IDEAS home Printed from https://ideas.repec.org/e/c/pco57.html
   My authors  Follow this author

John H. Cochrane

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. John H. Cochrane, 1997. "Where is the market going? Uncertain facts and novel theories," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 21(Nov), pages 3-37.

    Mentioned in:

    1. House prices: fact vs theory
      by chris dillow in Stumbling and Mumbling on 2008-10-27 17:58:56
    2. Stagnation: noise vs signal
      by chris dillow in Stumbling and Mumbling on 2014-11-04 20:26:31
  2. John H. Cochrane, 2012. "Continuous-Time Linear Models," NBER Working Papers 18181, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. What I Learned Last Week
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-10-13 09:19:00
  3. John Y. Campbell & John H. Cochrane, 1995. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," NBER Working Papers 4995, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
      by Miguel in Simoleon Sense on 2010-09-04 06:36:09
  4. Cochrane, John H, 1989. "The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives," American Economic Review, American Economic Association, vol. 79(3), pages 319-337, June.

    Mentioned in:

    1. Economic Goodness-of-Fit
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2018-02-11 00:53:00
  5. John H. Cochrane, 2011. "Determinacy and Identification with Taylor Rules," Journal of Political Economy, University of Chicago Press, vol. 119(3), pages 565-615.

    Mentioned in:

    1. Seeking feedback: Towards a New Keynesian Theory of the Price Level
      by bankunderground in Bank Underground on 2015-07-13 12:30:00
  6. John H. Cochrane, 1999. "Portfolio advice of a multifactor world," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 59-78.

    Mentioned in:

    1. Good Sense on Economists and Dentists
      by Gavin Kennedy in Adam Smith's Lost Legacy on 2012-11-25 20:54:00
    2. Financial advice & journalism
      by chris dillow in Stumbling and Mumbling on 2010-09-20 21:50:35
    3. Economists as dentists
      by chris dillow in Stumbling and Mumbling on 2012-11-23 20:46:50
    4. Coping with complexity
      by chris dillow in Stumbling and Mumbling on 2014-09-16 18:08:23
    5. Economists in an alienated society
      by chris in Stumbling and Mumbling on 2017-01-05 20:30:18
    6. Stealing a living
      by chris in Stumbling and Mumbling on 2022-05-21 09:57:05
  7. John H. Cochrane, 2013. "The New-Keynesian Liquidity Trap," NBER Working Papers 19476, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. Fiscal Stimulus: Old Keynesian vs. New Keynesian
      by paragwaknis in Musings of the Sorts on 2013-11-17 22:54:51
  8. Author Profile
    1. Peers at Work --- June 2016
      by Matthew Kahn in Environmental and Urban Economics on 2016-07-05 05:57:00
    2. REPEC Issues a Monthly "Report Card" for Academic Economists
      by Matthew Kahn in Environmental and Urban Economics on 2016-12-05 03:41:00

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. John H. Cochrane, 2016. "Stepping on a Rake: the Fiscal Theory of Monetary Policy," NBER Working Papers 22979, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. Stepping on a Rake: Replication and Diagnosis (NBER 2016) in ReplicationWiki ()
  2. John H. Cochrane & Monika Piazzesi, 2005. "Bond Risk Premia," American Economic Review, American Economic Association, vol. 95(1), pages 138-160, March.

    Mentioned in:

    1. Bond Risk Premia (AER 2005) in ReplicationWiki ()
  3. John Y. Campbell & John H. Cochrane, 1994. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," CRSP working papers 412, Center for Research in Security Prices, Graduate School of Business, University of Chicago.

    Mentioned in:

    1. John Y. Campbell in Wikipedia (German)
  4. John Y. Campbell & John H. Cochrane, 2000. "Explaining the Poor Performance of Consumption‐based Asset Pricing Models," Journal of Finance, American Finance Association, vol. 55(6), pages 2863-2878, December.

    Mentioned in:

    1. Explaining the Poor Performance of Consumption-based Asset Pricing Models (JF 2000) in ReplicationWiki ()

Working papers

  1. John H. Cochrane, 2022. "Expectations and the Neutrality of Interest Rates," NBER Working Papers 30468, National Bureau of Economic Research, Inc.

    Cited by:

    1. Carlos Esteban Posada, 2023. "Inflation targeting strategy and its credibility," Papers 2301.11207, arXiv.org.
    2. Cosmas Dery & Apostolos Serletis, 2023. "Macroeconomic Fluctuations in the United States: The Role of Monetary and Fiscal Policy Shocks," Open Economies Review, Springer, vol. 34(5), pages 961-977, November.

  2. John H. Cochrane, 2022. "Inflation Past, Present and Future: Fiscal Shocks, Fed Response, and Fiscal Limits," NBER Working Papers 30096, National Bureau of Economic Research, Inc.

    Cited by:

    1. Comisión Nacional de los Mercados y la Competencia (CNMC), 2023. "Guide. Competition against inflation: How competition and efficient regulation help protect the purchasing power of consumers," Colección Estudios de Mercado G-2022-02_ENG, Comisión Nacional de los Mercados y la Competencia (CNMC).
    2. Ahmed Mohamed Habib & Umar Nawaz Kayani, 2024. "Price reaction of global economic indicators: evidence from the COVID-19 pandemic and the Russia–Ukraine conflict," SN Business & Economics, Springer, vol. 4(1), pages 1-21, January.
    3. Oleksiy Kryvtsov & James (Jim) C. MacGee & Luis Uzeda, 2023. "The 2021–22 Surge in Inflation," Discussion Papers 2023-3, Bank of Canada.
    4. Wilhelm, Stefan, 2023. "Efficiency of short-time work schemes and the role of monetary policy," Journal of Macroeconomics, Elsevier, vol. 78(C).

  3. John H. Cochrane, 2021. "Portfolios for Long-Term Investors," NBER Working Papers 28513, National Bureau of Economic Research, Inc.

    Cited by:

    1. Olkhov, Victor, 2021. "Three Remarks On Asset Pricing," MPRA Paper 109238, University Library of Munich, Germany.
    2. Maxime Markov & Vladimir Markov, 2023. "Portfolio Optimization Rules beyond the Mean-Variance Approach," Papers 2305.08530, arXiv.org, revised Nov 2023.
    3. Allan M. Malz, 2021. "The GameStop Episode: What Happened and What Does It Mean?," Journal of Applied Corporate Finance, Morgan Stanley, vol. 33(4), pages 87-97, December.
    4. Bernd Scherer & Sebastian Lehner, 2023. "Trust me, I am a Robo-advisor," Journal of Asset Management, Palgrave Macmillan, vol. 24(2), pages 85-96, March.

  4. John H. Cochrane, 2020. "A Fiscal Theory of Monetary Policy with Partially-Repaid Long-Term Debt," NBER Working Papers 26745, National Bureau of Economic Research, Inc.

    Cited by:

    1. Van Nieuwerburgh, Stijn & Jiang, Zhengyang & Lustig, Hanno & Xiaolan, Mindy, 2021. "Manufacturing Risk-free Government Debt," CEPR Discussion Papers 16304, C.E.P.R. Discussion Papers.
    2. John Cochrane, 2022. "The fiscal root of inflation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 45, pages 22-40, July.
    3. John H. Cochrane, 2020. "Strategic Review and Beyond: Rethinking Monetary Policy and Independence," Review, Federal Reserve Bank of St. Louis, vol. 102(2), pages 99-119, May.
    4. Alexandre Corhay & Thilo Kind & Howard Kung & Gonzalo Morales, 2021. "Discount Rates, Debt Maturity, and the Fiscal Theory," Staff Working Papers 21-58, Bank of Canada.
    5. Marco Bassetto & Gherardo Gennaro Caracciolo, 2021. "Monetary/Fiscal Interactions with Forty Budget Constraints," Working Papers 788, Federal Reserve Bank of Minneapolis.
    6. Lucrezia Reichlin & Giovanni Ricco & Matthieu Tarbé, 2021. "Monetary-Fiscal Crosswinds in the European Monetary Union," SciencePo Working papers Main hal-03474950, HAL.
    7. Bonam, Dennis & Ciccarelli, Matteo & Gomes, Sandra & Aldama, Pierre & Bańkowski, Krzysztof & Buss, Ginters & da Costa, José Cardoso & Christoffel, Kai & Elfsbacka Schmöller, Michaela & Jacquinot, Pasc, 2024. "Challenges for monetary and fiscal policy interactions in the post-pandemic era," Occasional Paper Series 337, European Central Bank.
    8. Kaan Masatci & Asuman Oktayer, 2022. "The Power of Linear Methods in Determining the Dominant Fiscal Regime: A Research on Turkiye," Journal of Economy Culture and Society, Istanbul University, Faculty of Economics, vol. 65(65), pages 375-394, June.
    9. Marieh Azizirad, 2022. "Fisher vs Keynes: Does an Interest Rate Hike Cause Inflation to Increase or Decrease?," Discussion Papers dp22-08, Department of Economics, Simon Fraser University.
    10. Ruoyun Mao & Wenyi Shen & Shu-Chun S. Yang, 2023. "Can Passive Monetary Policy Decrease the Debt Burden?," IEAS Working Paper : academic research 23-A007, Institute of Economics, Academia Sinica, Taipei, Taiwan.
    11. Nikiforov Petro & Greshko Roman & Marych Maksym & Marusiak Nataliia & Kharabara Violetta & Gladchuk Olga, 2022. "Mutual Influence of Fiscal and Monetary Policy in the Context of Ensuring Macro-Financial Stability of the State," Management Theory and Studies for Rural Business and Infrastructure Development, Sciendo, vol. 44(4), pages 435-442, December.
    12. Max Ole Liemen & Olaf Posch, 2022. "FTPL and the Maturity Structure of Government Debt in the New Keynesian Model," CESifo Working Paper Series 9840, CESifo.
    13. Staffa, Ruben Marek & von Schweinitz, Gregor, 2023. "Fiscal policy under the eyes of wary bondholders," IWH Discussion Papers 26/2023, Halle Institute for Economic Research (IWH).
    14. Pejman Peykani & Mostafa Sargolzaei & Amir Takaloo & Shahla Valizadeh, 2023. "The Effects of Monetary Policy on Macroeconomic Variables through Credit and Balance Sheet Channels: A Dynamic Stochastic General Equilibrium Approach," Sustainability, MDPI, vol. 15(5), pages 1-21, March.
    15. Corhay, Alexandre & Kind, Thilo & Kung, Howard & Morales, Gonzalo, 2021. "Discount rates, debt maturity, and the fiscal theory," SAFE Working Paper Series 323, Leibniz Institute for Financial Research SAFE.

  5. John H. Cochrane, 2019. "The Fiscal Roots of Inflation," NBER Working Papers 25811, National Bureau of Economic Research, Inc.

    Cited by:

    1. Van Nieuwerburgh, Stijn & Jiang, Zhengyang & Lustig, Hanno & Xiaolan, Mindy, 2021. "Manufacturing Risk-free Government Debt," CEPR Discussion Papers 16304, C.E.P.R. Discussion Papers.
    2. Marco Bassetto & Gherardo Gennaro Caracciolo, 2021. "Monetary/Fiscal Interactions with Forty Budget Constraints," Working Papers 788, Federal Reserve Bank of Minneapolis.
    3. Lamia Bazzaoui & Jun Nagayasu, 2021. "Is Inflation Fiscally Determined?," Sustainability, MDPI, vol. 13(20), pages 1-26, October.
    4. Van Nieuwerburgh, Stijn & Elenev, Vadim & Landvoigt, Tim & Shultz, Patrick, 2021. "Can Monetary Policy Create Fiscal Capacity?," CEPR Discussion Papers 16414, C.E.P.R. Discussion Papers.

  6. John H. Cochrane, 2019. "The Value of Government Debt," NBER Working Papers 26090, National Bureau of Economic Research, Inc.

    Cited by:

    1. John Cochrane, 2022. "The fiscal root of inflation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 45, pages 22-40, July.
    2. Gersbach, Hans & Rochet, Jean Charles & von Thadden, Ernst-Ludwig, 2022. "Public Debt and the Balance Sheet of the Private Sector," CEPR Discussion Papers 17529, C.E.P.R. Discussion Papers.
    3. Nicolas Caramp & Dejanir Silva, 2023. "Fiscal Policy and the Monetary Transmission Mechanism," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 716-746, December.
    4. Akhmadieva, Veronika, 2022. "Fiscal adjustment in a panel of countries 1870–2016," Journal of Comparative Economics, Elsevier, vol. 50(2), pages 555-568.
    5. Nicolas Caramp & Dejanir H. Silva, 2021. "Monetary Policy and Wealth Effects: The Role of Risk and Heterogeneity," Working Papers 341, University of California, Davis, Department of Economics.

  7. John H. Cochrane, 2016. "Stepping on a Rake: the Fiscal Theory of Monetary Policy," NBER Working Papers 22979, National Bureau of Economic Research, Inc.

    Cited by:

    1. Bai, Yuting & Leeper, Eric M., 2017. "Fiscal stabilization vs. passivity," Economics Letters, Elsevier, vol. 154(C), pages 105-108.
    2. Jalal Qanas & Malcom Sawyer, 2019. "Macroeconomics and natural rates: some reflections on Pasinetti’s fair rate of interest," Bulletin of Political Economy, Bulletin of Political Economy, vol. 13(2), pages 189-208, December.

  8. John H. Cochrane, 2016. "The Habit Habit," Economics Working Papers 16105, Hoover Institution, Stanford University.

    Cited by:

    1. G. Gopalakrishna, 2017. "Robust test of Long Run Risk and Valuation risk model," Working Papers wp1107, Dipartimento Scienze Economiche, Universita' di Bologna.
    2. Jair N. Ojeda-Joya, 2014. "A Consumption-Based Approach to Exchange Rate Predictability," Borradores de Economia 12339, Banco de la Republica.
    3. John Y. Campbell & John H. Cochrane, 2015. "The Fragile Benefits of Endowment Destruction," Journal of Political Economy, University of Chicago Press, vol. 123(5), pages 1214-1226.
    4. Lior Menzly & Tano Santos & Pietro Veronesi, 2004. "Understanding Predictability," Journal of Political Economy, University of Chicago Press, vol. 112(1), pages 1-47, February.
    5. Adriana Grasso & Filippo Natoli, 2018. "Consumption volatility risk and the inversion of the yield curve," Temi di discussione (Economic working papers) 1169, Bank of Italy, Economic Research and International Relations Area.
    6. Sanghyun Hong, 2020. "Transactions Costs and the Equity Premium Puzzle," Working Papers in Economics 20/16, University of Canterbury, Department of Economics and Finance.
    7. Lee, Sang Seok & Luk, Paul, 2018. "The Asian Financial Crisis and international reserve accumulation: A robust control approach," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 284-309.
    8. Held, Matthias & Kapraun, Julia & Omachel, Marcel & Thimme, Julian, 2020. "Up- and downside variance risk premia in global equity markets," Journal of Banking & Finance, Elsevier, vol. 118(C).

  9. John H. Cochrane, 2015. "A New Structure for U.S. Federal Debt," Economics Working Papers 15108, Hoover Institution, Stanford University.

    Cited by:

    1. Saki Bigio & Galo Nuño & Juan Passadore, 2019. "A framework for debt-maturity management," Working Papers 1919, Banco de España.
    2. Davide Debortoli & Pierre Yared & Ricardo Nunes, 2019. "Optimal Fiscal Policy without Commitment: Beyond Lucas-Stokey," 2019 Meeting Papers 926, Society for Economic Dynamics.
    3. Davide Debortoli & Ricardo Nunes & Pierre Yared, 2014. "Optimal Time-Consistent Government Debt Maturity," NBER Working Papers 20632, National Bureau of Economic Research, Inc.
    4. Davide Debortoli & Ricardo Nunes & Pierre Yared, 2020. "Optimal Fiscal Policy without Commitment: Revisiting Lucas-Stokey," Working Papers 1144, Barcelona School of Economics.
    5. Fleckenstein, Matthias & Longstaff, Francis A., 2020. "The US Treasury floating rate note puzzle: Is there a premium for mark-to-market stability?," Journal of Financial Economics, Elsevier, vol. 137(3), pages 637-658.
    6. John H. Cochrane, 2017. "Michelson-Morley, Fisher, and Occam: The Radical Implications of Stable Quiet Inflation at the Zero Bound," NBER Chapters, in: NBER Macroeconomics Annual 2017, volume 32, pages 113-226, National Bureau of Economic Research, Inc.
    7. Davide Debortoli & Ricardo Nunes & Pierre Yared, 2021. "The commitment benefit of consols in government debt management," Economics Working Papers 1781, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2021.
    8. Saki Bigio & Galo Nuño & Juan Passadore, 2023. "Debt-Maturity Management with Liquidity Costs," Journal of Political Economy Macroeconomics, University of Chicago Press, vol. 1(1), pages 119-190.

  10. John H. Cochrane, 2014. "Monetary Policy with Interest on Reserves," NBER Working Papers 20613, National Bureau of Economic Research, Inc.

    Cited by:

    1. Reis, Ricardo, 2016. "Funding quantitative easing to target inflation," LSE Research Online Documents on Economics 67883, London School of Economics and Political Science, LSE Library.
    2. John C. Williams, 2015. "Macroprudential policy in a microprudential world," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
    3. Ngotran, Duong, 2017. "The E-Monetary Theory," MPRA Paper 80207, University Library of Munich, Germany.
    4. David Andolfatto & Andrew Spewak, 2019. "Understanding Lowflation," Review, Federal Reserve Bank of St. Louis, vol. 101(1), pages 1-26.
    5. Dutkowsky, Donald H. & VanHoose, David D., 2020. "Equal treatment under the Fed: Interest on reserves, the federal funds rate, and the ‘Third Regime’ of bank behavior," Journal of Economics and Business, Elsevier, vol. 107(C).
    6. Reis, Ricardo, 2017. "QE in the future: the central bank’s balance sheet in a fiscal crisis," LSE Research Online Documents on Economics 74329, London School of Economics and Political Science, LSE Library.
    7. Callum Jones & Mariano Kulish & Daniel M. Rees, 2018. "International Spillovers of Forward Guidance Shocks," IMF Working Papers 2018/114, International Monetary Fund.
    8. Pinter, Julien & Pourroy, Marc, 2023. "How can financial constraints force a central bank to exit a currency peg? An application to the Swiss franc peg," Journal of Macroeconomics, Elsevier, vol. 75(C).
    9. Jeff W. Huther & Jane E. Ihrig & Elizabeth C. Klee, 2017. "The Federal Reserve's Portfolio and its Effect on Interest Rates," Finance and Economics Discussion Series 2017-075, Board of Governors of the Federal Reserve System (U.S.).
    10. Cochrane, John H., 2017. "The new-Keynesian liquidity trap," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 47-63.
    11. Harrison, Richard & Thomas, Ryland, 2019. "Monetary financing with interest-bearing money," Bank of England working papers 785, Bank of England.
    12. Alexandre Corhay & Thilo Kind & Howard Kung & Gonzalo Morales, 2021. "Discount Rates, Debt Maturity, and the Fiscal Theory," Staff Working Papers 21-58, Bank of Canada.
    13. Edward C. Prescott & Ryan Wessel, 2016. "Monetary Policy with 100 Percent Reserve Banking: An Exploration," NBER Working Papers 22431, National Bureau of Economic Research, Inc.
    14. Lucrezia Reichlin & Giovanni Ricco & Matthieu Tarbé, 2021. "Monetary-Fiscal Crosswinds in the European Monetary Union," SciencePo Working papers Main hal-03474950, HAL.
    15. Ricardo Reis, 2016. "QE in the future: the central bank's balance sheet in a financial crisis," Discussion Papers 1620, Centre for Macroeconomics (CFM).
    16. J. Boeckx & M. Deroose, 2016. "Monetary and fiscal policies in the euro area : independent but nevertheless connected," Economic Review, National Bank of Belgium, issue ii, pages 7-25, september.
    17. Ngotran, Duong, 2017. "Interest on reserves and monetary policy of targeting both interest rate and money supply," MPRA Paper 81579, University Library of Munich, Germany.
    18. Avouyi-Dovi, Sanvi & Sahuc, Jean-Guillaume, 2016. "On the sources of macroeconomic stability in the euro area," European Economic Review, Elsevier, vol. 83(C), pages 40-63.
    19. Cochrane, John H., 2018. "Stepping on a rake: The fiscal theory of monetary policy," European Economic Review, Elsevier, vol. 101(C), pages 354-375.
    20. Akcay, Mustafa & Elyasiani, Elyas, 2021. "The link between the federal funds rate and banking system distress: An empirical investigation," Journal of Macroeconomics, Elsevier, vol. 67(C).
    21. George J. Bratsiotis, 2021. "Interest on Reserves as a Main Monetary Policy Tool," Economics Discussion Paper Series 2102, Economics, The University of Manchester, revised Feb 2022.
    22. Hendrickson, Joshua R., 2017. "Interest on reserves, settlement, and the effectiveness of monetary policy," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 208-216.
    23. Edward C. Prescott & Ryan Wessel, 2016. "Fiat Value in the Theory of Value," Staff Report 530, Federal Reserve Bank of Minneapolis.
    24. Garcés Díaz Daniel, 2016. "Changes in Inflation Predictability in Major Latin American Countries," Working Papers 2016-20, Banco de México.
    25. Miller, Steph & Hoarty, Blake, 2020. "On Regulation and Excess Reserves: The Case of Basel III," Working Papers 10243, George Mason University, Mercatus Center.
    26. Bratsiotis, George, 2018. "Credit Risk, Excess Reserves and Monetary Policy: The Deposits Channel," EconStor Preprints 172770, ZBW - Leibniz Information Centre for Economics, revised 2018.
    27. James B. Bullard, 2016. "Permazero," Review, Federal Reserve Bank of St. Louis, vol. 98(2).
      • James B. Bullard, 2015. "Permazero," Speech 256, Federal Reserve Bank of St. Louis.
      • James Bullard, 2016. "Permazero," Cato Journal, Cato Journal, Cato Institute, vol. 36(2), pages 415-429, Spring/Su.
    28. Edward C. Prescott & Ryan Wessel, 2018. "Money in the Production Function," Staff Report 562, Federal Reserve Bank of Minneapolis.
    29. Leeper, E.M. & Leith, C., 2016. "Understanding Inflation as a Joint Monetary–Fiscal Phenomenon," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2305-2415, Elsevier.
    30. Prescott, Edward C., 2014. "Interest on reserves, policy rules and quantitative easing," Journal of Economic Dynamics and Control, Elsevier, vol. 49(C), pages 109-111.
    31. Kliem, Martin & Kriwoluzky, Alexander & Sarferaz, Samad, 2015. "Monetary-fiscal policy interaction and fiscal inflation: A tale of three countries," Discussion Papers 42/2015, Deutsche Bundesbank.
    32. Huberto Ennis, 2014. "A simple general equilibrium model of large excess reserves," 2014 Meeting Papers 1357, Society for Economic Dynamics.
    33. John H. Cochrane, 2017. "Michelson-Morley, Fisher, and Occam: The Radical Implications of Stable Quiet Inflation at the Zero Bound," NBER Chapters, in: NBER Macroeconomics Annual 2017, volume 32, pages 113-226, National Bureau of Economic Research, Inc.
    34. Michael D. Bordo, 2014. "Exiting from Low Interest Rates to Normality: An Historical Perspective," Economics Working Papers 14110, Hoover Institution, Stanford University.
    35. Hogan, Thomas L., 2021. "Bank lending and interest on excess reserves: An empirical investigation," Journal of Macroeconomics, Elsevier, vol. 69(C).
    36. Mariana Garcia-Schmidt & Michael Woodford, 2015. "Are Low Interest Rates Deflationary? A Paradox of Perfect-Foresight Analysis," Working Papers Series 18, Institute for New Economic Thinking.
    37. Francesco Campigli & Gabriele Tedeschi & Maria Cristina Recchioni, 2021. "The talkative variables of the hybrid Heston model: Yields’ maturity and economic (in)stability," Working Papers 2021/03, Economics Department, Universitat Jaume I, Castellón (Spain).
    38. Diba, Behzad & Loisel, Olivier, 2021. "Pegging the interest rate on bank reserves: A resolution of New Keynesian puzzles and paradoxes," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 230-244.
    39. Sohei Kaihatsu & Koichiro Kamada & Mitsuru Katagiri, 2016. "Theoretical Foundations for Quantitative Easing," IMES Discussion Paper Series 16-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
    40. John B. Taylor, 2018. "Alternatives For Reserve Balances And The Fed's Balance Sheet In The Future," Economics Working Papers 18103, Hoover Institution, Stanford University.
    41. Jeffrey Rogers Hummel, 2017. "The War on Cash: A Review of Kenneth Rogoff's The Curse of Cash," Econ Journal Watch, Econ Journal Watch, vol. 14(2), pages 138–163-1, May.
    42. Gliksberg, Baruch, "undated". "Equilibria Under Monetary and Fiscal Policy Interactions in a Portfolio Choice Model," Working Papers WP2015/1, University of Haifa, Department of Economics.
    43. Dutkowsky, Donald H. & VanHoose, David D., 2017. "Interest on reserves, regime shifts, and bank behavior," Journal of Economics and Business, Elsevier, vol. 91(C), pages 1-15.
    44. Matthew Canzoneri & Robert Cumby & Behzad Diba, 2017. "Should the Federal Reserve Pay Competitive Interest on Reserves?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(4), pages 663-693, June.
    45. Dutkowsky, Donald H. & VanHoose, David D., 2018. "Interest on reserves and Federal Reserve unwinding," Journal of Economics and Business, Elsevier, vol. 97(C), pages 28-38.
    46. Dutkowsky, Donald H. & VanHoose, David D., 2018. "Breaking up isn’t hard to do: Interest on reserves and monetary policy," Journal of Economics and Business, Elsevier, vol. 99(C), pages 15-27.
    47. Bias Peter V. & Hall Joshua D., 2021. "A Test of Neo-Fisherism: 1964–2019," The B.E. Journal of Macroeconomics, De Gruyter, vol. 21(1), pages 221-251, January.
    48. Massimiliano Marzo & Paolo Zagaglia, 2018. "Macroeconomic Stability in a Model with Bond Transaction Services," IJFS, MDPI, vol. 6(1), pages 1-27, February.
    49. Michael Wolgast, 2016. "Das gegenwärtige Niedrigzinsumfeld aus Sicht der Sparkassen," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 85(1), pages 11-29.
    50. Heon Lee, 2021. "Money Creation and Banking: Theory and Evidence," Papers 2109.15096, arXiv.org.
    51. Stephen Matteo Miller & Blake Hoarty, 2021. "On regulation and excess reserves: The case of Basel III," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(2), pages 215-247, June.
    52. Jalal Qanas & Malcom Sawyer, 2019. "Macroeconomics and natural rates: some reflections on Pasinetti’s fair rate of interest," Bulletin of Political Economy, Bulletin of Political Economy, vol. 13(2), pages 189-208, December.
    53. Oxana Afanasyeva & Dmitriy Korovin, 2020. "The impact of reserve requirements of central banks on macroeconomic indicators," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 8(1), pages 413-429, September.
    54. Beck-Friis, Peder & Willems, Tim, 2017. "Dissecting fiscal multipliers under the fiscal theory of the price level," European Economic Review, Elsevier, vol. 95(C), pages 62-83.
    55. Corhay, Alexandre & Kind, Thilo & Kung, Howard & Morales, Gonzalo, 2021. "Discount rates, debt maturity, and the fiscal theory," SAFE Working Paper Series 323, Leibniz Institute for Financial Research SAFE.
    56. George J. Bratsiotis, 2018. "Credit Risk, Excess Reserves and Monetary Policy: The Deposits," Centre for Growth and Business Cycle Research Discussion Paper Series 236, Economics, The University of Manchester.
    57. Shobande Olatunji Abdul & Shodipe Oladimeji Tomiwa, 2019. "New Keynesian Liquidity Trap and Conventional Fiscal Stance: An Estimated DSGE Model," Economics and Business, Sciendo, vol. 33(1), pages 152-169, January.
    58. Ngotran, Duong, 2020. "The e-monetary theory," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 14, pages 1-41.

  11. John H. Cochrane, 2013. "The New-Keynesian Liquidity Trap," NBER Working Papers 19476, National Bureau of Economic Research, Inc.

    Cited by:

    1. Marius Brulhart & Didier Dupertuis & Elodie Moreau, 2016. "Inheritance Flows in Switzerland, 1911-2011," Cahiers de Recherches Economiques du Département d'économie 16.05, Université de Lausanne, Faculté des HEC, Département d’économie.
    2. Jordan Roulleau-Pasdeloup, 2017. "The Government Spending Multiplier in a (Mis-)Managed Liquidity Trap," Cahiers de Recherches Economiques du Département d'économie 17.04, Université de Lausanne, Faculté des HEC, Département d’économie.
    3. Roberto Piazza, 2016. "Self-fulfilling deflations," Temi di discussione (Economic working papers) 1080, Bank of Italy, Economic Research and International Relations Area.
    4. Jordan Roulleau-Pasdeloup & Anastasia Zhutova, 2015. "Labor Market Policies and the "Missing Deflation" Puzzle: Lessons from Hoover Policies during the U.S Great Depression," Cahiers de Recherches Economiques du Département d'économie 15.05, Université de Lausanne, Faculté des HEC, Département d’économie.
    5. Cochrane, John H., 2017. "The new-Keynesian liquidity trap," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 47-63.
    6. S. BoraÄŸan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2012. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," PIER Working Paper Archive 14-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 19 Jun 2014.
    7. Thorsten Drautzburg & Harald Uhlig, 2011. "Fiscal Stimulus and Distortionary Taxation," 2011 Meeting Papers 481, Society for Economic Dynamics.
    8. Dániel Horváth & Róbert Szini, 2015. "The safety trap – the financial market and macroeconomic consequences of the scarcity of safe assets," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 14(1), pages 111-138.
    9. Jeffrey R. Campbell, 2014. "Quantitative Easing in Joseph's Egypt with Keynesian Producers," Working Paper Series WP-2014-15, Federal Reserve Bank of Chicago.
    10. Adiya Belgibayeva & Michal Horvath, 2015. "Optimal Conventional Stabilization Policy in a Liquidity Trap When Wages and Prices are Sticky," Discussion Papers 15/11, Department of Economics, University of York.
    11. Paul Beaudry & Franck Portier, 2018. "Real Keynesian Models and Sticky Prices," 2018 Meeting Papers 61, Society for Economic Dynamics.
    12. Kuvshinov, Dmitry & Müller, Gernot J. & Wolf, Martin, 2016. "Deleveraging, deflation and depreciation in the euro area," European Economic Review, Elsevier, vol. 88(C), pages 42-66.
    13. Chattopadhyay, Siddhartha & Daniel, Betty C., 2014. "The Inflation Target at the Zero Lower Bound," MPRA Paper 66096, University Library of Munich, Germany.
    14. Rendahl, Pontus, 2014. "Fiscal policy in an unemployment crisis," LSE Research Online Documents on Economics 58132, London School of Economics and Political Science, LSE Library.
    15. Goy, Gavin & Hommes, Cars & Mavromatis, Kostas, 2022. "Forward guidance and the role of central bank credibility under heterogeneous beliefs," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 1240-1274.
    16. Thorsten Drautzburg & Harald Uhlig, 2015. "Online Appendix to "Fiscal Stimulus and Distortionary Taxation"," Online Appendices 14-44, Review of Economic Dynamics.
    17. Athanasios Geromichalos & Lucas Herrenbrueck, 2017. "The Liquidity-Augmented Model of Macroeconomic Aggregates," Discussion Papers dp17-16, Department of Economics, Simon Fraser University.
    18. Chattopadhyay, Siddhartha & Daniel, Betty C., 2015. "Taylor-Rule Exit Policies for the Zero Lower Bound," MPRA Paper 66076, University Library of Munich, Germany.
    19. Illing, Gerhard & Siemsen, Thomas, 2014. "Forward Guidance in a Simple Model with a Zero Lower Bound," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100346, Verein für Socialpolitik / German Economic Association.
    20. Dupor, Bill & Li, Rong, 2015. "The expected inflation channel of government spending in the postwar U.S," European Economic Review, Elsevier, vol. 74(C), pages 36-56.
    21. Roberto Piazza, 2015. "Deflation expectations and Japan's lost decade," Questioni di Economia e Finanza (Occasional Papers) 274, Bank of Italy, Economic Research and International Relations Area.
    22. Illing, Gerhard & Siemsen, Thomas, 2015. "Forward Guidance at the Zero Lower Bound in a Model of Price-Level Targeting," Discussion Papers in Economics 22797, University of Munich, Department of Economics.
    23. Fernando M. Duarte & Anna Zabai, 2015. "An interest rate rule to uniquely implement the optimal equilibrium in a liquidity trap," Staff Reports 745, Federal Reserve Bank of New York.

  12. John H. Cochrane, 2013. "Finance: Function Matters, not Size," NBER Working Papers 18944, National Bureau of Economic Research, Inc.

    Cited by:

    1. Tomas Klinger & Petr Teply, 2016. "The Nexus Between Systemic Risk and Sovereign Crises," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(1), pages 50-69, February.
    2. Gunther Capelle-Blancard, 2018. "What is the Point of (the Hundreds of Thousands of Billions of) Stock Transactions?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03029284, HAL.
    3. Nikolai Roussanov & Hongxun Ruan & Yanhao Wei & Stijn Van Nieuwerburgh, 2021. "Marketing Mutual Funds," The Review of Financial Studies, Society for Financial Studies, vol. 34(6), pages 3045-3094.
    4. Jarko Fidrmuc & Philipp Schreiber & Martin Siddiqui, 2015. "The Transmission of Bank Funding to Corporate Loans: Deleveraging in Germany," Open Economies Review, Springer, vol. 26(3), pages 581-597, July.
    5. Eduardo Dávila, 2020. "Optimal Financial Transaction Taxes," NBER Working Papers 27826, National Bureau of Economic Research, Inc.
    6. Wang, Zijun, 2021. "The high volume return premium and economic fundamentals," Journal of Financial Economics, Elsevier, vol. 140(1), pages 325-345.
    7. Pablo Kurlat, 2019. "The Social Value of Financial Expertise," American Economic Review, American Economic Association, vol. 109(2), pages 556-590, February.
    8. Yok-Yong Lee & M. H. Yahya & A. M. Bany-Ariffin & S. Aslam, 2018. "Leverage Effect and Switching of Market Efficiency Post Goods and Services Tax (GST) Imposition," International Business Research, Canadian Center of Science and Education, vol. 11(3), pages 162-178, March.
    9. Agapova, Anna & McNulty, James E., 2016. "Interest rate spreads and banking system efficiency: General considerations with an application to the transition economies of Central and Eastern Europe," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 154-165.
    10. Emmanuel Carré & Guillaume L'Oeillet, 2017. "Une revue de la littérature récente sur le nexus finance-croissance après la crise : apports, limites et pistes de recherche," Post-Print halshs-01683732, HAL.
    11. Allan M. Malz, 2021. "The GameStop Episode: What Happened and What Does It Mean?," Journal of Applied Corporate Finance, Morgan Stanley, vol. 33(4), pages 87-97, December.
    12. Frolov, Daniil, 2019. "From transaction costs to transaction value: Overcoming the Coase-Williamson paradigm," MPRA Paper 95959, University Library of Munich, Germany.
    13. Wolfgang Drobetz & Dirk C. Schilling & Henning Schröder, 2015. "Heterogeneity in the Speed of Capital Structure Adjustment across Countries and over the Business Cycle," European Financial Management, European Financial Management Association, vol. 21(5), pages 936-973, November.
    14. Javidanrad, Farzad, 2021. "Paradox of Monetary Profit, Shortage of Money in Circulation & Financialisation," The Warwick Economics Research Paper Series (TWERPS) 1365, University of Warwick, Department of Economics.
    15. Gunther Capelle-Blancard, 2017. "À quoi servent les (centaines de milliers de milliards de) transactions boursières ?," Revue d'économie financière, Association d'économie financière, vol. 0(3), pages 37-58.
    16. Shakhnov, Kirill, 2014. "The allocation of talent: finance versus entrepreneurship," Economics Working Papers ECO2014/13, European University Institute.
    17. Emmanuel Carré & Guillaume L'Oeillet, 2018. "The Literature on the Finance–Growth Nexus in the Aftermath of the Financial Crisis: A Review," Post-Print halshs-01746069, HAL.
    18. Gomis, Roger. & Khatiwada, Sameer., 2016. "Debt and productivity evidence from firm-level data," ILO Working Papers 994909333402676, International Labour Organization.
    19. Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2022. "Skill, Scale, and Value Creation in the Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 77(1), pages 601-638, February.
    20. Yang Sun, 2021. "Index Fund Entry and Financial Product Market Competition," Management Science, INFORMS, vol. 67(1), pages 500-523, January.
    21. Kei Kawakami, 2014. "Excessive Dynamic Trading: Propagation of Belief Shocks in Small Markets," Department of Economics - Working Papers Series 1188, The University of Melbourne.
    22. Wang, Zijun & Qian, Yan & Wang, Shiwen, 2018. "Dynamic trading volume and stock return relation: Does it hold out of sample?," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 195-210.
    23. Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020. "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, vol. 70(2).
    24. Chordia, Tarun & Miao, Bin, 2020. "Market efficiency in real time: Evidence from low latency activity around earnings announcements," Journal of Accounting and Economics, Elsevier, vol. 70(2).
    25. Jansen, Ivo Ph. & Nikiforov, Andrei L., 2022. "Intertemporal variation in abnormal volume around earnings announcements: “Distraction” or “flocking-and-dispersing”?," Economics Letters, Elsevier, vol. 218(C).
    26. Francesco D'Acunto & Laurent Frésard, 2018. "Finance, Talent Allocation, and Growth," CESifo Working Paper Series 6883, CESifo.
    27. Daniel Fricke & Austin Gerig, 2018. "Too fast or too slow? Determining the optimal speed of financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 18(4), pages 519-532, April.
    28. Aliyev, Nihad & Huseynov, Fariz & Rzayev, Khaladdin, 2022. "Algorithmic trading and investment-to-price sensitivity," LSE Research Online Documents on Economics 118844, London School of Economics and Political Science, LSE Library.

  13. John H. Cochrane, 2013. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," NBER Working Papers 18768, National Bureau of Economic Research, Inc.

