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Citations for "Asset Prices, Consumption, and the Business Cycle"

by John Y. Campbell

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  1. Huse, Cristian, 2011. "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3240-3252.
  2. Hippolyte d'Albis & Emmanuelle Augeraud-Véron & Alain Venditti, 2012. "Business cycle fluctuations and learning-by-doing externalities in a one-sector model," Documents de travail du Centre d'Economie de la Sorbonne 12026, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  3. Marcelo Bianconi & Stephen J. Turnovsky, 2003. "The Welfare Gains from Stabilization in a Stochastically Growing Economy with Idiosyncratic Shocks and Flexible Labor Supply," Computing in Economics and Finance 2003 277, Society for Computational Economics.
  4. Blake LeBaron, 2010. "Heterogeneous Gain Learning and the Dynamics of Asset Prices," Working Papers 29, Brandeis University, Department of Economics and International Businesss School, revised Dec 2010.
  5. John Y. Campbell & Robert J. Shiller, 2001. "Valuation Ratios and the Long-run Stock Market Outlook: An Update," Cowles Foundation Discussion Papers 1295, Cowles Foundation for Research in Economics, Yale University.
  6. Beaubrun-Diant, Kevin & Matheron, Julien, 2008. "Rentabilité d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique," Economics Papers from University Paris Dauphine 123456789/1852, Paris Dauphine University.
  7. LuisM. Viceira & John Y. Campbell, 2001. "Who Should Buy Long-Term Bonds?," American Economic Review, American Economic Association, vol. 91(1), pages 99-127, March.
  8. Beaubrun-Diant, Kevin E. & Tripier, Fabien, 2005. "Asset returns and business cycles in models with investment adjustment costs," Economics Letters, Elsevier, vol. 86(1), pages 141-146, January.
  9. Monika Piazzesi & Martin Schneider, 2007. "Equilibrium Yield Curves," NBER Chapters, in: NBER Macroeconomics Annual 2006, Volume 21, pages 389-472 National Bureau of Economic Research, Inc.
  10. Hess, Martin K., 2003. "What drives Markov regime-switching behavior of stock markets? The Swiss case," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 527-543.
  11. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2005. "A new daily dividend-adjusted index for the Danish stock market, 1985-2002: construction, statistical properties, and return predictability," Research in International Business and Finance, Elsevier, vol. 19(1), pages 53-70, March.
  12. Carmignani, Fabrizio, 2010. "Cyclical fiscal policy in Africa," Journal of Policy Modeling, Elsevier, vol. 32(2), pages 254-267, March.
  13. Desmet, Klaus & Le Breton, Michel & Ortuno-Ortin, Ignacio, 2006. "Nation Formation and Genetic Diversity," IDEI Working Papers 133, Institut d'Économie Industrielle (IDEI), Toulouse.
  14. Charles Ka Yui Leung & Nan-Kuang Chen & Chih-Chiang Hsu, 2004. "Structural Break or Asymmetry? An Empirical Study of the Stock Wealth Effect on Consumption," Econometric Society 2004 Far Eastern Meetings 690, Econometric Society.
  15. Engsted, Tom & Tanggaard, Carsten, 2001. "The Danish stock and bond markets: comovement, return predictability and variance decomposition," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 243-271, July.
  16. Yulei Luo, 2006. "Rational Inattention, Portfolio Choice, and the Equity Premium," Computing in Economics and Finance 2006 56, Society for Computational Economics.
  17. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, vol. 102(6), pages 2734-66, October.
  18. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho.
  19. Antonio Mele, 2004. "General properties of rational stock-market fluctuations," LSE Research Online Documents on Economics 24701, London School of Economics and Political Science, LSE Library.
  20. Hénin, Pierre-Yves & Weitzenblum, Thomas, 2003. "Employment protection and the stock market: The common shock case," CEPREMAP Working Papers (Couverture Orange) 0306, CEPREMAP.
