should a skeptical investor time the market?," 2006 Meeting Papers, Society for Economic Dynamics 22, Society for Economic Dynamics.
  35. Burnside, Craig, 1998. "Solving asset pricing models with Gaussian shocks," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 22(3), pages 329-340, March.
  36. Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1998. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True?," NBER Working Papers 6354, National Bureau of Economic Research, Inc.
  37. John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research 1763, Harvard - Institute of Economic Research.
  38. Van Norden, S. & Schaller, H., 1996. "Speculative Behaviour, Regime-Switching and Stock Market Crashes," Working Papers, Bank of Canada 96-13, Bank of Canada.
  39. M. C. Freeman & I. R. Davidson, 1999. "Estimating the equity premium," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 5(3), pages 236-246.
  40. Dirk Krueger & Felix Kubler, 2003. "Pareto Improving Social Security Reform when Financial Markets are Incomplete?," NBER Working Papers 9410, National Bureau of Economic Research, Inc.
  41. Gust, Christopher & López-Salido, J David, 2009. "Monetary Policy, Velocity, and the Equity Premium," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7388, C.E.P.R. Discussion Papers.
  42. Mohammad R. Jahan‐Parvar & Xuan Liu & Philip Rothman, 2013. "Equity Returns and Business Cycles in Small Open Economies," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 45(6), pages 1117-1146, 09.
  43. Andreas Hornstein & Harald Uhlig, 2000. "What is the Real Story for Interest Rate Volatility?," German Economic Review, Verein für Socialpolitik, Verein für Socialpolitik, vol. 1(1), pages 43-67, 02.
  44. Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 2000. "Habit persistence, asset returns and the business cycle," Staff Report, Federal Reserve Bank of Minneapolis 280, Federal Reserve Bank of Minneapolis.
  45. Telmer, Chris I. & Zin, Stanley E., 2002. "Prices as factors: Approximate aggregation with incomplete markets," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 26(7-8), pages 1127-1157, July.
  46. Garcia, R. & Luger, R. & Renault, E., 2001. "Empirical Assessment of an Intertemporal option Pricing Model with Latent variables," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 2001-10, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  47. Garcia, R. & Renault, E., 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9801, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  48. Campbell, John Y., 2003. "Consumption-based asset pricing," Handbook of the Economics of Finance, Elsevier, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 13, pages 803-887 Elsevier.
  49. Philip Jefferson, 2001. "Price dynamics when there are alternatives to cash payment," Journal of Economics and Finance, Springer, Springer, vol. 25(2), pages 149-171, June.
  50. Yiqun Mou & Lars A. Lochstoer & Michael Johannes, 2011. "Learning about Consumption Dynamics," 2011 Meeting Papers 306, Society for Economic Dynamics.
  51. George M. Constantinides, 2006. "Market Organization And The Prices Of Financial Assets," Manchester School, University of Manchester, vol. 74(s1), pages 1-23, 09.
  52. repec:dgr:uvatin:2010007 is not listed on IDEAS
  53. Longstaff, Francis & Piazzesi, Monika, 2002. "Corporate Earnings and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt3qn115m4, Anderson Graduate School of Management, UCLA.
  54. Moore, Bartholomew & Schaller, Huntley, 1996. "Learning, regime switches, and equilibrium asset pricing dynamics," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 20(6-7), pages 979-1006.
  55. Paccagnini, Alessia, 2010. "DSGE Model Validation in a Bayesian Framework: an Assessment," MPRA Paper 24509, University Library of Munich, Germany.
  56. Kim, Young Se, 2009. "Exchange rates and fundamentals under adaptive learning," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 33(4), pages 843-863, April.
  57. Andrew B. Abel, . "Exact Solutions for Expected Rates of Return Under Markov Regime Switching: Implications for the Equity Premium Puzzle," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 9-92, Wharton School Rodney L. White Center for Financial Research.
  58. Rodriguez, Juan Carlos, 2006. "Consumption, the persistence of shocks, and asset price volatility," Journal of Monetary Economics, Elsevier, Elsevier, vol. 53(8), pages 1741-1760, November.