    Cited by:

    1. Romain Deguest & Lionel Martellini & Vincent Milhau, 2018. "A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems," Management Science, INFORMS, vol. 64(9), pages 4333-4347, September.
    2. Naomi Pandiangan & Sukono Sukono & Endang Soeryana Hasbullah, 2021. "Quadratic Investment Portfolio Based on Value-at-risk with Risk-Free Assets: For Stocks of the Mining and Energy Sector," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 175-184.
    3. David Landriault & Bin Li & Dongchen Li & Yumin Wang, 2021. "High‐water mark fee structure in variable annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(4), pages 1057-1094, December.
    4. John H Cochrane, 2022. "Portfolios for Long-Term Investors [Rare disasters and asset markets in the twentieth century]," Review of Finance, European Finance Association, vol. 26(1), pages 1-42.
    5. Anastasia Petraki & Anna Zalewska, 2017. "Jumping over a low hurdle: personal pension fund performance," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 153-190, January.
    6. Kassimatis, Konstantinos, 2021. "Mean-variance versus utility maximization revisited: The case of constant relative risk aversion," International Review of Financial Analysis, Elsevier, vol. 78(C).
    7. Cao, Shuo & Crump, Richard K. & ,, 2020. "Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates," CEPR Discussion Papers 15122, C.E.P.R. Discussion Papers.
    8. Min Dai & Hanqing Jin & Steven Kou & Yuhong Xu, 2021. "A Dynamic Mean-Variance Analysis for Log Returns," Management Science, INFORMS, vol. 67(2), pages 1093-1108, February.
    9. Kim Weston & Gordan Zitkovic, 2018. "An incomplete equilibrium with a stochastic annuity," Papers 1809.05947, arXiv.org.
    10. Esben Hedegaard & Robert J. Hodrick, 2014. "Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances," NBER Working Papers 20245, National Bureau of Economic Research, Inc.
    11. Zareei, Abalfazl, 2019. "Network origins of portfolio risk," Journal of Banking & Finance, Elsevier, vol. 109(C).
    12. Knut Anton Mork & Hanna Marisela Eap & Magnus Eskedal Haraldsen, 2020. "Portfolio Choice for a Resource-Based Sovereign Wealth Fund: An Analysis of Cash Flows," IJFS, MDPI, vol. 8(1), pages 1-20, March.
    13. Kraft, Holger & Seiferling, Thomas & Seifried, Frank Thomas, 2016. "Optimal consumption and investment with Epstein-Zin recursive utility," SAFE Working Paper Series 52, Leibniz Institute for Financial Research SAFE, revised 2016.
    14. Kim Weston & Gordan Žitković, 2020. "An incomplete equilibrium with a stochastic annuity," Finance and Stochastics, Springer, vol. 24(2), pages 359-382, April.
    15. Saito Shizuki & Fukui Yoshitaka, 2019. "Whither the Concept of Income?," Accounting, Economics, and Law: A Convivium, De Gruyter, vol. 9(1), pages 1-16, March.
    16. Marko Volker Krause, 2018. "Effects of a capital gains tax on asset pricing," Business Research, Springer;German Academic Association for Business Research, vol. 11(1), pages 115-148, February.
    17. Boubaker, Sabri & Gounopoulos, Dimitrios & Nguyen, Duc Khuong & Paltalidis, Nikos, 2017. "Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 35-52.
    18. P. Zhukov E. & П. Жуков Е., 2018. "Разве стоимость компании действительно зависит от средневзвешенной стоимости капитала и свободного денежного потока? Свидетельства иррациональности в нефтегазовом секторе // Does Enterprise Value Real," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 6(1), pages 17-28.
    19. Simaan, Majeed & Simaan, Yusif & Tang, Yi, 2018. "Estimation error in mean returns and the mean-variance efficient frontier," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 109-124.
    20. Munk, Claus, 2020. "A mean-variance benchmark for household portfolios over the life cycle," Journal of Banking & Finance, Elsevier, vol. 116(C).
    21. Sabri Boubaker & Dimitrios Gounopoulos & Duc Khuong Nguyen & Nikos Paltalidis, 2016. "Assessing the Effects of Unconventional Monetary Policy on Pension Funds Risk Incentives," Working Papers 2016-005, Department of Research, Ipag Business School.
    22. Holger Kraft & Thomas Seiferling & Frank Thomas Seifried, 2017. "Optimal consumption and investment with Epstein–Zin recursive utility," Finance and Stochastics, Springer, vol. 21(1), pages 187-226, January.

  14. John H. Cochrane, 2012. "Continuous-Time Linear Models," NBER Working Papers 18181, National Bureau of Economic Research, Inc.

    Cited by:

    1. Gustavo Fruet Dias & Marcelo Fernandes & Cristina Mabel Scherrer, 2019. "Price discovery in a continuous-time setting," University of East Anglia School of Economics Working Paper Series 2019-02, School of Economics, University of East Anglia, Norwich, UK..

  15. John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.

    Cited by:

    1. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression-based estimation of dynamic asset pricing models," Journal of Financial Economics, Elsevier, vol. 118(2), pages 211-244.
    2. John H. Cochrane, 2014. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," Journal of Finance, American Finance Association, vol. 69(1), pages 1-49, February.
    3. Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2015. "Convective Risk Flows in Commodity Futures Markets," Review of Finance, European Finance Association, vol. 19(5), pages 1733-1781.
    4. Moskowitz, Tobias J & Pedersen, Lasse Heje & Koijen, Ralph & Vrugt, Evert B., 2013. "Carry," CEPR Discussion Papers 9771, C.E.P.R. Discussion Papers.
      • Koijen, Ralph S.J. & Moskowitz, Tobias J. & Pedersen, Lasse Heje & Vrugt, Evert B., 2018. "Carry," Journal of Financial Economics, Elsevier, vol. 127(2), pages 197-225.
      • Ralph S.J. Koijen & Tobias J. Moskowitz & Lasse Heje Pedersen & Evert B. Vrugt, 2013. "Carry," NBER Working Papers 19325, National Bureau of Economic Research, Inc.
    5. Dennis Fixler & Ryan Greenaway-McGrevy, 2012. "Valuation of Near-Market Endogenous Assets," BEA Working Papers 0083, Bureau of Economic Analysis.
    6. Robin Greenwood & Samuel G. Hanson, 2015. "Waves in Ship Prices and Investment," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 130(1), pages 55-109.
    7. Hanson, Samuel G. & Shleifer, Andrei & Stein, Jeremy C. & Vishny, Robert W., 2015. "Banks as patient fixed-income investors," Journal of Financial Economics, Elsevier, vol. 117(3), pages 449-469.
    8. Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
    9. Monika Piazzesi & Martin Schneider, 2016. "Housing and Macroeconomics," NBER Working Papers 22354, National Bureau of Economic Research, Inc.
    10. Cederburg, Scott & O’Doherty, Michael S., 2015. "Asset-pricing anomalies at the firm level," Journal of Econometrics, Elsevier, vol. 186(1), pages 113-128.
    11. Chen, Sichong, 2012. "The predictability of aggregate Japanese stock returns: Implications of dividend yield," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 284-304.
    12. Krainer, Robert E., 2014. "Monetary policy and bank lending in the Euro area: Is there a stock market channel or an interest rate channel?," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 283-298.
    13. David T. Robinson & Berk A. Sensoy, 2011. "Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity," NBER Working Papers 17428, National Bureau of Economic Research, Inc.
    14. John H. Cochrane, 2013. "Finance: Function Matters, Not Size," Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 29-50, Spring.
    15. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "International Tail Risk and World Fear," Hannover Economic Papers (HEP) dp-620, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    16. Holger Breinlich, 2011. "Heterogeneous Firm-Level Responses to Trade Liberalisation: A Test Using Stock Price Reactions," CEP Discussion Papers dp1085, Centre for Economic Performance, LSE.
    17. Hahn, Jaehoon & Yoon, Heebin, 2016. "Determinants of the cross-sectional stock returns in Korea: evaluating recent empirical evidence," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 88-106.
    18. Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George, 2014. "Are there common factors in individual commodity futures returns?," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 346-363.
    19. Yoshio Nozawa, 2014. "What Drives the Cross-Section of Credit Spreads?: A Variance Decomposition Approach," Finance and Economics Discussion Series 2014-62, Board of Governors of the Federal Reserve System (U.S.).
    20. Lu Zhang & Howard Kung & Hang Bai, 2013. ""Shooting" the CAPM," 2013 Meeting Papers 905, Society for Economic Dynamics.
    21. Pierlauro Lopez, 2016. "Welfare Implications of the Term Structure of Returns: Should Central Banks Fill Gaps or Remove Volatility?," 2016 Meeting Papers 742, Society for Economic Dynamics.
    22. Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2015. "Risk Factors, Copula Dependence and Risk Sensitivity of a Large Portfolio," Documents de recherche 15-03, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    23. Huang, Lin & Wang, Zijun, 2014. "Is the investment factor a proxy for time-varying investment opportunities? The US and international evidence," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 219-232.
    24. Ray Ball & Xi Li & Lakshmanan Shivakumar, 2015. "Contractibility and Transparency of Financial Statement Information Prepared Under IFRS: Evidence from Debt Contracts Around IFRS Adoption," Journal of Accounting Research, Wiley Blackwell, vol. 53(5), pages 915-963, December.
    25. Møller, Stig V. & Sander, Magnus, 2017. "Dividends, earnings, and predictability," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 153-163.
    26. Joao Sousa Andrade & Irina Syssoyeva-Masson, 2016. "Investigating the presence of long memory in debt series and its relation with growth," EcoMod2016 9627, EcoMod.
    27. Mao, Mike Qinghao & Wei, K.C. John, 2014. "Price and earnings momentum: An explanation using return decomposition," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 332-351.
    28. Stacey Beaumont & Raluca Ratiu & David Reeb & Glenn Boyle & Philip Brown & Alexander Szimayer & Raymond Silva Rosa & David Hillier & Patrick McColgan & Athanasios Tsekeris & Bryan Howieson & Zoltan Ma, 2016. "Comments on Shan and Walter: ‘Towards a Set of Design Principles for Executive Compensation Contracts’," Abacus, Accounting Foundation, University of Sydney, vol. 52(4), pages 685-771, December.
    29. Shaif Jarallah & Wali Ullah, 2014. "Evolving corporate governance and the dividends behaviour regime in Japan," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 61(3), pages 279-303, September.
    30. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
    31. Simlai, Prodosh E., 2016. "Time-varying risk, mispricing attributes, and the accrual premium," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 150-161.

  16. John H. Cochrane, 2010. "Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic," NBER Working Papers 16087, National Bureau of Economic Research, Inc.

    Cited by:

    1. María del Carmen Ramos-Herrera & Simón Sosvilla-Rivero, 2016. "Public debt and economic growth: An empirical evaluation," Working Papers 16-06, Asociación Española de Economía y Finanzas Internacionales.
    2. Eberhardt, Markus & Presbitero, Andrea F., 2015. "Public debt and growth: Heterogeneity and non-linearity," Journal of International Economics, Elsevier, vol. 97(1), pages 45-58.
    3. Juergen von Hagen, 2010. "The Sustainability of Public Finanaces and Fiscal Policy Coordination in the EMU," CASE Network Studies and Analyses 412, CASE-Center for Social and Economic Research.
    4. Berndt, Antje & Yeltekin, Şevin, 2015. "Monetary policy, bond returns and debt dynamics," Journal of Monetary Economics, Elsevier, vol. 73(C), pages 119-136.
    5. Mr. Waikei R Lam, 2011. "Bank of Japan'S Monetary Easing Measures: Are they Powerful and Comprehensive?," IMF Working Papers 2011/264, International Monetary Fund.
    6. Francesco Bianchi & Cosmin Ilut, 2014. "Monetary/Fiscal Policy Mix and Agents' Beliefs," NBER Working Papers 20194, National Bureau of Economic Research, Inc.
    7. Zhou Ming Matt & Wang Man Cang, 2019. "Predictive Analysis of Fiscal Crises with Deep Learning Time Series Model," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(5), pages 1-21, May.
    8. Algozhina, Aliya, 2022. "Monetary policy rule, exchange rate regime, and fiscal policy cyclicality in a developing oil economy," Energy Economics, Elsevier, vol. 112(C).
    9. Ugo Panizza & Andrea Filippo Presbitero, 2013. "Public Debt and Economic Growth in Advanced Economies: A Survey," Mo.Fi.R. Working Papers 78, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    10. Ippei Fujiwara & Yoshiyuki Nakazono & Kozo Ueda, 2015. "Policy Regime Change Against Chronic Deflation?," Working Papers halshs-01545830, HAL.
    11. Grobéty, Mathieu, 2018. "Government debt and growth: The role of liquidity," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 1-22.
    12. Eric M. Leeper & Todd B. Walker, 2011. "Fiscal Limits in Advanced Economies," Economic Papers, The Economic Society of Australia, vol. 30(1), pages 33-47, March.
    13. Kelbesa Abdisa Megersa, 2015. "The laffer curve and the debt-growth link in low-income Sub-Saharan African economies," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 42(5), pages 878-892, October.
    14. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "On the bi-directional causal relationship between public debt and economic growth in EMU countries," Working Papers 15-06, Asociación Española de Economía y Finanzas Internacionales.
    15. Doojav, Gan-Ochir & Baatarkhuu, Munkhbayar, 2023. "Public debt and growth in Asian developing economies: evidence of non-linearity and geographical heterogeneity," MPRA Paper 120050, University Library of Munich, Germany.
    16. Eric M. Leeper, 2010. "Monetary science, fiscal alchemy," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 361-434.
    17. Roberto Martino & Phu Nguyen-Van, 2014. "Labour market regulation and fiscal parameters: A structural model for European regions," Working Papers of BETA 2014-19, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    18. Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Sovereign-bank linkages: Quantifying directional intensity of risk transfers in EMU countries," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 137-164.
    19. Konzelmann, S., 2012. "The Economics of Austerity," Working Papers wp434, Centre for Business Research, University of Cambridge.
    20. Lorenzo Esposito & Giuseppe Mastromatteo, 2019. "Defaultnomics: Making Sense of the Barro-Ricardo Equivalence in a Financialized World," Economics Working Paper Archive wp_933, Levy Economics Institute.
    21. Fabrizio Zampolli, 2012. "Sovereign debt management as an instrument of monetary policy: an overview," BIS Papers chapters, in: Bank for International Settlements (ed.), Threat of fiscal dominance?, volume 65, pages 97-118, Bank for International Settlements.
    22. Saungweme, Talknice & Odhiambo, Nicholas M., 2020. "The Impact of Domestic and Foreign Public Debt on Economic Growth: Empirical Evidence from Zimbabwe," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 73(1), pages 77-106.
    23. Betty Daniel & Christos Shiamptanis, 2012. "Pushing the Limit? Fiscal Policy in the European Monetary Union," Working Papers 033, Ryerson University, Department of Economics.
    24. Chirwa, Themba G. & Odhiambo, Nicholas M., 2017. "Public debt and economic growth nexus in the Euro area: A dynamic panel ARDL approach," Working Papers 23477, University of South Africa, Department of Economics.
    25. Panizza, Ugo & Fatás, Antonio & Ghosh, Atish R. & ,, 2019. "The Motives to Borrow," CEPR Discussion Papers 13735, C.E.P.R. Discussion Papers.
    26. Chudik, A. & Pesaran, H. & Mohaddes, K., 2018. "Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR," Cambridge Working Papers in Economics 1874, Faculty of Economics, University of Cambridge.
    27. Lorenzo Carbonari & Alessio Farcomeni & Filippo Maurici & Giovanni Trovato, 2023. "On the output effect of fiscal consolidation plans: a causal analysis," Working Paper series 23-18, Rimini Centre for Economic Analysis.
    28. Wickens, Michael R. & Polito, Vito, 2013. "Sovereign credit ratings in the European Union: a model-based fiscal analysis," CEPR Discussion Papers 9665, C.E.P.R. Discussion Papers.
    29. Simón Sosvilla-Rivero & Marta Gómez-Puig, 2016. "“Debt-growth linkages in EMU across countries and time horizons”," IREA Working Papers 201610, University of Barcelona, Research Institute of Applied Economics, revised Apr 2016.
    30. Fukunaga,Ichiro & Komatsuzaki,Takuji & Matsuoka,Hideaki, 2020. "Inflation and Public Debt Reversals in Advanced Economies," Policy Research Working Paper Series 9129, The World Bank.
    31. Lukas Schmid & Andres Schneider & Mikhail Chernov, 2016. "A macrofinance view of US Sovereign CDS premiums," 2016 Meeting Papers 432, Society for Economic Dynamics.
    32. Gliksberg, Baruch, 2013. "Monetary policy and fiscal limits with no-default," European Economic Review, Elsevier, vol. 64(C), pages 285-304.
    33. Luiggi Donayre & Ariuna Taivan, 2017. "Causality between Public Debt and Real Growth in the OECD: A Country-by-country Analysis," Economic Papers, The Economic Society of Australia, vol. 36(2), pages 156-170, June.
    34. J. Boeckx & M. Deroose, 2016. "Monetary and fiscal policies in the euro area : independent but nevertheless connected," Economic Review, National Bank of Belgium, issue ii, pages 7-25, september.
    35. Simone Salotti & Carmine Trecroci, 2012. "Even worse than you thought: The effects of government debt on investment and productivity," EcoMod2012 4200, EcoMod.
    36. FUJIWARA Ippei & NAKAZONO Yoshiyuki & UEDA Kozo, 2014. "Policy Regime Change against Chronic Deflation? Policy option under a long-term liquidity trap," Discussion papers 14019, Research Institute of Economy, Trade and Industry (RIETI).
    37. Jens Hilscher & Alon Raviv & Ricardo Reis, 2022. "Inflating Away the Public Debt? An Empirical Assessment," The Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1553-1595.
    38. Rutayisire, J.Musoni, 2021. "Public debt dynamics and nonlinear effects on economic growth : evidence from Rwanda," MPRA Paper 110931, University Library of Munich, Germany.
    39. Apergis, Nicholas, 2015. "Financial portfolio choice: Do business cycle regimes matter? Panel evidence from international household surveys," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 14-27.
    40. Ritschl, Albrecht, 2012. "Reparations, deficits, and debt default: the Great Depression in Germany," Economic History Working Papers 44335, London School of Economics and Political Science, Department of Economic History.
    41. Nasir, Muhammad Ali, 2021. "Zero Lower Bound and negative interest rates: Choices for monetary policy in the UK," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 200-229.
    42. Yixuan Duan & Min Guo & Yixuan Huang, 2022. "Leverage of Local State-Owned Enterprises, Implicit Contingent Liabilities of Government and Economic Growth," Sustainability, MDPI, vol. 14(6), pages 1-23, March.
    43. Mr. Andrew J Swiston & Ms. Florencia Frantischek & Mr. Przemek Gajdeczka & Alexander Herman, 2014. "Central Bank Financial Strength in Central America and the Dominican Republic," IMF Working Papers 2014/087, International Monetary Fund.
    44. Aliya Algozhina, 2012. "Monetary and Fiscal Policy Interactions in an Emerging Open Economy: A Non-Ricardian DSGE Approach," CERGE-EI Working Papers wp476, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    45. Panizza, Ugo & Presbitero, Andrea F., 2012. "Public debt and economic growth: Is there a causal effect?," POLIS Working Papers 168, Institute of Public Policy and Public Choice - POLIS.
    46. Alexander W. Richter, 2013. "The Fiscal Limit and Non-Ricardian Consumers," Auburn Economics Working Paper Series auwp2013-19, Department of Economics, Auburn University.
    47. Simone Salotti & Carmine Trecroci, 2016. "The Impact of Government Debt, Expenditure and Taxes on Aggregate Investment and Productivity Growth," Economica, London School of Economics and Political Science, vol. 83(330), pages 356-384, April.
    48. Maitra, Biswajit, 2019. "Macroeconomic impact of public debt and foreign aid in Sri Lanka," Journal of Policy Modeling, Elsevier, vol. 41(2), pages 372-394.
    49. Daniel, Betty C. & Shiamptanis, Christos, 2012. "Fiscal risk in a monetary union," European Economic Review, Elsevier, vol. 56(6), pages 1289-1309.
    50. Oguro, Kazumasa & Sato, Motohiro, 2012. "Default Risk on Government Bonds, Deflation, and Inflation," CIS Discussion paper series 537, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
    51. Sergey E. Pekarski, 2015. "Tight Money and the Sustainability of Public Debt," HSE Working papers WP BRP 95/EC/2015, National Research University Higher School of Economics.
    52. Xuan Leng & Pengcheng Li & Yuming Zheng, 2023. "Does the expansion of local government debt affect the export quality?," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 44(4), pages 2495-2515, June.
    53. Cochrane, John H., 2018. "Stepping on a rake: The fiscal theory of monetary policy," European Economic Review, Elsevier, vol. 101(C), pages 354-375.
    54. Anna Sokolova, 2013. "Fiscal Limits and Monetary Policy: Default vs. Inflation," HSE Working papers WP BRP 39/EC/2013, National Research University Higher School of Economics.
    55. Peter Sinclair, 2011. "Deficits, Debts and Defaults - Past, Present and Future," Discussion Papers 11-20, Department of Economics, University of Birmingham.
    56. Howard Kung & Gonzalo Morales & Alexandre Corhay, 2017. "Fiscal Discount Rates and Debt Maturity," 2017 Meeting Papers 840, Society for Economic Dynamics.
    57. Huixin Bi & Eric M. Leeper, 2013. "Analyzing Fiscal Sustainability," Staff Working Papers 13-27, Bank of Canada.
    58. Georgios Magkonis & Anastasia Theofilakou, 2019. "Transmission of sectoral debt shocks in OECD countries: Evidence from the income channel," Working Papers in Economics & Finance 2019-02, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    59. Köppl-Turyna, Monika & Lorenz, Hanno, 2016. "Demand-side economics in times of high debt: The case of the European Union," Working Papers 02, Agenda Austria.
    60. Szilágyi, Katalin & Kiss, Áron, 2014. "Miért más ez a válság, mint a többi?. Az adósságleépítés szerepe a nagy recesszióban [Why is this crisis different?. The role of deleveraging in the great recession]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 949-974.
    61. Wang, Zhaohua & Bui, Quocviet & Zhang, Bin & Nawarathna, Chulan Lasantha K. & Mombeuil, Claudel, 2021. "The nexus between renewable energy consumption and human development in BRICS countries: The moderating role of public debt," Renewable Energy, Elsevier, vol. 165(P1), pages 381-390.
    62. Jürgen von Hagen, 2011. "The Sustainability of Public Finances in the EMU," ifo DICE Report, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 9(03), pages 03-09, October.
    63. De Graeve, Ferre & Queijo von Heideken, Virginia, 2013. "Identifying Fiscal Inflation," Working Paper Series 273, Sveriges Riksbank (Central Bank of Sweden).
    64. Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2015. "Sovereigns and banks in the euro area: A tale of two crises," Working Papers 15-01, Asociación Española de Economía y Finanzas Internacionales.
    65. Kumhof, Michael, 2018. "On the theory of international currency portfolios," European Economic Review, Elsevier, vol. 101(C), pages 376-396.
    66. Abderrahim Chibi & Sidi Mohamed Chekouri & Mohamed Benbouziane, 2015. "Assessing Fiscal Sustainability in Algeria: a Nonlinear Approach," Working Papers 962, Economic Research Forum, revised Oct 2015.
    67. Sokolova, A., 2014. "Sovereign Risk and Monetary Policy," Journal of the New Economic Association, New Economic Association, vol. 21(1), pages 56-82.
    68. Lim, Jamus Jerome, 2019. "Growth in the shadow of debt," Journal of Banking & Finance, Elsevier, vol. 103(C), pages 98-112.
    69. María del Carmen Ramos-Herrera & Simón Sosvilla-Rivero, 2017. "An empirical characterization of the effects of public debt on economic growth," Applied Economics, Taylor & Francis Journals, vol. 49(35), pages 3495-3508, July.
    70. Christos Shiamptanis, 2012. "Risk Assessment Under a Non-linear Fiscal Rule," Working Papers 038, Ryerson University, Department of Economics.
    71. Mr. Bernardin Akitoby & Mr. Takuji Komatsuzaki & Mr. Ariel J Binder, 2014. "Inflation and Public Debt Reversals in the G7 Countries," IMF Working Papers 2014/096, International Monetary Fund.
    72. Helder Ferreira de Mendonça & Ytallo Brito, 2021. "The link between public debt and investment: an empirical assessment from emerging markets," Applied Economics, Taylor & Francis Journals, vol. 53(50), pages 5864-5876, October.
    73. Takeda Tatsuya, 2015. "A Fiscal Perspective on the Sustainability of Japanese Government Debt," GRIPS Discussion Papers 15-02, National Graduate Institute for Policy Studies.
    74. Projektgruppe Gemeinschaftsdiagnose, 2011. "Joint Economic Forecast – Autumn 2011: Economic Upswing in Germany – Adverse Effects on the German Economy from the European Debt Crisis," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 64(20), pages 03-71, October.
    75. Kaiji Chen & Ayşe İmrohoroğlu, 2017. "Debt in the US economy," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(4), pages 675-706, December.
    76. Yang, Lixiong & Su, Jen-Je, 2018. "Debt and growth: Is there a constant tipping point?," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 133-143.
    77. Abderrahim Chibi & Sidi Mohamed Chekouri & Mohamed Benbouziane, 2019. "Debt sustainability, structural breaks and nonlinear fiscal adjustment: empirical evidence from Algeria," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 66(4), pages 369-397, December.
    78. Ahlborn, Markus & Schweickert, Rainer, 2018. "Public Debt and Economic Growth – Economic Systems Matter," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 15(2), pages 373-403.
    79. James D. Proctor, 2016. "Replacing nature in environmental studies and sciences," Journal of Environmental Studies and Sciences, Springer;Association of Environmental Studies and Sciences, vol. 6(4), pages 748-752, December.
    80. De Vita, Glauco & Trachanas, Emmanouil & Luo, Yun, 2018. "Revisiting the bi-directional causality between debt and growth: Evidence from linear and nonlinear tests," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 55-74.
    81. Mr. Markus Eberhardt & Mr. Andrea F Presbitero, 2013. "This Time They Are Different: Heterogeneity and Nonlinearity in the Relationship Between Debt and Growth," IMF Working Papers 2013/248, International Monetary Fund.
    82. Leeper, E.M. & Leith, C., 2016. "Understanding Inflation as a Joint Monetary–Fiscal Phenomenon," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2305-2415, Elsevier.
    83. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2017. "Heterogeneity in the debt-growth nexus: Evidence from EMU countries," IREA Working Papers 201706, University of Barcelona, Research Institute of Applied Economics, revised Mar 2017.
    84. Heise, Arne, 2018. "Reclaiming the university: Transforming economics as a discipline," ZÖSS-Discussion Papers 67, University of Hamburg, Centre for Economic and Sociological Studies (CESS/ZÖSS).
    85. Antonakakis, Nikolaos, 2014. "Sovereign Debt and Economic Growth Revisited: The Role of (Non-)Sustainable Debt Thresholds," Department of Economics Working Paper Series 187, WU Vienna University of Economics and Business.
    86. Mr. Nicolas End & Mr. Sampawende J Tapsoba & Mr. G. Terrier & Renaud Duplay, 2015. "Deflation and Public Finances: Evidence from the Historical Records," IMF Working Papers 2015/176, International Monetary Fund.
    87. Apergis, Nicholas & Eleftheriou, Sofia, 2016. "Gold returns: Do business cycle asymmetries matter? Evidence from an international country sample," Economic Modelling, Elsevier, vol. 57(C), pages 164-170.
    88. Francesco Bianchi & Leonardo Melosi, 2013. "Dormant Shocks and Fiscal Virtue," Working Papers 13-12, Duke University, Department of Economics.
    89. Ergin Akalpler, 2023. "Triggering economic growth to ensure financial stability: case study of Northern Cyprus," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-40, December.
    90. Christos Shiamptanis, 2015. "Risk Assessment Under A Nonlinear Fiscal Policy Rule," Economic Inquiry, Western Economic Association International, vol. 53(3), pages 1539-1555, July.
    91. Afonso, António & Jalles, João Tovar, 2019. "The Fiscal consequences of deflation: Evidence from the Golden Age of Globalization," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 129-147.
    92. Zhu, Jun & Xu, Haokun & Zhang, Yue, 2022. "Local government debt and firm productivity: Evidence from China," Research in International Business and Finance, Elsevier, vol. 63(C).
    93. Hideki Konishi & Kozo Ueda, 2013. "Aging and Deflation from a Fiscal Perspective," IMES Discussion Paper Series 13-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
    94. M. P. Afanas’ev & N. N. Shash, 2021. "From Surplus to Deficit Fiscal Policy," Studies on Russian Economic Development, Springer, vol. 32(5), pages 476-484, September.
    95. Piergallini, Alessandro & Rodano, Giorgio, 2009. "Public Debt, Distortionary Taxation, and Monetary Policy," MPRA Paper 15348, University Library of Munich, Germany.
    96. Cochrane, John H., 2014. "Monetary policy with interest on reserves," Journal of Economic Dynamics and Control, Elsevier, vol. 49(C), pages 74-108.
    97. Jae Young Jang & Erdal Atukeren, 2019. "Sustainable Local Currency Debt: An Analysis of Foreigners’ Korea Treasury Bonds Investments Using a LA-VARX Model," Sustainability, MDPI, vol. 11(13), pages 1-23, June.
    98. John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
    99. Chen, Wen & Zhu, Yufeng & He, Zehui & Yang, Yang, 2022. "The effect of local government debt on green innovation: Evidence from Chinese listed companies," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    100. Mstislav Afanasyev & Nataliya Shash, 2016. "Microeconomic Effects Of Growing Public Debt On The Russian Economy," Public administration issues, Higher School of Economics, issue 5, pages 46-59.
    101. Shahrzad Ghourchian & Hakan Yilmazkuday, 2020. "Government Consumption, Government Debt and Economic Growth," Working Papers 2003, Florida International University, Department of Economics.
    102. Yutaka KURIHARA, 2015. "Debt and Economic Growth: The Case of Japan," Journal of Economics Library, KSP Journals, vol. 2(2), pages 45-52, June.
    103. Uhlig, Harald & Fratto, Chiara, 2014. "Accounting for Post-Crisis Inflation and Employment: A Retro Analysis," CEPR Discussion Papers 10306, C.E.P.R. Discussion Papers.
    104. Mario Coccia, 2018. "National debts and government deficits within European Monetary Union: Statistical evidence of economic issues," Papers 1806.07830, arXiv.org.
    105. Luigi Mittone & Matteo Tomaselli, 2019. "Economic Growth and Public Debt: An Experimental Approach in Search of a Confidence Channel," DEM Working Papers 2019/18, Department of Economics and Management.
    106. Davig, Troy & Leeper, Eric M. & Walker, Todd B., 2011. "Inflation and the fiscal limit," European Economic Review, Elsevier, vol. 55(1), pages 31-47, January.
    107. Nhat Thien Tran, 2021. "The role of public debt on economic growth with capital loss," Australian Economic Papers, Wiley Blackwell, vol. 60(2), pages 308-327, June.
    108. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2017. "Public debt and economic growth: Further evidence euro area," IREA Working Papers 201715, University of Barcelona, Research Institute of Applied Economics, revised Sep 2017.
    109. Zheng, Suwen & Ye, Chunhui, 2021. "Positive Effect of Village Debt on Land Transfer: Evidence from County-level Panel Data of Village Finance in Zhejiang Province," 2021 Conference, August 17-31, 2021, Virtual 315412, International Association of Agricultural Economists.
    110. Alexander Chudik & Kamiar Mohaddes & M. Hashem Pesaran & Mehdi Raissi, 2013. "Debt, Inflation and Growth - Robust Estimation of Long-Run Effects in Dynamic Panel Data Models," CESifo Working Paper Series 4508, CESifo.
    111. Bi, Huixin, 2012. "Sovereign default risk premia, fiscal limits, and fiscal policy," European Economic Review, Elsevier, vol. 56(3), pages 389-410.
    112. Kolev, Gueorgui I. & Karapandza, Rasa, 2017. "Out-of-sample equity premium predictability and sample split–invariant inference," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 188-201.
    113. Laurence Seidman, 2011. "Keynesian Fiscal Stimulus: What Have We Learned from the Great Recession?," Working Papers 11-11, University of Delaware, Department of Economics.
    114. A. Affuso & V. Bravi, 2014. "La spesa pubblica in Italia prima e dopo la crisi," Economics Department Working Papers 2014-EP01, Department of Economics, Parma University (Italy).
    115. Nicola Limodio, 2015. "The Development Impact of Financial Regulation: Evidence from Ethiopia and Antebellum USA," 2015 Meeting Papers 355, Society for Economic Dynamics.
    116. Abderrahim Chibi & Sidi Mohamed Chekouri & Mohamed Benbouziane, 2019. "The dynamics of fiscal policy in Algeria: sustainability and structural change," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 8(1), pages 1-27, December.
    117. Kazumasa Oguro & Motohiro Sato, 2014. "Public debt accumulation and fiscal consolidation," Applied Economics, Taylor & Francis Journals, vol. 46(7), pages 663-673, March.
    118. Wang Man Cang & Zhou Ming Matt, 2017. "Will Rising Debt in China Lead to a Hard Landing?," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(9), pages 60-69, September.
    119. Bernardin Akitoby & Ariel Binder & Takuji Komatsuzaki, 2017. "Inflation and Public Debt Reversals in the G7 Countries," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(7), pages 5-27, May.
    120. Cutsinger, Bryan P. & Rouanet, Louis & Ingber, Joshua S., 2023. "Assignats or death: The politics and dynamics of hyperinflation in revolutionary France," European Economic Review, Elsevier, vol. 157(C).
    121. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "“Short-run and long-run effects of public debt on economic performance: Evidence from EMU countries”," IREA Working Papers 201522, University of Barcelona, Research Institute of Applied Economics, revised Sep 2015.
    122. Wang, Ling, 2018. "Monetary-fiscal policy interactions under asset purchase programs: Some comparative evidence," Economic Modelling, Elsevier, vol. 73(C), pages 208-221.
    123. Chiara Fratto & Harald Uhlig, 2019. "Online Appendix to "Accounting for Post-Crisis Inflation: A Retro Analysis"," Online Appendices 18-217, Review of Economic Dynamics.
    124. Pratibha Saini & Krishna Muniyoor, 2021. "Revisiting The Debt–Growth Nexus: Evidence From India," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 66(231), pages 151-172, October –.
    125. Gonzalez-Astudillo, Manuel, 2011. "Policy Rule Coefficients Driven by Latent Factors: Monetary and Fiscal Policy Interactions in an Endowment Economy," MPRA Paper 29976, University Library of Munich, Germany.
    126. Suvra Prokash Mondal & Biswajit Maitra, 2021. "Assessing Growth Impact of Public Debt in Sri Lanka," Arthaniti: Journal of Economic Theory and Practice, , vol. 20(2), pages 201-226, December.
    127. Puonti, Päivi, 2022. "Public Debt and Economic Growth," ETLA Reports 127, The Research Institute of the Finnish Economy.
    128. Simone Salotti & Carmine Trecroci, 2012. "Even Worse than You thought: The Impact of Public Debt on Aggregate Investment and Productivity," DEGIT Conference Papers c017_020, DEGIT, Dynamics, Economic Growth, and International Trade.
    129. Polito, Vito & Wickens, Mike, 2014. "Modelling the U.S. sovereign credit rating," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 202-218.
    130. Giovanni Cicceri & Giuseppe Inserra & Michele Limosani, 2020. "A Machine Learning Approach to Forecast Economic Recessions—An Italian Case Study," Mathematics, MDPI, vol. 8(2), pages 1-20, February.
    131. Ferre De Graeve & Konstantinos Theodoridis, 2016. "Forward Guidance, Quantitative Easing, or both?," Working Paper Research 305, National Bank of Belgium.
    132. Frederic S. Mishkin, 2011. "Monetary Policy Strategy: Lessons from the Crisis," NBER Working Papers 16755, National Bureau of Economic Research, Inc.
    133. Attahir Babaji Abubakar, 2020. "Does fiscal tightening (loosening) reduce public debt?," African Development Review, African Development Bank, vol. 32(4), pages 528-539, December.
    134. Attard, Juergen, 2019. "Public Debt and Economic Growth nexus: A Dynamic Panel ARDL approach," MPRA Paper 96023, University Library of Munich, Germany.
    135. Limodio,Nicola & Strobbe,Francesco, 2016. "Financial regulation and government revenue : the effects of a policy change in Ethiopia," Policy Research Working Paper Series 7733, The World Bank.
    136. Piero Ferri & Fabio Tramontana, 2018. "Debt Persistence in a Deflationary Environment: A Regime-Switching Model," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 421-442, August.
    137. Phu Nguyen-Van & Florian Grosset & Roberto Martino, 2015. "Critères de convergence, déréglementation du marché du travail et performance économique des régions européennes," Bulletin de l'Observatoire des politiques économiques en Europe, Observatoire des Politiques Économiques en Europe (OPEE), vol. 33(1), pages 3-6, December.
    138. Linas Jurkšas & Francisco Gomes Pereira, 2023. "Do the projected fiscal deficits play a role in ECB monetary policymaking?," Working Papers REM 2023/0258, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    139. Baussola, Maurizio & Carvelli, Gianni, 2023. "Public and private investments: Long-run asymmetric effects in France and the US," Finance Research Letters, Elsevier, vol. 58(PA).
    140. Rubo Zhao & Yixiang Tian & Ao Lei & Francis Boadu & Ze Ren, 2019. "The Effect of Local Government Debt on Regional Economic Growth in China: A Nonlinear Relationship Approach," Sustainability, MDPI, vol. 11(11), pages 1-22, May.
    141. Staffa, Ruben, 2022. "The effects of sovereign risk: A high frequency identification based on news ticker data," IWH Discussion Papers 8/2022, Halle Institute for Economic Research (IWH).
    142. João Veríssimo LISBOA & Mário Gomes AUGUSTO & Juan PIÑEIRO-CHOUSA, 2015. "A Combined Approach To Access Short Term Changes In Economic Activity Of Portugal And Spain," Revista Galega de Economía, University of Santiago de Compostela. Faculty of Economics and Business., vol. 24(2), pages 99-110.
    143. Beck-Friis, Peder & Willems, Tim, 2017. "Dissecting fiscal multipliers under the fiscal theory of the price level," European Economic Review, Elsevier, vol. 95(C), pages 62-83.
    144. Ibrahim Muhammad Muye & Rayyan Abdulkareem Kaita & Ahmad Fahmi Sheikh Hassan, 2017. "Debt and Economic Growth in an Oil Rich Economy: Evidence from Saudi Arabia," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 70-75.
    145. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2015. "The causal relationship between debt and growth in EMU countries," Journal of Policy Modeling, Elsevier, vol. 37(6), pages 974-989.

