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Citations for "Habit Formation: A Resolution of the Equity Premium Puzzle?"

by Otrok, C. & Ravikumar, B. & Whiteman, C.

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  1. Chris Otrok, 1999. "On Measuring the Welfare Cost of Business Cycles," Virginia Economics Online Papers 318, University of Virginia, Department of Economics.
  2. Aiyagari, S. Rao & Gertler, Mark, 1991. "Asset returns with transactions costs and uninsured individual risk," Journal of Monetary Economics, Elsevier, vol. 27(3), pages 311-331, June.
  3. Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 2007. "A generalized volatility bound for dynamic economies," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2269-2290, November.
  4. Lin, Wen-chang & Lu, Jin-ray, 2012. "Risky asset allocation and consumption rule in the presence of background risk and insurance markets," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 150-158.
  5. William A. Brock & Steven N. Durlauf, 2004. "Elements of a Theory of Design Limits to Optimal Policy," Manchester School, University of Manchester, vol. 72(s1), pages 1-18, 09.
  6. Babutsidze, Zakaria & Cowan, Robin, 2009. "Inertia, Interaction and Clustering in Demand," MERIT Working Papers 045, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
  7. Gomes, Francisco J & Michaelides, Alexander, 2003. "Portfolio Choice with Internal Habit Formation: A Life-Cycle Model with Uninsurable Labour Income Risk," CEPR Discussion Papers 3868, C.E.P.R. Discussion Papers.
  8. Francisco J. Gomes & Alexander Michaelides, 2003. "Portfolio choice with internal habit formation : a life-cycle model with uninsurable labor income risk," LSE Research Online Documents on Economics 196, London School of Economics and Political Science, LSE Library.
  9. Ionel Birgean & Lutz Kilian, 2002. "Data-Driven Nonparametric Spectral Density Estimators For Economic Time Series: A Monte Carlo Study," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 449-476.
  10. Jianfeng Yu, 2009. "The Long and the Short of Asset Prices: Using Long Run Consumption-Return Correlations to Test Asset Pricing Models," 2009 Meeting Papers 56, Society for Economic Dynamics.
  11. Laurian Lungu & Patrick Minford, 2006. "Explaining The Equity Risk Premium," Manchester School, University of Manchester, vol. 74(6), pages 670-700, December.
  12. James M. Nason & Takashi Kano, 2004. "Business Cycle Implications of Habit Formation," Computing in Economics and Finance 2004 175, Society for Computational Economics.
  13. Takashi Kano, 2007. "Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect," CIRJE F-Series CIRJE-F-505, CIRJE, Faculty of Economics, University of Tokyo.
  14. David N. DeJong & Emilio Espino, 2011. "The cyclical behavior of equity turnover," Quantitative Economics, Econometric Society, vol. 2(1), pages 99-133, 03.
  15. Kano, Takashi & Nason, James M., 2012. "Business Cycle Implications of Internal Consumption Habit for New Keynesian Models," Discussion Papers 2012-09, Graduate School of Economics, Hitotsubashi University.
  16. William T. Smith & Qiang Zhang, 2006. "Asset Pricing With Multiplicative Habit and Power-Expo Preferences," CIRJE F-Series CIRJE-F-429, CIRJE, Faculty of Economics, University of Tokyo.
  17. Jianfeng Yu, 2012. "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 317-335, October.
  18. William A. Brock & Steven N. Durlauf & Giacomo Rondina, 2008. "Design Limits and Dynamic Policy Analysis," NBER Working Papers 14357, National Bureau of Economic Research, Inc.
  19. In, Francis & Yoon, Jai Hyung, 2007. "Determination of asset prices with an investment-specific technology model: Implications for the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2637-2658, August.
  20. Paolo Gelain & Kevin J. Lansing, 2013. "House prices, expectations, and time-varying fundamentals," Working Paper Series 2013-03, Federal Reserve Bank of San Francisco.
  21. Stefano Athanasoulis & Oren Sussman, 2007. "Habit formation and the equity–premium puzzle: a skeptical view," Annals of Finance, Springer, vol. 3(2), pages 193-212, March.
  22. Takashi Kano, 2008. "Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect ( Revised version of CARF-F-101(2007); Revised version subsequently published in "Journal of International ," CARF F-Series CARF-F-124, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  23. Li, Jinlu, 2010. "Some solutions to the equity premium and volatility puzzles," MPRA Paper 26833, University Library of Munich, Germany, revised 01 Aug 2010.
  24. 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.
  25. David A. Chapman, 2002. "Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(3), pages 618-645, July.
  26. Santiago Budria & Antonia Diaz, 2006. "Term Premium And Equity Premium In Economies With Habit Formation," Economics Working Papers we065522, Universidad Carlos III, Departamento de Economía.
  27. Eric JONDEAU & Hervé LE BIHAN, 2003. "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")," Econometrics 0303004, EconWPA.
  28. Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 1998. "Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation," Working Papers 99-01, University of Iowa, Department of Economics, revised Jan 1999.
  29. Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
  30. Kevin J. Lansing, 2005. "Lock-in of extrapolative expectations in an asset pricing model," Working Paper Series 2004-06, Federal Reserve Bank of San Francisco.
  31. M Saifur Rahman, 2008. "Should Dynamic Scoring be done with Heterogeneous Agent-Based Models? Challenging the Conventional Wisdom," Caepr Working Papers 2008-023, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  32. Lars Peter Hansen, 2008. "Modeling the Long Run: Valuation in Dynamic Stochastic Economies," NBER Working Papers 14243, National Bureau of Economic Research, Inc.
  33. Beatrice Pataracchia, 2008. "Design Limits in Regime-Switching Cases," Department of Economics University of Siena 529, Department of Economics, University of Siena.
  34. Dave, Chetan & Dressler, Scott J., 2010. "Technology shocks, capital utilization and sticky prices," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2179-2191, October.
  35. Grant, Simon & Quiggin, John, 2003. "The Risk Premium for Equity: Implicatiosn for Resource Allocation, Welfare adn Policy," Working Papers 2003-14, Rice University, Department of Economics.
  36. Fielding, David & Stracca, Livio, 2007. "Myopic loss aversion, disappointment aversion, and the equity premium puzzle," Journal of Economic Behavior & Organization, Elsevier, vol. 64(2), pages 250-268, October.
  37. Kim, Sei-Wan & Krausz, Joshua & Nam, Kiseok, 2013. "Revisiting asset pricing under habit formation in an overlapping-generations economy," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 132-138.
  38. Beatrice Pataracchia, 2008. "The Spectral Representation of Markov-Switching Arma Models," Department of Economics University of Siena 528, Department of Economics, University of Siena.
  39. Santiago Budría & Antonia Díaz, 2006. "Term and Equity Premium in Economies with Habit Formation," Working Papers 2006-23, FEDEA.