  21. Park, Cheolbeom, 2010. "When does the dividend-price ratio predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 81-101, January.
  22. David Aadland & Kevin X.D. Huang, 2002. "Consistent High-Frequency Calibration," Macroeconomics 0211007, EconWPA, revised 08 Jan 2003.
  23. Egil Matsen, 2001. "Habit Persistence and Welfare Gains from International Asset Trade," Working Paper Series 0102, Department of Economics, Norwegian University of Science and Technology.
  24. Francisco Gomes & Alexander Michaelides & Valery Polkovnichenko, 2009. "Quantifying the Distortionary Fiscal Cost of ‘The Bailout’," Working Papers 2009-6, Central Bank of Cyprus.
  25. Bullard, James & Duffy, John, 2001. "Learning And Excess Volatility," Macroeconomic Dynamics, Cambridge University Press, vol. 5(02), pages 272-302, April.
  26. George Chacko & Luis M. Viceira, 2005. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," Review of Financial Studies, Society for Financial Studies, vol. 18(4), pages 1369-1402.
  27. Rui Castro & Claudio Campanale & Gian Luca Clementi, 2007. "Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences," 2007 Meeting Papers 503, Society for Economic Dynamics.
  28. Robert S. Chirinko & Hisham Foad, 2007. "Noise vs. News In Equity Returns," Working Papers 0025, San Diego State University, Department of Economics.
  29. David Aadland, 2002. "Detrending Time-Aggregated Data," Working Papers 2002-05, Utah State University, Department of Economics.
  30. Erik Hurst & Paul Willen, 2004. "Social Security and unsecured debt," Public Policy Discussion Paper 04-10, Federal Reserve Bank of Boston.
  31. Chris Otrok, 1999. "On Measuring the Welfare Cost of Business Cycles," Virginia Economics Online Papers 318, University of Virginia, Department of Economics.
  32. Marcus H. Miller & Paul Weller & Lei Zhang, 2002. "Moral Hazard and the US Stockmarket: Analyzing the "Greenspan Put"," Working Paper Series WP02-1, Peterson Institute for International Economics.
  33. Mehl, Arnaud, 2013. "Large global volatility shocks, equity markets and globalisation: 1885-2011," Working Paper Series 1548, European Central Bank.
  34. Antonio Falato, 2003. "Happiness Maintenance and Asset Prices," Finance 0310003, EconWPA.
  35. Malley, Jim & Philippopoulos, Apostolis & Woitek, Ulrich, 2009. "To react or not? Technology shocks, fiscal policy and welfare in the EU-3," European Economic Review, Elsevier, vol. 53(6), pages 689-714, August.
  36. Epstein, Larry G. & Miao, Jianjun, 2003. "A two-person dynamic equilibrium under ambiguity," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1253-1288, May.
  37. Pierre-Olivier Gourinchas & Hélène Rey, 2007. "From World Banker to World Venture Capitalist: U.S. External Adjustment and the Exorbitant Privilege," NBER Chapters, in: G7 Current Account Imbalances: Sustainability and Adjustment, pages 11-66 National Bureau of Economic Research, Inc.
  38. Thomas Davidoff & Jeffrey R. Brown & Peter A. Diamond, 2005. "Annuities and Individual Welfare," American Economic Review, American Economic Association, vol. 95(5), pages 1573-1590, December.
  39. M. Fatih Guvenen, 2003. "A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation or Cross-sectional Heterogeneity?," RCER Working Papers 499, University of Rochester - Center for Economic Research (RCER).
  40. Jonas Dovern & Christina Ziegler, 2008. "Predicting Growth Rates and Recessions. Assessing U.S. Leading Indicators Under Real-Time Conditions," Kiel Working Papers 1397, Kiel Institute for the World Economy.
  41. Zhigang Feng & Jianjun Miao & Adrian Peralta-Alva & Manual Santos, 2009. "Numerical Simulation of Nonoptimal Dynamic Equilibrium Models," Working Papers 0912, University of Miami, Department of Economics.