  17. Monika Piazzesi & John Cochrane, 2009. "Decomposing the Yield Curve," 2009 Meeting Papers 18, Society for Economic Dynamics.

    Cited by:

    1. Dewachter, Hans & Iania, Leonardo, 2012. "An Extended Macro-Finance Model with Financial Factors," LIDAM Reprints LFIN 2012001, Université catholique de Louvain, Louvain Finance (LFIN).
    2. Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis.
    3. Anella Munro, 2014. "Exchange rates, expected returns and risk: UIP unbound," CAMA Working Papers 2014-73, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    4. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," MPRA Paper 63844, University Library of Munich, Germany.
    5. Rui Liu, 2019. "Forecasting Bond Risk Premia with Unspanned Macroeconomic Information," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-62, March.
    6. Yan Liu & Jing Cynthia Wu, 2020. "Reconstructing the Yield Curve," NBER Working Papers 27266, National Bureau of Economic Research, Inc.
    7. Atsushi Inoue & Barbara Rossi, 2018. "The effects of conventional and unconventional monetary policy on exchange rates," Economics Working Papers 1639, Department of Economics and Business, Universitat Pompeu Fabra.
    8. Somvang PHIMMAVONG & Ian FERGUSON & Barbara OZARSKA, 2010. "Economy-Wide Impact of Forest Plantation Development in Laos Using a Dynamic General Equilibrium Approach," EcoMod2010 259600131, EcoMod.
    9. Karahan, Cenk C. & Soykök, Emre, 2022. "Term premium dynamics in an emerging market: Risk, liquidity, and behavioral factors," International Review of Financial Analysis, Elsevier, vol. 84(C).
    10. Joseph P. Byrne & Shuo Cao & Dimitris Korobilis, 2015. "Co-Movement, Spillovers and Excess Returns in Global Bond Markets?," Working Papers 2015_12, Business School - Economics, University of Glasgow.
    11. Hamilton, James D. & Wu, Jing Cynthia, 2014. "Testable implications of affine term structure models," Journal of Econometrics, Elsevier, vol. 178(P2), pages 231-242.
    12. Sihvonen, Markus, 2021. "Yield curve momentum," Bank of Finland Research Discussion Papers 15/2021, Bank of Finland.
    13. Mirkov, Nikola & Sutter, Barbara, 2012. "Central Bank Reserves and the Yield Curve at the ZLB," Working Papers on Finance 1208, University of St. Gallen, School of Finance.
    14. Garay, Urbi & González, Maximiliano & Rosso, John, 2019. "Country and industry effects in corporate bond spreads in emerging markets," Journal of Business Research, Elsevier, vol. 102(C), pages 191-200.
    15. Markus Pelger & Ruoxuan Xiong, 2018. "State-Varying Factor Models of Large Dimensions," Papers 1807.02248, arXiv.org, revised Oct 2020.
    16. Ferdinand Dreher & Johannes Gräb & Thomas Kostka, 2020. "From carry trades to curvy trades," The World Economy, Wiley Blackwell, vol. 43(3), pages 758-780, March.
    17. Hamilton, James D. & Wu, Jing Cynthia, 2012. "Identification and estimation of Gaussian affine term structure models," Journal of Econometrics, Elsevier, vol. 168(2), pages 315-331.
    18. Hamilton, James D. & Wu, Jing Cynthia, 2014. "Risk premia in crude oil futures prices," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 9-37.
    19. Stefano Giglio & Bryan Kelly, 2018. "Excess Volatility: Beyond Discount Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 133(1), pages 71-127.
    20. Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur & Yiangou, Jonathan, 2019. "A tale of two decades: the ECB’s monetary policy at 20," Working Paper Series 2346, European Central Bank.
    21. Nikolaos Karouzakis, 2021. "The role of time‐varying risk premia in international interbank markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5720-5745, October.
    22. Anne Balter & Antoon Pelsser & Peter Schotman, 2013. "Extrapolating the term structure of interest rates with parameter uncertainty," Papers 1312.5073, arXiv.org.
    23. Seungho Baek & Jeong Wan Lee & Kyong Joo Oh & Myoungji Lee, 2020. "Yield curve risks in currency carry forwards," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 651-670, April.
    24. Frank J. Fabozzi & Francesco A. Fabozzi & Diana Tunaru, 2023. "A comparison of multi-factor term structure models for interbank rates," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 323-356, July.
    25. Timmermann, Allan & Burjack, Rafael & Qu, Ritong, 2019. "Fluctuations in Economic Uncertainty and Transmission of Monetary Policy Shocks: Evidence Using Daily Surveys from Brazil," CEPR Discussion Papers 14097, C.E.P.R. Discussion Papers.

  18. John H. Cochrane, 2009. "Can Learnability Save New-Keynesian Models?," NBER Working Papers 15459, National Bureau of Economic Research, Inc.

    Cited by:

    1. Jean Barthélemy & Eric Mengus, 2017. "Credibility and Monetary Policy," Working Papers hal-03457527, HAL.
    2. Marco Airaudo & Salvatore Nisticò & Luis-Felipe Zanna, 2014. "Learning, Monetary Policy and Asset Prices," Working Papers 4/14, Sapienza University of Rome, DISS.
    3. Roberto Piazza, 2016. "Self-fulfilling deflations," Temi di discussione (Economic working papers) 1080, Bank of Italy, Economic Research and International Relations Area.
    4. Minford, Patrick & Srinivasan, Naveen, 2011. "Ruling out unstable equilibria in New Keynesian models," Economics Letters, Elsevier, vol. 112(3), pages 247-249, September.
    5. Barrdear, John, 2015. "Towards a new Keynesian theory of the price level," LSE Research Online Documents on Economics 86315, London School of Economics and Political Science, LSE Library.
    6. Minford, Patrick & Srinivasan, Naveen, 2012. "Can the learnability criterion ensure determinacy in New Keynesian Models?," CEPR Discussion Papers 9039, C.E.P.R. Discussion Papers.
    7. Evans, George W & McGough, Bruce, 2018. "Equilibrium selection, observability and backward-stable solutions," Journal of Monetary Economics, Elsevier, vol. 98(C), pages 1-10.
    8. Pei Kuang, 2014. "Learning Dynamics with Data (Quasi-) Differencing," Discussion Papers 15-06, Department of Economics, University of Birmingham.
    9. Norman, Thomas W.L., 2020. "Market selection with an endogenous state," Journal of Mathematical Economics, Elsevier, vol. 91(C), pages 51-59.
    10. Bennett T. McCallum, 2012. "A Continuity Refinement for Rational Expectations Solutions," NBER Working Papers 18323, National Bureau of Economic Research, Inc.
    11. Gasteiger, Emanuel, 2014. "Heterogeneous Expectations, Optimal Monetary Policy, and the Merit of Policy Inertia," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100555, Verein für Socialpolitik / German Economic Association.
    12. Assenza, T. & Heemeijer, P. & Hommes, C.H. & Massaro, D., 2021. "Managing self-organization of expectations through monetary policy: A macro experiment," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 170-186.
    13. Jean Barthélemy & Eric Mengus, 2018. "Monetary Rules, Determinacy and Limited Enforcement," Working papers 700, Banque de France.
    14. Norman, Thomas W.L., 2015. "Learning, hypothesis testing, and rational-expectations equilibrium," Games and Economic Behavior, Elsevier, vol. 90(C), pages 93-105.
    15. Franz Seitz & Markus A. Schmidt, 2014. "Money In Modern Macro Models: A Review of the Arguments," Journal of Reviews on Global Economics, Lifescience Global, vol. 3, pages 156-174.
    16. Airaudo, Marco, 2013. "Monetary policy and stock price dynamics with limited asset market participation," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 1-22.
    17. Suneetha M. S., 2014. "Perspectives on Valuation of Biodiversity," Working Papers 2014-088, Madras School of Economics,Chennai,India.
    18. Balfoussia, Hiona & Brissimis, Sophocles & Delis, Manthos D, 2011. "The theoretical framework of monetary policy revisited," MPRA Paper 32236, University Library of Munich, Germany.
    19. John H. Cochrane, 2017. "Michelson-Morley, Fisher, and Occam: The Radical Implications of Stable Quiet Inflation at the Zero Bound," NBER Chapters, in: NBER Macroeconomics Annual 2017, volume 32, pages 113-226, National Bureau of Economic Research, Inc.
    20. McCallum, Bennett T., 2015. "Nominal GDP targeting: Policy rule or discretionary splurge?," Journal of Financial Stability, Elsevier, vol. 17(C), pages 76-80.
    21. Tom Holden, 2012. "Learning from learners," School of Economics Discussion Papers 1512, School of Economics, University of Surrey.
    22. Lawrence J. Christiano & Mathias Trabandt & Karl Walentin, 2010. "DSGE models for monetary policy analysis," FRB Atlanta CQER Working Paper 2010-02, Federal Reserve Bank of Atlanta.
    23. Mauersberger, Felix, 2021. "Monetary policy rules in a non-rational world: A macroeconomic experiment," Journal of Economic Theory, Elsevier, vol. 197(C).
    24. Barnett, William A. & Eryilmaz, Unal, 2022. "Monetary Policy and Determinacy: An Inquiry in Open Economy New Keynesian Framework," MPRA Paper 111567, University Library of Munich, Germany.
    25. Kitney, Paul, 2018. "Financial factors and monetary policy: Determinacy and learnability of equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 194-207.
    26. William A. Barnett & Unal Eryilmaz, 2023. "Monetary Policy and Determinacy: An Inquiry into Open Economy New Keynesian Macrodynamics," Open Economies Review, Springer, vol. 34(2), pages 217-253, April.
    27. Bias Peter V. & Hall Joshua D., 2021. "A Test of Neo-Fisherism: 1964–2019," The B.E. Journal of Macroeconomics, De Gruyter, vol. 21(1), pages 221-251, January.
    28. Jan Filacek & Ivan Sutoris, 2019. "Inflation Targeting Flexibility: The CNB's Reaction Function under Scrutiny," Research and Policy Notes 2019/02, Czech National Bank.
    29. Shesadri Banerjee, 2013. "Inflation Volatility and Activism of Monetary Policy," CEGAP Working Papers 2013_06, Durham University Business School.
    30. Review, Blind, 2023. "The Cambridge capital controversies (CCC) as market and firm structure controversies: modern neoclassical interpretation," OSF Preprints xequg, Center for Open Science.

  19. John H. Cochrane, 2007. "Determinacy and Identification with Taylor Rules," NBER Working Papers 13409, National Bureau of Economic Research, Inc.

    Cited by:

    1. Piergallini, Alessandro, 2020. "Is Fiscal Austerity Really Self-Defeating?," MPRA Paper 112071, University Library of Munich, Germany.
    2. Reis, Ricardo, 2018. "Central banks going long," LSE Research Online Documents on Economics 87618, London School of Economics and Political Science, LSE Library.
    3. Arai, Natsuki, 2023. "The FOMC’s new individual economic projections and macroeconomic theories," Journal of Banking & Finance, Elsevier, vol. 151(C).
    4. Morris, Stephen D., 2020. "Is the Taylor principle still valid when rates are low?," Journal of Macroeconomics, Elsevier, vol. 64(C).
    5. Luís Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares, 2018. "Estimating the Taylor Rule in the Time-Frequency Domain," NIPE Working Papers 04/2018, NIPE - Universidade do Minho.
    6. Nobay, A. Robert & Paya, Ivan & Peel, David A., 2007. "Inflation dynamics in the US - a nonlinear perspective," LSE Research Online Documents on Economics 24499, London School of Economics and Political Science, LSE Library.
    7. Dietmar Fehr & Frank Heinemann & Aniol Llorente-Saguer, 2013. "The power of sunspots: an experimental analysis," Working Papers 13-2, Federal Reserve Bank of Boston.
    8. Wai Ching Poon & Yong Shen Lee, 2014. "Inflation Targeting in ASEAN-10," South African Journal of Economics, Economic Society of South Africa, vol. 82(1), pages 141-157, March.
    9. Minford, Patrick & Srinivasan, Naveen, 2010. "Determinacy in New Keynesian Models: a role for money after all?," CEPR Discussion Papers 7960, C.E.P.R. Discussion Papers.
    10. Khalaf, Lynda & Lin, Zhenjiang, 2021. "Projection-based inference with particle swarm optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
    11. Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2023. "Perceptions about Monetary Policy," Working Paper Series 2023-31, Federal Reserve Bank of San Francisco.
    12. Rousakis, Michael, 2012. "Expectations and Fluctuations: The Role of Monetary Policy," Economic Research Papers 270655, University of Warwick - Department of Economics.
    13. Bernard Dumas & Marcel R. Savioz, 2020. "A theory of the nominal character of stock securities," Working Papers 2020-03, Swiss National Bank.
    14. Jean-Bernard Chatelain & Kirsten Ralf, 2019. "Publish and Perish: Creative Destruction and Macroeconomic Theory," PSE Working Papers halshs-01720655, HAL.
    15. Hack, Lukas & Istrefi, Klodiana & Meier, Matthias, 2023. "Identification of systematic monetary policy," Working Paper Series 2851, European Central Bank.
    16. Gaballo, Gaetano & Mengus, Eric, 2023. "Myopic fiscal objectives and long-Run monetary efficiency," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 1-17.
    17. Taylor, John, 2018. "Taylor Rules and Forward Guidance: A Rule is not a Path," CEPR Discussion Papers 13383, C.E.P.R. Discussion Papers.
    18. John H. Cochrane, 2011. "Determinacy and Identification with Taylor Rules," Journal of Political Economy, University of Chicago Press, vol. 119(3), pages 565-615.
    19. Philipp König & Dmitry Chervyakov, 2017. "The Natural Rate of Interest I: Theory," DIW Roundup: Politik im Fokus 108, DIW Berlin, German Institute for Economic Research.
    20. Marco Airaudo & Salvatore Nisticò & Luis-Felipe Zanna, 2014. "Learning, Monetary Policy and Asset Prices," Working Papers 4/14, Sapienza University of Rome, DISS.
    21. Dongho Song, 2017. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," The Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2761-2817.
    22. Corsetti, G. & Mavroeidi, E. & Thwaites, G. & Wolf, M., 2016. "Step away from the zero lower bound: Small open economies in a world of secular stagnation," Cambridge Working Papers in Economics 1645, Faculty of Economics, University of Cambridge.
    23. Pablo Cuba-Borda & Sanjay R. Singh, 2022. "Understanding Persistent ZLB: Theory and Assessment," Working Papers 346, University of California, Davis, Department of Economics.
    24. Jean-Bernard Chatelain & Kirsten Ralf, 2014. "Stability and Identification with Optimal Macroprudential Policy Rules," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00978145, HAL.
    25. Stephen Morris, 2014. "The Statistical Implications of Common Identifying Restrictions for DSGE Models," 2014 Meeting Papers 738, Society for Economic Dynamics.
    26. Roberto Piazza, 2016. "Self-fulfilling deflations," Temi di discussione (Economic working papers) 1080, Bank of Italy, Economic Research and International Relations Area.
    27. Ayse Kabukcuoglu & Enrique Martínez-García, 2016. "What Helps Forecast U.S. Inflation?—Mind the Gap!," Koç University-TUSIAD Economic Research Forum Working Papers 1615, Koc University-TUSIAD Economic Research Forum.
    28. Jean Barthélemy & Magali Marx, 2016. "Solving Endogenous Regime Switching Models," Working Papers hal-03393181, HAL.
    29. Andrzej Kocięcki & Marcin Kolasa, 2022. "A solution to the global identification problem in DSGE models," Working Papers 2022-01, Faculty of Economic Sciences, University of Warsaw.
    30. Minford, Patrick & Srinivasan, Naveen, 2011. "Ruling out unstable equilibria in New Keynesian models," Economics Letters, Elsevier, vol. 112(3), pages 247-249, September.
    31. William Barnett & Giovanni Bella & Taniya Ghosh & Paolo Mattana & Beatrice Venturi, 2020. "Shilnikov Chaos, Low Interest Rates, and New Keynesian Macroeconomics," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202001, University of Kansas, Department of Economics, revised Jan 2020.
    32. Bing Tong & Guang Yang, 2020. "A Fixed-Interest-Rate New Keynesian Model of China," CFDS Discussion Paper Series 2020/1, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
    33. Marco Del Negro & Christopher A. Sims, 2014. "When does a central bank’s balance sheet require fiscal support?," Staff Reports 701, Federal Reserve Bank of New York.
    34. Tom D. Holden, 2023. "Existence and Uniqueness of Solutions to Dynamic Models with Occasionally Binding Constraints," The Review of Economics and Statistics, MIT Press, vol. 105(6), pages 1481-1499, November.
    35. Chatelain, Jean-Bernard & Ralf, Kirsten, 2017. "Can we Identify the Fed's Preferences?," MPRA Paper 76831, University Library of Munich, Germany.
    36. Cochrane, John H., 2017. "The new-Keynesian liquidity trap," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 47-63.
    37. O. Loisel, 2015. "The Implementation of Stabilization Policy," Working papers 556, Banque de France.
    38. John Cochrane, 2022. "The fiscal root of inflation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 45, pages 22-40, July.
    39. Reicher, Christopher Phillip, 2009. "Fiscal Taylor rules in the postwar United States," Kiel Working Papers 1509, Kiel Institute for the World Economy (IfW Kiel).
    40. Rodríguez Arosemena, Nicolás, 2018. "The Dominium Mundi Game and the Case for Artificial Intelligence in Economics and the Law," MPRA Paper 90560, University Library of Munich, Germany.
    41. Gomes, Orlando & Mendes, Diana A. & Mendes, Vivaldo M., 2008. "Bounded rational expectations and the stability of interest rate policy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3882-3890.
    42. Fernando M. Duarte, 2016. "How to escape a liquidity trap with interest rate rules," Staff Reports 776, Federal Reserve Bank of New York.
    43. Jakob Haan & Christina Bodea & Raymond Hicks & Sylvester C. W. Eijffinger, 2018. "Central Bank Independence Before and After the Crisis," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(2), pages 183-202, June.
    44. Marco Bassetto & Gherardo Gennaro Caracciolo, 2021. "Monetary/Fiscal Interactions with Forty Budget Constraints," Working Papers 788, Federal Reserve Bank of Minneapolis.
    45. Ragna Alstadheim & Øistein Røisland, 2017. "When Preferences for a Stable Interest Rate Become Self‐Defeating," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 393-415, March.
    46. Backus, David & Zin, Stanley E. & Chernov, Mikhail & Zviadadze, Irina, 2013. "Monetary policy risk: Rules vs. discretion," CEPR Discussion Papers 9611, C.E.P.R. Discussion Papers.
    47. Hippolyte d'Albis & Emmanuelle Augeraud-Véron & Hermen Jan Hupkes, 2014. "Bounded interest rate feedback rules in continuous-time," Post-Print hal-01015388, HAL.
    48. Jordi Galí, 2018. "The State of New Keynesian Economics: A Partial Assessment," NBER Working Papers 24845, National Bureau of Economic Research, Inc.
    49. Altug, Sumru & Çakmaklı, Cem, 2015. "Forecasting Inflation using Survey Expectations and Target Inflation: Evidence for Brazil and Turkey," CEPR Discussion Papers 10419, C.E.P.R. Discussion Papers.
    50. Jeffrey R. Campbell & Jacob P. Weber, 2018. "Discretion Rather than Rules: Equilibrium Uniqueness and Forward Guidance with Inconsistent Optimal Plans," Working Paper Series WP-2018-14, Federal Reserve Bank of Chicago.
    51. Pflueger, Carolin & Rinaldi, Gianluca, 2022. "Why does the Fed move markets so much? A model of monetary policy and time-varying risk aversion," Journal of Financial Economics, Elsevier, vol. 146(1), pages 71-89.
    52. Patrick Minford & Zhirong Ou & Michael Wickens, 2015. "Revisiting the Great Moderation: Policy or Luck?," Open Economies Review, Springer, vol. 26(2), pages 197-223, April.
    53. Böhl, Gregor & Lieberknecht, Philipp, 2021. "The hockey stick Phillips curve and the effective lower bound," Discussion Papers 55/2021, Deutsche Bundesbank.
    54. S. BoraÄŸan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2012. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," PIER Working Paper Archive 14-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 19 Jun 2014.
    55. Narayana R. Kocherlakota, 2017. "The L-Shaped Phillips Curve: Theoretical Justification and Empirical Implications," NBER Working Papers 24086, National Bureau of Economic Research, Inc.
    56. Ramaprasad Bhar & A. G. Malliaris, 2016. "Asset price momentum and monetary policy: time-varying parameter estimation of Taylor Rules," Applied Economics, Taylor & Francis Journals, vol. 48(55), pages 5329-5339, November.
    57. Mikhail Chernov & Ruslan Bikbov, 2009. "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers 334, Society for Economic Dynamics.
    58. Chatelain, Jean-Bernard & Ralf Kirsten, 2016. "Countercyclical versus Procyclical Taylor Principles," EconStor Preprints 129796, ZBW - Leibniz Information Centre for Economics.
    59. Chatelain, Jean-Bernard & Ralf, Kirsten, 2022. "Ramsey Optimal Policy In The New-Keynesian Model With Public Debt," Macroeconomic Dynamics, Cambridge University Press, vol. 26(6), pages 1588-1614, September.
    60. Sumru Altug & Cem Cakmakli, 2014. "Inflation Targeting and Inflation Expectations: Evidence for Brazil and Turkey," Koç University-TUSIAD Economic Research Forum Working Papers 1413, Koc University-TUSIAD Economic Research Forum.
    61. Jean Barthélemy & Eric Mengus, 2017. "Credibility and Monetary Policy," Sciences Po publications 2017-01, Sciences Po.
    62. Radwanski, Juliusz, 2020. "On the Purchasing Power of Money in an Exchange Economy," MPRA Paper 104244, University Library of Munich, Germany.
    63. Herings, P.J.J., 2012. "General equilibrium and the new neoclassical synthesis," Research Memorandum 045, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    64. Mavroeidis, Sophocles & Plagborg-Moller, Mikkel & Stock, James H., 2014. "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Scholarly Articles 22795845, Harvard University Department of Economics.
    65. Ashima Goyal & Shruti Tripathi, 2015. "Stability and transitions in emerging market policy rules," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2015-003, Indira Gandhi Institute of Development Research, Mumbai, India.
    66. Yang Lu & Ernesto Pasten & Robert King, 2013. "Policy design with private sector skepticism in the textbook New Keynesian model," 2013 Meeting Papers 241, Society for Economic Dynamics.
    67. Minford, Patrick & Srinivasan, Naveen, 2012. "Can the learnability criterion ensure determinacy in New Keynesian Models?," CEPR Discussion Papers 9039, C.E.P.R. Discussion Papers.
    68. Evans, George W & McGough, Bruce, 2018. "Equilibrium selection, observability and backward-stable solutions," Journal of Monetary Economics, Elsevier, vol. 98(C), pages 1-10.
    69. Castelnuovo, Efrem & Nisticò, Salvatore, 2010. "Stock market conditions and monetary policy in an DSGE model for the US," Bank of Finland Research Discussion Papers 11/2010, Bank of Finland.
    70. Peter Rupert & Roman Sustek, 2016. "On the Mechanics of New Keynesian Models," Discussion Papers 1608, Centre for Macroeconomics (CFM), revised Mar 2016.
    71. Kim, Minseong, 2021. "On global determinacy of New Keynesian models," OSF Preprints ygd9x, Center for Open Science.
    72. Brito Paulo & Marini Giancarlo & Piergallini Alessandro, 2016. "House prices and monetary policy," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(3), pages 251-277, June.
    73. Chatelain, Jean-Bernard & Ralf, Kirsten, 2020. "Ramsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary Interactions," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 40(1), pages 140-147.
    74. Gilles Dufrénot & Anwar Khayat, 2014. "Monetary Policy Switching in the Euro Area and Multiple Equilibria: An Empirical Investigation," AMSE Working Papers 1408, Aix-Marseille School of Economics, France, revised Jan 2014.
    75. Giovanni P. Olivei & Silvana Tenreyro, 2010. "Wage setting patterns and monetary policy: international evidence," Working Papers 10-8, Federal Reserve Bank of Boston.
    76. Marco Bassetto, 2019. "Forward guidance: communication, commitment, or both?," IFS Working Papers W19/20, Institute for Fiscal Studies.
    77. Minford, Patrick & Ou, Zhirong, 2009. "Taylor Rule or Optimal Timeless Policy? Reconsidering the Fed's behaviour since 1982," Cardiff Economics Working Papers E2009/19, Cardiff University, Cardiff Business School, Economics Section, revised May 2010.
    78. Morrisy, Stephen D., 2017. "Efficient estimation of macroeconomic equations with unobservable states," Economic Modelling, Elsevier, vol. 60(C), pages 408-423.
    79. Bennett T. McCallum, 2009. "The Role of "Determinacy" in Monetary Policy Analysis," IMES Discussion Paper Series 09-E-17, Institute for Monetary and Economic Studies, Bank of Japan.
    80. Alexander W. Richter & Nathaniel A. Throckmorton, 2013. "The Zero Lower Bound: Frequency, Duration, and Determinacy," Auburn Economics Working Paper Series auwp2013-16, Department of Economics, Auburn University.
    81. Sofía Bauducco & Rodrigo Caputo, 2013. "Wicksell Versus Taylor: A Quest for Determinancy and the (IR) Relevance of the Taylor Principle," Working Papers Central Bank of Chile 705, Central Bank of Chile.
    82. Franklin Allen & Douglas Gale & Gadi Barlevy, 2019. "Asset Price Booms and Macroeconomic Policy: a Risk-Shifting Approach," 2019 Meeting Papers 587, Society for Economic Dynamics.
    83. Hallett, Andrew Hughes & Acocella, Nicola, 2019. "Forward guidance reassessed: Stabilizability under endogenous policy rules," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 325-335.
    84. Jeffrey R. Campbell, 2014. "Quantitative Easing in Joseph's Egypt with Keynesian Producers," Working Paper Series WP-2014-15, Federal Reserve Bank of Chicago.
    85. Gasteiger, Emanuel, 2018. "Do Heterogeneous Expectations Constitute A Challenge For Policy Interaction?," Macroeconomic Dynamics, Cambridge University Press, vol. 22(8), pages 2107-2140, December.
    86. Norman, Thomas W.L., 2020. "Market selection with an endogenous state," Journal of Mathematical Economics, Elsevier, vol. 91(C), pages 51-59.
    87. John H. Cochrane, 2009. "Can Learnability Save New-Keynesian Models?," NBER Working Papers 15459, National Bureau of Economic Research, Inc.
    88. Behzad Diba & Olivier Loisel, 2024. "Revisiting Speculative Hyperinflations in Monetary Models: A Rejoinder," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 52, pages 64-69, April.
    89. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
    90. Bennett T. McCallum, 2012. "A Continuity Refinement for Rational Expectations Solutions," NBER Working Papers 18323, National Bureau of Economic Research, Inc.
    91. Barbosa, Fernando de Holanda, 2018. "Is the new keynesian is curve forward looking?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 797, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    92. McCallum, Bennett T. & Nelson, Edward, 2010. "Money and Inflation: Some Critical Issues," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 3, pages 97-153, Elsevier.
    93. Tomohide Mineyama, 2024. "Downward Nominal Wage Rigidity and Determinacy of Equilibrium," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(1), pages 305-316, February.
    94. Andrew Atkeson & V. V. Chari & Patrick Kehoe, 2009. "Sophisticated Monetary Policies," NBER Working Papers 14883, National Bureau of Economic Research, Inc.
    95. Bonam, Dennis & Ciccarelli, Matteo & Gomes, Sandra & Aldama, Pierre & Bańkowski, Krzysztof & Buss, Ginters & da Costa, José Cardoso & Christoffel, Kai & Elfsbacka Schmöller, Michaela & Jacquinot, Pasc, 2024. "Challenges for monetary and fiscal policy interactions in the post-pandemic era," Occasional Paper Series 337, European Central Bank.
    96. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2013. "Identification-robust analysis of DSGE and structural macroeconomic models," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 340-350.
    97. Olaf Posch, 2018. "Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor Rule," CESifo Working Paper Series 6925, CESifo.
    98. George-Marios Angeletos & Chen Lian, 2021. "Determinacy without the Taylor Principle," NBER Working Papers 28881, National Bureau of Economic Research, Inc.
    99. Gasteiger, Emanuel, 2014. "Heterogeneous Expectations, Optimal Monetary Policy, and the Merit of Policy Inertia," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100555, Verein für Socialpolitik / German Economic Association.
    100. de Haan, J. & Eijffinger, Sylvester, 2016. "The Politics of Central Bank Independence," Discussion Paper 2016-047, Tilburg University, Center for Economic Research.
    101. Michael Kiley, 2014. "Policy Paradoxes in the New-Keynesian Model," 2014 Meeting Papers 1065, Society for Economic Dynamics.
    102. Assenza, T. & Heemeijer, P. & Hommes, C.H. & Massaro, D., 2021. "Managing self-organization of expectations through monetary policy: A macro experiment," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 170-186.
    103. Siddhartha Chattopadhyay, 2021. "The Neo-Fisherianism to Escape Zero Lower Bound," International Symposia in Economic Theory and Econometrics, in: Environmental, Social, and Governance Perspectives on Economic Development in Asia, volume 29, pages 1-19, Emerald Group Publishing Limited.
    104. Holden, Tom D., 2024. "Robust Real Rate Rules," EconStor Preprints 279481, ZBW - Leibniz Information Centre for Economics, revised 2024.
    105. Kaan MASATÇI & Asuman OKTAYER BUZLUCA, 2022. "Testing the Fiscal Theory of the Price Level in Türkiye by Using Structural Balance Data," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 74-95, December.
    106. Reicher, Christopher Phillip, 2013. "A note on the identification of dynamic economic models with generalized shock processes," Kiel Working Papers 1821, Kiel Institute for the World Economy (IfW Kiel).
    107. Cochrane, John H., 2018. "Stepping on a rake: The fiscal theory of monetary policy," European Economic Review, Elsevier, vol. 101(C), pages 354-375.
    108. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2021. "The impact of hedging on risk-averse agents’ output decisions," Economic Modelling, Elsevier, vol. 104(C).
    109. Anna Sokolova, 2013. "Fiscal Limits and Monetary Policy: Default vs. Inflation," HSE Working papers WP BRP 39/EC/2013, National Research University Higher School of Economics.
    110. Eric M. Leeper, 2016. "Should Central Banks Care About Fiscal Rules?," NBER Working Papers 22800, National Bureau of Economic Research, Inc.
    111. Chatelain, Jean-Bernard & Ralf, Kirsten, 2021. "Hopf Bifurcation From New-Keynesian Taylor Rule To Ramsey Optimal Policy," Macroeconomic Dynamics, Cambridge University Press, vol. 25(8), pages 2204-2236, December.
    112. Daniel O. Beltran & David Draper, 2018. "Estimating dynamic macroeconomic models: how informative are the data?," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 67(2), pages 501-520, February.
    113. Marcellino, Massimiliano & Kapetanios, George & Khalaf, Lynda, 2015. "Factor based identification-robust inference in IV regressions," CEPR Discussion Papers 10390, C.E.P.R. Discussion Papers.
    114. Schmidt, Sebastian, 2015. "Lack of confidence, the zero lower bound, and the virtue of fiscal rules," Working Paper Series 1795, European Central Bank.
    115. Zhongjun Qu, 2018. "A Composite Likelihood Framework for Analyzing Singular DSGE Models," The Review of Economics and Statistics, MIT Press, vol. 100(5), pages 916-932, December.
    116. Neuenkirch, Matthias, 2014. "Are public preferences reflected in monetary policy reaction functions?," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 60-68.
    117. Gasteiger, Emanuel, 2011. "Heterogeneous expectations, Taylor rules and the merit of monetary policy inertia," MPRA Paper 31004, University Library of Munich, Germany.
    118. Bernardino Adao & Isabel Correia & Pedro Teles, 2011. "Unique Monetary Equilibria with Interest Rate Rules," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(3), pages 432-442, July.
    119. McCallum, Bennett T., 2009. "Inflation determination with Taylor rules: Is new-Keynesian analysis critically flawed?," Journal of Monetary Economics, Elsevier, vol. 56(8), pages 1101-1108, November.
    120. Chattopadhyay, Siddhartha & Daniel, Betty C., 2014. "The Inflation Target at the Zero Lower Bound," MPRA Paper 66096, University Library of Munich, Germany.
    121. Teryoshin, Yevgeniy, 2023. "Historical performance of rule-like monetary policy," Journal of International Money and Finance, Elsevier, vol. 130(C).
    122. Ireland, Peter N., 2015. "Monetary policy, bond risk premia, and the economy," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 124-140.
    123. Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2008. "Inflation Target Shocks and Monetary Policy Inertia in the Euro Area," IDEI Working Papers 515, Institut d'Économie Industrielle (IDEI), Toulouse.
    124. Sokolova, A., 2014. "Sovereign Risk and Monetary Policy," Journal of the New Economic Association, New Economic Association, vol. 21(1), pages 56-82.
    125. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification?," CeMMAP working papers CWP24/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    126. Iwan Bos & Ronald Peeters & Erik Pot, 2017. "Competition versus collusion: The impact of consumer inertia," International Journal of Economic Theory, The International Society for Economic Theory, vol. 13(4), pages 387-400, December.
    127. Bennett T. McCallum, 2009. "Causality, Structure, and the Uniqueness of Rational Expectations Equilibria," NBER Working Papers 15234, National Bureau of Economic Research, Inc.
    128. Luís Francisco Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares, 2014. "Analyzing the Taylor Rule with Wavelet Lenses," NIPE Working Papers 18/2014, NIPE - Universidade do Minho.
    129. Moons, Cindy & Hellinckx, Kevin, 2019. "Did monetary policy fuel the housing bubble? An application to Ireland," Journal of Policy Modeling, Elsevier, vol. 41(2), pages 294-315.
    130. Alejandro Justiniano & Bruce Preston, 2010. "Monetary policy and uncertainty in an empirical small open-economy model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 93-128.
    131. Narayana R. Kocherlakota, 2020. "21st Century Macro," NBER Working Papers 26791, National Bureau of Economic Research, Inc.
    132. Mahir Binici & Yin-Wong Cheung, 2011. "Exchange Rate Dynamics under Alternative Optimal Interest Rate Rules," Working Papers 1116, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    133. Guillermo Calvo & Andrés Velasco, 2021. "Joined at the hip: monetary and fiscal policy in a liquidity-dependent world," BIS Working Papers 967, Bank for International Settlements.
    134. Harun Mirza & Lidia Storjohann, 2014. "Making Weak Instrument Sets Stronger: Factor‐Based Estimation of Inflation Dynamics and a Monetary Policy Rule," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 643-664, June.
    135. Nymoen, Ragnar & Swensen, Anders Rygh & Tveter, Eivind, 2012. "Interpreting the evidence for New Keynesian models of inflation dynamics," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 253-263.
    136. João Valle e Azevedo & Pedro Teles, 2019. "The Neutrality of Nominal Rates: How Long is the Long Run?," Working Papers w201911, Banco de Portugal, Economics and Research Department.
    137. Eunji Kim & Yoonhee Ha & Sangheon Kim, 2017. "Public Debt, Corruption and Sustainable Economic Growth," Sustainability, MDPI, vol. 9(3), pages 1-30, March.
    138. Franz Seitz & Markus A. Schmidt, 2014. "Money In Modern Macro Models: A Review of the Arguments," Journal of Reviews on Global Economics, Lifescience Global, vol. 3, pages 156-174.
    139. Marina Halac & Pierre Yared, 2022. "Instrument-Based versus Target-Based Rules [“The Economics of Labor Coercion”]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(1), pages 312-345.
    140. Zhang, Bo & Dai, Wei, 2020. "Trend inflation and macroeconomic stability in a small open economy," Economic Modelling, Elsevier, vol. 91(C), pages 769-778.
    141. Andrew Hughes Hallett & John Lewis, 2015. "Monetary policy and sovereign debt: Does the ECB take the eurozone’s fiscal risks into account?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(3), pages 499-520, August.
    142. Matthew Doyle & Jean-Paul Lam, 2010. "Is the New Keynesian Explanation of the Great Dis-Inflation Consistent with the Cross Country Data?," Working Papers 1010, University of Waterloo, Department of Economics, revised Oct 2010.
    143. Airaudo, Marco, 2013. "Monetary policy and stock price dynamics with limited asset market participation," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 1-22.
    144. Michael B. Devereux & Gregor W. Smith, 2018. "Commodity Currencies and Monetary Policy," NBER Working Papers 25076, National Bureau of Economic Research, Inc.
    145. Bernard Dumas & Marcel Savioz, 2023. "A Theory of the Nominal Character of Stock Securities," Review of Finance, European Finance Association, vol. 27(5), pages 1615-1657.
    146. Gerson Nhapulo & João Nicolau, 2017. "Assessing Nonlinear Dynamics of Central Bank Reaction Function: The Case of Mozambique," South African Journal of Economics, Economic Society of South Africa, vol. 85(1), pages 28-51, March.
    147. Gáti, Laura, 2022. "Monetary policy & anchored expectations: an endogenous gain learning model," Working Paper Series 2685, European Central Bank.
    148. Mirza, Harun & Storjohann, Lidia, 2011. "Making a Weak Instrument Set Stronger: Factor-Based Estimation of the Taylor Rule," Bonn Econ Discussion Papers 13/2011, University of Bonn, Bonn Graduate School of Economics (BGSE).
    149. Barnett William A. & Bella Giovanni & Mattana Paolo & Venturi Beatrice & Ghosh Taniya, 2023. "Controlling chaos in New Keynesian macroeconomics," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(2), pages 219-236, April.
    150. Leeper, E.M. & Leith, C., 2016. "Understanding Inflation as a Joint Monetary–Fiscal Phenomenon," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2305-2415, Elsevier.
    151. Canova, F. & Ferroni, F. & Matthes, C., 2013. "Choosing the variables to estimate singular DSGE models," Working papers 461, Banque de France.
    152. Athanasios Geromichalos & Lucas Herrenbrueck, 2017. "The Liquidity-Augmented Model of Macroeconomic Aggregates," Discussion Papers dp17-16, Department of Economics, Simon Fraser University.
    153. Chattopadhyay, Siddhartha & Daniel, Betty C., 2015. "Taylor-Rule Exit Policies for the Zero Lower Bound," MPRA Paper 66076, University Library of Munich, Germany.
    154. Gerke, Rafael & Hauzenberger, Klemens, 2017. "The Fisher paradox: A primer," Discussion Papers 20/2017, Deutsche Bundesbank.
    155. Bindseil, Ulrich & Domnick, Clemens & Zeuner, Jörg, 2015. "Critique of accommodating central bank policies and the 'expropriation of the saver' - A review," Occasional Paper Series 161, European Central Bank.
    156. John Cochrane, 2022. "A fiscal theory of monetary policy with partially repaid long-term debt," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 45, pages 1-21, July.
    157. Jean-Bernard Chatelain & Kirsten Ralf, 2018. "The Indeterminacy of Determinacy with Fiscal, Macro-prudential or Taylor Rules," PSE Working Papers halshs-01877766, HAL.
    158. Zhongjun Qu & Denis Tkachenko, 2023. "Using arbitrary precision arithmetic to sharpen identification analysis for DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 644-667, June.
    159. Christina Anderl & Guglielmo Maria Caporale, 2023. "Time-Varying Parameters in Monetary Policy Rules: A GMM Approach," CESifo Working Paper Series 10451, CESifo.
    160. Benigno, Pierpaolo, 2017. "A Central Bank Theory of Price Level Determination," CEPR Discussion Papers 11966, C.E.P.R. Discussion Papers.
    161. Eric M. Leeper, 2009. "Anchors Away: How Fiscal Policy Can Undermine the Taylor Principle," NBER Working Papers 15514, National Bureau of Economic Research, Inc.
    162. Bennett T. McCallum, 2012. "Determinacy, Learnability, Plausibility, and the Role of Money in New Keynesian Models," NBER Working Papers 18215, National Bureau of Economic Research, Inc.
    163. Cochrane, John H., 2014. "Monetary policy with interest on reserves," Journal of Economic Dynamics and Control, Elsevier, vol. 49(C), pages 74-108.
    164. Peter J. Boettke & Alexander W. Salter & Daniel J. Smith, 2018. "Money as meta-rule: Buchanan’s constitutional economics as a foundation for monetary stability," Public Choice, Springer, vol. 176(3), pages 529-555, September.
    165. John H. Cochrane, 2017. "Michelson-Morley, Fisher, and Occam: The Radical Implications of Stable Quiet Inflation at the Zero Bound," NBER Chapters, in: NBER Macroeconomics Annual 2017, volume 32, pages 113-226, National Bureau of Economic Research, Inc.
    166. Obstfeld, Maurice & Rogoff, Kenneth, 2017. "Revisiting Speculative Hyperinflations in Monetary Models," CEPR Discussion Papers 12051, C.E.P.R. Discussion Papers.
    167. Carlos Carvalho & Fernanda Nechio & Tiago Tristao, 2021. "Taylor Rule Estimation by OLS," Working Paper Series 2018-11, Federal Reserve Bank of San Francisco.
    168. Antonio Alberto Mazali & José Angelo Divino, 2011. "Real Wage Rigidity andthe New Phillips Curve: the Brazilian Case," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 38, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    169. Osama Sweidan, 2010. "Central bank inability and Taylor rule in developing countries," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 57(4), pages 395-409, December.
    170. Mackowiak, Bartosz & Corsetti, Giancarlo & Dedola, Luca & Schmidt, Sebastian & Jarocinski, Marek, 2017. "Macroeconomic Stabilization, Monetary-Fiscal Interactions, and Europe’s Monetary Union," CEPR Discussion Papers 12371, C.E.P.R. Discussion Papers.
    171. Igor Goncharov & Vasso Ioannidou & Martin C. Schmalz, 2020. "(Why) do central banks care about their profits?," ECONtribute Discussion Papers Series 018, University of Bonn and University of Cologne, Germany.
    172. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2013. "Macroeconomic Drivers of Bond and Equity Risks," Harvard Business School Working Papers 14-031, Harvard Business School, revised Aug 2018.
    173. Alberto F. Boix & Adri'an Segura Moreiras, 2017. "Revisiting the determinacy on New Keynesian Models: A survey," Papers 1712.03681, arXiv.org, revised Jan 2024.
    174. Pierlauro Lopez, 2017. "Online Appendix to "A New Keynesian Q Theory and the Link Between Inflation and the Stock Market"," Online Appendices 16-134, Review of Economic Dynamics.
    175. Christopher Gibbs, 2015. "Forecast Combination, Non-linear Dynamics, and the Macroeconomy," Discussion Papers 2015-05, School of Economics, The University of New South Wales.
    176. David Backus & Mikhail Chernov & Stanley E. Zin, 2013. "Identifying Taylor Rules in Macro-Finance Models," NBER Working Papers 19360, National Bureau of Economic Research, Inc.
    177. Marco Bassetto & Wei Cui, 2018. "The Fiscal Theory of the Price Level in an Environment of Low Interest Rates," 2018 Meeting Papers 574, Society for Economic Dynamics.
    178. Marco Bassetto & Christopher Phelan, 2013. "Speculative Runs on Interest Rate Pegs," NBER Working Papers 18864, National Bureau of Economic Research, Inc.
    179. Bernd Funovits, 2014. "Implications of Stochastic Singularity in Linear Multivariate Rational Expectations Models," Vienna Economics Papers vie1405, University of Vienna, Department of Economics.
    180. John H. Cochrane, 2022. "Expectations and the Neutrality of Interest Rates," NBER Working Papers 30468, National Bureau of Economic Research, Inc.
    181. Marco Bassetto & Wei Cui, 2017. "The Fiscal Theory of the Price Level in a World of Low Interest Rates," Working Paper Series WP-2017-25, Federal Reserve Bank of Chicago.
    182. Böhl, Gregor & Lieberknecht, Philipp, 2021. "The hockey stick Phillips curve and the zero lower bound," IMFS Working Paper Series 153, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    183. Lilia Maliar & John B. Taylor, 2019. "Forward Guidance: Is It Useful Away from the Lower Bound?," NBER Working Papers 26053, National Bureau of Economic Research, Inc.
    184. Corsetti, G. & Dedola, L. & Jarocinsk, M. & Mackowiak, B., 2016. "Macroeconomic Stabilization, Monetary-fiscal Interactions, and Europe’s monetary Union," Cambridge Working Papers in Economics 1675, Faculty of Economics, University of Cambridge.
    185. Hughes Hallett Andrew & Nicola Acocella, "undated". "Stabilization and expanded commitment: a theory of forward guidance for economies with rational expectations," Working Papers 132/14, Sapienza University of Rome, Metodi e Modelli per l'Economia, il Territorio e la Finanza MEMOTEF.
    186. Zhao, Junzhu, 2023. "Wealth in utility, the Taylor principle and determinacy," Journal of Macroeconomics, Elsevier, vol. 76(C).
    187. Terry J. Fitzgerald & Callum J. Jones & Mariano Kulish & Juan Pablo Nicolini, 2020. "Is There a Stable Relationship between Unemployment and Future Inflation?," Staff Report 614, Federal Reserve Bank of Minneapolis.
    188. Reicher, Christopher Phillip, 2011. "Matching labor's share in a search and matching model," Kiel Working Papers 1733, Kiel Institute for the World Economy (IfW Kiel).
    189. Gustavo Nicolás Páez, 2015. "Prediciendo decisiones de agentes económicos: ¿Cómo determina el Banco de la República de Colombia la tasa de interés?," Documentos CEDE 12567, Universidad de los Andes, Facultad de Economía, CEDE.
    190. Mauersberger, Felix, 2021. "Monetary policy rules in a non-rational world: A macroeconomic experiment," Journal of Economic Theory, Elsevier, vol. 197(C).
    191. Mariana Garcia-Schmidt & Michael Woodford, 2015. "Are Low Interest Rates Deflationary? A Paradox of Perfect-Foresight Analysis," Working Papers Series 18, Institute for New Economic Thinking.
    192. Reis, Ricardo, 2018. "Comment on "Michelson-Morley, Fisher, and Occam: the radical implications of stable quiet inflation at the zero bound"," LSE Research Online Documents on Economics 85665, London School of Economics and Political Science, LSE Library.
    193. Gliksberg, Baruch, "undated". "A Fixed-Point Theory of Price Level Determination in General Equilibrium," Working Papers WP2014/3, University of Haifa, Department of Economics.
    194. Huberto M. Ennis, 2015. "Discussion on \"Scarcity of Safe Assets, Inflation, and the Policy Trap\" by Andolfatto and Williamson," Working Paper 15-3, Federal Reserve Bank of Richmond.
    195. Alexander Kriwoluzky & Christian A. Stoltenberg, 2015. "Monetary Policy and the Transaction Role of Money in the US," Economic Journal, Royal Economic Society, vol. 125(587), pages 1452-1473, September.
    196. Meyer-Gohde, Alexander & Tzaawa-Krenzler, Mary, 2023. "Sticky information and the Taylor principle," IMFS Working Paper Series 189, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    197. Homburg, Stefan, 2017. "A Study in Monetary Macroeconomics," OUP Catalogue, Oxford University Press, number 9780198807537.
    198. Pierlauro Lopez, 2016. "Welfare Implications of the Term Structure of Returns: Should Central Banks Fill Gaps or Remove Volatility?," 2016 Meeting Papers 742, Society for Economic Dynamics.
    199. Maliar, Lilia, 2018. "Continuous Time Versus Discrete Time in the New Keynesian Model: Closed-Form Solutions and Implications for Liquidity Trap," CEPR Discussion Papers 13384, C.E.P.R. Discussion Papers.
    200. Hannes Malmberg & Erik Öberg, 2021. "Price‐Level Determination When Tax Payments Are Required in Money," Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(2), pages 621-644, April.
    201. Max Gillman & Michal Kejak & Giulia Ghiani, 2014. "Money, Banking and Interest Rates: Monetary Policy Regimes with Markov-Switching VECM Evidence," CEU Working Papers 2014_3, Department of Economics, Central European University.
    202. Kocherlakota, N., 2012. "Central bank independence and sovereign default," Financial Stability Review, Banque de France, issue 16, pages 151-154, April.
    203. Minford, Patrick, 2008. "Commentary on Economic Projections and Rules of Thumb for Monetary Policy (by Athanasios Orphanides and Volker Wieland)," Cardiff Economics Working Papers E2008/16, Cardiff University, Cardiff Business School, Economics Section.
    204. William Barnett & Jingxian Hu, 2017. "Capital Control, Exchange Rate Regime, and Monetary Policy: Indeterminacy and Bifurcation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201706, University of Kansas, Department of Economics, revised Sep 2017.
    205. Ravn, Morten & Mertens, Karel, 2010. "Fiscal Policy in an Expectations Driven Liquidity Trap," CEPR Discussion Papers 7931, C.E.P.R. Discussion Papers.
    206. Morris, Stephen D., 2017. "DSGE pileups," Journal of Economic Dynamics and Control, Elsevier, vol. 74(C), pages 56-86.
    207. Massaro, D., 2012. "Regime shifts: early warnings," CeNDEF Working Papers 12-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    208. Roberto Piazza, 2015. "Deflation expectations and Japan's lost decade," Questioni di Economia e Finanza (Occasional Papers) 274, Bank of Italy, Economic Research and International Relations Area.
    209. Guido Ascari & Paolo Bonomolo Hedibert F. Lopes, 2016. "Rational Sunspots," Economics Series Working Papers 787, University of Oxford, Department of Economics.
    210. Terry J. Fitzgerald & Juan Pablo Nicolini, 2014. "Is There a Stable Relationship between Unemployment and Future Inflation? Evidence from U.S. Cities," Working Papers 713, Federal Reserve Bank of Minneapolis.
    211. Magill, Michael & Quinzii, Martine, 2014. "Anchoring expectations of inflation," Journal of Mathematical Economics, Elsevier, vol. 50(C), pages 86-105.
    212. Emilian Libman & Leonardo Stanley, 2022. "Goodbye Capital Controls, Hello IMF Loans, Welcome Back Financial Repression. Notes on Argentina’s 2018/2019 Currency Crash," Ensayos de Economía 20584, Universidad Nacional de Colombia Sede Medellín.
    213. Piergallini, Alessandro, 2017. "Fiscal policy and liquidity traps with heterogeneous agents," Economics Letters, Elsevier, vol. 157(C), pages 103-106.
    214. Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2023. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Working Papers 23-11, Federal Reserve Bank of Cleveland.
    215. Roman Sustek, 2021. "Yield curve and the business cycle in conventional times," Discussion Papers 2122, Centre for Macroeconomics (CFM).
    216. Jeffrey R. Campbell & Jacob P. Weber, 2018. "Open Mouth Operations," Working Paper Series WP-2018-3, Federal Reserve Bank of Chicago.
    217. Ceri Davies & Max Gillman & Michal Kejak, 2012. "Deriving the Taylor Principle when the Central Bank Supplies Money," CEU Working Papers 2012_13, Department of Economics, Central European University, revised 23 Jul 2012.
    218. Taremi, Mohammad & Esksndari, Farzad & Bameni Moghadam, Mohammad, 2016. "Identifiability of Dynamic Stochastic General Equilibrium Models with Covariance Restrictions," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 11(3), pages 225-243, July.
    219. Qamar Abbas & Li Junqing & Muhammad Ramzan & Sumbal Fatima, 2021. "Role of Governance in Debt-Growth Relationship: Evidence from Panel Data Estimations," Sustainability, MDPI, vol. 13(11), pages 1-19, May.
    220. Gliksberg, Baruch, "undated". "Equilibria Under Monetary and Fiscal Policy Interactions in a Portfolio Choice Model," Working Papers WP2015/1, University of Haifa, Department of Economics.
    221. Ragna Alstadheim, 2010. "The zero lower bound on the interest rate and a Neo-Classical Phillips curve," Working Paper 2010/13, Norges Bank.
    222. Bob Nobay & Ivan Paya & David A. Peel, 2010. "Inflation Dynamics in the U.S.: Global but Not Local Mean Reversion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 135-150, February.
    223. Tim Hursey & Alexander Wolman & Andreas Hornstein, 2014. "Monetary Policy and Global Equilibria in an Economy with Capital," 2014 Meeting Papers 733, Society for Economic Dynamics.
    224. Paolo Bonomolo & Guido Ascari, 2012. "Does Inflation Walk on Unstable Paths? Rational Sunspots and Drifting Parameters," 2012 Meeting Papers 743, Society for Economic Dynamics.
    225. Fernando M. Duarte & Anna Zabai, 2015. "An interest rate rule to uniquely implement the optimal equilibrium in a liquidity trap," Staff Reports 745, Federal Reserve Bank of New York.
    226. Claire A. Reicher, 2016. "A Note on the Identification of Dynamic Economic Models with Generalized Shock Processes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(3), pages 412-423, June.
    227. Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur & Yiangou, Jonathan, 2019. "A tale of two decades: the ECB’s monetary policy at 20," Working Paper Series 2346, European Central Bank.
    228. Joshua R. Hendrickson, 2017. "Jürg Niehans and the Cashless Economy," The American Economist, Sage Publications, vol. 62(2), pages 149-164, October.
    229. Florin O. Bilbiie, 2022. "Neo-Fisherian Policies and Liquidity Traps," American Economic Journal: Macroeconomics, American Economic Association, vol. 14(4), pages 378-403, October.
    230. Krogh, Tord S., 2015. "Macro frictions and theoretical identification of the New Keynesian Phillips curve," Journal of Macroeconomics, Elsevier, vol. 43(C), pages 191-204.
    231. Jan Filacek & Ivan Sutoris, 2019. "Inflation Targeting Flexibility: The CNB's Reaction Function under Scrutiny," Research and Policy Notes 2019/02, Czech National Bank.
    232. Constantin Anghelache & Marius Popovici & Alina – Georgiana Solomon & Emilia Stanciu, 2017. "Aggregates in Real Expression and Price Indices by Deflation," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 7(6), pages 1053-1060, June.
    233. John H. Cochrane, 2013. "The New-Keynesian Liquidity Trap," NBER Working Papers 19476, National Bureau of Economic Research, Inc.
    234. Bennett T. McCallum, 2009. "2009 International Conference "Financial System and Monetary Policy Implementation," Keynote Speech, The Role of "Determinacy" in Monetary Policy Analysis," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 27(1), pages 25-34, November.
    235. Nückles, Marc, 2020. "Interest rate policy and interbank market breakdown," Economic Modelling, Elsevier, vol. 91(C), pages 779-789.
    236. Francisco Rosende, 2009. "La Macroeconomía y la Crisis: ¿La Crisis de la Macroeconomía?," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 46(134), pages 161-182.
    237. Massaro, Domenico, 2013. "Heterogeneous expectations in monetary DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 680-692.
    238. Shesadri Banerjee, 2013. "Inflation Volatility and Activism of Monetary Policy," CEGAP Working Papers 2013_06, Durham University Business School.
    239. Benigno, Pierpaolo, 2016. "Designing Central Banks for Inflation Stability," CEPR Discussion Papers 11402, C.E.P.R. Discussion Papers.
    240. Patrick Minford, 2008. "Commentary on \\"Economic projections and rules of thumb for monetary policy \\"," Review, Federal Reserve Bank of St. Louis, vol. 90(Jul), pages 331-338.
    241. Castelnuovo, Efrem & Greco, Luciano & Raggi, Davide, 2008. "Estimating regime-switching Taylor rules with trend inflation," Bank of Finland Research Discussion Papers 20/2008, Bank of Finland.
    242. Review, Blind, 2023. "The Cambridge capital controversies (CCC) as market and firm structure controversies: modern neoclassical interpretation," OSF Preprints xequg, Center for Open Science.
    243. Blake, Andrew P., 2012. "Determining optimal monetary speed limits," Economics Letters, Elsevier, vol. 116(2), pages 269-271.
    244. Federico Sturzenegger, 2019. "Macri´s Macro: The meandering road to stability and growth," Working Papers 135, Universidad de San Andres, Departamento de Economia, revised Oct 2019.
    245. Igoni Pedro & Ganiyat Adejoke Adesina-Uthman, 2022. "Impact of Monetary Policy Shocks on the Output Gap in Nigeria," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 14(9), pages 1-38, September.
    246. Shobande Olatunji Abdul & Shodipe Oladimeji Tomiwa, 2019. "New Keynesian Liquidity Trap and Conventional Fiscal Stance: An Estimated DSGE Model," Economics and Business, Sciendo, vol. 33(1), pages 152-169, January.