  59. Rene Garcia & Richard Luger & Eric Renault, 2004. "Option Prices, Preferences, and State Variables," Emory Economics, Department of Economics, Emory University (Atlanta) 0418, Department of Economics, Emory University (Atlanta).
  60. Prasad Bidarkota, 2003. "On the Economic Impact of Modeling Non-Linearities: The Asset Pricing Example," Working Papers, Florida International University, Department of Economics 0305, Florida International University, Department of Economics.
  61. Smoluk, H. J. & VanderLinden, David, 2004. "Catching up with the Americans," Review of Financial Economics, Elsevier, Elsevier, vol. 13(3), pages 211-229.
  62. Aiyagari, S. Rao & Gertler, Mark, 1991. "Asset returns with transactions costs and uninsured individual risk," Journal of Monetary Economics, Elsevier, Elsevier, vol. 27(3), pages 311-331, June.
  63. James M. Nason & Takashi Kano, 2004. "Business Cycle Implications of Habit Formation," Econometric Society 2004 Far Eastern Meetings, Econometric Society 619, Econometric Society.
  64. Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," NBER Working Papers 13107, National Bureau of Economic Research, Inc.
  65. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers, CIRANO 2002s-08, CIRANO.
  66. Marco antonio Bonomo & Rene Garcia, 1992. "Consumption and equilibrium asset pricing: An empirical assessment," Textos para discussão, Department of Economics PUC-Rio (Brazil) 284, Department of Economics PUC-Rio (Brazil).
  67. Sampson, Michael, 2003. "New Eras and Stock Market Bubbles," Structural Change and Economic Dynamics, Elsevier, Elsevier, vol. 14(3), pages 297-315, September.
  68. Michael Brandt, Qi Zeng and Lu Zhang, 2001. "Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States," Computing in Economics and Finance 2001, Society for Computational Economics 41, Society for Computational Economics.
  69. Alfonso Novales, 2002. "The Role of Simulation Methods in Macroeconomics," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico 0227, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  70. Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers, University of Milano-Bicocca, Department of Economics 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
  71. Weder, Mark, 1997. "Indeterminacy, business cycles, and modest increasing returns to scale," SFB 373 Discussion Papers 1997,60, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  72. Shahid Ebrahim, M. & Mathur, Ike, 2001. "Investor heterogeneity, market segmentation, leverage and the equity premium puzzle," Journal of Banking & Finance, Elsevier, Elsevier, vol. 25(10), pages 1897-1919, October.
  73. Longstaff, Francis A. & Piazzesi, Monika, 2004. "Corporate earnings and the equity premium," Journal of Financial Economics, Elsevier, Elsevier, vol. 74(3), pages 401-421, December.
  74. Salyer, Kevin D., 1998. "Crash states and the equity premium: Solving one puzzle raises another," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 22(6), pages 955-965, June.
  75. Saito, Makoto, 1999. "Dynamic Allocation and Pricing in Incomplete Markets: A Survey," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, Institute for Monetary and Economic Studies, Bank of Japan, vol. 17(1), pages 45-75, May.
  76. Alexander David & Pietro Veronesi, 1998. "Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago 485, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  77. Qiang Dai & Kenneth J. Singleton & Wei Yang, 2004. "Regime shifts in a dynamic term structure model of U.S. Treasury bond yields," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue Mar.
  78. Olivier Allais, 2004. "Local Substitution and Habit Persistence: Matching the Moments of the Equity Premium and the Risk-Free Rate," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(2), pages 265-296, April.
  79. Dridi, Ramdan & Guay, Alain & Renault, Eric, 2007. "Indirect inference and calibration of dynamic stochastic general equilibrium models," Journal of Econometrics, Elsevier, Elsevier, vol. 136(2), pages 397-430, February.
  80. M Boschi & S d'Addona & A Goenka, 2012. "Testing external habits in an asset pricing model," CAMA Working Papers 2012-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  81. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.