  42. John Y. Campbell & Yeung Lewis Chan & Luis M. Viceira, 2001. "A Multivariate Model of Strategic Asset Allocation," NBER Working Papers 8566, National Bureau of Economic Research, Inc.
  43. Lustig, H. & Verdelhan, A., 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Working papers 155, Banque de France.
  44. Ayuso, Juan & Restoy, Fernando, 2006. "House prices and rents: An equilibrium asset pricing approach," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 371-388, June.
  45. De Paoli, Bianca & Scott, Alasdair & Weeken, Olaf, 2010. "Asset pricing implications of a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2056-2073, October.
  46. Turan G. Bali & Hao Zhou, 2013. "Risk, Uncertainty, and Expected Returns," Koç University-TUSIAD Economic Research Forum Working Papers 1306, Koc University-TUSIAD Economic Research Forum.
  47. Alexander David & Pietro Veronesi, 1998. "Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities," CRSP working papers 485, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  48. Bosi, Stefano & Desmarchelier, David, 2013. "Demography and pollution," Research in Economics, Elsevier, vol. 67(4), pages 316-323.
  49. Antonio Falato, 2008. "Happiness maintenance and asset prices," Finance and Economics Discussion Series 2008-19, Board of Governors of the Federal Reserve System (U.S.).
  50. Madureira, Leonardo, 2007. "The ex ante real rate and inflation premium under a habit consumption model," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 355-382, June.
  51. Li, George, 2008. "Aggregate stock market behavior and investors' low risk aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2349-2369, July.
  52. Ben Bernanke & Mark Gertler, 1999. "Monetary policy and asset price volatility," Economic Review, Federal Reserve Bank of Kansas City, issue Q IV, pages 17-51.
  53. Pedro Bacao & Fernando Alexandre, 2003. "Equity Prices and Monetary Policy: An Overview with an Exploratory Model," Computing in Economics and Finance 2003 290, Society for Computational Economics.
  54. Miller, Marcus & Weller, Paul & Zhang, Lei, 2001. "Moral Hazard and the US Stock Market: The Idea of a 'Greenspan Put'," CEPR Discussion Papers 3041, C.E.P.R. Discussion Papers.
  55. Lorenzo Cappiello & Nikolaos Panigirtzoglou, 2008. "Estimates of foreign exchange risk premia: a pricing kernel approach," Empirical Economics, Springer, vol. 35(3), pages 475-495, November.
  56. René Garcia & Richard Luger, 2012. "Risk aversion, intertemporal substitution, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 1013-1036, 09.
  57. Stefano Bosi & Lionel Ragot, 2013. "On the optimal control of pollution in a human capital growth model," EconomiX Working Papers 2013-25, University of Paris West - Nanterre la Défense, EconomiX.
  58. Clemens Sialm, 2002. "Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium," NBER Working Papers 9301, National Bureau of Economic Research, Inc.
  59. Kent D. Daniel & David A. Marshall, 1998. "Consumption-based modeling of long-horizon returns," Working Paper Series WP-98-18, Federal Reserve Bank of Chicago.
  60. Fabio ALESSANDRINI, 2003. "Introducing Capital Structure in a Production Economy: Implications for Investment, Debt and Dividends," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 03.03, Université de Lausanne, Faculté des HEC, DEEP.
  61. John Y. Campbell & Sydney Ludvigson, 1998. "Elasticities of Substitution in Real Business Cycle Models with Home Production," NBER Working Papers 6763, National Bureau of Economic Research, Inc.
  62. Francisco Gomes & Alexander Michaelides, 2008. "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 415-448, January.
  63. Bosi, Stefano & Nourry, Carine, 2007. "Growth and fluctuations: The role of public dividends and public spending," Journal of Mathematical Economics, Elsevier, vol. 43(3-4), pages 420-445, April.