  20. John H. Cochrane, 2006. "The Dog That Did Not Bark: A Defense of Return Predictability," NBER Working Papers 12026, National Bureau of Economic Research, Inc.

    Cited by:

    1. Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," 2006 Meeting Papers 29, Society for Economic Dynamics.
    2. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression-based estimation of dynamic asset pricing models," Journal of Financial Economics, Elsevier, vol. 118(2), pages 211-244.
    3. Croce, M.M. & Nguyen, Thien T. & Raymond, S. & Schmid, L., 2019. "Government debt and the returns to innovation," Journal of Financial Economics, Elsevier, vol. 132(3), pages 205-225.
    4. Ian Dew-Becker & Rhys Bidder, 2015. "Long-Run Risk is the Worst-Case Scenario," 2015 Meeting Papers 490, Society for Economic Dynamics.
    5. Paulo Maio, 2014. "Another Look at the Stock Return Response to Monetary Policy Actions," Review of Finance, European Finance Association, vol. 18(1), pages 321-371.
    6. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017. "Noise Bubbles," Economic Journal, Royal Economic Society, vol. 127(604), pages 1940-1976, September.
    7. Jank, Stephan, 2012. "Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability," CFR Working Papers 12-08, University of Cologne, Centre for Financial Research (CFR).
    8. Amélie Charles & Olivier Darné & Jae H. Kim, 2022. "Stock return predictability: Evaluation based on interval forecasts," Bulletin of Economic Research, Wiley Blackwell, vol. 74(2), pages 363-385, April.
    9. Yashiv, Eran, 2011. "The Joint Behavior of Hiring and Investment," CEPR Discussion Papers 8237, C.E.P.R. Discussion Papers.
    10. Christian Bach & Peter O. Christensen, 2016. "Consumption-based equity valuation," Review of Accounting Studies, Springer, vol. 21(4), pages 1149-1202, December.
    11. Fabian Baetje & Lukas Menkhoff, 2016. "Equity Premium Prediction: Are Economic and Technical Indicators Unstable?," Discussion Papers of DIW Berlin 1552, DIW Berlin, German Institute for Economic Research.
    12. Liya Chu & Xue-Zhong He & Kai Li & Jun Tu, 2022. "Investor Sentiment and Paradigm Shifts in Equity Return Forecasting," Management Science, INFORMS, vol. 68(6), pages 4301-4325, June.
    13. Londoño Yarce, Juan Miguel & Regúlez Castillo, Marta & Vázquez Pérez, Jesús, 2014. "An Alternative View of the US Price-Dividend Ratio Dynamics," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
    14. Pham, Quynh Thi Thuy, 2021. "Stock Return Predictability: Evidence Across US Industries," Finance Research Letters, Elsevier, vol. 38(C).
    15. Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2013. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 742, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    16. Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012. "Structural Breaks and Predictive Regressions Models of South African Equity Premium," Working Papers 201209, University of Pretoria, Department of Economics.
    17. Patrick Hable & Patrick Launhardt, 2020. "Aggregate insider trading and the prediction of corporate credit spread changes," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(1), pages 1-31, March.
    18. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    19. David Le Bris & William Goetzmann & Sébastien Pouget, 2019. "The present value relation over six centuries: The case of the Bazacle company," Post-Print hal-02281530, HAL.
    20. Li, Xiyang & Chen, Xiaoyue & Li, Bin & Singh, Tarlok & Shi, Kan, 2022. "Predictability of stock market returns: New evidence from developed and developing countries," Global Finance Journal, Elsevier, vol. 54(C).
    21. Fausch, Jürg & Sigonius, Markus, 2018. "The impact of ECB monetary policy surprises on the German stock market," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 46-63.
    22. Jiahan Li & Ilias Tsiakas, 2016. "Equity Premium Prediction: The Role of Economic and Statistical Constraints," Working Paper series 16-25, Rimini Centre for Economic Analysis.
    23. Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 235-256.
    24. Adriana S. Cordis, 2014. "Accounting Ratios and the Cross-section of Expected Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(9-10), pages 1157-1192, November.
    25. Kevin J. Lansing, 2011. "Asset pricing with concentrated ownership of capital," Working Paper Series 2011-07, Federal Reserve Bank of San Francisco.
    26. Schrimpf, Andreas, 2008. "International Stock Return Predictability Under Model Uncertainty," ZEW Discussion Papers 08-048, ZEW - Leibniz Centre for European Economic Research.
    27. Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc.
    28. Paolo Gelain & Kevin J. Lansing, 2013. "House prices, expectations, and time-varying fundamentals," Working Paper 2013/05, Norges Bank.
    29. George Constantinides, 2012. "The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth," 2012 Meeting Papers 1197, Society for Economic Dynamics.
    30. Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2014. "Dividend Predictability Around the World," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1255-1277, December.
    31. Dr. Thomas Nitschka, 2014. "The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?," Working Papers 2014-01, Swiss National Bank.
    32. Matteo Maggiori, 2013. "The U.S. Dollar Safety Premium," 2013 Meeting Papers 75, Society for Economic Dynamics.
    33. Lansing, Kevin J. & LeRoy, Stephen F. & Ma, Jun, 2022. "Examining the sources of excess return predictability: Stochastic volatility or market inefficiency?," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 50-72.
    34. David C. Ling & Joseph T.L. Ooi & Thao T.T. Le, 2015. "Explaining House Price Dynamics: Isolating the Role of Nonfundamentals," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(S1), pages 87-125, March.
    35. Umlandt, Dennis, 2023. "Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance," Journal of Econometrics, Elsevier, vol. 237(2).
    36. Laine, Olli-Matti, 2022. "Evidence about the transmission of monetary policy," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number e53.
    37. Thomas Nitschka, 2014. "What News Drive Variation in Swiss and US Bond and Stock Excess Returns?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 150(II), pages 89-118, June.
    38. Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2016. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 63(3), pages 273-291.
    39. Lawrenz, Jochen & Zorn, Josef, 2018. "Decomposing the predictive power of local and global financial valuation ratios," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 137-149.
    40. Engsted, Tom & Pedersen, Thomas Q., 2015. "Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 257-275.
    41. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
    42. He, Mengxi & Zhang, Yaojie, 2022. "Climate policy uncertainty and the stock return predictability of the oil industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    43. Amélie Charles & Olivier Darné & Jae H. Kim, 2016. "Stock Return Predictability: Evaluation based on prediction intervals," Working Papers hal-01295037, HAL.
    44. Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal portfolio choice under decision-based model combinations," Working Paper 2014/15, Norges Bank.
    45. Jian Chen & Fuwei Jiang & Guoshi Tong, 2017. "Economic policy uncertainty in China and stock market expected returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(5), pages 1265-1286, December.
    46. Campbell, John Y. & Giglio, Stefano & Polk, Christopher, 2013. "Hard Times," Scholarly Articles 12172786, Harvard University Department of Economics.
    47. John Cochrane, 2022. "The fiscal root of inflation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 45, pages 22-40, July.
    48. Juan Antolin-Diaz & Ivan Petrella & Juan F. Rubio-Ramirez, 2021. "Dividend Momentum and Stock Return Predictability: A Bayesian Approach," FRB Atlanta Working Paper 2021-25, Federal Reserve Bank of Atlanta.
    49. Karim M. Abadir & Gabriel Talmain, 2008. "Macro and Financial Markets: The Memory of an Elephant?," Working Paper series 17_08, Rimini Centre for Economic Analysis.
    50. Botshekan, Mahmoud & Kraeussl, Roman & Lucas, Andre, 2012. "Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(6), pages 1279-1301, December.
    51. John H Cochrane, 2022. "Portfolios for Long-Term Investors [Rare disasters and asset markets in the twentieth century]," Review of Finance, European Finance Association, vol. 26(1), pages 1-42.
    52. Chang, C-L. & Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Econometric Institute Research Papers EI2018-39, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    53. Cenedese, Gino & Mallucci, Enrico, 2015. "What moves international stock and bond markets?," LSE Research Online Documents on Economics 86296, London School of Economics and Political Science, LSE Library.
    54. Ma, Feng & Wang, Ruoxin & Lu, Xinjie & Wahab, M.I.M., 2021. "A comprehensive look at stock return predictability by oil prices using economic constraint approaches," International Review of Financial Analysis, Elsevier, vol. 78(C).
    55. Yin, Libo & Nie, Jing, 2021. "Adjusted dividend-price ratios and stock return predictability: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 73(C).
    56. Timmermann, Allan & Pettenuzzo, Davide & Sabbatucci, Riccardo, 2019. "Cash Flow News and Stock Price Dynamics," CEPR Discussion Papers 14117, C.E.P.R. Discussion Papers.
    57. Fernando Alexandre & Vasco J. Gabriel & Pedro Bação, 2007. "The Consumption-Wealth Ratio Under Asymmetric Adjustment," NIPE Working Papers 15/2007, NIPE - Universidade do Minho.
    58. Hyeongwoo Kim & Deockhyun Ryu, 2015. "Measuring the Speed of Convergence of Stock Prices: A Nonparametric and Nonlinear Approach," Auburn Economics Working Paper Series auwp2015-08, Department of Economics, Auburn University.
    59. Kalotay, Egon & Gray, Philip & Sin, Samantha, 2007. "Consumer expectations and short-horizon return predictability," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3102-3124, October.
    60. Faria, Gonçalo & Verona, Fabio, 2020. "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, vol. 50(C).
    61. Catherine Georgiou, 2022. "Modifications on Book-Valued Ratios," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 15(3), pages 24-37, December.
    62. Avdis, Efstathios & Wachter, Jessica A., 2017. "Maximum likelihood estimation of the equity premium," Journal of Financial Economics, Elsevier, vol. 125(3), pages 589-609.
    63. Carlo A. Favero & Arie E. Gozluklu & Andrea Tamoni, 2010. "Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns," Working Papers 360, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    64. Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016. "Explosive bubbles in house prices? Evidence from the OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 14-25.
    65. Gupta, Rangan & Hammoudeh, Shawkat & Modise, Mampho P. & Nguyen, Duc Khuong, 2014. "Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 367-378.
    66. Palani-Rajan Kadapakkam & Timothy Krause & Yiuman Tse, 2015. "Exchange traded funds, size-based portfolios, and market efficiency," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 89-110, July.
    67. Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
    68. David G McMillan, 2011. "Does the BEYR help predict UK sector returns?," Journal of Asset Management, Palgrave Macmillan, vol. 12(2), pages 146-156, June.
    69. Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.).
    70. Ricardo De la O & Sean Myers, 2018. "Subjective Cash Flows and Discount Rates," 2018 Meeting Papers 291, Society for Economic Dynamics.
    71. Bandi, F.M & Perron, B & Tamoni, Andrea & Tebaldi, C., 2018. "The scale of predictability," LSE Research Online Documents on Economics 85646, London School of Economics and Political Science, LSE Library.
    72. Paskalis Glabadanidis, 2015. "Market Timing With Moving Averages," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 387-425, September.
    73. Christopher L. Culp & Yoshio Nozawa & Pietro Veronesi, 2014. "Option-Based Credit Spreads," NBER Working Papers 20776, National Bureau of Economic Research, Inc.
    74. Pham, Quynh Thi Thuy & Rudolf, Markus, 2021. "Gold, platinum, and industry stock returns," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 252-266.
    75. Demetrescu, Matei & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023. "Transformed regression-based long-horizon predictability tests," Journal of Econometrics, Elsevier, vol. 237(2).
    76. John C. Williams, 2013. "Bubbles tomorrow and bubbles yesterday, but never bubbles today?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue sept23.
    77. Sousa, João & Sousa, Ricardo M., 2013. "Asset returns under model uncertainty: evidence from the euro area, the U.S. and the U.K," Working Paper Series 1575, European Central Bank.
    78. Andrew Detzel & Jack Strauss, 2018. "Combination Return Forecasts and Portfolio Allocation with the Cross-Section of Book-to-Market Ratios [Illiquidity and stock returns: cross-section and time-series effects]," Review of Finance, European Finance Association, vol. 22(5), pages 1949-1973.
    79. Guofu Zhou, 2018. "Measuring Investor Sentiment," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 239-259, November.
    80. Ke-Li Xu & Junjie Guo, 2021. "A New Test for Multiple Predictive Regression," CAEPR Working Papers 2022-001 Classification-C, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    81. Priyank Gandhi, 2018. "The relation between bank credit growth and the expected returns of bank stocks," European Financial Management, European Financial Management Association, vol. 24(4), pages 610-649, September.
    82. de Oliveira Souza, Thiago, 2019. "Macro-finance and factor timing: Time-varying factor risk and price of risk premiums," Discussion Papers on Economics 7/2019, University of Southern Denmark, Department of Economics.
    83. Jukka Ilomäki, 2018. "Risk and return of a trend-chasing application in financial markets: an empirical test," Risk Management, Palgrave Macmillan, vol. 20(3), pages 258-272, August.
    84. Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
    85. Franc{c}ois Legendre & Djibril Togola, 2015. "Explicit solution to dynamic portfolio choice problem : The continuous-time detour," Papers 1504.03079, arXiv.org.
    86. Chen, Jian & Tang, Guohao & Yao, Jiaquan & Zhou, Guofu, 2023. "Employee sentiment and stock returns," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
    87. Song, Ziyu & Yu, Changrui, 2022. "Investor sentiment indices based on k-step PLS algorithm: A group of powerful predictors of stock market returns," International Review of Financial Analysis, Elsevier, vol. 83(C).
    88. Londono, Juan M. & Regúlez, Marta & Vázquez, Jesús, 2015. "An alternative view of the US price–dividend ratio dynamics," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 291-307.
    89. Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012. "Pitfalls in VAR based return decompositions: A clarification," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1255-1265.
    90. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.
    91. Maio, Paulo & Xu, Danielle, 2020. "Cash-flow or return predictability at long horizons? The case of earnings yield," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 172-192.
    92. Chenchen Li & Chongfeng Wu & Chunyang Zhou, 2021. "Forecasting equity returns: The role of commodity futures along the supply chain," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 46-71, January.
    93. Hui Chen & Nengjiu Ju & Jianjun Miao, "undated". "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - Working Papers Series wp2009-015, Boston University - Department of Economics.
    94. Dahlquist, Magnus & Pénasse, Julien, 2022. "The missing risk premium in exchange rates," Journal of Financial Economics, Elsevier, vol. 143(2), pages 697-715.
    95. Bätje, Fabian & Menkhoff, Lukas, 2016. "Predicting the equity premium via its components," VfS Annual Conference 2016 (Augsburg): Demographic Change 145789, Verein für Socialpolitik / German Economic Association.
    96. Lin, Hai & Wang, Junbo & Wu, Chunchi, 2014. "Predictions of corporate bond excess returns," Journal of Financial Markets, Elsevier, vol. 21(C), pages 123-152.
    97. Tom Engsted & Thomas Q. Pedersen, 2009. "The dividend-price ratio does predict dividend growth: International evidence," CREATES Research Papers 2009-36, Department of Economics and Business Economics, Aarhus University.
    98. Mathias S. Kruttli, 2016. "From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors," Finance and Economics Discussion Series 2016-027, Board of Governors of the Federal Reserve System (U.S.).
    99. Chava, Sudheer & Gallmeyer, Michael & Park, Heungju, 2015. "Credit conditions and stock return predictability," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 117-132.
    100. Tim Bollerslev & Lai Xu & Hao Zhou, 2012. "Stock Return and Cash Flow Predictability: The Role of Volatility Risk," CREATES Research Papers 2012-51, Department of Economics and Business Economics, Aarhus University.
    101. Kuvshinov, Dmitry & Richter, Björn & Zimmermann, Kaspar, 2022. "The shifts and the shocks: bank risk, leverage, and the macroeconomy," Working Paper Series 2672, European Central Bank.
    102. Ishani Chaudhuri & Parthajit Kayal, 2022. "Predicting Power of Ticker Search Volume in Indian Stock Market," Working Papers 2022-214, Madras School of Economics,Chennai,India.
    103. Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi, 2019. "Forecasting stock returns with cycle-decomposed predictors," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 250-261.
    104. Tom Roberts, 2017. "A Counterfactual Valuation of the Stock Index as a Predictor of Crashes," Staff Working Papers 17-38, Bank of Canada.
    105. John H. Cochrane, 2010. "Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic," NBER Working Papers 16087, National Bureau of Economic Research, Inc.
    106. Paskalis Glabadanidis, 2017. "Timing the Market with a Combination of Moving Averages," International Review of Finance, International Review of Finance Ltd., vol. 17(3), pages 353-394, September.
    107. Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018. "Market Timing with Moving Averages," Econometric Institute Research Papers EI 2018-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    108. Maio, Paulo, 2013. "Return decomposition and the Intertemporal CAPM," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4958-4972.
    109. Roni Michaely & Stefano Rossi & Michael Weber & Michael Weber, 2017. "The Information Content of Dividends: Safer Profits, Not Higher Profits," CESifo Working Paper Series 6751, CESifo.
    110. Reis, Pedro Manuel Nogueira & Pinho, Carlos, 2020. "A new European investor sentiment index (EURsent) and its return and volatility predictability," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    111. Yun, Jaeho, 2020. "A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX," Economics Letters, Elsevier, vol. 186(C).
    112. Chernov, Mikhail & Creal, Drew, 2018. "Multihorizon Currency Returns and Purchasing Power Parity," CEPR Discussion Papers 12893, C.E.P.R. Discussion Papers.
    113. Li, Zhao-Chen & Xie, Chi & Zeng, Zhi-Jian & Wang, Gang-Jin & Zhang, Ting, 2023. "Forecasting global stock market volatilities in an uncertain world," International Review of Financial Analysis, Elsevier, vol. 85(C).
    114. Ravi Jagannathan & Binying Liu, 2015. "Dividend Dynamics, Learning, and Expected Stock Index Returns," NBER Working Papers 21557, National Bureau of Economic Research, Inc.
    115. Kontosakos, Vasileios E. & Hwang, Soosung & Kallinterakis, Vasileios & Pantelous, Athanasios A., 2024. "Long-term dynamic asset allocation under asymmetric risk preferences," European Journal of Operational Research, Elsevier, vol. 312(2), pages 765-782.
    116. Kohei Aono & Tokuo Iwaisako, 2010. "On the Predictability of Japanese Stock Returns Using Dividend Yield," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(2), pages 141-149, June.
    117. Karl Whelan, 2006. "Consumption and expected asset returns without assumptions about unobservables," Open Access publications 10197/219, School of Economics, University College Dublin.
    118. John Y. Campbell, 2013. "Comment on "Shocks and Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 355-366, National Bureau of Economic Research, Inc.
    119. Leland E. Farmer & Lawrence Schmidt & Allan Timmermann, 2023. "Pockets of Predictability," Journal of Finance, American Finance Association, vol. 78(3), pages 1279-1341, June.
    120. Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December.
    121. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
    122. Chen, Juan & Ma, Feng & Qiu, Xuemei & Li, Tao, 2023. "The role of categorical EPU indices in predicting stock-market returns," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 365-378.
    123. Ian Martin & Stefan Nagel, 2019. "Market Efficiency in the Age of Big Data," CESifo Working Paper Series 8015, CESifo.
    124. Rashmi Chaudhary & Priti Bakhshi & Hemendra Gupta, 2020. "Volatility in International Stock Markets: An Empirical Study during COVID-19," JRFM, MDPI, vol. 13(9), pages 1-17, September.
    125. Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2018. "High-frequency Cash Flow Dynamics," Working Papers 120, Brandeis University, Department of Economics and International Business School.
    126. Irena Vodenska & Alexander P. Becker & Di Zhou & Dror Y. Kenett & H. Eugene Stanley & Shlomo Havlin, 2016. "Community Analysis of Global Financial Markets," Risks, MDPI, vol. 4(2), pages 1-15, May.
    127. Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio, 2010. "A century of equity premium predictability and the consumption-wealth ratio: An international perspective," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 313-331, June.
    128. Fernandes, Betina & Street, Alexandre & Fernandes, Cristiano & Valladão, Davi, 2018. "On an adaptive Black–Litterman investment strategy using conditional fundamentalist information: A Brazilian case study," Finance Research Letters, Elsevier, vol. 27(C), pages 201-207.
    129. Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan S., 2015. "Can governance quality predict stock market returns? New global evidence," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 367-380.
    130. Jim Dolmas, 2013. "Disastrous disappointments: asset-pricing with disaster risk and disappointment aversion," Working Papers 1309, Federal Reserve Bank of Dallas.
    131. Wachter, Jessica A. & Warusawitharana, Missaka, 2015. "What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio," Journal of Econometrics, Elsevier, vol. 186(1), pages 74-93.
    132. de Pooter, M.D. & Ravazzolo, F. & Segers, R. & van Dijk, H.K., 2008. "Bayesian near-boundary analysis in basic macroeconomic time series models," Econometric Institute Research Papers EI 2008-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    133. Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-047/III, Tinbergen Institute.
    134. Avino, Davide & Nneji, Ogonna, 2014. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 262-274.
    135. Chen, Jian & Jiang, Fuwei & Xue, Shuyu & Yao, Jiaquan, 2019. "The world predictive power of U.S. equity market skewness risk," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 210-227.
    136. Blanchard, Olivier & Collins, Christopher G. & Jahan-Parvar, Mohammad R. & Pellet, Thomas & Wilson, Beth Anne, 2018. "A year of rising dangerously? The U.S. stock market performance in the aftermath of the presidential election," Journal of Policy Modeling, Elsevier, vol. 40(3), pages 489-502.
    137. Rounaghi, Mohammad Mahdi & Nassir Zadeh, Farzaneh, 2016. "Investigation of market efficiency and Financial Stability between S&P 500 and London Stock Exchange: Monthly and yearly Forecasting of Time Series Stock Returns using ARMA model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 10-21.
    138. Laine, Olli-Matti, 2020. "Monetary policy and stock market valuation," Bank of Finland Research Discussion Papers 16/2020, Bank of Finland.
    139. Daniel Mantilla-García & Vijay Vaidyanathan, 2017. "Predicting stock returns in the presence of uncertain structural changes and sample noise," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 357-391, August.
    140. Westerlund, Joakim & Narayan, Paresh, 2016. "Testing for predictability in panels of any time series dimension," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1162-1177.
    141. Andreas Neuhierl & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," NBER Working Papers 22831, National Bureau of Economic Research, Inc.
    142. Yu, Deshui & Huang, Difang & Chen, Li & Li, Luyang, 2023. "Forecasting dividend growth: The role of adjusted earnings yield," Economic Modelling, Elsevier, vol. 120(C).
    143. Bandi, Federico M. & Bretscher, Lorenzo & Tamoni, Andrea, 2023. "Return predictability with endogenous growth," Journal of Financial Economics, Elsevier, vol. 150(3).
    144. Zhu, Min & Chen, Rui & Du, Ke & Wang, You-Gan, 2018. "Dividend growth and equity premium predictability," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 125-137.
    145. John R. Graham, 2022. "Presidential Address: Corporate Finance and Reality," Journal of Finance, American Finance Association, vol. 77(4), pages 1975-2049, August.
    146. Nieto, Belén & Rubio, Gonzalo, 2011. "The volatility of consumption-based stochastic discount factors and economic cycles," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2197-2216, September.
    147. Sarno, Lucio & Payne, Richard & Valente, Giorgio & Cenedese, Gino, 2015. "What Do Stock Markets Tell Us About Exchange Rates?," CEPR Discussion Papers 10685, C.E.P.R. Discussion Papers.
    148. Maio, Paulo, 2016. "Cross-sectional return dispersion and the equity premium," Journal of Financial Markets, Elsevier, vol. 29(C), pages 87-109.
    149. Daniel Andrei & Bruce Carlin & Michael Hasler, 2019. "Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles," Management Science, INFORMS, vol. 67(6), pages 2900-2923, June.
    150. Neuhierl, Andreas & Weber, Michael, 2019. "Monetary policy communication, policy slope, and the stock market," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 140-155.
    151. Moreira, Alan & Muir, Tyler, 2019. "Should Long-Term Investors Time Volatility?," Journal of Financial Economics, Elsevier, vol. 131(3), pages 507-527.
    152. Bijl, Laurens & Kringhaug, Glenn & Molnár, Peter & Sandvik, Eirik, 2016. "Google searches and stock returns," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 150-156.
    153. Stambaugh, Robert F. & Pástor, Luboš, 2007. "Predictive Systems: Living with Imperfect Predictors," CEPR Discussion Papers 6076, C.E.P.R. Discussion Papers.
    154. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.
    155. Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016. "Beliefs Aggregation and Return Predictability," Working Papers w0231, Center for Economic and Financial Research (CEFIR).
    156. Jukka Ilomaki & Hannu Laurila & Michael McAleer, 2018. "Simple Market Timing with Moving Averages," Tinbergen Institute Discussion Papers 18-048/III, Tinbergen Institute.
    157. Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
    158. Zhu, Min, 2013. "Return distribution predictability and its implications for portfolio selection," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 209-223.
    159. Rizi, Majid Haghani, 2021. "What moves housing markets: A state-space approach of the price-income ratio," International Economics, Elsevier, vol. 167(C), pages 96-107.
    160. Narayan, Paresh Kumar, 2019. "Can stale oil price news predict stock returns?," Energy Economics, Elsevier, vol. 83(C), pages 430-444.
    161. João Sousa & Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Eveidence from the euro area, the U.K and the U.S," NIPE Working Papers 21/2011, NIPE - Universidade do Minho.
    162. David Haab & Dr. Thomas Nitschka, 2017. "Predicting returns on asset markets of a small, open economy and the influence of global risks," Working Papers 2017-14, Swiss National Bank.
    163. Florian Schulz, 2016. "On the Timing and Pricing of Dividends: Comment," American Economic Review, American Economic Association, vol. 106(10), pages 3185-3223, October.
    164. Patrick Gagliardini & Diego Ronchetti, 2020. "Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 333-394.
    165. Lustig, Hanno & Verdelhan, Adrien, 2012. "Business cycle variation in the risk-return trade-off," Journal of Monetary Economics, Elsevier, vol. 59(S), pages 35-49.
    166. Ma, Jun & Wohar, Mark E., 2014. "Determining what drives stock returns: Proper inference is crucial: Evidence from the UK," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 371-390.
    167. Robin Greenwood & Andrei Shleifer, 2014. "Expectations of Returns and Expected Returns," The Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 714-746.
    168. Tom Engsted & Thomas Q. Pedersen, 2016. "The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?," CREATES Research Papers 2016-11, Department of Economics and Business Economics, Aarhus University.
    169. Nahida Akter & Ashadun Nobi, 2018. "Investigation of the Financial Stability of S&P 500 Using Realized Volatility and Stock Returns Distribution," JRFM, MDPI, vol. 11(2), pages 1-10, April.
    170. Gonzalo, Jesus & Pitarakis, Jean-Yves, 2010. "Regime Specific Predictability in Predictive Regressions," MPRA Paper 29190, University Library of Munich, Germany.
    171. Hammami, Yacine & Zhu, Jie, 2020. "Understanding time-varying short-horizon predictability✰," Finance Research Letters, Elsevier, vol. 32(C).
    172. Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    173. Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.
    174. Gene Amromin & Steven A. Sharpe, 2014. "From the Horse's Mouth: Economic Conditions and Investor Expectations of Risk and Return," Management Science, INFORMS, vol. 60(4), pages 845-866, April.
    175. Campbell, John & Thompson, Samuel P., 2008. "Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?," Scholarly Articles 2622619, Harvard University Department of Economics.
    176. Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, vol. 99(3), pages 560-580, March.
    177. Hsu, Po-Hsuan, 2009. "Technological innovations and aggregate risk premiums," Journal of Financial Economics, Elsevier, vol. 94(2), pages 264-279, November.
    178. Kuvshinov, Dmitry & Zimmermann, Kaspar, 2022. "The big bang: Stock market capitalization in the long run," Journal of Financial Economics, Elsevier, vol. 145(2), pages 527-552.
    179. Olivier Jean Blanchard & Christopher G. Collins & Mohammad Jahan-Parvar & Thomas Pellet & Beth Anne Wilson, 2018. "Why Has the Stock Market Risen So Much Since the US Presidential Election?," International Finance Discussion Papers 1235, Board of Governors of the Federal Reserve System (U.S.).
    180. Ralph S.J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "The Cross-Section and Time-Series of Stock and Bond Returns," NBER Working Papers 15688, National Bureau of Economic Research, Inc.
    181. Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2016. "Predictability Hidden by Anomalous Observations," Papers 1612.05072, arXiv.org.
    182. Iraola, Miguel A. & Santos, Manuel S., 2017. "Asset price volatility, price markups, and macroeconomic fluctuations," Journal of Monetary Economics, Elsevier, vol. 90(C), pages 84-98.
    183. Botshekan, Mahmoud & Lucas, André, 2017. "Long-Term versus Short-Term Contingencies in Asset Allocation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(5), pages 2277-2303, October.
    184. Xyngis, Georgios, 2017. "Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 43-65.
    185. Jaime Casassus & Freddy Higuera, 2011. "Stock Return Predictability and Oil Prices," Documentos de Trabajo 406, Instituto de Economia. Pontificia Universidad Católica de Chile..
    186. Neri, Marcelo Côrtes, 2014. "Brazil's middle classes," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 759, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    187. Carter Davis, 2023. "The Elasticity of Quantitative Investment," Papers 2303.14533, arXiv.org.
    188. Hongye Guo & Jessica A. Wachter, 2019. ""Superstitious" Investors," NBER Working Papers 25603, National Bureau of Economic Research, Inc.
    189. Ferre de Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters, 2009. "Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model," DEM Discussion Paper Series 09-17, Department of Economics at the University of Luxembourg.
    190. Chen, Sichong, 2012. "The predictability of aggregate Japanese stock returns: Implications of dividend yield," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 284-304.
    191. Gonçalo Faria & Fabio Verona, 2017. "Forecasting stock market returns by summing the frequency-decomposed parts," CEF.UP Working Papers 1702, Universidade do Porto, Faculdade de Economia do Porto.
    192. Johannes Muhle-Karbe & Max Reppen & H. Mete Soner, 2016. "A Primer on Portfolio Choice with Small Transaction Costs," Papers 1612.01302, arXiv.org, revised May 2017.
    193. Yu Chen & Thomas Cosimano & Alex Himonas, 2010. "Continuous time one-dimensional asset-pricing models with analytic price–dividend functions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 42(3), pages 461-503, March.
    194. Francesco Chincoli & Massimo Guidolin, 2017. "Linear and nonlinear predictability in investment style factors: multivariate evidence," Journal of Asset Management, Palgrave Macmillan, vol. 18(6), pages 476-509, October.
    195. Chen, Yong & Da, Zhi & Huang, Dayong, 2022. "Short selling efficiency," Journal of Financial Economics, Elsevier, vol. 145(2), pages 387-408.
    196. Bertrand Candelon & Jameel Ahmed & Stefan Straetmans, 2014. "Predicting and Capitalizing on Stock Market Bears in the U.S," Working Papers 2014-409, Department of Research, Ipag Business School.
    197. Samuel YM Ze‐To, 2022. "Fundamental index aligned and excess market return predictability," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 592-614, April.
    198. Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2010. "Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices," IDEI Working Papers 636, Institut d'Économie Industrielle (IDEI), Toulouse.
    199. Mahdi Moradi & Mehdi Jabbari Nooghabi & Mohammad Mahdi Rounaghi, 2021. "Investigation of fractal market hypothesis and forecasting time series stock returns for Tehran Stock Exchange and London Stock Exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 662-678, January.
    200. McMillan, David G., 2014. "Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 90-101.
    201. Giulia Dal Pra & Massimo Guidolin & Manuela Pedio & Fabiola Vasile, 2016. "Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis," BAFFI CAREFIN Working Papers 1637, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    202. Victoria Atanasov & Stig V. Møller & Richard Priestley, 2020. "Consumption Fluctuations and Expected Returns," Journal of Finance, American Finance Association, vol. 75(3), pages 1677-1713, June.
    203. Yung, Julieta, 2021. "Can interest rate factors explain exchange rate fluctuations?," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 34-56.
    204. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Tran, Vuong Thao, 2018. "Can economic policy uncertainty predict stock returns? Global evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 134-150.
    205. Weijia Peng & Chun Yao, 2023. "Sector-level equity returns predictability with machine learning and market contagion measure," Empirical Economics, Springer, vol. 65(4), pages 1761-1798, October.
    206. Maik Schmeling & Andreas Schrimpf, 2008. "Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?," SFB 649 Discussion Papers SFB649DP2008-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    207. Baetje, Fabian & Menkhoff, Lukas, 2013. "Macro determinants of U.S. stock market risk premia in bull and bear markets," Hannover Economic Papers (HEP) dp-520, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    208. Andrew Detzel & Hong Liu & Jack Strauss & Guofu Zhou & Yingzi Zhu, 2021. "Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard‐to‐value fundamentals," Financial Management, Financial Management Association International, vol. 50(1), pages 107-137, March.
    209. Herculano, Miguel C. & Lütkebohmert, Eva, 2023. "Investor sentiment and global economic conditions," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 134-152.
    210. Narayan, Paresh Kumar & Narayan, Seema & Phan, Dinh Hoang Bach, 2022. "Terrorism and international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    211. Li, Jun & Yu, Jianfeng, 2012. "Investor attention, psychological anchors, and stock return predictability," Journal of Financial Economics, Elsevier, vol. 104(2), pages 401-419.
    212. Chen, Zhonglu & Zhang, Li & Weng, Chen, 2023. "Does climate policy uncertainty affect Chinese stock market volatility?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 369-381.
    213. Alexandridis, Antonios K. & Apergis, Iraklis & Panopoulou, Ekaterini & Voukelatos, Nikolaos, 2023. "Equity premium prediction: The role of information from the options market," Journal of Financial Markets, Elsevier, vol. 64(C).
    214. Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2022. "Predicting returns and dividend growth — The role of non-Gaussian innovations," Finance Research Letters, Elsevier, vol. 46(PA).
    215. Jiang, Fuwei & Lee, Joshua & Martin, Xiumin & Zhou, Guofu, 2019. "Manager sentiment and stock returns," Journal of Financial Economics, Elsevier, vol. 132(1), pages 126-149.
    216. Hamidi Sahneh, Mehdi, 2017. "News, Noise, and Tests of Present Value Models," MPRA Paper 82715, University Library of Munich, Germany.
    217. Roman Kraeussl & Christian Wiehenkamp, 2012. "A call on art investments," Review of Derivatives Research, Springer, vol. 15(1), pages 1-23, April.
    218. Dotsis, George, 2017. "The market price of risk of the variance term structure," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 41-52.
    219. Peter C.B. Phillips & Ye Chen, "undated". "Restricted Likelihood Ratio Tests in Predictive Regression," Cowles Foundation Discussion Papers 1968, Cowles Foundation for Research in Economics, Yale University.
    220. Miguel A. Iraola & Manuel S. Santos, 2009. "Long Term Asset Price Volatility and Macroeconomic Fluctuations," Working Papers 2010-1, University of Miami, Department of Economics.
    221. Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
    222. Valentin Haddad & Erik Loualiche & Matthew Plosser, 2016. "Buyout Activity: The Impact of Aggregate Discount Rates," NBER Working Papers 22414, National Bureau of Economic Research, Inc.
    223. Paolo Guasoni & Kwok Chuen Wong, 2020. "Asset prices in segmented and integrated markets," Finance and Stochastics, Springer, vol. 24(4), pages 939-980, October.
    224. José Afonso Faias & Tiago Castel-Branco, 2018. "Out-Of-Sample Stock Return Prediction Using Higher-Order Moments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-27, September.
    225. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "International Tail Risk and World Fear," Hannover Economic Papers (HEP) dp-620, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    226. Michael Johannes & Arthur Korteweg & Nicholas Polson, 2014. "Sequential Learning, Predictability, and Optimal Portfolio Returns," Journal of Finance, American Finance Association, vol. 69(2), pages 611-644, April.
    227. Hoevenaars, Roy P.M.M. & Molenaar, Roderick D.J. & Schotman, Peter C. & Steenkamp, Tom B.M., 2008. "Strategic asset allocation with liabilities: Beyond stocks and bonds," Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2939-2970, September.
    228. Ball, Ray & Sadka, Gil, 2015. "Aggregate earnings and why they matter," Journal of Accounting Literature, Elsevier, vol. 34(C), pages 39-57.
    229. Ifrim, Adrian, 2023. "Sentimental Discount Rate Shocks," EconStor Preprints 268363, ZBW - Leibniz Information Centre for Economics.
    230. Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
    231. da Costa, Carlos E. & Issler, João V. & Matos, Paulo F., 2015. "A Note On The Forward And The Equity Premium Puzzles: Two Symptoms Of The Same Illness?," Macroeconomic Dynamics, Cambridge University Press, vol. 19(2), pages 446-464, March.
    232. John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
    233. Golez, Benjamin & Koudijs, Peter, 2018. "Four centuries of return predictability," Journal of Financial Economics, Elsevier, vol. 127(2), pages 248-263.
    234. Giuseppe Alesii, 2006. "Fundamentals Efficiency of the Italian Stock Market: Some Long Run Evidence," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 5(3), pages 245-264, December.
    235. Martin, Ian, 2016. "What is the expected return on the market?," LSE Research Online Documents on Economics 119013, London School of Economics and Political Science, LSE Library.
    236. Nazliben, K. Korhan & Rodríguez, Juan Carlos, 2018. "Permanent shocks, signal extraction, and portfolio selection," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 47-68.
    237. Guidolin, Massimo & McMillan, David G. & Wohar, Mark E., 2013. "Time varying stock return predictability: Evidence from US sectors," Finance Research Letters, Elsevier, vol. 10(1), pages 34-40.
    238. van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
    239. Lawrenz, Jochen & Zorn, Josef, 2017. "Predicting international stock returns with conditional price-to-fundamental ratios," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 159-184.
    240. Lin, Qi & Lin, Xi, 2021. "Cash conversion cycle and aggregate stock returns," Journal of Financial Markets, Elsevier, vol. 52(C).
    241. Karim M. Abadir & Gabriel Talmain, 2012. "Beyond Co-Integration: Modelling Co-Movements in Macro finance," Working Paper series 25_12, Rimini Centre for Economic Analysis.
    242. Chiarella, Carl & He, Xue-Zhong & Zwinkels, Remco C.J., 2014. "Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500," Journal of Economic Behavior & Organization, Elsevier, vol. 105(C), pages 1-16.
    243. Pierlauro Lopez, 2017. "Online Appendix to "A New Keynesian Q Theory and the Link Between Inflation and the Stock Market"," Online Appendices 16-134, Review of Economic Dynamics.
    244. Zhang, Li & Wang, Lu & Wang, Xunxiao & Zhang, Yaojie & Pan, Zhigang, 2022. "How macro-variables drive crude oil volatility? Perspective from the STL-based iterated combination method," Resources Policy, Elsevier, vol. 77(C).
    245. Hirshleifer, David & Li, Jun & Yu, Jianfeng, 2015. "Asset pricing in production economies with extrapolative expectations," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 87-106.
    246. Ricardo De La O & Sean Myers, 2021. "Subjective Cash Flow and Discount Rate Expectations," Journal of Finance, American Finance Association, vol. 76(3), pages 1339-1387, June.
    247. Wolfgang Drobetz & Rebekka Haller & Christian Jasperneite & Tizian Otto, 2019. "Predictability and the cross section of expected returns: evidence from the European stock market," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 508-533, December.
    248. Lyle, Matthew R. & Wang, Charles C.Y., 2015. "The cross section of expected holding period returns and their dynamics: A present value approach," Journal of Financial Economics, Elsevier, vol. 116(3), pages 505-525.
    249. Engsted, Tom & Pedersen, Thomas Q., 2012. "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 241-253.
    250. David G. McMillan, 2021. "Forecasting sector stock market returns," Journal of Asset Management, Palgrave Macmillan, vol. 22(4), pages 291-300, July.
    251. Deshui Yu & Yayi Yan, 2023. "Joint dynamics of stock returns and cash flows: A time‐varying present‐value framework," Financial Management, Financial Management Association International, vol. 52(3), pages 513-541, September.
    252. 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.
    253. Roberto Marfè, 2015. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 407, Collegio Carlo Alberto.
    254. Barras, Laurent, 2019. "A large-scale approach for evaluating asset pricing models," Journal of Financial Economics, Elsevier, vol. 134(3), pages 549-569.
    255. Engsted, Tom & Pedersen, Thomas Q., 2014. "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 91-103.
    256. Basak, Suryoday & Kar, Saibal & Saha, Snehanshu & Khaidem, Luckyson & Dey, Sudeepa Roy, 2019. "Predicting the direction of stock market prices using tree-based classifiers," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 552-567.
    257. Marcel Lever & Ilja Boelaars & Ryanne Cox & Roel Mehlkopf, 2015. "The allocation of financial risks during the life cycle in individual and collective DC pension contracts," CPB Discussion Paper 317, CPB Netherlands Bureau for Economic Policy Analysis.
    258. Atanasov, Victoria, 2021. "Unemployment and aggregate stock returns," Journal of Banking & Finance, Elsevier, vol. 129(C).
    259. David G. McMillan & Mark E. Wohar, 2010. "Stock return predictability and dividend-price ratio: a nonlinear approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 351-365.
    260. McMillan, David G., 2009. "Revisiting dividend yield dynamics and returns predictability: Evidence from a time-varying ESTR model," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 870-883, August.
    261. Sharma, Susan Sunila & Narayan, Paresh Kumar, 2022. "Technology shocks and stock returns: A long-term perspective," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 67-83.
    262. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2017. "Predictability and diversification benefits of investing in commodity and currency futures," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 52-66.
    263. Ilias Tsiakas & Jiahan Li & Haibin Zhang, 2020. "Equity Premium Prediction and the State of the Economy," Working Paper series 20-16, Rimini Centre for Economic Analysis.
    264. Michael Hasler & Charles Martineau, 2023. "Explaining the Failure of the Unconditional CAPM with the Conditional CAPM," Management Science, INFORMS, vol. 69(3), pages 1835-1855, March.
    265. David R. Haab & Thomas Nitschka, 2019. "What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 155(1), pages 1-17, December.
    266. Lee, Hyun-Tak & Lee, Bong-Soo & Jang, Bong-Gyu, 2022. "Stock prices, changes in liquidity, and liquidity premia," Finance Research Letters, Elsevier, vol. 48(C).
    267. Zhang, Yaojie & He, Mengxi & Wen, Danyan & Wang, Yudong, 2023. "Forecasting crude oil price returns: Can nonlinearity help?," Energy, Elsevier, vol. 262(PB).
    268. Yoshio Nozawa, 2014. "What Drives the Cross-Section of Credit Spreads?: A Variance Decomposition Approach," Finance and Economics Discussion Series 2014-62, Board of Governors of the Federal Reserve System (U.S.).
    269. James R. Barth & Sunghoon Joo & Hyeongwoo Kim & Kang Bok Lee & Stevan Maglic & Xuan Shen, 2020. "Forecasting Net Charge-Off Rates of Banks: A PLS Approach," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 63, pages 2265-2301, World Scientific Publishing Co. Pte. Ltd..
    270. Ruan, Qingsong & Wang, Zilin & Zhou, Yaping & Lv, Dayong, 2020. "A new investor sentiment indicator (ISI) based on artificial intelligence: A powerful return predictor in China," Economic Modelling, Elsevier, vol. 88(C), pages 47-58.
    271. Tom Engsted, 2009. "Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak," CREATES Research Papers 2009-17, Department of Economics and Business Economics, Aarhus University.
    272. Mete Kilic & Ivan Shaliastovich, 2019. "Good and Bad Variance Premia and Expected Returns," Management Science, INFORMS, vol. 67(6), pages 2522-2544, June.
    273. Eduardo Walker, 2016. "Cost of Capital in Emerging Markets: Bridging Gaps between Theory and Practice," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 53(1), pages 111-147, December.
    274. Zhu, Yingzi & Zhou, Guofu, 2009. "Technical analysis: An asset allocation perspective on the use of moving averages," Journal of Financial Economics, Elsevier, vol. 92(3), pages 519-544, June.
    275. Maynard, Alex & Ren, Dongmeng, 2019. "The finite sample power of long-horizon predictive tests in models with financial bubbles," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 418-430.
    276. Jonathan Fletcher & Patricia Ntozi-Obwale, 2009. "Exploring the Conditional Performance of U.K. Unit Trusts," Journal of Financial Services Research, Springer;Western Finance Association, vol. 36(1), pages 21-44, August.
    277. Tao Chen, 2018. "Does Investor Attention Matter To Renminbi Trading?," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 63(03), pages 667-689, June.
    278. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, vol. 102(6), pages 2734-2766, October.
    279. Jiang, Danling, 2013. "The second moment matters! Cross-sectional dispersion of firm valuations and expected returns," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3974-3992.
    280. Rojo-Suárez, Javier & Alonso-Conde, Ana B. & Gonzalez-Ruiz, Juan David, 2024. "Does sustainability improve financial performance? An analysis of Latin American oil and gas firms," Resources Policy, Elsevier, vol. 88(C).
    281. Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019. "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 43-58.
    282. Tom Engsted & Thomas Q. Pedersen, 2018. "Disappearing money illusion," CREATES Research Papers 2018-24, Department of Economics and Business Economics, Aarhus University.
    283. Mykola Babiak & Jozef Barunik, 2020. "Deep Learning, Predictability, and Optimal Portfolio Returns," CERGE-EI Working Papers wp677, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    284. Bohl, Martin T. & Pütz, Alexander & Sulewski, Christoph, 2021. "Speculation and the informational efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 23(C).
    285. Ferrer Fernández, María & Henry, Ólan & Pybis, Sam & Stamatogiannis, Michalis P., 2023. "Can we forecast better in periods of low uncertainty? The role of technical indicators," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 1-12.
    286. Gelain, Paolo & Iskrev, Nikolay & J. Lansing, Kevin & Mendicino, Caterina, 2019. "Inflation dynamics and adaptive expectations in an estimated DSGE model," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 258-277.
    287. Mensi, Walid & Hammoudeh, Shawkat & Reboredo, Juan Carlos & Nguyen, Duc Khuong, 2014. "Do global factors impact BRICS stock markets? A quantile regression approach," Emerging Markets Review, Elsevier, vol. 19(C), pages 1-17.
    288. David G. McMillan, 2016. "Stock return predictability and market integration: The role of global and local information," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1178363-117, December.
    289. Anthony M. Diercks & William Waller, 2017. "Taxes and the Fed : Theory and Evidence from Equities," Finance and Economics Discussion Series 2017-104, Board of Governors of the Federal Reserve System (U.S.).
    290. Stephan Jank, 2015. "Changes in the Composition of Publicly Traded Firms: Implications for the Dividend-Price Ratio and Return Predictability," Management Science, INFORMS, vol. 61(6), pages 1362-1377, June.
    291. Huang, Darien & Kilic, Mete, 2019. "Gold, platinum, and expected stock returns," Journal of Financial Economics, Elsevier, vol. 132(3), pages 50-75.
    292. Mihai, Marius M., 2022. "The commercial bank leverage factor in U.S. asset prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 156-171.
    293. Chen, Long, 2009. "On the reversal of return and dividend growth predictability: A tale of two periods," Journal of Financial Economics, Elsevier, vol. 92(1), pages 128-151, April.
    294. Szymon Lis, 2022. "Investor Sentiment in Asset Pricing Models: A Review," Working Papers 2022-14, Faculty of Economic Sciences, University of Warsaw.
    295. Zhang, Han, 2021. "An inflation-based ICAPM in China," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    296. Zhu, Xiaoneng & Zhu, Jie, 2013. "Predicting stock returns: A regime-switching combination approach and economic links," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4120-4133.
    297. Travis L Johnson, 2019. "A Fresh Look at Return Predictability Using a More Efficient Estimator," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 9(1), pages 1-46.
    298. Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein, 2012. "Endogenous Dividend Dynamics and the Term Structure of Dividend Strips," NBER Working Papers 18450, National Bureau of Economic Research, Inc.
    299. George Chalamandaris & Leonidas S. Rompolis, 2021. "Recovering the market risk premium from higher‐order moment risks," European Financial Management, European Financial Management Association, vol. 27(1), pages 147-186, January.
    300. Tong Fang & Zhi Su & Libo Yin, 2021. "Does the green inspiration effect matter for stock returns? Evidence from the Chinese stock market," Empirical Economics, Springer, vol. 60(5), pages 2155-2176, May.
    301. Guanhao Feng & Nicholas Polson, 2020. "Regularizing Bayesian predictive regressions," Journal of Asset Management, Palgrave Macmillan, vol. 21(7), pages 591-608, December.
    302. Paskalis Glabadanidis, 2014. "The Market Timing Power of Moving Averages: Evidence from US REITs and REIT Indexes," International Review of Finance, International Review of Finance Ltd., vol. 14(2), pages 161-202, June.
    303. David le Bris & William N. Goetzmann & Sébastien Pouget, 2014. "Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946," NBER Working Papers 20199, National Bureau of Economic Research, Inc.
    304. Lee, Hyun-Tak, 2016. "Dynamic consumption and portfolio choice with permanent learning," Finance Research Letters, Elsevier, vol. 19(C), pages 112-118.
    305. Vassilis Polimenis & Ioannis Neokosmidis, 2019. "Non-stationary dividend-price ratios," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 552-567, December.
    306. Baur, Dirk G. & Löffler, Gunter, 2015. "Predicting the equity premium with the demand for gold coins and bars," Finance Research Letters, Elsevier, vol. 13(C), pages 172-178.
    307. Cheolbeom Park & Dong-hun Shin, 2014. "Stock Market Predictability: Global Evidence and an Explanation," Discussion Paper Series 1405, Institute of Economic Research, Korea University.
    308. Eduard Baitinger, 2021. "Forecasting asset returns with network‐based metrics: A statistical and economic analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1342-1375, November.
    309. Junyu Zhang & Xinfeng Ruan & Jin E. Zhang, 2023. "Risk‐neutral moments and return predictability: International evidence," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(5), pages 1086-1111, August.
    310. Kroujiline, Dimitri & Gusev, Maxim & Ushanov, Dmitry & Sharov, Sergey V. & Govorkov, Boris, 2015. "Forecasting stock market returns over multiple time horizons," MPRA Paper 66175, University Library of Munich, Germany.
    311. Møller, Stig V. & Sander, Magnus, 2017. "Dividends, earnings, and predictability," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 153-163.
    312. Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016. "Beliefs Aggregation and Return Predictability," Working Papers w0231, New Economic School (NES).
    313. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 328-383, Elsevier.
    314. Tom Engsted, 2014. "Fama on bubbles," CREATES Research Papers 2014-28, Department of Economics and Business Economics, Aarhus University.
    315. Bakshi, Gurdip & Panayotov, George & Skoulakis, Georgios, 2011. "Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios," Journal of Financial Economics, Elsevier, vol. 100(3), pages 475-495, June.
    316. Algaba, Andres & Boudt, Kris, 2017. "Generalized financial ratios to predict the equity premium," Economic Modelling, Elsevier, vol. 66(C), pages 244-257.
    317. Ruey-Shii Chen & Tai-Wei Zhang, 2018. "Dividend cuts and predictability," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(2), pages 249-267, April.
    318. Gene Amromin & Steven A. Sharpe, 2012. "From the horse’s mouth: how do investor expectations of risk and return vary with economic conditions?," Working Paper Series WP-2012-08, Federal Reserve Bank of Chicago.
    319. Gebka, Bartosz & Wohar, Mark E., 2019. "Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 1-25.
    320. Simon Oh & Jessica A. Wachter, 2018. "Cross-sectional Skewness," NBER Working Papers 25113, National Bureau of Economic Research, Inc.
    321. Chen, Zhanhui, 2016. "Time-to-produce, inventory, and asset prices," Journal of Financial Economics, Elsevier, vol. 120(2), pages 330-345.
    322. Mehmet Sahiner, 2022. "Forecasting volatility in Asian financial markets: evidence from recursive and rolling window methods," SN Business & Economics, Springer, vol. 2(10), pages 1-74, October.
    323. Gusev, Maxim & Kroujiline, Dimitri & Govorkov, Boris & Sharov, Sergey V. & Ushanov, Dmitry & Zhilyaev, Maxim, 2014. "Predictable markets? A news-driven model of the stock market," MPRA Paper 58831, University Library of Munich, Germany.
    324. Noman, Abdullah & Naka, Atsuyuki & Zirek, Duygu, 2017. "Examining return predictability of industry style portfolios with prior return relative to a benchmark," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 193-203.
    325. Glenn Otto & Nigel Stapledon, 2017. "How Predictable? Rent Growth and Returns in Sydney and Melbourne Housing Markets," Discussion Papers 2017-01, School of Economics, The University of New South Wales.
    326. Thampanya, Natthinee & Wu, Junjie & Nasir, Muhammad Ali & Liu, Jia, 2020. "Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    327. Rytchkov, Oleg, 2010. "Expected returns on value, growth, and HML," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 552-565, September.
    328. Lan, Chunhua & Doan, Bao, 2022. "Stock price movements: Evidence from global equity markets," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 123-143.
    329. Brückbauer, Frank, 2022. "Do financial market experts know their theory? New evidence from survey data," ZEW Discussion Papers 20-092, ZEW - Leibniz Centre for European Economic Research, revised 2022.
    330. Yu, Deshui & Huang, Difang, 2023. "Cross-sectional uncertainty and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 321-340.
    331. Paolo Guasoni & Johannes Muhle-Karbe, 2012. "Portfolio Choice with Transaction Costs: a User's Guide," Papers 1207.7330, arXiv.org.
    332. Carlo A. Favero & Andrea Tamoni, 2010. "Demographics and the Econometrics of the Term Structure of Stock Market Risk," Working Papers 367, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    333. Andrea Berardi & Michael Markovich & Alberto Plazzi & Andrea Tamoni, 2021. "Mind the (Convergence) Gap: Bond Predictability Strikes Back!," Management Science, INFORMS, vol. 67(12), pages 7888-7911, December.
    334. Bleher, Johannes & Dimpfl, Thomas, 2019. "Today I got a million, tomorrow, I don't know: On the predictability of cryptocurrencies by means of Google search volume," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 147-159.
    335. McMillan, David G., 2019. "Stock return predictability: Using the cyclical component of the price ratio," Research in International Business and Finance, Elsevier, vol. 48(C), pages 228-242.
    336. Kuvshinov, Dmitry & Zimmermann, Kaspar, 2020. "The Expected Return on Risky Assets: International Long-run Evidence," CEPR Discussion Papers 15610, C.E.P.R. Discussion Papers.
    337. Wolfgang Drobetz & Tizian Otto, 2021. "Empirical asset pricing via machine learning: evidence from the European stock market," Journal of Asset Management, Palgrave Macmillan, vol. 22(7), pages 507-538, December.
    338. Stefano Giglio & Bryan Kelly, 2018. "Excess Volatility: Beyond Discount Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 133(1), pages 71-127.
    339. Atanasov, Victoria, 2018. "World output gap and global stock returns," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 181-197.
    340. Yu, Deshui & Chen, Li & Li, Luyang, 2023. "Time-varying predictability of the long horizon equity premium based on semiparametric regressions," Economics Letters, Elsevier, vol. 224(C).
    341. Longstaff, Francis A., 2010. "The subprime credit crisis and contagion in financial markets," Journal of Financial Economics, Elsevier, vol. 97(3), pages 436-450, September.
    342. Branger, Nicole & Grüning, Patrick & Kraft, Holger & Meinerding, Christoph, 2013. "Asset pricing under uncertainty about shock propagation," SAFE Working Paper Series 34, Leibniz Institute for Financial Research SAFE.
    343. Xiaoji Lin & Ding Luo & Andres Donangelo & Frederico Belo, 2017. "Labor Hiring, Aggregate Dividends, and Return Predictability in the Time Series," 2017 Meeting Papers 885, Society for Economic Dynamics.
    344. Maio, Paulo & Zeng, Ming, 2023. "On the driving forces of real exchange rates: Is the Japanese Yen different?," Journal of Empirical Finance, Elsevier, vol. 74(C).
    345. David I. Harvey & Stephen J. Leybourne & Robert Sollis & A.M. Robert Taylor, 2021. "Real‐time detection of regimes of predictability in the US equity premium," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(1), pages 45-70, January.
    346. Long Chen & Zhi Da & Borja Larrain, 2016. "What Moves Investment Growth?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(8), pages 1613-1653, December.
    347. Michael W. McCracken & Giorgio Valente, 2012. "Asymptotic Inference for Performance Fees and the Predictability of Asset Returns," Working Papers 2012-049, Federal Reserve Bank of St. Louis.
    348. Kim, Hyeongwoo, 2009. "On the usefulness of the contrarian strategy across national stock markets: A grid bootstrap analysis," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 734-744, December.
    349. Afiruddin Tapa* & Mohd Hasimi Yaacob & Ahmad Husni Hamzah & Yean Soh Chuen, 2018. "Trading Performance Analysis: A Comparisons Between the Original MA Crossover and Modified MA Crossover Strategy," The Journal of Social Sciences Research, Academic Research Publishing Group, pages 933-941:6.
    350. Palani-Rajan Kadapakkam & Timothy Krause & Yiuman Tse, 2013. "Exchange Traded Funds, Size-Based Portfolios, And Market Efficiency," Working Papers 0214fin, College of Business, University of Texas at San Antonio.
    351. Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, Department of Economics and Business Economics, Aarhus University.
    352. Ralph S. J. Koijen & Juan Carlos Rodríguez & Alessandro Sbuelz, 2009. "Momentum and Mean Reversion in Strategic Asset Allocation," Management Science, INFORMS, vol. 55(7), pages 1199-1213, July.
    353. Maio, Paulo & Santa-Clara, Pedro, 2012. "Multifactor models and their consistency with the ICAPM," Journal of Financial Economics, Elsevier, vol. 106(3), pages 586-613.
    354. Veronesi, Pietro & Nozawa, Yoshio & Culp, Christopher L., 2014. "Option-Based Credit Spreads," CEPR Discussion Papers 10318, C.E.P.R. Discussion Papers.
    355. Dennis Umlandt, 2020. "Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models," Working Paper Series 2020-06, University of Trier, Research Group Quantitative Finance and Risk Analysis.
    356. Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Discussion Papers 46/2020, Deutsche Bundesbank.
    357. Efstathios Avdis & Jessica A. Wachter, 2013. "Maximum likelihood estimation of the equity premium," NBER Working Papers 19684, National Bureau of Economic Research, Inc.
    358. McMillan, David G., 2019. "Predicting firm level stock returns: Implications for asset pricing and economic links," The British Accounting Review, Elsevier, vol. 51(4), pages 333-351.
    359. Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019. "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, vol. 132(3), pages 182-204.
    360. Yu, Deshui & Huang, Difang & Chen, Li, 2023. "Stock return predictability and cyclical movements in valuation ratios," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 36-53.
    361. Zhou, Guofu, 2010. "How much stock return predictability can we expect from an asset pricing model?," Economics Letters, Elsevier, vol. 108(2), pages 184-186, August.
    362. Favero, Carlo A. & Tamoni, Andrea & Ortu, Fulvio & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
    363. Ludvigson, Sydney C., 2013. "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 799-906, Elsevier.
    364. Cenesizoglu, Tolga, 2022. "Return decomposition over the business cycle," Journal of Banking & Finance, Elsevier, vol. 143(C).
    365. Jing Tian & Qing Zhou, 2018. "Improving equity premium forecasts by incorporating structural break uncertainty," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 619-656, November.
    366. Stacey Beaumont & Raluca Ratiu & David Reeb & Glenn Boyle & Philip Brown & Alexander Szimayer & Raymond Silva Rosa & David Hillier & Patrick McColgan & Athanasios Tsekeris & Bryan Howieson & Zoltan Ma, 2016. "Comments on Shan and Walter: ‘Towards a Set of Design Principles for Executive Compensation Contracts’," Abacus, Accounting Foundation, University of Sydney, vol. 52(4), pages 685-771, December.
    367. Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen, 2013. "Can US economic variables predict the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 69-87.
    368. Dladla, Pholile & Malikane, Christopher, 2019. "Stock return predictability: Evidence from a structural model," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 412-424.
    369. Dai, Zhifeng & Zhou, Huiting & Kang, Jie & Wen, Fenghua, 2021. "The skewness of oil price returns and equity premium predictability," Energy Economics, Elsevier, vol. 94(C).
    370. Amélie Charles & Olivier Darné & Jae H Kim, 2017. "International Stock Return Predictability: Evidence from New Statistical Tests," Post-Print hal-01626101, HAL.
    371. Schmid, Lukas & Croce, Mariano & Raymond, Steve & Nguyen, Thiên Tung, 2018. "Government Debt and the Returns to Innovation," CEPR Discussion Papers 12617, C.E.P.R. Discussion Papers.
    372. Boons, M.F., 2014. "Sorting out commodity and macroeconomic risk in expected stock returns," Other publications TiSEM 1ebdac58-bf37-499d-8835-1, Tilburg University, School of Economics and Management.
    373. Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.
    374. Chen, Qinhua & Chi, Yeguang & Qiao, Xiao, 2020. "Follow the smart money: Factor forecasting in China," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    375. Long Chen & Zhi Da & Richard Priestley, 2012. "Dividend Smoothing and Predictability," Management Science, INFORMS, vol. 58(10), pages 1834-1853, October.
    376. Robert Ferstl & Alex Weissensteiner, 2010. "Backtesting short-term treasury management strategies based on multi-stage stochastic programming," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 94-112, June.
    377. J. Bradford DeLong & Konstantin Magin, 2009. "The U.S. Equity Return Premium: Past, Present, and Future," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 193-208, Winter.
    378. Bovenberg, A.L. & Koijen, R.S.J. & Nijman, T.E. & Teulings, C.N., 2007. "Saving and investing over the life cycle and the role of collective pension funds," Other publications TiSEM 6eab1341-eda5-4f21-8c06-8, Tilburg University, School of Economics and Management.
    379. Eric Jondeau & Michael Rockinger, 2019. "Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(8), pages 2239-2291, December.
    380. Albert S. Kyle & Anna A. Obizhaeva & Yajun Wang, 2023. "Beliefs Aggregation and Return Predictability," Journal of Finance, American Finance Association, vol. 78(1), pages 427-486, February.
    381. Cakici, Nusret & Zaremba, Adam, 2023. "Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns," Journal of Banking & Finance, Elsevier, vol. 149(C).
    382. Camba-Méndez, Gonzalo, 2020. "On the inflation risks embedded in sovereign bond yields," Working Paper Series 2423, European Central Bank.
    383. Gunter Löffler, 2013. "Tower Building And Stock Market Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(3), pages 413-434, September.
    384. Dai, Zhifeng & Kang, Jie & Wen, Fenghua, 2021. "Predicting stock returns: A risk measurement perspective," International Review of Financial Analysis, Elsevier, vol. 74(C).
    385. Zhang, Han & Fan, Xiaoyun & Guo, Bin & Zhang, Wei, 2019. "Reexamining time-varying bond risk premia in the post-financial crisis era," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
    386. Guanhao Feng & Jingyu He, 2019. "Factor Investing: A Bayesian Hierarchical Approach," Papers 1902.01015, arXiv.org, revised Sep 2020.
    387. Satadru Hore, 2015. "Equilibrium Predictability, Term Structure of Equity Premia, and Other Return Characteristics," Review of Finance, European Finance Association, vol. 19(1), pages 423-466.
    388. Gozluklu, Arie & Morin, Annaïg, 2019. "Stock vs. Bond yields and demographic fluctuations," Journal of Banking & Finance, Elsevier, vol. 109(C).
    389. Turtle, H.J. & Wang, Kainan, 2016. "The benefits of improved covariance estimation," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 233-246.