  64. Tsuji, Chikashi, 2005. "The credit-spread puzzle," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1073-1089, November.
  65. Gershun, Natalia, 2010. "Habit persistence, impediments to production factor adjustments, and asset returns in general equilibrium models with self-fulfilling expectations," Review of Financial Economics, Elsevier, vol. 19(1), pages 19-27, January.
  66. Nourry, Carine & Seegmuller, Thomas & Venditti, Alain, 2013. "Aggregate instability under balanced-budget consumption taxes: A re-examination," Journal of Economic Theory, Elsevier, vol. 148(5), pages 1977-2006.
  67. Ludwig, Alexander & Zimper, Alexander, 2014. "Biased Bayesian learning with an application to the risk-free rate puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 79-97.
  68. Christophe Blot & Grégory Levieuge, 2008. "Are MCIS good indicators of economic activity? Evidence from the G7 countries," Documents de Travail de l'OFCE 2008-07, Observatoire Francais des Conjonctures Economiques (OFCE).
  69. Ghiglino, Christian & Venditti, Alain, 2011. "Wealth distribution and output fluctuations," Journal of Economic Theory, Elsevier, vol. 146(6), pages 2478-2509.
  70. Erdem Basci, 2002. "Bond Premium in Turkey," Departmental Working Papers 0207, Bilkent University, Department of Economics.
  71. Bergin, Paul R & Sheffrin, Steven M, 2000. "Interest Rates, Exchange Rates and Present Value Models of the Current Account," Economic Journal, Royal Economic Society, vol. 110(463), pages 535-58, April.
  72. Cheolbeom Park, 2006. "The Persistence and Predictive Power of the Dividend-Price Ratio," Departmental Working Papers wp0603, National University of Singapore, Department of Economics.
  73. Kazuo Nishimura & Alain Venditti, 2010. "Indeterminacy and expectation-driven uctuations with non-separable preferences," KIER Working Papers 702, Kyoto University, Institute of Economic Research.
  74. Ayuso, Juan & Restoy, Fernando, 2007. "House prices and rents in Spain: Does the discount factor matter?," Journal of Housing Economics, Elsevier, vol. 16(3-4), pages 291-308, November.
  75. Marvin Goodfriend & Bennett T. McCallum, 2007. "Banking and interest rates in monetary policy analysis: a quantitative exploration," Proceedings, Federal Reserve Bank of San Francisco.
  76. Pietro Veronesi, . "Belief-dependent Utilities, Aversion to State-Uncertainty and Asset Prices,”," CRSP working papers 529, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  77. repec:dgr:uvatin:2010049 is not listed on IDEAS
  78. Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar, 2014. "Nonparametric estimation and inference for conditional density based Granger causality measures," Journal of Econometrics, Elsevier, vol. 180(2), pages 251-264.
  79. Fatih Guvenen, 2009. "A Parsimonious Macroeconomic Model for Asset Pricing," NBER Working Papers 15243, National Bureau of Economic Research, Inc.
  80. Conny Olovsson, 2014. "How Does a Pay-as-you-go System Affect Asset Returns and the Equity Premium?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(1), pages 131-149, January.
  81. Cevdet Aydemir, A., 2008. "Risk sharing and counter-cyclical variation in market correlations," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3084-3112, October.
  82. Marina Emiris, 2002. "Measuring capital market integration," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 200-221 Bank for International Settlements.
  83. Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc.
  84. Branger, Nicole & Larsen, Linda Sandris & Munk, Claus, 2013. "Robust portfolio choice with ambiguity and learning about return predictability," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1397-1411.
  85. Tano Santos & Pietro Veronesi, 2000. "Labor Income and Predictable Stock Returns," CRSP working papers 520, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  86. Ravi Bansal & Varoujan Khatchatrian & Amir Yaron, 2004. "Interpretable Asset Markets?," 2004 Meeting Papers 136b, Society for Economic Dynamics.