  21. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.

    Cited by:

    1. Kalyvitis Sarantis & Panopoulou Ekaterini, 2013. "Estimating C-CAPM and the equity premium over the frequency domain," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(5), pages 551-571, December.
    2. Bianconi, Marcelo & Yoshino, Joe A., 2012. "Firm Market Performance and Volatility in a National Real Estate Sector," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 230-253.
    3. Baltzer, Markus & Koehl, Alexandra & Reitz, Stefan, 2019. "Procyclical leverage in Europe and its role in asset pricing," Discussion Papers 10/2019, Deutsche Bundesbank.
    4. Bernard Dumas & Marcel R. Savioz, 2020. "A theory of the nominal character of stock securities," Working Papers 2020-03, Swiss National Bank.
    5. Vivian, Andrew & Wohar, Mark E., 2013. "The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 40-50.
    6. Alex Chinco & Samuel M. Hartzmark & Abigail B. Sussman, 2022. "A New Test of Risk Factor Relevance," Journal of Finance, American Finance Association, vol. 77(4), pages 2183-2238, August.
    7. Schrimpf, Andreas, 2008. "International Stock Return Predictability Under Model Uncertainty," ZEW Discussion Papers 08-048, ZEW - Leibniz Centre for European Economic Research.
    8. Yogo Purwono & Irwan Adi Ekaputra & Zaäfri Ananto Husodo, 2018. "Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments," Computational Economics, Springer;Society for Computational Economics, vol. 51(2), pages 295-321, February.
    9. Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers 102006, Hong Kong Institute for Monetary Research.
    10. Mikael C. Bergbrant & Patrick J. Kelly, 2015. "Macroeconomic Expectations and the Size, Value and Momentum Factors," Working Papers w0214, New Economic School (NES).
    11. Aase, Knut K., 2015. "The equity premium in a production economy; A new perspective involving recursive utility," Discussion Papers 2015/15, Norwegian School of Economics, Department of Business and Management Science.
    12. Patrizio Pagano & Massimiliano Pisani, 2006. "Risk-Adjusted Forecasts of Oil Prices," Temi di discussione (Economic working papers) 585, Bank of Italy, Economic Research and International Relations Area.
    13. Bai, Hang & Hou, Kewei & Kung, Howard & Li, Erica X.N. & Zhang, Lu, 2019. "The CAPM strikes back? An equilibrium model with disasters," Journal of Financial Economics, Elsevier, vol. 131(2), pages 269-298.
    14. Peter Nystrup & Henrik Madsen & Erik Lindström, 2018. "Dynamic portfolio optimization across hidden market regimes," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 83-95, January.
    15. Pham, Quynh Thi Thuy & Rudolf, Markus, 2021. "Gold, platinum, and industry stock returns," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 252-266.
    16. Frederico Belo & Xiaoji Lin & Jun Li & Xiaofei Zhao, 2015. "Labor-Force Heterogeneity and Asset Prices: the Importance of Skilled Labor," NBER Working Papers 21487, National Bureau of Economic Research, Inc.
    17. Favero, Carlo A., 2005. "Consumption, Wealth, the Elasticity of Intertemporal Substitution and Long-Run Stock Market Returns," CEPR Discussion Papers 5110, C.E.P.R. Discussion Papers.
    18. Thomas Nitschka, 2013. "The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization," Review of Financial Economics, John Wiley & Sons, vol. 22(3), pages 118-124, September.
    19. Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2019. "Capital Share Risk in U.S. Asset Pricing," Journal of Finance, American Finance Association, vol. 74(4), pages 1753-1792, August.
    20. Faias, José Afonso, 2023. "Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation," Journal of Financial Markets, Elsevier, vol. 63(C).
    21. Dr. Thomas Nitschka, 2012. "Global and country-specific business cycle risk in time-varying excess returns on asset markets," Working Papers 2012-10, Swiss National Bank.
    22. Korniotis, George & Bhambhwani, Siddharth & Delikouras, Stefanos, 2019. "Blockchain Characteristics and the Cross-Section of Cryptocurrency Returns," CEPR Discussion Papers 13724, C.E.P.R. Discussion Papers.
    23. Francois De Paul Silatchom, 2017. "VECM and Variance Decomposition: An Application to the Consumption-Wealth Ratio," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(6), pages 188-199, June.
    24. Thomas Nitschka, 2010. "International Evidence for Return Predictability and the Implications for Long‐Run Covariation of the G7 Stock Markets," German Economic Review, Verein für Socialpolitik, vol. 11(4), pages 527-544, November.
    25. Ghattassi, Imen, 2008. "On the predictive power of the surplus consumption ratio," Finance Research Letters, Elsevier, vol. 5(1), pages 21-31, March.
    26. Mustafa Şeref AKIN, 2020. "High Cost of Venture Capital and Investment Strategy Startups Should Follow," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 70(1), pages 229-245, June.
    27. Juan Carlos Parra-Alvarez, 2013. "A comparison of numerical methods for the solution of continuous-time DSGE models," CREATES Research Papers 2013-39, Department of Economics and Business Economics, Aarhus University.
    28. Tiago Severo & Mr. Marcello M. Estevão, 2010. "Financial Shocks and TFP L4318Growth," IMF Working Papers 2010/023, International Monetary Fund.
    29. Roelof Salomons, 2008. "A Theoretical And Practical Perspective On The Equity Risk Premium," Journal of Economic Surveys, Wiley Blackwell, vol. 22(2), pages 299-329, April.
    30. Martin Bijsterbosch & Tatjana Dahlhaus, 2015. "Key features and determinants of credit-less recoveries," Empirical Economics, Springer, vol. 49(4), pages 1245-1269, December.
    31. Chuliá, Helena & Guillén, Montserrat & Uribe, Jorge M., 2017. "Measuring uncertainty in the stock market," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 18-33.
    32. Zhang, Xiaoge, 2022. "Belief-driven growth slowdowns and zero-bounded risk-free rate," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    33. Ivan Jaccard, 2006. "Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle," 2006 Meeting Papers 574, Society for Economic Dynamics.
    34. Johnson Kakeu, 2016. "Exhaustibility and Risk as Asset Class Dimensions: A Social Investor Approach to Capital-Resource Economies," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 65(4), pages 677-695, December.
    35. Jiang, Xue & Han, Liyan & Yin, Libo, 2019. "Can skewness predict currency excess returns?," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 628-641.
    36. Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2009. "Global Asset Pricing: Is There a Role for Long-run Consumption Risk?," CREATES Research Papers 2009-57, Department of Economics and Business Economics, Aarhus University.
    37. Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2013. "Macroeconomic determinants of stock volatility and volatility premiums," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 203-220.
    38. Charles Ka Yui Leung, 2005. "Equilibrium Correlation of Asset Price and Return," Discussion Papers 00017, Chinese University of Hong Kong, Department of Economics.
    39. Chang, Kuang-Liang & Chen, Nan-Kuang & Leung, Charles Ka Yui, 2009. "Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock," MPRA Paper 23514, University Library of Munich, Germany.
    40. Iacovos Ioannou, 2018. "Housing Price, Credit, and Output Cycles: How Domestic and External Shocks Impact Lithuania's Credit," IMF Working Papers 2018/160, International Monetary Fund.
    41. Lars Lochstoer & Harjoat S. Bhamra, 2009. "Return Predictability and Labor Market Frictions in a Real Business Cycle Model," 2009 Meeting Papers 1257, Society for Economic Dynamics.
    42. Jorge M. Uribe & Montserrat Guillen, 2020. "Generalized Market Uncertainty Measurement in European Stock Markets in Real Time," Mathematics, MDPI, vol. 8(12), pages 1-11, December.
    43. Chuliá, Helena & Muñoz-Mendoza, Jorge A. & Uribe, Jorge M., 2023. "Energy firms in emerging markets: Systemic risk and diversification opportunities," Emerging Markets Review, Elsevier, vol. 56(C).
    44. Francesca Giambona & Erasmo Vassallo, 2013. "Composite Indicator of Financial Development in a Benefit-of-Doubt Approach," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 42(2), pages 171-202, July.
    45. George M. von Furstenberg & Ulf von Kalckreuth, 2007. "Dependence on External Finance by Manufacturing Sector: Examining the Measure and its Properties," Economie Internationale, CEPII research center, issue 111, pages 55-80.
    46. Sainan Jin & Liangjun Su & Yonghui Zhang, 2015. "Nonparametric testing for anomaly effects in empirical asset pricing models," Empirical Economics, Springer, vol. 48(1), pages 9-36, February.
    47. Lustig, H. & Verdelhan, A., 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Working papers 155, Banque de France.
    48. Victoria Atanasov & Stig V. Møller & Richard Priestley, 2020. "Consumption Fluctuations and Expected Returns," Journal of Finance, American Finance Association, vol. 75(3), pages 1677-1713, June.
    49. George M. von Furstenberg, 2007. "Aspects, Models and Measures for Assessing the Competitiveness of International Financial Services in a Particular Location," Working Papers 182007, Hong Kong Institute for Monetary Research.
    50. Massimiliano Croce, Mariano, 2014. "Long-run productivity risk: A new hope for production-based asset pricing?," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 13-31.
    51. Veronica Guerrieri & Péter Kondor, 2009. "Fund Managers, Career Concerns, and Asset Price Volatility," NBER Working Papers 14898, National Bureau of Economic Research, Inc.
    52. Stelios Bekiros & Syed Jawad Hussain Shahzad & Jose Arreola-Hernandez & Mobeen Ur Rehman, 2018. "Directional predictability and time-varying spillovers between stock markets and economic cycles," Post-Print hal-01996787, HAL.
    53. Kai Zheng & Weidong Xu & Xili Zhang, 2023. "Multivariate Regime Switching Model Estimation and Asset Allocation," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 165-196, January.
    54. Stijn Van Nieuwerburgh & Hanno Lustig, 2005. "The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street," 2005 Meeting Papers 105, Society for Economic Dynamics.
    55. Li, Jun & Wang, Huijun & Yu, Jianfeng, 2021. "Aggregate expected investment growth and stock market returns," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 618-638.
    56. Javid, Attiya Yasmin & Ahmad, Eatzaz, 2008. "Testing multifactor capital asset pricing model in case of Pakistani market," MPRA Paper 37341, University Library of Munich, Germany.
    57. Thomas Nitschka, 2005. "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Money Macro and Finance (MMF) Research Group Conference 2005 22, Money Macro and Finance Research Group.
    58. Wilson, Matthew S., 2020. "Disaggregation and the equity premium puzzle," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 1-18.
    59. Dison, Will & Theodoridis, Konstantinos, 2017. "Do macro shocks matter for equities?," Bank of England working papers 692, Bank of England.
    60. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, vol. 102(6), pages 2734-2766, October.
    61. Grammig, Joachim G. & Schrimpf, Andreas, 2006. "Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032, ZEW - Leibniz Centre for European Economic Research.
    62. García-Verdú Santiago, 2010. "Equilibrium yield curves under regime switching," Working Papers 2010-08, Banco de México.
    63. Giorgio E. Primiceri & Ernst Schaumburg & Andrea Tambalotti, 2006. "Intertemporal Disturbances," NBER Working Papers 12243, National Bureau of Economic Research, Inc.
    64. Georg Kaltenbrunner & Lars Lochstoer, 2007. "Long-Run Risk through Consumption Smoothing," 2007 Meeting Papers 25, Society for Economic Dynamics.
    65. Rangvid, Jesper, 2006. "Output and expected returns," Journal of Financial Economics, Elsevier, vol. 81(3), pages 595-624, September.
    66. Juha Tervala, 2011. "Export pricing and the cross‐country correlation of stock prices," Review of Financial Economics, John Wiley & Sons, vol. 20(2), pages 74-83, May.
    67. Yulei Luo, 2006. "Rational Inattention, Portfolio Choice, and the Equity Premium," Computing in Economics and Finance 2006 56, Society for Computational Economics.
    68. Byrne, Joseph & Fu, Rong, 2016. "Stock Return Prediction with Fully Flexible Models and Coefficients," MPRA Paper 75366, University Library of Munich, Germany.
    69. Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
    70. Joe Akira Yoshino & Edson Bastos e Santos, 2009. "Revisiting the interest rate puzzle," Applied Economics Letters, Taylor & Francis Journals, vol. 16(13), pages 1333-1340.
    71. Vit Posta, 2012. "Time-Varying Risk Premium in the Czech Capital Market: Did the Market Experience a Structural Shock in 2008–2009?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(5), pages 450-470, November.
    72. Kakeu, Johnson & Bouaddi, Mohammed, 2017. "Empirical evidence of news about future prospects in the risk-pricing of oil assets," Energy Economics, Elsevier, vol. 64(C), pages 458-468.
    73. Lan, Hong & Meyer-Gohde, Alexander, 2014. "Decomposing Risk in Dynamic Stochastic General Equilibrium," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100523, Verein für Socialpolitik / German Economic Association.
    74. Tervala, Juha, 2009. "Export pricing and the cross-country correlation of stock prices," Bank of Finland Research Discussion Papers 28/2009, Bank of Finland.
    75. Man Fu & Prasad V. Bidarkota, 2011. "Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors," JRFM, MDPI, vol. 4(1), pages 1-36, December.
    76. Huynh, Nhan, 2023. "Unemployment beta and the cross-section of stock returns: Evidence from Australia," International Review of Financial Analysis, Elsevier, vol. 86(C).
    77. Yi-Cheng Shih & Sheng-Syan Chen & Cheng-Few Lee & Po-Jung Chen, 2014. "The evolution of capital asset pricing models," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 415-448, April.
    78. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2012. "Overreaction and underreaction on the BUCHAREST STOCK EXCHANGE," MPRA Paper 41555, University Library of Munich, Germany, revised 25 Sep 2012.
    79. Gong, Xue & Ye, Xin & Zhang, Weiguo & Zhang, Yue, 2023. "Predicting energy futures high-frequency volatility using technical indicators: The role of interaction," Energy Economics, Elsevier, vol. 119(C).
    80. Uribe, Jorge M. & Chuliá, Helena & Guillén, Montserrat, 2017. "Uncertainty, systemic shocks and the global banking sector: Has the crisis modified their relationship?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 52-68.
    81. Hongwei Zhang & Qiang He & Ben Jacobsen & Fuwei Jiang, 2020. "Forecasting stock returns with model uncertainty and parameter instability," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 629-644, August.
    82. Ivan Jaccard, 2007. "Real Estate Prices in Production Economies," 2007 Meeting Papers 645, Society for Economic Dynamics.
    83. Balvers, Ronald J. & Huang, Dayong, 2007. "Productivity-based asset pricing: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 86(2), pages 405-445, November.
    84. Mariano M. Croce & Martin Lettau & Sydney Ludvigson, 2006. "Investor Information, Long-Run Risk, and the Duration fo Risky Assets," 2006 Meeting Papers 628, Society for Economic Dynamics.
    85. Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2015. "Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing," CEPR Discussion Papers 10335, C.E.P.R. Discussion Papers.
    86. Tervala, Juha, 2011. "Export pricing and the cross-country correlation of stock prices," Review of Financial Economics, Elsevier, vol. 20(2), pages 74-83, May.
    87. Haitham A. Al-Zoubi & Jennifer A. O’Sullivan & Abdulaziz M. Alwathnani, 2018. "Business cycles, financial cycles and capital structure," Annals of Finance, Springer, vol. 14(1), pages 105-123, February.
    88. Parastoo Mousavi, 2021. "Debt-by-Price Ratio, End-of-Year Economic Growth, and Long-Term Prediction of Stock Returns," Mathematics, MDPI, vol. 9(13), pages 1-18, July.

  22. Cochrane, John. H. & Longstaff, Francis A. & Santa-Clara, Pedro, 2004. "Two Trees," University of California at Los Angeles, Anderson Graduate School of Management qt6mt207w2, Anderson Graduate School of Management, UCLA.

    Cited by:

    1. Coeurdacier, Nicolas & Guibaud, Stéphane, 2011. "International portfolio diversification is better than you think," Journal of International Money and Finance, Elsevier, vol. 30(2), pages 289-308, March.
    2. Tarek Alexander Hassan, 2012. "Country Size, Currency Unions, and International Asset Returns," NBER Working Papers 18057, National Bureau of Economic Research, Inc.
    3. Dragana Draganac, 2017. "Do Dividend Shocks Affect Excess Returns: An Experimental Study," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 62(214), pages 45-86, June - Se.
    4. Curatola, Giuliano, 2017. "Portfolio choice and asset prices when preferences are interdependent," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 197-223.
    5. Sylvain, Serginio, 2014. "Does Human Capital Risk Explain The Value Premium Puzzle?," MPRA Paper 54551, University Library of Munich, Germany.
    6. Tarek Alexander Hassan, 2010. "Country Size, Currency Areas, and International Asset Returns," 2010 Meeting Papers 365, Society for Economic Dynamics.
    7. Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu, 2013. "Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion," NBER Working Papers 19381, National Bureau of Economic Research, Inc.
    8. Adams, Zeno & Glück, Thorsten, 2015. "Financialization in commodity markets: A passing trend or the new normal?," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 93-111.
    9. Ma, Chaoqun & Wang, Hailong & Cheng, Fengchao & Hu, Duni, 2017. "Asset pricing and institutional investors with disagreements," Economic Modelling, Elsevier, vol. 64(C), pages 231-248.
    10. Harjoat Bhamra & Nicolas Coeurdacier & Stéphane Guibaud, 2014. "A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets," SciencePo Working papers Main hal-03393013, HAL.
    11. Santos, Tano & Veronesi, Pietro, 2010. "Habit formation, the cross section of stock returns and the cash-flow risk puzzle," Journal of Financial Economics, Elsevier, vol. 98(2), pages 385-413, November.
    12. Nicolas Coeurdacier & Stéphane Guibaud, 2005. "A dynamic equilibrium model of imperfectly integrated financial markets," Working Papers halshs-00590775, HAL.
    13. Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
    14. Jeong, Daehee & Kim, Hwagyun & Park, Joon Y., 2015. "Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility," Journal of Financial Economics, Elsevier, vol. 115(2), pages 361-382.
    15. Hansen, Simon Lysbjerg, 2015. "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 125-151.
    16. Akira Yamazaki, 2015. "Asset Pricing With Non-Geometric Type Of Dividends," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-38, December.

  23. John H Cochrane, 2003. "Where is the Market Going: Uncertain Facts and Novel Theories," Levine's Working Paper Archive 618897000000000762, David K. Levine.

    Cited by:

    1. Xiaoji Lin, 2009. "Endogenous Technological Progress and the Cross Section of Stock Returns," FMG Discussion Papers dp634, Financial Markets Group.
    2. Olivier Passet, 1999. "Menace américaine sur l'équilibre financier mondial," Revue de l'OFCE, Programme National Persée, vol. 68(1), pages 165-192.
    3. Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich, 2009. "The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy," IESE Research Papers D/821, IESE Business School.
    4. Barillas, Francisco & Hansen, Lars Peter & Sargent, Thomas J., 2009. "Doubts or variability?," Journal of Economic Theory, Elsevier, vol. 144(6), pages 2388-2418, November.
    5. Johannes K. Dreyer & Johannes Schneider & William T. Smith, 2020. "Saving-Based Asset Pricing and Leisure," Annals of Economics and Finance, Society for AEF, vol. 21(2), pages 507-526, November.
    6. Ravi Jagannathan & Ellen R. McGrattan & Anna Scherbina, 2001. "The Declining U.S. Equity Premium," NBER Working Papers 8172, National Bureau of Economic Research, Inc.
    7. Calvet, Laurent & Gonzalez-Eiras, Martín & Sodini, Paolo, 2004. "Financial Innovation, Market Participation, and Asset Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(3), pages 431-459, September.
    8. Pascal St-Amour, 2004. "Ratchet vs Blasé Investors and Asset Markets," CIRANO Working Papers 2004s-11, CIRANO.
    9. Lettau, Martin & Ludvigson, Sydney, 2002. "Expected Returns and Expected Dividend Growth," CEPR Discussion Papers 3507, C.E.P.R. Discussion Papers.
    10. Liliana Gonzalez & Philip Hoang & John G. Powell Massey & Jing Shi, 2006. "Defining and Dating Bull and Bear Markets: Two Centuries of Evidence," Multinational Finance Journal, Multinational Finance Journal, vol. 10(1-2), pages 81-116, March-Jun.
    11. George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, August.
    12. John H. Cochrane, 1999. "New Facts in Finance," NBER Working Papers 7169, National Bureau of Economic Research, Inc.
    13. Pierre Lafourcade, 2004. "Valuation, investment and the pure profit share," Finance and Economics Discussion Series 2004-08, Board of Governors of the Federal Reserve System (U.S.).
    14. Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
    15. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
    16. Chen, Jun-Home & Huang, Yu-Lieh & Chang, Jow-Ran, 2017. "Robust Good-Deal Bounds In Incomplete Markets: The Case Of Taiwan," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 58(1), pages 53-67, June.
    17. Marmer, Vadim, 2008. "Nonlinearity, nonstationarity, and spurious forecasts," Journal of Econometrics, Elsevier, vol. 142(1), pages 1-27, January.
    18. Pierre Lafourcade, 2003. "Asset prices and rents in a GE model with imperfect competition," Finance and Economics Discussion Series 2003-60, Board of Governors of the Federal Reserve System (U.S.).
    19. Martin Browning & Thomas F. Crossley, 2001. "The Life-Cycle Model of Consumption and Saving," Journal of Economic Perspectives, American Economic Association, vol. 15(3), pages 3-22, Summer.
    20. Gene Amromin & Steven A. Sharpe, 2005. "From the horse's mouth: gauging conditional expected stock returns from investor surveys," Finance and Economics Discussion Series 2005-26, Board of Governors of the Federal Reserve System (U.S.).
    21. Nicholas Barberis & Ming Huang & Tano Santos, 1999. "Prospect Theory and Asset Prices," NBER Working Papers 7220, National Bureau of Economic Research, Inc.
    22. Nyberg, Henri, 2011. "Forecasting the direction of the US stock market with dynamic binary probit models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 561-578.
    23. Nathan S. Balke & Mark E. Wohar, 2001. "Explaining stock price movements: is there a case for fundamentals?," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q III, pages 22-34.
    24. Marco Taboga, 2002. "The realized equity premium has been higher than expected: further evidence," Finance 0210004, University Library of Munich, Germany.
    25. Davis, E. Philip & Madsen, Jakob B., 2008. "Productivity and equity market fundamentals: 80 years of evidence for 11 OECD countries," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1261-1283, December.
    26. Francis Longstaff & Monika Piazzesi, 2003. "Corporate Earnings and the Equity Premium," NBER Working Papers 10054, National Bureau of Economic Research, Inc.
    27. Amit Goyal & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," Yale School of Management Working Papers amz2412, Yale School of Management, revised 01 Jan 2006.
    28. Roelof Salomons, 2008. "A Theoretical And Practical Perspective On The Equity Risk Premium," Journal of Economic Surveys, Wiley Blackwell, vol. 22(2), pages 299-329, April.
    29. 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.
    30. Amit Goyal & Ivo Welch, 2003. "Predicting the Equity Premium with Dividend Ratios," Management Science, INFORMS, vol. 49(5), pages 639-654, May.
    31. Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," CRSP working papers 505, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    32. Sujoy Mukerji & Han N. Ozsoylev & Jean‐Marc Tallon, 2023. "Trading Ambiguity: A Tale Of Two Heterogeneities," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 1127-1164, August.
    33. Hornstein Andreas & Uhlig Harald, 2000. "What is the Real Story for Interest Rate Volatility?," German Economic Review, De Gruyter, vol. 1(1), pages 43-67, February.
    34. Wang, Pei & Li, Zhongfei, 2018. "Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 67-83.
    35. Arindam Banerjee, 2019. "Predicting Stock Return of UAE Listed Companies Using Financial Ratios," Accounting and Finance Research, Sciedu Press, vol. 8(2), pages 214-214, May.
    36. 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.
    37. Wolfgang Bessler, 1999. "Equity returns, bond returns, and the equity premium in the German capital market," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 186-201.
    38. Neil Kellard & John Nankervis & Fotis Papadimitriou, 2007. "Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach," Money Macro and Finance (MMF) Research Group Conference 2006 129, Money Macro and Finance Research Group.
    39. Georges Prat, 2010. "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," EconomiX Working Papers 2010-22, University of Paris Nanterre, EconomiX.
    40. John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," CRSP working papers 491, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    41. Hsu, Jason C., 2012. "What drives equity market non-participation?," The North American Journal of Economics and Finance, Elsevier, vol. 23(1), pages 86-114.
    42. Rajnish Mehra, 2006. "The Equity Premium in India," NBER Working Papers 12434, National Bureau of Economic Research, Inc.
    43. Tack Yun & Wooheon Rhee, 2004. "Implications of Quasi-Geometric Discounting on the Observable Sharpe Ratio," Econometric Society 2004 North American Summer Meetings 243, Econometric Society.
    44. Wonnho Choi, 2018. "Consumption-based capital asset pricing models: issues and controversies," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 181-205, January.
    45. Dean Croushore, 1999. "How useful are forecasts of corporate profits?," Business Review, Federal Reserve Bank of Philadelphia, issue Sep, pages 3-12.
    46. Jan Overgaard Olesen, "undated". "A Simple Explanation of Stock Price Behavior in the Long Run: Evidence for Denmark," EPRU Working Paper Series 00-09, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    47. Jang, Bong-Gyu & Park, Seyoung, 2016. "Ambiguity and optimal portfolio choice with Value-at-Risk constraint," Finance Research Letters, Elsevier, vol. 18(C), pages 158-176.
    48. Claudio Campanale, 2008. "Learning, Ambiguity and Life-cycle Portfolio Allocation," CeRP Working Papers 80, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    49. Wang, Ning & Zhang, Yumo, 2023. "Robust optimal asset-liability management with mispricing and stochastic factor market dynamics," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 251-273.
    50. Maximilian Göbel & Tanya Araújo, 2018. "The 21st Century - Cluster Formation in the S&P 500," Working Papers REM 2018/43, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    51. Ing-Haw Cheng & Eric French, 2000. "The effect of the run-up in the stock market on labor supply," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 25(Q IV), pages 48-65.
    52. Alain Abou & Georges Prat, 2009. "The dynamics of U.S. equity risk premia: lessons from professionals'view," Working Papers hal-04140869, HAL.
    53. Milos Bozovic, 2015. "Equity Premium in Serbia: A Different Kind of Puzzle?," MIC 2015: Managing Sustainable Growth; Proceedings of the Joint International Conference, Portorož, Slovenia, 28–30 May 2015,, University of Primorska, Faculty of Management Koper.
    54. Stracca, Livio & Fielding, David, 2003. "Myopic loss aversion, disappointment aversion, and the equity premium puzzle," Working Paper Series 203, European Central Bank.
    55. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho.
    56. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2009. "Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options," CIRANO Working Papers 2009s-34, CIRANO.
    57. Grammig, Joachim G. & Schrimpf, Andreas, 2006. "Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032, ZEW - Leibniz Centre for European Economic Research.
    58. Algaba, Andres & Boudt, Kris, 2017. "Generalized financial ratios to predict the equity premium," Economic Modelling, Elsevier, vol. 66(C), pages 244-257.
    59. Soosung Hwang & Steve Satchell, 2005. "Valuing information using utility functions: how much should we pay for linear factor models?," The European Journal of Finance, Taylor & Francis Journals, vol. 11(1), pages 1-16.
    60. George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
    61. Horváth, Ferenc, 2017. "Essays on robust asset pricing," Other publications TiSEM e54d7b33-1f27-4b0e-9f84-f, Tilburg University, School of Economics and Management.
    62. Hugo Benítez-Silva, 2003. "Labor Supply Flexibility and Portfolio Choice: An Empirical Analysis," Working Papers wp056, University of Michigan, Michigan Retirement Research Center.
    63. Pascal St-Amour, 2005. "Direct Preference for Wealth in Aggregate Household Portfolio," Cahiers de Recherches Economiques du Département d'économie 05.04, Université de Lausanne, Faculté des HEC, Département d’économie.
    64. Engen, Eric & Gale, William & Uccello, Cori, 1999. "The Adequacy of Household Saving," MPRA Paper 56442, University Library of Munich, Germany.
    65. Stotz, Olaf & Lutje, Torben & Menkhoff, Lukas & von Nitzsch, Rudiger, 2004. "Do Fund Managers Expect Mean Averting Returns?," Hannover Economic Papers (HEP) dp-309, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    66. Yumo Zhang, 2023. "Robust Optimal Investment Strategies for Mean-Variance Asset-Liability Management Under 4/2 Stochastic Volatility Models," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-32, March.
    67. Brian McCulloch & Jane Frances, 2001. "Financing New Zealand Superannuation," Treasury Working Paper Series 01/20, New Zealand Treasury.
    68. Brennan, Michael J, 2004. "How Did It Happen?," University of California at Los Angeles, Anderson Graduate School of Management qt1047x6kv, Anderson Graduate School of Management, UCLA.
    69. Eric M. Engen & William G. Gale & Cori R. Uccello, 1999. "The Adequacy of Retirement Saving," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 30(2), pages 65-188.
    70. Cenesizoglu, Tolga, 2022. "Return decomposition over the business cycle," Journal of Banking & Finance, Elsevier, vol. 143(C).
    71. Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc.
    72. Binswanger, Mathias, 2000. "Stock market booms and real economic activity: Is this time different?," International Review of Economics & Finance, Elsevier, vol. 9(4), pages 387-415, October.
    73. Olesya Baker & Phil Doctor & Eric French, 2007. "Asset rundown after retirement: the importance of rate of return shocks," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 31(Q II), pages 48-65.
    74. Monika Piazzesi, 2001. "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects," NBER Working Papers 8246, National Bureau of Economic Research, Inc.
    75. Gene Amromin & Steven A. Sharpe, 2008. "Expectations of risk and return among household investors: Are their Sharpe ratios countercyclical?," Finance and Economics Discussion Series 2008-17, Board of Governors of the Federal Reserve System (U.S.).
    76. Nyberg, Henri, 2011. "Forecasting the direction of the US stock market with dynamic binary probit models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 561-578, April.
    77. Minh Hai Ngo & Marc Oliver Rieger & Shuonan Yuan, 2018. "The Fundamental Equity Premium and Ambiguity Aversion in an International Context," Risks, MDPI, vol. 6(4), pages 1-24, November.
    78. Longstaff, Francis & Piazzesi, Monika, 2002. "Corporate Earnings and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management qt3qn115m4, Anderson Graduate School of Management, UCLA.
    79. Kryzanowski, Lawrence & Mohsni, Sana, 2010. "Capital returns, costs and EVA for Canadian firms," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 256-273, December.
    80. Shamsuddin, Abul F. M. & Hillier, John R., 2004. "Fundamental determinants of the Australian price-earnings multiple," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 565-576, November.

  24. John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2003. "Two Trees: Asset Price Dynamics Induced by Market Clearing," NBER Working Papers 10116, National Bureau of Economic Research, Inc.

    Cited by:

    1. Theodoros Diasakos, 2008. "Comparative Statics of Asset Prices," Carlo Alberto Notebooks 72, Collegio Carlo Alberto, revised 2011.
    2. Francis A. Longstaff, 2004. "Financial Claustrophobia: Asset Pricing in Illiquid Markets," NBER Working Papers 10411, National Bureau of Economic Research, Inc.
    3. Frieder, Laura, 2008. "Investor and price response to patterns in earnings surprises," Journal of Financial Markets, Elsevier, vol. 11(3), pages 259-283, August.
    4. Johnson, Timothy C., 2006. "Dynamic liquidity in endowment economies," Journal of Financial Economics, Elsevier, vol. 80(3), pages 531-562, June.

  25. John H. Cochrane & Monika Piazzesi, 2002. "The Fed and Interest Rates: A High-Frequency Identification," NBER Working Papers 8839, National Bureau of Economic Research, Inc.

    Cited by:

    1. Giuseppe Ferrero & Andrea Nobili, 2009. "Futures Contract Rates as Monetary Policy Forecasts," International Journal of Central Banking, International Journal of Central Banking, vol. 5(2), pages 109-145, June.
    2. Lahura, Erick, 2012. "Midiendo los efectos de la política monetaria a través de las expectativas de mercado," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 23, pages 39-52.
    3. Schmeling, Maik & Schrimpf, Paul & Kroencke, Tim, 2019. "The FOMC Risk Shift," CEPR Discussion Papers 14037, C.E.P.R. Discussion Papers.
    4. Paulo Maio, 2014. "Another Look at the Stock Return Response to Monetary Policy Actions," Review of Finance, European Finance Association, vol. 18(1), pages 321-371.
    5. Sandström, Maria, 2018. "The impact of monetary policy on household borrowing - a high-frequency IV identification," Working Paper Series 351, Sveriges Riksbank (Central Bank of Sweden).
    6. Albagli, Elias & Ceballos, Luis & Claro, Sebastian & Romero, Damian, 2019. "Channels of US monetary policy spillovers to international bond markets," Journal of Financial Economics, Elsevier, vol. 134(2), pages 447-473.
    7. Haiyan Yin & Jiawen Yang & William C. Handorf, 2010. "State Dependency Of Bank Stock Reaction To Federal Funds Rate Target Changes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(3), pages 289-315, September.
    8. Gurkaynak, Refet S. & Sack, Brian T. & Swanson, Eric P., 2007. "Market-Based Measures of Monetary Policy Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 201-212, April.
    9. Almeida, Caio & Vicente, José, 2009. "Are interest rate options important for the assessment of interest rate risk?," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1376-1387, August.
    10. Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2023. "Perceptions about Monetary Policy," Working Paper Series 2023-31, Federal Reserve Bank of San Francisco.
    11. Bredin, Don & Hyde, Stuart & Reilly, Gerard O., 2010. "Monetary policy surprises and international bond markets," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 988-1002, October.
    12. Michael F. Gallmeyer & Burton Hollifield, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," 2005 Meeting Papers 676, Society for Economic Dynamics.
    13. Tzuo Hann Law & Dongho Song & Amir Yaron, 2017. "Fearing the Fed: How Wall Street Reads Main Street," 2017 Meeting Papers 1632, Society for Economic Dynamics.
    14. Hack, Lukas & Istrefi, Klodiana & Meier, Matthias, 2023. "Identification of systematic monetary policy," Working Paper Series 2851, European Central Bank.
    15. Fausch, Jürg & Sigonius, Markus, 2018. "The impact of ECB monetary policy surprises on the German stock market," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 46-63.
    16. Andrei Sirchenko, 2019. "A regime-switching model for the federal funds rate target," UvA-Econometrics Working Papers 19-01, Universiteit van Amsterdam, Dept. of Econometrics.
    17. Luisa Corrado & Daniela Fantozzi & Simona Giglioli, 2022. "Real-time ineuqalities and policies during the pandemic in the US," Temi di discussione (Economic working papers) 1396, Bank of Italy, Economic Research and International Relations Area.
    18. Monika Piazzesi & Eric T. Swanson, 2004. "Future prices as risk-adjusted forecasts of monetary policy," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    19. Koeniger, Winfried & Ramelet, Marc-Antoine, 2018. "Home ownership and monetary policy transmission," CFS Working Paper Series 615, Center for Financial Studies (CFS).
    20. Priit Jeenas & Ricardo Lagos, 2024. "Q-Monetary Transmission," Journal of Political Economy, University of Chicago Press, vol. 132(3), pages 971-1012.
    21. Paul Hubert & Fabien Labondance, 2016. "Central Bank Sentiment and Policy Expectations," Working Papers hal-03459227, HAL.
    22. Ricardo Nunes & Ali Ozdagli & Jenny Tang, 2022. "Interest Rate Surprises: A Tale of Two Shocks," Working Papers 2213, Federal Reserve Bank of Dallas.
    23. Bianchi, Francesco & Gómez-Cram, Roberto & Kind, Thilo & Kung, Howard, 2023. "Threats to central bank independence: High-frequency identification with twitter," Journal of Monetary Economics, Elsevier, vol. 135(C), pages 37-54.
    24. Rosa, Carlo & Verga, Giovanni, 2006. "The impact of central bank announcements on asset prices in real time: testing the efficiency of the Euribor futures market," LSE Research Online Documents on Economics 19777, London School of Economics and Political Science, LSE Library.
    25. Christophe Blot & Caroline Bozou & Jérôme Creel & Paul Hubert, 2021. "Are all Central Bank Asset Purchases the Same? Different Rationales, Different Effects," SciencePo Working papers Main hal-03554141, HAL.
    26. Simon Gilchrist & David López-Salido & Egon Zakrajšek, 2015. "Monetary Policy and Real Borrowing Costs at the Zero Lower Bound," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 77-109, January.
    27. Christophe Blot & Paul Hubert & Jérôme Creel & Caroline Bozou, 2023. "The conditionality of monetary policy instruments," Working Papers hal-04159848, HAL.
    28. Sophocles N. Brissimis & Nicholas S. Magginas, 2004. "Forward-Looking Information in VAR Models and the Price Puzzle," Working Papers 10, Bank of Greece.
    29. Marfatia, Hardik A., 2015. "Monetary policy's time-varying impact on the US bond markets: Role of financial stress and risks," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 103-123.
    30. Wong, Arlene, 2014. "Population Aging and the Aggregate Effects of Monetary Policy," MPRA Paper 57096, University Library of Munich, Germany.
    31. Corsetti, G. & Lafarguette, R. & Mehl, A., 2019. "Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market," Cambridge Working Papers in Economics 1970, Faculty of Economics, University of Cambridge.
    32. Daniel L. Thornton, 2014. "The identification of the response of interest rates to monetary policy actions using market-based measures of monetary policy shocks," Oxford Economic Papers, Oxford University Press, vol. 66(1), pages 67-87, January.
    33. Julian di Giovanni & John Rogers, 2024. "The Impact of U.S. Monetary Policy on Foreign Firms," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 58-115, March.
    34. Pflueger, Carolin & Rinaldi, Gianluca, 2022. "Why does the Fed move markets so much? A model of monetary policy and time-varying risk aversion," Journal of Financial Economics, Elsevier, vol. 146(1), pages 71-89.
    35. Kiyotaka Nakashima & Masahiko Shibamoto & Koji Takahashi, 2017. "Risk-Taking Channel of Unconventional Monetary Policies in Bank Lending," Discussion Paper Series DP2017-24, Research Institute for Economics & Business Administration, Kobe University, revised Apr 2019.
    36. Emi Nakamura & Jón Steinsson, 2018. "High-Frequency Identification of Monetary Non-Neutrality: The Information Effect," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 133(3), pages 1283-1330.
    37. John H. Cochrane, 2007. "Commentary on \\"Macroeconomic implications of changes in the term premium\\"," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 271-282.
    38. Ben S. Bernanke & Kenneth N. Kuttner, 2005. "What Explains the Stock Market's Reaction to Federal Reserve Policy?," Journal of Finance, American Finance Association, vol. 60(3), pages 1221-1257, June.
    39. Valerie A. Ramey, 2016. "Macroeconomic Shocks and Their Propagation," NBER Working Papers 21978, National Bureau of Economic Research, Inc.
    40. Saleem A. Bahaj, 2014. "Systemic Sovereign Risk: Macroeconomic Implications in the Euro Area," Working Papers 191, Oesterreichische Nationalbank (Austrian Central Bank).
    41. Coibion, Olivier & Gorodnichenko, Yuriy & Kueng, Lorenz & Silvia, John, 2012. "Innocent Bystanders? Monetary Policy and Inequality in the U.S," IZA Discussion Papers 6633, Institute of Labor Economics (IZA).
    42. Entorf, Horst & Steiner, Christian, 2006. "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose," ZEW Discussion Papers 06-008, ZEW - Leibniz Centre for European Economic Research.
    43. Giorgio Valente, 2005. "US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore," Working Papers 092005, Hong Kong Institute for Monetary Research.
    44. Richhild Moessner, 2014. "Effects of explicit FOMC policy-rate guidance on equities and risk measures," Applied Economics, Taylor & Francis Journals, vol. 46(18), pages 2139-2153, June.
    45. Giannone, Domenico & Altavilla, Carlo & Lenza, Michele, 2014. "The financial and macroeconomic effects of OMT announcements," Working Paper Series 1707, European Central Bank.
    46. Miranda-Agrippino, Silvia, 2016. "Unsurprising shocks: information, premia, and the monetary transmission," Bank of England working papers 626, Bank of England.
    47. Ehrmann, Michael & Fratzscher, Marcel, 2007. "Explaining monetary policy in press conferences," Working Paper Series 767, European Central Bank.
    48. Masahiko Shibamoto, 2014. "Source of Underestimation of the Monetary Policy Effect: Re-examination of the Policy Effectiveness in Japan's 1990s," Discussion Paper Series DP2014-10, Research Institute for Economics & Business Administration, Kobe University.
    49. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2013. "Do monetary policy announcements affect stock prices in emerging market countries? The case of Thailand," Journal of Multinational Financial Management, Elsevier, vol. 23(5), pages 446-469.
    50. Badye Essid & Tolga Cenesizoglu, 2010. "The Effect of Monetary Policy on Credit Spreads," 2010 Meeting Papers 1139, Society for Economic Dynamics.
    51. Andrei A. Sirchenko, 2017. "An endogenous regime-switching model of ordered choice with an application to federal funds rate target," 2017 Papers psi424, Job Market Papers.
    52. Philippe Andrade & Filippo Ferroni, 2018. "Delphic and Odyssean Monetary Policy Shocks: Evidence from the Euro Area," Working Paper Series WP-2018-12, Federal Reserve Bank of Chicago.
    53. Chaiporn Vithessonthi & Markus Schwaninger & Matthias O. Müller, 2016. "Monetary Policy, Bank Lending and Corporate Investment," PIER Discussion Papers 37, Puey Ungphakorn Institute for Economic Research.
    54. Pinchetti, Marco & Szczepaniak, Andrzej, 2021. "Global spillovers of the Fed information effect," Bank of England working papers 952, Bank of England.
    55. Aron Drew & Özer Karagedikli, 2007. "Some Benefits of Monetary-Policy Transparency in New Zealand," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(11-12), pages 521-539, December.
    56. Indriawan, Ivan & Jiao, Feng & Tse, Yiuman, 2021. "The FOMC announcement returns on long-term US and German bond futures," Journal of Banking & Finance, Elsevier, vol. 123(C).
    57. Hubert, Paul & Labondance, Fabien, 2021. "The signaling effects of central bank tone," European Economic Review, Elsevier, vol. 133(C).
    58. Silvia Goncalves & Ana María Herrera & Lutz Kilian & Elena Pesavento, 2020. "Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors," Working Papers 2019, Federal Reserve Bank of Dallas.
    59. Marfatia, Hardik A., 2014. "Impact of uncertainty on high frequency response of the U.S. stock markets to the Fed's policy surprises," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 382-392.
    60. Simon Gilchrist & Vivian Yue & Egon Zakrajšek, 2019. "U.S. Monetary Policy and International Bond Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(S1), pages 127-161, December.
    61. Òscar Jordà, 2005. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, American Economic Association, vol. 95(1), pages 161-182, March.
    62. Dimitrios Kanelis & Pierre L. Siklos, 2022. "Emotion in Euro Area Monetary Policy Communication and Bond Yields: The Draghi Era," CAMA Working Papers 2022-75, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    63. Gómez-Cram, Roberto & Grotteria, Marco, 2022. "Real-time price discovery via verbal communication: Method and application to Fedspeak," Journal of Financial Economics, Elsevier, vol. 143(3), pages 993-1025.
    64. Giuseppe Ferrero & Andrea Nobili, 2008. "Short-term interest rate futures as monetary policy forecasts," Temi di discussione (Economic working papers) 681, Bank of Italy, Economic Research and International Relations Area.
    65. Peter Tillmann, 2018. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," GRU Working Paper Series GRU_2018_004, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    66. Marcello Pericoli & Giovanni Veronese, 2017. "Monetary policy surprises over time," Temi di discussione (Economic working papers) 1102, Bank of Italy, Economic Research and International Relations Area.
    67. Paul Whelan & Gyuri Venter & Andrea Vedolin & Matteo Leombroni, 2017. "Central Bank Communication and the Yield Curve," 2017 Meeting Papers 844, Society for Economic Dynamics.
    68. Paul Hubert & Fabien Labondance, 2020. "Central Bank Tone and the Dispersion of Views within Monetary Policy Committees," Sciences Po publications 02/2020, Sciences Po.
    69. Jieun Lee & Jung-Min Kim & Jong Kook Shin, 2016. "US Interest Rate Policy Spillover and International Capital Flow: Evidence from Korea," Working Papers 2016-21, Economic Research Institute, Bank of Korea.
    70. Kudlyak, Marianna & Gorea, Denis & Kryvtsov, Oleksiy, 2022. "House Price Responses to Monetary Policy Surprises: Evidence from the U.S. Listings Data," CEPR Discussion Papers 17595, C.E.P.R. Discussion Papers.
    71. Jordan Brooks & Michael Katz & Hanno Lustig, 2018. "Post-FOMC Announcement Drift in U.S. Bond Markets," NBER Working Papers 25127, National Bureau of Economic Research, Inc.
    72. Bredin, Don & Gavin, Caroline & O'Reilly, Gerard, 2003. "International Policy Rate Changes and Dublin Interbank Offer Rates," Research Technical Papers 8/RT/03, Central Bank of Ireland.
    73. Kurov, Alexander & Olson, Eric & Zaynutdinova, Gulnara R., 2022. "When does the fed care about stock prices?," Journal of Banking & Finance, Elsevier, vol. 142(C).
    74. Geiger, Felix & Schupp, Fabian, 2018. "With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound," Discussion Papers 27/2018, Deutsche Bundesbank.
    75. Borisenko, Dmitry & Pozdeev, Igor, 2017. "Monetary Policy and Currency Returns: the Foresight Saga," Working Papers on Finance 1708, University of St. Gallen, School of Finance, revised 1710.
    76. Cao, N. & Galvani, V. & Gubellini, S., 2017. "Firm-specific stock and bond predictability: New evidence from Canada," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 174-192.
    77. Hamza Bennani, 2019. "Does People's Bank of China Communication Matter? Evidence from Stock Market Reaction," Post-Print hal-02127840, HAL.
    78. Zhou, Siwen, 2018. "Measuring the Signaling Effect of the ECB’s Asset Purchase Programme at the Effective Lower Bound," MPRA Paper 87084, University Library of Munich, Germany.
    79. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected monetary policy shocks and term premia," Discussion Papers 30/2017, Deutsche Bundesbank.
    80. Kortela, Tomi & Nelimarkka, Jaakko, 2020. "The effects of conventional and unconventional monetary policy: Identification through the yield curve," Bank of Finland Research Discussion Papers 3/2020, Bank of Finland.
    81. James D. Hamilton, 2008. "Daily Monetary Policy Shocks and the Delayed Response of New Home Sales," NBER Working Papers 14223, National Bureau of Economic Research, Inc.
    82. Hakan Berument & Richard T. Froyen, 2015. "Monetary policy and interest rates under inflation targeting in Australia and New Zealand," New Zealand Economic Papers, Taylor & Francis Journals, vol. 49(2), pages 171-188, August.
    83. Chunya Bu & John Rogers & Wenbin Wu, 2019. "A Unified Measure of Fed Monetary Policy Shocks," Finance and Economics Discussion Series 2019-043, Board of Governors of the Federal Reserve System (U.S.).
    84. Jon Faust & John H. Rogers & Eric Swanson & Jonathan H. Wright, 2003. "Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data," NBER Working Papers 9660, National Bureau of Economic Research, Inc.
    85. Hardik A. Marfatia & Rangan Gupta & Esin Cakan, 2017. "The International REIT's Time-Varying Response to the U.S. Monetary Policy and Macroeconomic Surprises," Working Papers 201712, University of Pretoria, Department of Economics.
    86. Chen, Zhengyang & Valcarcel, Victor J., 2021. "Monetary transmission in money markets: The not-so-elusive missing piece of the puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
    87. Kamada, Koichiro & Kurosaki, Tetsuo & Miura, Ko & Yamada, Tetsuya, 2022. "Central bank policy announcements and changes in trading behavior: Evidence from bond futures high frequency price data," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    88. Gagnon, Marie-Hélène & Gimet, Céline, 2013. "The impacts of standard monetary and budgetary policies on liquidity and financial markets: International evidence from the credit freeze crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4599-4614.
    89. Avalos, Fernando & Mamatzakis, Emmanuel, 2023. "Is bank resilience affected by unconventional monetary policy in the Euro area?," Journal of International Money and Finance, Elsevier, vol. 130(C).
    90. Nikola Mirkov, 2014. "International financial transmission of the Fed's monetary policy," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 7(2), pages 7-49, September.
    91. Giancarlo Corsetti & Joao B. Duarte & Samuel Mann, 2018. "One Money, Many Markets," Discussion Papers 1805, Centre for Macroeconomics (CFM).
    92. Zaghini, Andrea & Wilhelmsen, Björn-Roger, 2005. "Monetary policy predictability in the euro area: an international comparison," Working Paper Series 504, European Central Bank.
    93. Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
    94. Munday, Tim & Brookes, James, 2021. "Mark my words: the transmission of central bank communication to the general public via the print media," Bank of England working papers 944, Bank of England.
    95. Wang, Zijun, 2012. "The causal structure of bond yields," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 93-102.
    96. Winfried Koeniger & Benedikt Lennartz & Dr. Marc-Antoine Ramelet, 2021. "On the transmission of monetary policy to the housing market," Working Papers 2021-06, Swiss National Bank.
    97. Martina Cecioni, 2018. "ECB monetary policy and the euro exchange rate," Temi di discussione (Economic working papers) 1172, Bank of Italy, Economic Research and International Relations Area.
    98. Gospodinov, Nikolay & Jamali, Ibrahim, 2012. "The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 497-510.
    99. Rebelo, Sérgio & Anderson, Eric & Wong, Arlene, 2020. "Markups Across Space and Time," CEPR Discussion Papers 15513, C.E.P.R. Discussion Papers.
    100. Guimaraes, Rodrigo & Pinter, Gabor & Wijnandts, Jean-Charles, 2023. "The liquidity state-dependence of monetary policy transmission," Bank of England working papers 1045, Bank of England.
    101. Refet Gurkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," Macroeconomics 0504013, University Library of Munich, Germany.
    102. Chen, Zhengyang, 2019. "The Long-term Rate and Interest Rate Volatility in Monetary Policy Transmission," EconStor Preprints 204579, ZBW - Leibniz Information Centre for Economics.
    103. Eric Anderson & Sergio Rebelo & Arlene Wong, 2020. "Markups Across Space and Time," Working Papers 2020-6, Princeton University. Economics Department..
    104. Francesco Zanetti & Christoph Görtz & Wei Li & John Tsoukalas, 2020. "Vintage Article: The Effect of Monetary Policy Shocks in the United Kingdom: an External Instruments Approach," Economics Series Working Papers 812, University of Oxford, Department of Economics.
    105. Hamilton, James D., 2008. "Daily monetary policy shocks and new home sales," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1171-1190, October.
    106. Lagos, Ricardo & Zhang, Shengxing, 2020. "Turnover liquidity and the transmission of monetary policy," LSE Research Online Documents on Economics 105095, London School of Economics and Political Science, LSE Library.
    107. Kerssenfischer, Mark, 2019. "Information Effects of Euro Area Monetary Policy: New evidence from high-frequency futures data," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203524, Verein für Socialpolitik / German Economic Association.
    108. Renne, J-P., 2012. "A model of the euro-area yield curve with discrete policy rates," Working papers 395, Banque de France.
    109. Harun Alp & Hakan Kara & Gursu Keles & Refet Gurkaynak & Musa Orak, 2010. "Turkiye�de Piyasa Gostergelerinden Para Politikasi Beklentilerinin Olculmesi," Working Papers 1011, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    110. Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," Finance and Economics Discussion Series 2014-52, Board of Governors of the Federal Reserve System (U.S.).
    111. Enzo Weber & Jürgen Wolters, 2013. "Risk and Policy Shocks on the US Term Structure," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(1), pages 101-119, February.
    112. Qing, He & Korhonen, Iikka & Zongxin, Qian, 2017. "Monetary policy transmission with two exchange rates and a single currency: The Chinese experience," BOFIT Discussion Papers 14/2017, Bank of Finland Institute for Emerging Economies (BOFIT).
    113. Faust, Jon & Swanson, Eric T. & Wright, Jonathan H., 2004. "Identifying VARS based on high frequency futures data," Journal of Monetary Economics, Elsevier, vol. 51(6), pages 1107-1131, September.
    114. Alfonso Rosolia, 2021. "Does information about current inflation affect expectations and decisions? Another look at Italian firms," Temi di discussione (Economic working papers) 1353, Bank of Italy, Economic Research and International Relations Area.
    115. Seibert, Armin & Sirchenko, Andrei & Müller, Gernot, 2021. "A model for policy interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 124(C).
    116. Alexandros Kontonikas & Paulo Maio & Zivile Zekaite, 2016. "Monetary Policy and Corporate Bond Returns," Working Papers 2016_05, Business School - Economics, University of Glasgow.
    117. Jung, Alexander & Kühl, Patrick, 2021. "Can central bank communication help to stabilise inflation expectations?," Working Paper Series 2547, European Central Bank.
    118. David Beckworth & Kenneth P. Moon & J. Holland Toles, 2012. "Can Monetary Policy Influence Long-Term Interest Rates? It Depends," Economic Inquiry, Western Economic Association International, vol. 50(4), pages 1080-1096, October.
    119. Pérez Quirós, Gabriel & Sicilia, Jorge, 2002. "Is the European Central Bank (and the United States Federal Reserve) predictable?," Working Paper Series 192, European Central Bank.
    120. Jonathan A. Parker, 2011. "On Measuring the Effects of Fiscal Policy in Recessions," Journal of Economic Literature, American Economic Association, vol. 49(3), pages 703-718, September.
    121. Fornari, Fabio & Zaghini, Andrea, 2021. "It's not time to make a change: Sovereign fragility and the corporate credit risk," CFS Working Paper Series 652, Center for Financial Studies (CFS).
    122. Marco Bottone & Alfonso Rosolia, 2019. "Monetary policy, firms’ inflation expectations and prices: causal evidence from firm-level data," Temi di discussione (Economic working papers) 1218, Bank of Italy, Economic Research and International Relations Area.
    123. Cesa-Bianchi, Ambrogio & Thwaites, Gregory & Vicondoa, Alejandro, 2020. "Monetary policy transmission in the United Kingdom: A high frequency identification approach," European Economic Review, Elsevier, vol. 123(C).
    124. Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo, 2016. "Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows," Working Papers 2016-04, Joint Research Centre, European Commission.
    125. Christophe Blot & Caroline Bozou & Jérôme Creel & Paul Hubert, 2022. "The Conditional Path of Central Bank Asset Purchases," Working papers 885, Banque de France.
    126. Gregor, Jiří & Melecký, Martin, 2018. "The pass-through of monetary policy rate to lending rates: The role of macro-financial factors," Economic Modelling, Elsevier, vol. 73(C), pages 71-88.
    127. Cécile Couharde & Hamza Bennani & Yoan Wallois, 2021. "Do IMF Reports Affect Market Expectations ? A Sentiment Analysis Approach," Working Papers hal-04159751, HAL.
    128. Francesco Bianchi & Thilo Kind & Howard Kung, 2019. "Threats to Central Bank Independence: High-Frequency Identification with Twitter," NBER Working Papers 26308, National Bureau of Economic Research, Inc.
    129. Mark Gertler & Peter Karadi, 2015. "Monetary Policy Surprises, Credit Costs, and Economic Activity," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 44-76, January.
    130. Alessio Anzuini & Patrizio Pagano & Massimiliano Pisani, 2007. "Oil supply news in a VAR: Information from financial markets," Temi di discussione (Economic working papers) 632, Bank of Italy, Economic Research and International Relations Area.
    131. Corsetti, Giancarlo & Duarte, Joao B. & Mann, Samuel, 2018. "One money, many markets: a factor model approach to monetary policy in the Euro Area with high-frequency identification," LSE Research Online Documents on Economics 87182, London School of Economics and Political Science, LSE Library.
    132. Oscar Jorda, 2004. "Model-Free Impulse Responses," Macroeconomics 0403016, University Library of Munich, Germany.
    133. Karnaukh, Nina & Vokata, Petra, 2022. "Growth forecasts and news about monetary policy," Journal of Financial Economics, Elsevier, vol. 146(1), pages 55-70.
    134. Niko Hauzenberger & Michael Pfarrhofer, 2019. "Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy," Papers 1911.06206, arXiv.org, revised Sep 2020.
    135. Kliem, Martin & Kriwoluzky, Alexander, 2013. "Reconciling narrative monetary policy disturbances with structural VAR model shocks?," Discussion Papers 23/2013, Deutsche Bundesbank.
    136. Cavaca, Igor Bastos & Meurer, Roberto, 2024. "The asymmetry and uncertainty effects on the response of the yield curve to Brazilian monetary policy," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 831-844.
    137. Kiyotaka Nakashima & Masahiko Shibamoto & Koji Takahashi, 2017. "Identifying Unconventional Monetary Policy Shocks," Discussion Paper Series DP2017-05, Research Institute for Economics & Business Administration, Kobe University, revised Apr 2017.
    138. De Santis, Roberto A. & Tornese, Tommaso, 2024. "US monetary policy is more powerful in low economic growth regimes," Working Paper Series 2919, European Central Bank.
    139. Holm-Hadulla, Fédéric & Thürwächter, Claire, 2020. "Heterogeneity in corporate debt structures and the transmission of monetary policy," Working Paper Series 2402, European Central Bank.
    140. Oliver Holtemöller & Alexander Kriwoluzky & Boreum Kwak, 2020. "Exchange Rates and the Information Channel of Monetary Policy," Discussion Papers of DIW Berlin 1906, DIW Berlin, German Institute for Economic Research.
    141. Pablo Ottonello & Wenting Song, 2022. "Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification," NBER Working Papers 29638, National Bureau of Economic Research, Inc.
    142. Christoph Bertsch & Isaiah Hull & Xin Zhang, 2021. "Monetary Normalizations and Consumer Credit: Evidence from Fed Liftoff and Online Lending," International Journal of Central Banking, International Journal of Central Banking, vol. 17(71), pages 1-47, December.
    143. Thapar, Aditi, 2008. "Using private forecasts to estimate the effects of monetary policy," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 806-824, May.
    144. Masahiko Shibamoto, 2016. "Empirical Assessment of the Impact of Monetary Policy Communication on the Financial Market," Discussion Paper Series DP2016-19, Research Institute for Economics & Business Administration, Kobe University.
    145. Yuan Yuan, 2014. "Funding Liquidity and Market Liquidity," DETU Working Papers 1406, Department of Economics, Temple University.
    146. Rosa, Carlo, 2011. "Words that shake traders," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 915-934.
    147. Cesa-Bianchi, Ambrogio & Thwaites, Gregory & Vicondoa, Alejandro, 2016. "Monetary policy transmission in an open economy:new data and evidence from the United Kingdom," LSE Research Online Documents on Economics 86235, London School of Economics and Political Science, LSE Library.
    148. Steiner, Christian & Groß, Anne & Entorf, Horst, 2009. "Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data," ZEW Discussion Papers 09-010, ZEW - Leibniz Centre for European Economic Research.
    149. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2003. "An empirical analysis of stock and bond market liquidity," Staff Reports 164, Federal Reserve Bank of New York.
    150. Entorf Horst & Steiner Christian, 2007. "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose / Announcement of Business Cycle Forecasts and the Reaction of the German ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 227(1), pages 3-26, February.
    151. Kandil, Magda, 2005. "Money, interest, and prices: Some international evidence," International Review of Economics & Finance, Elsevier, vol. 14(2), pages 129-147.
    152. Bats, Joost V. & Giuliodori, Massimo & Houben, Aerdt C.F.J., 2023. "Monetary policy effects in times of negative interest rates: What do bank stock prices tell us?," Journal of Financial Intermediation, Elsevier, vol. 53(C).
    153. Samuel Hanson & Jeremy C. Stein, 2012. "Monetary policy and long-term real rates," Finance and Economics Discussion Series 2012-46, Board of Governors of the Federal Reserve System (U.S.).
    154. Tsai, Chun-Li, 2015. "How do U.S. stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis?," Energy Economics, Elsevier, vol. 50(C), pages 47-62.
    155. Jung, Alexander & Uhlig, Harald, 2019. "Monetary policy shocks and the health of banks," Working Paper Series 2303, European Central Bank.
    156. Fan, Longzhen & Johansson, Anders C., 2009. "What Moves Bond Yields In China?," Working Paper Series 2009-9, Stockholm School of Economics, China Economic Research Center.
    157. Gianluca Laganà, 2008. "The Power of the Euro–Sterling Rates in Explaining Asset Market Rates: A High‐frequency Analysis," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 37(2), pages 127-140, July.
    158. Corsetti, Giancarlo & Duarte, Joao B. & Mann, Samuel, 2020. "One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area," CEPR Discussion Papers 14968, C.E.P.R. Discussion Papers.
    159. Bachmann, Rüdiger & Gödl-Hanisch, Isabel & Sims, Eric R., 2022. "Identifying monetary policy shocks using the central bank’s information set," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
    160. Georgiadis, Georgios & Jarociński, Marek, 2023. "Global spillovers from multi-dimensional US monetary policy," Working Paper Series 2881, European Central Bank.
    161. Alejandro Vicondoa, 2017. "Monetary News, U.S. Interest Rate and Business Cycles in Emerging Economies," Documentos de Trabajo 503, Instituto de Economia. Pontificia Universidad Católica de Chile..
    162. John H. Cochrane, 2009. "Comment on "On the Need for a New Approach to Analyzing Monetary Policy"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 427-448, National Bureau of Economic Research, Inc.
    163. Neville Francis, 2012. "The Low-Frequency Impact of Daily Monetary Policy Shock," 2012 Meeting Papers 198, Society for Economic Dynamics.
    164. Federico A. Bugni & Jia Li & Qiyuan Li, 2020. "Permutation-based tests for discontinuities in event studies," Papers 2007.09837, arXiv.org, revised Jul 2022.
    165. Neil Bhutta & Benjamin J. Keys, 2016. "Interest Rates and Equity Extraction during the Housing Boom," American Economic Review, American Economic Association, vol. 106(7), pages 1742-1774, July.
    166. Kishor, N. Kundan & Marfatia, Hardik A., 2013. "The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 1-24.
    167. Albuquerque, Rui & Vega, Clara, 2006. "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers 5598, C.E.P.R. Discussion Papers.
    168. Bollerslev, Tim & Li, Jia & Li, Qiyuan, 2024. "Optimal nonparametric range-based volatility estimation," Journal of Econometrics, Elsevier, vol. 238(1).
    169. Hanson, Samuel G., 2014. "Mortgage convexity," Journal of Financial Economics, Elsevier, vol. 113(2), pages 270-299.
    170. Valente, Giorgio, 2009. "International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 920-940, October.
    171. David O. Lucca & Francesco Trebbi, 2009. "Measuring Central Bank Communication: An Automated Approach with Application to FOMC Statements," NBER Working Papers 15367, National Bureau of Economic Research, Inc.
    172. d'Amico, Stefania & Mira Farka, 2003. "The Fed and Stock Market: A Proxy and Instrumental Variable Identification," Royal Economic Society Annual Conference 2003 52, Royal Economic Society.
    173. Gregory H. Bauer & Clara Vega, 2006. "The monetary origins of asymmetric information in international equity markets," International Finance Discussion Papers 872, Board of Governors of the Federal Reserve System (U.S.).
    174. Emi Nakamura & Jón Steinsson, 2018. "Identification in Macroeconomics," Journal of Economic Perspectives, American Economic Association, vol. 32(3), pages 59-86, Summer.
    175. He, Qing & Korhonen, Iikka & Qian, Zongxin, 2021. "Monetary policy transmission with two exchange rates of a single currency: The Chinese experience," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 558-576.
    176. Dmitry Matveev & Francisco Ruge-Murcia, 2021. "Tariffs and the Exchange Rate: Evidence from Twitter," Staff Working Papers 21-36, Bank of Canada.
    177. James H. Stock & Mark W. Watson, 2017. "Twenty Years of Time Series Econometrics in Ten Pictures," Journal of Economic Perspectives, American Economic Association, vol. 31(2), pages 59-86, Spring.
    178. Valerio Astuti & Alessio Ciarlone & Alberto Coco, 2022. "The role of central bank communication in inflation-targeting Eastern European emerging economies," Temi di discussione (Economic working papers) 1381, Bank of Italy, Economic Research and International Relations Area.
    179. Levon Goukasian & Mehdi Majbouri, 2010. "The Reaction of Real Estate–Related Industries to the Monetary Policy Actions," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(2), pages 355-398, June.
    180. Andrejs Zlobins, 2021. "On the Time-varying Effects of the ECB's Asset Purchases," Working Papers 2021/02, Latvijas Banka.
    181. Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo, 2020. "Structural analysis with mixed-frequency data: A model of US capital flows," Economic Modelling, Elsevier, vol. 89(C), pages 427-443.
    182. Valentin Jouvanceau & Ieva Mikaliunaite, 2020. "Euro Area Monetary Communications: Excess Sensitivity and Perception Shocks," Bank of Lithuania Working Paper Series 79, Bank of Lithuania.
    183. Nicolas Eterovic & Dalibor Eterovic, 2022. "Stocks, Bonds and the US Dollar - Measuring Domestic and International Market Developments in an Emerging Market," Working Papers Central Bank of Chile 964, Central Bank of Chile.
    184. Ashesh Rambachan & Neil Shephard, 2019. "Econometric analysis of potential outcomes time series: instruments, shocks, linearity and the causal response function," Papers 1903.01637, arXiv.org, revised Feb 2020.
    185. Podshivalov, Georgii, 2019. "Observing the Evolution in Macroeconomic Theory," MPRA Paper 97657, University Library of Munich, Germany.
    186. Kenneth B. Petersen & Vladimir Pozdnyakov, 2008. "Predicting the Fed," Working papers 2008-07, University of Connecticut, Department of Economics.
    187. Kerssenfischer, Mark & Schmeling, Maik, 2022. "What moves markets?," Discussion Papers 16/2022, Deutsche Bundesbank.
    188. Chin, Chang-Chiang & Paphakin, Warinthorn, 2021. "The daily relationship between U.S. asset prices and stock prices of American countries," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    189. Darracq Pariès, Matthieu & Notarpietro, Alessandro & Kilponen, Juha & Papadopoulou, Niki & Zimic, Srečko & Aldama, Pierre & Langenus, Geert & Alvarez, Luis Julian & Lemoine, Matthieu & Angelini, Elena, 2021. "Review of macroeconomic modelling in the Eurosystem: current practices and scope for improvement," Occasional Paper Series 267, European Central Bank.
    190. Alexandros Kontonikas & Charles Nolan & Zivile Zekaite & Michael Lamla, 2019. "Treasuries variance decomposition and the impact of monetary policy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1506-1519, October.
    191. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
    192. Jung, Alexander, 2023. "Are monetary policy shocks causal to bank health? Evidence from the euro area," Journal of Macroeconomics, Elsevier, vol. 75(C).
    193. Bachmeier, Lance, 2008. "Monetary policy and the transmission of oil shocks," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1738-1755, December.
    194. Jung, Alexander, 2023. "US monetary policy spillovers to European banks," Working Paper Series 2876, European Central Bank.
    195. Motto, Roberto & Özen, Kadir, 2022. "Market-stabilization QE," Working Paper Series 2640, European Central Bank.
    196. Andrew Detzel, 2017. "Monetary Policy Surprises, Investment Opportunities, And Asset Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(3), pages 315-348, September.
    197. Alexandros Kontonikas & Charles Nolan & Zivile Zekaite, 2015. "Always and Everywhere Inflation? Treasuries Variance Decomposition and the Impact of Monetary Policy," Working Papers 2015_17, Business School - Economics, University of Glasgow.
    198. Luca Fanelli & Antonio Marsi, 2021. "Unconventional Monetary Policy in the Euro Area: A Tale of Three Shocks," Working Papers wp1164, Dipartimento Scienze Economiche, Universita' di Bologna.
    199. Guido Bulligan & Davide Delle Monache, 2018. "Financial markets effects of ECB unconventional monetary policy announcements," Questioni di Economia e Finanza (Occasional Papers) 424, Bank of Italy, Economic Research and International Relations Area.
    200. Pascal Paul, 2020. "The Time-Varying Effect of Monetary Policy on Asset Prices," The Review of Economics and Statistics, MIT Press, vol. 102(4), pages 690-704, October.
    201. Farka, Mira & DaSilva, Amadeu, 2011. "The fed and the term structure: Addressing simultaneity within a structural VAR model," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 935-952.
    202. Simon Gilchrist & Vivian Z. Yue & Egon Zakrajšek, 2016. "The Response of Sovereign Bond Yields to U.S. Monetary Policy," Central Banking, Analysis, and Economic Policies Book Series, in: Elías Albagli & Diego Saravia & Michael Woodford (ed.),Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World, edition 1, volume 24, chapter 8, pages 257-283, Central Bank of Chile.
    203. Kilian, Lutz, 2011. "Structural Vector Autoregressions," CEPR Discussion Papers 8515, C.E.P.R. Discussion Papers.
    204. Vicondoa, Alejandro, 2019. "Monetary news in the United States and business cycles in emerging economies," Journal of International Economics, Elsevier, vol. 117(C), pages 79-90.
    205. Fanelli, Luca & Marsi, Antonio, 2022. "Sovereign spreads and unconventional monetary policy in the Euro area: A tale of three shocks," European Economic Review, Elsevier, vol. 150(C).
    206. Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur, 2021. "Combining negative rates, forward guidance and asset purchases: identification and impacts of the ECB’s unconventional policies," Working Paper Series 2564, European Central Bank.
    207. Andrejs Zlobins, 2020. "ZLB and Beyond: Real and Financial Effects of Low and Negative Interest Rates in the Euro Area," Working Papers 2020/06, Latvijas Banka.
    208. Driessen, Joost & Nijman, Theo E. & Simon, Zorka, 2017. "The missing piece of the puzzle: Liquidity premiums in inflation-indexed markets," SAFE Working Paper Series 183, Leibniz Institute for Financial Research SAFE.
    209. Sébastien Wälti, 2003. "Contagion and interdependence among Central European economies: the impact of common external shocks," IHEID Working Papers 02-2003, Economics Section, The Graduate Institute of International Studies.
    210. Timmermann, Allan & Burjack, Rafael & Qu, Ritong, 2019. "Fluctuations in Economic Uncertainty and Transmission of Monetary Policy Shocks: Evidence Using Daily Surveys from Brazil," CEPR Discussion Papers 14097, C.E.P.R. Discussion Papers.
    211. Kerssenfischer, Mark, 2022. "Information effects of euro area monetary policy," Economics Letters, Elsevier, vol. 216(C).

  26. John H. Cochrane, 2002. "Stocks as Money: Convenience Yield and the Tech-Stock Bubble," NBER Working Papers 8987, National Bureau of Economic Research, Inc.