  87. Sadayuki Ono, 2007. "Option Pricing under Stochastic Volatility and Trading Volume," Discussion Papers 07/05, Department of Economics, University of York.
  88. Ravi Bansal, 2007. "Long-Run Risks and Financial Markets," NBER Working Papers 13196, National Bureau of Economic Research, Inc.
  89. Kuznitz, Arik & Kandel, Shmuel & Fos, Vyacheslav, 2008. "A portfolio choice model with utility from anticipation of future consumption and stock market mean reversion," European Economic Review, Elsevier, vol. 52(8), pages 1338-1352, November.
  90. Niklas Potrafke, 2007. "Social Security in Germany: A Prey of Political Opportunism?," Discussion Papers of DIW Berlin 677, DIW Berlin, German Institute for Economic Research.
  91. Xavier Gabaix & David Laibson, 2002. "The 6D Bias and the Equity Premium Puzzle," Harvard Institute of Economic Research Working Papers 1947, Harvard - Institute of Economic Research.
  92. Juan Ayuso & Fernando Restoy, 2003. "House prices and rents: an equilibrium asset pricing approach," Banco de Espa�a Working Papers 0304, Banco de Espa�a.
  93. James H. Stock & Mark W. Watson, 2001. "Forecasting output and inflation: the role of asset prices," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  94. Rangvid, Jesper, 2001. "Predicting returns and changes in real activity: evidence from emerging economies," Emerging Markets Review, Elsevier, vol. 2(4), pages 309-329, December.
  95. Christian Chiglino & Nicole Tabasso, 2014. "Risk Aversion in a Model of Endogenous Growth," School of Economics Discussion Papers 0314, School of Economics, University of Surrey.
  96. Tam, Henry & Lai, Liona, 2009. "Explaining the equity premium in Hong Kong with C-CAPM: The use of emigration growth as an instrument," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 520-533, July.
  97. Marcus Miller & Paul Weller & Lei Zhang, 2000. "Moral Hazard and the US Stock Market: Has Mr. Greenspan Created a Bubble?," Econometric Society World Congress 2000 Contributed Papers 1902, Econometric Society.
  98. Torsten Sløk & Hali J. Edison, 2001. "Wealth Effects and the New Economy," IMF Working Papers 01/77, International Monetary Fund.
  99. Jens Larsen & Ben May & James Talbot, 2003. "Estimating real interest rates for the United Kingdom," Bank of England working papers 200, Bank of England.
  100. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2014. "A Model of Monetary Policy and Risk Premia," NBER Working Papers 20141, National Bureau of Economic Research, Inc.
  101. Balduzzi, Pierluigi, 2007. "Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2713-2743, August.
  102. Steven A. Sharpe, 1999. "Stock prices, expected returns, and inflation," Finance and Economics Discussion Series 1999-02, Board of Governors of the Federal Reserve System (U.S.).
  103. Jagjit S. Chadha & Luisa Corrado & Sean Holly, 2008. "Reconnecting Money to Inflation: The Role of the External Finance Premium," Studies in Economics 0816, Department of Economics, University of Kent.
  104. Christopher Gust & David López-Salido, 2009. "Portfolio inertia and the equity premium," International Finance Discussion Papers 984, Board of Governors of the Federal Reserve System (U.S.).
  105. Tavares, Jose & Valkanov, Rossen, 2001. "The neglected effect of fiscal policy on stock and bond returns," FEUNL Working Paper Series wp413, Universidade Nova de Lisboa, Faculdade de Economia.
  106. Doriana Ruffino & Jonathan Treussard, 2006. "A Study of Inaction in Investment Games via the Early Exercise Premium Representation," Boston University - Department of Economics - Working Papers Series WP2006-040, Boston University - Department of Economics.
  107. Ortuno-Ortin, Ignacio & Sempere, Jaume, 2006. "A theoretical model of nations, regions and fiscal integration," Regional Science and Urban Economics, Elsevier, vol. 36(1), pages 132-157, January.