    Cited by:

    1. Jianping Mei & Jose Scheinkman & Wei Xiong, 2005. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," NBER Working Papers 11362, National Bureau of Economic Research, Inc.
    2. Ofek, Eli & Richardson, Matthew & Whitelaw, Robert F., 2004. "Limited arbitrage and short sales restrictions: evidence from the options markets," Journal of Financial Economics, Elsevier, vol. 74(2), pages 305-342, November.
    3. Takaaki Ohnishi & Takayuki Mizuno & Chihiro Shimizu & Tsutomu Watanabe, 2013. "Detecting Real Estate Bubbles: A New Approach Based on the Cross-Sectional Dispersion of Property Prices," CARF F-Series CARF-F-313, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    4. Rocheteau, Guillaume & Wright, Randall, 2013. "Liquidity and asset-market dynamics," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 275-294.
    5. Owen A. Lamont & Richard H. Thaler, "undated". "Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs," CRSP working papers 528, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    6. Malcolm Baker & Jeffrey Wurgler, 2004. "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers 10449, National Bureau of Economic Research, Inc.
    7. Milo Bianchi & Philippe Jehiel, 2008. "Bubbles and crashes with partially sophisticated investors," Working Papers halshs-00586045, HAL.
    8. Anthony A. DeFusco & Charles G. Nathanson & Eric Zwick, 2017. "Speculative Dynamics of Prices and Volume," NBER Working Papers 23449, National Bureau of Economic Research, Inc.
    9. Amil Dasgupta & Andrea Prat & Michela Verardo, 2010. "The Price Impact of Institutional Herding," FMG Discussion Papers dp652, Financial Markets Group.
    10. Bejan, Camelia & Bidian, Florin, 2010. "Limited enforcement, bubbles and trading in incomplete markets," MPRA Paper 36819, University Library of Munich, Germany, revised 20 Feb 2012.
    11. Powers, Eric & Xiao, Gang, 2014. "Mispricing of Chinese warrants," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 62-86.
    12. Quinn, William & Turner, John D., 2021. "Riding the bubble or taken for a ride? Investors in the British bicycle mania," QUCEH Working Paper Series 21-07, Queen's University Belfast, Queen's University Centre for Economic History.
    13. Fong, Wai Mun & Lean, Hooi Hooi & Wong, Wing Keung, 2008. "Stochastic dominance and behavior towards risk: The market for Internet stocks," Journal of Economic Behavior & Organization, Elsevier, vol. 68(1), pages 194-208, October.
    14. Chaim, Pedro & Laurini, Márcio P., 2019. "Is Bitcoin a bubble?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 222-232.
    15. Bejan, Camelia & Bidian, Florin, 2014. "Bubbles and trading in incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 137-144.
    16. Stasys Girdzijauskas & Dalia Štreimikiene, 2008. "Application of logistic models for stock market bubbles analysis," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 10(1), pages 45-51, November.
    17. Harrison Hong & Jose Scheinkman & Wei Xiong, 2005. "Asset Float and Speculative Bubbles," Levine's Bibliography 122247000000000861, UCLA Department of Economics.
    18. Takaaki Ohnishi & Takayuki Mizuno & Chihiro Shimizu & Tsutomu Watanabe, 2012. "Detecting Real Estate Bubbles: A New Approach Based on the Cross-Sectional Dispersion of Property Prices," UTokyo Price Project Working Paper Series 006, University of Tokyo, Graduate School of Economics, revised Apr 2013.
    19. Robe, Michel A., 2022. "The dollar’s ”Convenience Yield”," Finance Research Letters, Elsevier, vol. 48(C).
    20. Marcel Nutz & José A. Scheinkman, 2017. "Supply and Shorting in Speculative Markets," NBER Working Papers 23751, National Bureau of Economic Research, Inc.
    21. Ravi Dhar & William Goetzmann, 2005. "Bubble Investors: What Were They Thinking?," Yale School of Management Working Papers ysm446, Yale School of Management, revised 01 Aug 2006.
    22. Rodrigo Hernández & Wayne Lee & Pu Liu & Tian-Shyr Dai, 2013. "Outperformance Certificates: analysis, pricing, interpretation, and performance," Review of Quantitative Finance and Accounting, Springer, vol. 40(4), pages 691-713, May.
    23. Ravi Dhar & William Goetzmann, 2005. "Bubble Investors: What Were They Thinking?," Yale School of Management Working Papers ysm446, Yale School of Management, revised 01 Aug 2006.
    24. Wei Zhang & Yingxiu Zhao & Pengfei Wang & Dehua Shen, 2020. "Investor Sentiment and the Return Rate of P2P Lending Platform," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 97-113, March.
    25. Eli Ofek & Matthew Richardson & Robert F. Whitelaw, 2003. "Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets," NBER Working Papers 9423, National Bureau of Economic Research, Inc.
    26. Guerdjikova, Ani, 2006. "Portfolio Choice and Asset Prices in an Economy Populated by Case-Based Decision Makers," Working Papers 06-13, Cornell University, Center for Analytic Economics.
    27. Harrison Hong & José Scheinkman & Wei Xiong, 2006. "Asset Float and Speculative Bubbles," Journal of Finance, American Finance Association, vol. 61(3), pages 1073-1117, June.
    28. Zeng, Yeqin, 2016. "Institutional investors: Arbitrageurs or rational trend chasers," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 240-262.
    29. Alankar, Ashwin & Blausten, Peter & Scholes, Myron S., 2013. "The Cost of Constraints: Risk Management, Agency Theory and Asset Prices," Research Papers 2135, Stanford University, Graduate School of Business.
    30. J. Scheinkman & W. Xiong, 2002. "Overconfidence, Short-Sale Constraints and Bubbles," Princeton Economic Theory Working Papers 98734966f1c1a57373801367f, David K. Levine.
    31. Jianping Mei & Jose Scheinkman & Wei Xiong, 2005. "Speculative Trading and Stock Prices: An Analysis of Chinese A-B Share Premia," Levine's Bibliography 122247000000000867, UCLA Department of Economics.
    32. Quinn, William & Turner, John D., 2021. "Riding the Bubble or Taken for a Ride? Investors in the British Bicycle Mania," QBS Working Paper Series 2021/08, Queen's University Belfast, Queen's Business School.
    33. Bogan, Vicki, 2009. "Bubbles or convenience yields? A theoretical explanation with evidence from technology company equity carve-outs," International Review of Economics & Finance, Elsevier, vol. 18(2), pages 248-281, March.
    34. Liu, Clark & Wang, Shujing & Wei, K.C. John, 2021. "Demand shock, speculative beta, and asset prices: Evidence from the Shanghai-Hong Kong Stock Connect program," Journal of Banking & Finance, Elsevier, vol. 126(C).
    35. Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012. "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, vol. 104(2), pages 272-287.
    36. Robert Snigaroff & David Wroblewski, 2023. "Consumption with earnings, liquidity, and market based models," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 501-530, February.
    37. Borri, Nicola & Shakhnov, Kirill, 2023. "Cryptomarket discounts," Journal of International Money and Finance, Elsevier, vol. 139(C).
    38. Bidian, Florin, 2015. "Portfolio constraints, differences in beliefs and bubbles," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 317-326.
    39. Marcel Nutz & José A. Scheinkman, 2020. "Shorting in Speculative Markets," Journal of Finance, American Finance Association, vol. 75(2), pages 995-1036, April.
    40. Patrick Bolton & José Scheinkman & Wei Xiong, 2006. "Executive Compensation and Short-Termist Behaviour in Speculative Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 73(3), pages 577-610.
    41. Carol Wang & James E. Larsen & Fall M. Ainina & Marlena L. Akhbari & Nicolas Gressis, 2011. "Why the Dogs of the Dow Bark Loudly in China," American Journal of Economics and Business Administration, Science Publications, vol. 3(3), pages 560-568, November.

  27. John H. Cochrane & Monika Piazzesi, 2002. "Bond Risk Premia," NBER Working Papers 9178, National Bureau of Economic Research, Inc.

    Cited by:

    1. Stillwagon, Josh R., 2015. "Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 85-101.
    2. Breach, Tomas & D’Amico, Stefania & Orphanides, Athanasios, 2020. "The term structure and inflation uncertainty," Journal of Financial Economics, Elsevier, vol. 138(2), pages 388-414.
    3. Kurz, Mordecai & Motolese, Maurizio, 2006. "Risk Premia, diverse belief and beauty contests," MPRA Paper 247, University Library of Munich, Germany.
    4. Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014. "Information in the yield curve: A Macro-Finance approach," Working Paper Research 254, National Bank of Belgium.
    5. Auckenthaler, Julia & Kupfer, Alexander & Sendlhofer, Rupert, 2015. "The impact of liquidity on inflation-linked bonds: A hypothetical indexed bonds approach," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 139-154.
    6. Küçük, Ugur N., 2009. "Emerging Market Local Currency Bond Market, Too Risky to Invest?," MPRA Paper 21878, University Library of Munich, Germany.
    7. Wolfgang Bessler & Julian Holler & Philipp Kurmann, 2012. "Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 109-141, March.
    8. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
    9. Collin-Dufresne, Pierre & Goldstein, Robert S. & Jones, Christopher S., 2009. "Can interest rate volatility be extracted from the cross section of bond yields?," Journal of Financial Economics, Elsevier, vol. 94(1), pages 47-66, October.
    10. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    11. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
    12. Eran Hoffmann, 2018. "The Cyclical Composition of Startups," 2018 Meeting Papers 553, Society for Economic Dynamics.
    13. van Binsbergen, Jules H. & Diamond, William F. & Grotteria, Marco, 2022. "Risk-free interest rates," Journal of Financial Economics, Elsevier, vol. 143(1), pages 1-29.
    14. Verdelhan, Adrien & Van Nieuwerburgh, Stijn & Lustig, Hanno, 2012. "The Wealth-Consumption Ratio," CEPR Discussion Papers 9022, C.E.P.R. Discussion Papers.
    15. Albagli, Elias & Ceballos, Luis & Claro, Sebastian & Romero, Damian, 2019. "Channels of US monetary policy spillovers to international bond markets," Journal of Financial Economics, Elsevier, vol. 134(2), pages 447-473.
    16. Söhnke M. Bartram & Mark Grinblatt & Yoshio Nozawa, 2020. "Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns," NBER Working Papers 27655, National Bureau of Economic Research, Inc.
    17. Koeda, Junko & Sekine, Atsushi, 2022. "Nelson–Siegel decay factor and term premia in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 64(C).
    18. RUGE-MURCIA, Francisco J., 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 2012-14, Universite de Montreal, Departement de sciences economiques.
    19. Lloyd, Simon & Marin, Emile, 2020. "Exchange rate risk and business cycles," Bank of England working papers 872, Bank of England.
    20. Michael D. Bauer, 2018. "Restrictions on Risk Prices in Dynamic Term Structure Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(2), pages 196-211, April.
    21. Berndt, Antje & Yeltekin, Şevin, 2015. "Monetary policy, bond returns and debt dynamics," Journal of Monetary Economics, Elsevier, vol. 73(C), pages 119-136.
    22. Pietro Catte & Pietro Cova & Patrizio Pagano & Ignazio Visco, 2010. "The role of macroeconomic policies in the global crisis," Questioni di Economia e Finanza (Occasional Papers) 69, Bank of Italy, Economic Research and International Relations Area.
    23. Dewachter, Hans & Iania, Leonardo, 2012. "An Extended Macro-Finance Model with Financial Factors," LIDAM Reprints LFIN 2012001, Université catholique de Louvain, Louvain Finance (LFIN).
    24. Michael D. Bauer & Christopher J. Neely, 2012. "International channels of the Fed’s unconventional monetary policy," Working Paper Series 2012-12, Federal Reserve Bank of San Francisco.
    25. Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria, 2014. "Interest rate forecasts, state price densities and risk premium from Euribor options," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 210-223.
    26. Urban Jermann, 2013. "A Production-Based Model for the Term Structure," NBER Working Papers 18774, National Bureau of Economic Research, Inc.
    27. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
    28. Lutzenberger, Fabian T., 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, vol. 23(3), pages 120-130.
    29. Dongho Song, 2017. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," The Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2761-2817.
    30. Kees E. Bouwman & Elvira Sojli & Wing Wah Tham, 2012. "Aggregate Stock Market Illiquidity and Bond Risk Premia," Tinbergen Institute Discussion Papers 12-140/IV/DSF46, Tinbergen Institute.
    31. Meredith J. Beechey, 2006. "A closer look at the sensitivity puzzle: the sensitivity of expected future short rates and term premia to macroeconomic news," Finance and Economics Discussion Series 2007-06, Board of Governors of the Federal Reserve System (U.S.).
    32. Alessandro Beber & Michael W. Brandt, 2003. "The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market," NBER Working Papers 9914, National Bureau of Economic Research, Inc.
    33. Tobias Adrian & Emanuel Moench, 2008. "Pricing the term structure with linear regressions," Staff Reports 340, Federal Reserve Bank of New York.
    34. Monika Piazzesi & Eric T. Swanson, 2004. "Future prices as risk-adjusted forecasts of monetary policy," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    35. Robin Greenwood & Samuel G. Hanson, 2013. "Issuer Quality and Corporate Bond Returns," The Review of Financial Studies, Society for Financial Studies, vol. 26(6), pages 1483-1525.
    36. Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2014. "Forecasting recessions in real time," Working Paper 2014/02, Norges Bank.
    37. Glenn D. Rudebusch & Eric T. Swanson, 2008. "Examining the bond premium puzzle with a DSGE model," Working Paper Series 2007-25, Federal Reserve Bank of San Francisco.
    38. C.Jardet & A. Monks, 2014. "Euro Area monetary policy shocks: impact on financial asset prices during the crisis?," Working papers 512, Banque de France.
    39. Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis.
    40. Czech, Robert & Huang, Shiyang & Lou, Dong & Wang, Tianyu, 2021. "Informed trading in government bond markets," LSE Research Online Documents on Economics 118857, London School of Economics and Political Science, LSE Library.
    41. Hautsch, Nikolaus & Ou, Yangguoyi, 2009. "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," CFS Working Paper Series 2009/03, Center for Financial Studies (CFS).
    42. Kinateder, Harald & Papavassiliou, Vassilios G., 2019. "Sovereign bond return prediction with realized higher moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 53-73.
    43. Abhay Abhyankar & Angelica Gonzalez, 2007. "What Drives Corporate Bond Market Betas?," Edinburgh School of Economics Discussion Paper Series 157, Edinburgh School of Economics, University of Edinburgh.
    44. James McNeil, 2020. "Estimation of Impulse response functions with term structure local projections," Working Papers daleconwp2020-05, Dalhousie University, Department of Economics.
    45. Clive Bowsher & Roland Meeks, 2006. "High Dimensional Yield Curves: Models and Forecasting," Economics Series Working Papers 2006-FE-11, University of Oxford, Department of Economics.
    46. Laborda, Ricardo & Laborda, Juan, 2017. "Can tree-structured classifiers add value to the investor?," Finance Research Letters, Elsevier, vol. 22(C), pages 211-226.
    47. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, Department of Economics and Business Economics, Aarhus University.
    48. Adrian, Tobias & Liang, Nellie, 2016. "Monetary Policy, Financial Conditions, and Financial Stability," CEPR Discussion Papers 11394, C.E.P.R. Discussion Papers.
    49. Jeff W. Huther & Jane E. Ihrig & Elizabeth C. Klee, 2017. "The Federal Reserve's Portfolio and its Effect on Interest Rates," Finance and Economics Discussion Series 2017-075, Board of Governors of the Federal Reserve System (U.S.).
    50. Reynard, Samuel, 2007. "Maintaining low inflation: Money, interest rates, and policy stance," Journal of Monetary Economics, Elsevier, vol. 54(5), pages 1441-1471, July.
    51. Andrew Atkeson & Patrick J. Kehoe, 2008. "On the need for a new approach to analyzing monetary policy," Working Papers 662, Federal Reserve Bank of Minneapolis.
    52. Bulkley, George & Harris, Richard D.F. & Nawosah, Vivekanand, 2015. "Can behavioral biases explain the rejections of the expectation hypothesis of the term structure of interest rates?," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 179-193.
    53. Ralph S.J. Koijen & Otto Van Hemert & Stijn Van Nieuwerburgh, 2007. "Mortgage Timing," NBER Working Papers 13361, National Bureau of Economic Research, Inc.
    54. Yun, Jaeho, 2019. "Bond risk premia in a small open economy with volatile capital flows: The case of Korea," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 223-243.
    55. Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015. "Disagreement about inflation and the yield curve," Working Papers 1532, Banco de España.
    56. Bouaddi, Mohammed & Taamouti, Abderrahim, 2013. "Portfolio selection in a data-rich environment," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2943-2962.
    57. R. Rebonato, 2018. "Predicting Returns In Us Treasuries: Do Tents Matter?," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-13, November.
    58. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
    59. Marfatia, Hardik A., 2015. "Monetary policy's time-varying impact on the US bond markets: Role of financial stress and risks," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 103-123.
    60. Cenedese, Gino & Mallucci, Enrico, 2015. "What moves international stock and bond markets?," LSE Research Online Documents on Economics 86296, London School of Economics and Political Science, LSE Library.
    61. Buncic, Daniel & Lentner, Philipp, 2016. "The term structure of interest rates in an estimated New Keynesian policy model," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 126-150.
    62. Vereda, Luciano & Lopes, Hélio & Fukuda, Regina, 2008. "Estimating VAR models for the term structure of interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 548-559, April.
    63. Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers 102006, Hong Kong Institute for Monetary Research.
    64. Kozak, Serhiy & Santosh, Shrihari, 2020. "Why do discount rates vary?," Journal of Financial Economics, Elsevier, vol. 137(3), pages 740-751.
    65. Lettau, Martin & Ludvigson, Sydney, 2002. "Expected Returns and Expected Dividend Growth," CEPR Discussion Papers 3507, C.E.P.R. Discussion Papers.
    66. Argyropoulos Efthymios & Tzavalis Elias, 2015. "Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 49-70, February.
    67. Goliński, Adam, 2021. "Monetary policy at the zero lower bound: Information in the Federal Reserve’s balance sheet," European Economic Review, Elsevier, vol. 131(C).
    68. Anna Cieslak & Pavol Povala, 2016. "Information in the Term Structure of Yield Curve Volatility," Journal of Finance, American Finance Association, vol. 71(3), pages 1393-1436, June.
    69. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2016. "The economic value of predicting bond risk premia," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 247-267.
    70. Alexandre Corhay & Thilo Kind & Howard Kung & Gonzalo Morales, 2021. "Discount Rates, Debt Maturity, and the Fiscal Theory," Staff Working Papers 21-58, Bank of Canada.
    71. Hibiki Ichiue, 2004. "Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model," Econometric Society 2004 Far Eastern Meetings 581, Econometric Society.
    72. Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2010. "Macro expectations, aggregate uncertainty, and expected term premia," ZEW Discussion Papers 10-064, ZEW - Leibniz Centre for European Economic Research.
    73. Martin Pažický, 2021. "Predicting Recessions in Germany Using the German and the US Yield Curve," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(3), pages 263-291, December.
    74. Howard Kung, 2014. "Macroeconomic linkages between monetary policy and the term structure of interest rates," 2014 Meeting Papers 560, Society for Economic Dynamics.
    75. Timmermann, Allan & Pettenuzzo, Davide & Gargano, Antonio, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," CEPR Discussion Papers 10104, C.E.P.R. Discussion Papers.
    76. Andrew Ang & Sen Dong & Monika Piazzesi, 2005. "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco.
    77. Galvao, Ana Beatriz & Costa, Sonia, 2013. "Does the euro area forward rate provide accurate forecasts of the short rate?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 131-141.
    78. Krishnan, C.N.V. & Ritchken, Peter H. & Thomson, James B., 2010. "Predicting credit spreads," Journal of Financial Intermediation, Elsevier, vol. 19(4), pages 529-563, October.
    79. Michael D. Bauer & James D. Hamilton, 2015. "Robust Bond Risk Premia," CESifo Working Paper Series 5541, CESifo.
    80. Christensen, Bent Jesper & van der Wel, Michel, 2019. "An asset pricing approach to testing general term structure models," Journal of Financial Economics, Elsevier, vol. 134(1), pages 165-191.
    81. Eric Ghysels & Casidhe Horan & Emanuel Moench, 2018. "Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 678-714.
    82. Juneja, Januj A., 2016. "Financial crises and estimation bias in international bond markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 593-607.
    83. Vázquez, Jesús & Aguilar, Pablo, 2021. "Adaptive learning with term structure information," European Economic Review, Elsevier, vol. 134(C).
    84. Patrizio Pagano & Massimiliano Pisani, 2006. "Risk-Adjusted Forecasts of Oil Prices," Temi di discussione (Economic working papers) 585, Bank of Italy, Economic Research and International Relations Area.
    85. John H. Cochrane, 2007. "Commentary on \\"Macroeconomic implications of changes in the term premium\\"," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 271-282.
    86. Mohammed Bouaddi & Abderrahim Taamouti, 2012. "Portfolio risk management in a data-rich environment," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(4), pages 469-494, December.
    87. Mikhail Chernov & Ruslan Bikbov, 2009. "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers 334, Society for Economic Dynamics.
    88. Tack Yun & Eunmi Ko & Jinsook Kim, 2013. "The Role of Bounded Rationality in Macro-Finance Affine Term-Structure Models," 2013 Meeting Papers 527, Society for Economic Dynamics.
    89. Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
    90. Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
    91. Sung Hoon Choi, 2021. "Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia," Papers 2108.10250, arXiv.org, revised May 2022.
    92. Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.).
    93. Ferstl, Robert & Weissensteiner, Alex, 2009. "Asset-Liability Management under time-varying Investment Opportunities," MPRA Paper 15068, University Library of Munich, Germany.
    94. Audrino, Francesco & Barone-Adesi, Giovanni, 2006. "A dynamic model of expected bond returns: A functional gradient descent approach," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2267-2277, December.
    95. Daniel L. Thornton, 2012. "Monetary policy: why money matters, and interest rates don’t," Working Papers 2012-020, Federal Reserve Bank of St. Louis.
    96. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
    97. Mishra, Abinash & Srivastava, Pranjal & Chakrabarti, Anindya S., 2020. "'Too central to fail' firms in bi-layered financial networks: Evidence of linkages from the US corporate bond and stock markets," IIMA Working Papers WP 2020-06-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
    98. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "The Risk Premium of Gold," Hannover Economic Papers (HEP) dp-616, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    99. Dimitri Vayanos & Robin Greenwood, 2008. "Bond Supply and Excess Bond Returns," FMG Discussion Papers dp607, Financial Markets Group.
    100. Georgoutsos, Dimitris A. & Migiakis, Petros M., 2013. "Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4650-4664.
    101. Michel Aglietta & Marie Briere & Sandra Rigot & Ombretta Signori, 2012. "Rehabilitating the Role of Active Management for Pension Funds," Working Papers CEB 12-018, ULB -- Universite Libre de Bruxelles.
    102. Barbara Rossi, 2007. "Expectations hypotheses tests at Long Horizons," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 554-579, November.
    103. Michael D. Bauer & Glenn D. Rudebusch, 2017. "Interest Rates Under Falling Stars," CESifo Working Paper Series 6571, CESifo.
    104. Ravi Bansal & Ivan Shaliastovich, 2013. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," The Review of Financial Studies, Society for Financial Studies, vol. 26(1), pages 1-33.
    105. Greg Duffee, 2011. "Forecasting with the term structure: The role of no-arbitrage restrictions," Economics Working Paper Archive 576, The Johns Hopkins University,Department of Economics.
    106. Taboga, Marco & Pericoli, Marcello, 2008. "Bond risk premia, macroeconomic fundamentals and the exchange rate," MPRA Paper 9523, University Library of Munich, Germany.
    107. Refet S. Gürkaynak & Andrew T. Levin & Eric T. Swanson, 2006. "Does inflation targeting anchor long-run inflation expectations? evidence from long-term bond yields in the U.S., U.K., and Sweden," Working Paper Series 2006-09, Federal Reserve Bank of San Francisco.
    108. Jan Bruha, 2011. "Retail Credit Premiums and Macroeconomic Developments," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2010/2011, chapter 0, pages 133-140, Czech National Bank.
    109. Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian, 2015. "Why do term structures in different currencies co-move?," Journal of Financial Economics, Elsevier, vol. 115(1), pages 58-83.
    110. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    111. A. Carriero & S. Mouabbi & E. Vangelista, 2016. "UK term structure decompositions at the zero lower bound," Working papers 589, Banque de France.
    112. Riccardo Rebonato & Ivan Saroka & Vlad Putiatyn, 2020. "Principal-Component-Based Gaussian Affine Term Structure Models: Constraints And Their Financial Implications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-25, March.
    113. Francis X. Diebold & Canlin Li, 2002. "Forecasting the Term Structure of Government Bond Yields," Center for Financial Institutions Working Papers 02-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
    114. Hira Aftab & A. B. M. Rabiul Alam Beg, 2021. "Does Time Varying Risk Premia Exist in the International Bond Market? An Empirical Evidence from Australian and French Bond Market," IJFS, MDPI, vol. 9(1), pages 1-13, January.
    115. van Binsbergen, Jules & Hueskes, Wouter & Koijen, Ralph & Vrugt, Evert, 2013. "Equity yields," Journal of Financial Economics, Elsevier, vol. 110(3), pages 503-519.
      • Jules H. van Binsbergen & Wouter Hueskes & Ralph Koijen & Evert B. Vrugt, 2011. "Equity Yields," NBER Working Papers 17416, National Bureau of Economic Research, Inc.
    116. Jagjit S. Chadha & Luisa Corrado & Sean Holly, 2008. "Reconnecting Money to Inflation: The Role of the External Finance Premium," Studies in Economics 0816, School of Economics, University of Kent.
    117. Andre Kurmann & Christopher Otrok, 2012. "News shocks and the slope of the term structure of interest rates," Working Papers 2012-011, Federal Reserve Bank of St. Louis.
    118. Iania, Leonardo & Tretiakov, Pavel & Wouters, Rafael, 2022. "The risk premium in New Keynesian DSGE models: the cost of inflation channel," LIDAM Discussion Papers LFIN 2022008, Université catholique de Louvain, Louvain Finance (LFIN).
    119. Carlos Carvalho & Jared D. Fisher & Davide Pettenuzzo, 2018. "Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models," Working Papers 123, Brandeis University, Department of Economics and International Business School.
    120. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
    121. Antonio Diez de los Rios, 2013. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Staff Working Papers 13-10, Bank of Canada.
    122. Ethan Struby, 2018. "Macroeconomic Disagreement in Treasury Yields," Working Papers 2018-04, Carleton College, Department of Economics.
    123. Michael Abrahams & Tobias Adrian & Richard K. Crump & Emanuel Moench, 2012. "Decomposing real and nominal yield curves," Staff Reports 570, Federal Reserve Bank of New York.
    124. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.
    125. Joslin, Scott & Le, Anh & Singleton, Kenneth J., 2013. "Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs," Journal of Financial Economics, Elsevier, vol. 109(3), pages 604-622.
    126. Pavol Povala & Anna Cieslak, 2012. "Understanding bond risk premia," 2012 Meeting Papers 771, Society for Economic Dynamics.
    127. Lin, Hai & Wang, Junbo & Wu, Chunchi, 2014. "Predictions of corporate bond excess returns," Journal of Financial Markets, Elsevier, vol. 21(C), pages 123-152.
    128. Görtz, Christoph & Tsoukalas, John, 2011. "News and financial intermediation in aggregate and sectoral fluctuations," MPRA Paper 38986, University Library of Munich, Germany, revised Mar 2012.
    129. Mirco Rubin & Dario Ruzzi, 2020. "Equity tail risk in the treasury bond market," Temi di discussione (Economic working papers) 1311, Bank of Italy, Economic Research and International Relations Area.
    130. Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2017. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del Gobierno colombiano," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, vol. 78, February.
    131. Plakandaras, Vasilios & Gogas, Periklis & Papadimitriou, Theophilos & Gupta, Rangan, 2019. "A re-evaluation of the term spread as a leading indicator," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 476-492.
    132. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.
    133. Biao Guo & Qian Han & Hai Lin, 2018. "Are there gains from using information over the surface of implied volatilities?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 645-672, June.
    134. Møller, Stig V., 2014. "GDP growth and the yield curvature," Finance Research Letters, Elsevier, vol. 11(1), pages 1-7.
    135. Karimalis, Emmanouil & Kosmidis, Ioannis & Peters, Gareth, 2017. "Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies," Bank of England working papers 655, Bank of England.
    136. Marfatia, Hardik A., 2014. "Impact of uncertainty on high frequency response of the U.S. stock markets to the Fed's policy surprises," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 382-392.
    137. Emmanouil Platanakis & Charles Sutcliffe, 2015. "Pension Scheme Redesign and Wealth Redistribution Between the Members and Sponsor: The USS Rule Change in October 2011," ICMA Centre Discussion Papers in Finance icma-dp2015-05, Henley Business School, University of Reading.
    138. Egorov, Alexei V. & Li, Haitao & Ng, David, 2011. "A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates," Journal of Econometrics, Elsevier, vol. 162(1), pages 55-70, May.
    139. Don H Kim & Athanasios Orphanides, 2007. "The bond market term premium: what is it, and how can we measure it?," BIS Quarterly Review, Bank for International Settlements, June.
    140. Cepni, Oguzhan & Güney, I.Ethem, 2019. "Local currency bond risk premia: A panel evidence on emerging markets," Emerging Markets Review, Elsevier, vol. 38(C), pages 182-196.
    141. Chiarella, Carl & Hsiao, Chih-Ying & Tô, Thuy-Duong, 2016. "Stochastic correlation and risk premia in term structure models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 59-78.
    142. M.H. Middeldorp, 2011. "FOMC Communication Policy and the Accuracy of Fed Funds Futures," Working Papers 11-13, Utrecht School of Economics.
    143. Kagraoka, Yusho & Moussa, Zakaria, 2013. "Quantitative easing, credibility and the time-varying dynamics of the term structure of interest rate in Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 181-201.
    144. Mitsuru Katagiri, 2018. "Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy," IMF Working Papers 2018/242, International Monetary Fund.
    145. Modena, Matteo, 2008. "Yield curve, time varying term premia, and business cycle fluctuations," MPRA Paper 8873, University Library of Munich, Germany.
    146. Schrimpf, Andreas & Wang, Qingwei, 2010. "A reappraisal of the leading indicator properties of the yield curve under structural instability," International Journal of Forecasting, Elsevier, vol. 26(4), pages 836-857, October.
    147. Chernov, Mikhail & Creal, Drew, 2018. "Multihorizon Currency Returns and Purchasing Power Parity," CEPR Discussion Papers 12893, C.E.P.R. Discussion Papers.
    148. Filipova, Kameliya & Audrino, Francesco & De Giorgi, Enrico, 2014. "Monetary policy regimes: Implications for the yield curve and bond pricing," Journal of Financial Economics, Elsevier, vol. 113(3), pages 427-454.
    149. Anatolyev, Stanislav, 2009. "Dynamic modeling under linear-exponential loss," Economic Modelling, Elsevier, vol. 26(1), pages 82-89, January.
    150. Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," CEPR Discussion Papers 9484, C.E.P.R. Discussion Papers.
    151. Tim A. Kroencke & Felix Schindler & Bertram I. Steininger, 2018. "The Anatomy of Public and Private Real Estate Return Premia," The Journal of Real Estate Finance and Economics, Springer, vol. 56(3), pages 500-523, April.
    152. Lloyd, S. P., 2017. "Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure," Cambridge Working Papers in Economics 1734, Faculty of Economics, University of Cambridge.
    153. Ricardo M. Sousa, 2010. "The consumption-wealth ratio and asset returns: The Euro Area, the UK and the US," NIPE Working Papers 9/2010, NIPE - Universidade do Minho.
    154. Daniel O. Beltran & Maxwell Kretchmer & Jaime R. Marquez & Charles P. Thomas, 2012. "Foreign holdings of U.S. Treasuries and U.S. Treasury yields," International Finance Discussion Papers 1041, Board of Governors of the Federal Reserve System (U.S.).
    155. Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2007. "Macroeconomic implications of changes in the term premium," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 241-270.
    156. Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Rangan Gupta, 2016. "The Term Premium as a Leading Macroeconomic Indicator," Working Papers 201613, University of Pretoria, Department of Economics.
    157. Dong Heon Kim, 2008. "Another Look at Yield Spreads: The Role of Liquidity," Southern Economic Journal, John Wiley & Sons, vol. 74(4), pages 952-970, April.
    158. Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," NBER Working Papers 16892, National Bureau of Economic Research, Inc.
    159. Brand, Claus & Goy, Gavin W & Lemke, Wolfgang, 2020. "Natural rate chimera and bond pricing reality," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224546, Verein für Socialpolitik / German Economic Association.
    160. Mr. Ralph Chami & Mr. Thomas F. Cosimano & Ms. Celine Rochon & Julieta Yung, 2020. "Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment," IMF Working Papers 2020/053, International Monetary Fund.
    161. Claudio Barbieri & Mattia Guerini & Mauro Napoletano, 2021. "The Anatomy of Government Bond Yields Synchronization in the Eurozone," LEM Papers Series 2021/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    162. Tobias Adrian & Daniel M. Covitz & J. Nellie Liang, 2013. "Financial stability monitoring," Staff Reports 601, Federal Reserve Bank of New York.
    163. Dockner, Engelbert J. & Mayer, Manuel & Zechner, Josef, 2013. "Sovereign bond risk premiums," CFS Working Paper Series 2013/28, Center for Financial Studies (CFS).
    164. Juan Andrés Espinosa-Torres & Jose E. Gomez-Gonzalez & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2015. "The International Transmission of Risk: Causal Relations Among Developed and Emerging Countries’ Term Premia," Borradores de Economia 869, Banco de la Republica de Colombia.
    165. Tatyana Marchuk & Christian Schlag & Mariano Croce, 2017. "The Leading Premium," 2017 Meeting Papers 1251, Society for Economic Dynamics.
    166. Avino, Davide & Nneji, Ogonna, 2014. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 262-274.
    167. Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2018. "Estimating a Latent Risk Premium in Exchange Rate Futures," Discussion Papers of DIW Berlin 1733, DIW Berlin, German Institute for Economic Research.
    168. Gregory R. Duffee, 2012. "Forecasting interest rates," Economics Working Paper Archive 599, The Johns Hopkins University,Department of Economics.
    169. Ang, Andrew & Piazzesi, Monika & Wei, Min, 2006. "What does the yield curve tell us about GDP growth?," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 359-403.
    170. Hoevenaars, J. & Ponds, E.H.M., 2008. "Valuation of intergenerational transfers in collective funded pension schemes," Other publications TiSEM 2c1afa01-df29-490e-bc52-8, Tilburg University, School of Economics and Management.
    171. Rebecca Hellerstein, 2011. "Global bond risk premiums," Staff Reports 499, Federal Reserve Bank of New York.
    172. Almeida, Caio Ibsen Rodrigues de & Vicente, José, 2007. "The role of no-arbitrage on forecasting: lessons from a parametric term structure model," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 657, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    173. Cepni, Oguzhan & Gul, Selcuk & Gupta, Rangan, 2020. "Local currency bond risk premia of emerging markets: The role of local and global factors," Finance Research Letters, Elsevier, vol. 33(C).
    174. van Zundert, Jeroen, 2018. "Empirical studies on the cross-section of corporate bond and stock markets," Other publications TiSEM 338205fc-a031-4e06-a636-9, Tilburg University, School of Economics and Management.
    175. Carmelo Giaccotto & Erasmo Giambona & Yanhui Zhao, 2021. "Short-Term and Long-Term Discount Rates For Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 63(3), pages 493-524, October.
    176. Fan, Longzhen & Tian, Shu & Zhang, Chu, 2012. "Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 239-248.
    177. Monika Piazzesi, 2015. "Comment on "Expectations and Investment"," NBER Chapters, in: NBER Macroeconomics Annual 2015, Volume 30, pages 435-442, National Bureau of Economic Research, Inc.
    178. Ippei Fujiwara & Lena Mareen Korber & Daisuke Nagakura, 2011. "How much asymmetry is there in bond returns and exchange rates?," Globalization Institute Working Papers 93, Federal Reserve Bank of Dallas.
    179. Subhani, Muhammad Imtiaz & Osman, Ms. Amber, 2012. "Relationship between Consumer Price Index (CPI) and Government Bonds," MPRA Paper 40385, University Library of Munich, Germany.
    180. Robin Greenwood & Samuel Hanson & Jeremy C. Stein, 2008. "A Gap-Filling Theory of Corporate Debt Maturity Choice," NBER Working Papers 14087, National Bureau of Economic Research, Inc.
    181. Ireland, Peter N., 2015. "Monetary policy, bond risk premia, and the economy," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 124-140.
    182. Sean D. Campbell & Francis X. Diebold, 2005. "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," NBER Working Papers 11736, National Bureau of Economic Research, Inc.
    183. Jing-Zhi Huang & Ying Wang, 2014. "Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings," Management Science, INFORMS, vol. 60(8), pages 2091-2109, August.
    184. Andrew Ang & Geert Bekaert, 2004. "The term structure of real rates and expected inflation," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    185. Sébastien Fries & Jean‐Stéphane Mésonnier & Sarah Mouabbi & Jean‐Paul Renne, 2018. "National natural rates of interest and the single monetary policy in the euro area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 763-779, September.
    186. David K. Backus & Jonathan H. Wright, 2007. "Cracking the Conundrum," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(1), pages 293-329.
    187. Strohsal, Till & Weber, Enzo, 2010. "Mean-Variance Cointegration and the Expectations Hypothesis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 442, University of Regensburg, Department of Economics.
    188. Petar Sabtchevsky & Paul Whelan & Andrea Vedolin & Philippe Mueller, 2017. "Variance Risk Premia on Stocks and Bonds," 2017 Meeting Papers 1161, Society for Economic Dynamics.
    189. Jeong, Giho & Kang, Jangkoo & Kwon, Kyung Yoon, 2018. "Liquidity skewness premium," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 130-150.
    190. Alexei Onatski & Slava Kargin, 2004. "Dynamics of Interest Rate Curve by Functional Auto-regression," Econometric Society 2004 North American Summer Meetings 229, Econometric Society.
    191. James D. Hamilton & Jing Cynthia Wu, 2012. "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44, pages 3-46, February.
    192. Duyvesteyn, Johan & Martens, Martin & Verwijmeren, Patrick, 2016. "Political risk and expected government bond returns," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 498-512.
    193. Sydney C. Ludvigson & Serena Ng, 2005. "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers 11477, National Bureau of Economic Research, Inc.
    194. Juan Andrés Espinosa Torres & Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez, 2014. "Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano," Borradores de Economia 854, Banco de la Republica de Colombia.
    195. Glenn D. Rudebusch, 2010. "Macro-finance models of interest rates and the economy," Working Paper Series 2010-01, Federal Reserve Bank of San Francisco.
    196. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2012. "Forecasting government bond yields with large Bayesian vector autoregressions," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2026-2047.
    197. Brian Ciochetti & James Shilling, 2007. "Loss Recoveries, Realized Excess Returns, and Credit Rationing in the Commercial Mortgage Market," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 425-445, May.
    198. Robin Greenwood & Samuel G. Hanson & Jeremy C. Stein & Adi Sunderam, 2020. "A Quantity-Driven Theory of Term Premia and Exchange Rates," NBER Working Papers 27615, National Bureau of Economic Research, Inc.
    199. Jianqing Fan & Yuan Ke & Yuan Liao, 2016. "Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia," Papers 1603.07041, arXiv.org, revised Sep 2018.
    200. Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
    201. Koopman, Siem Jan & van der Wel, Michel, 2013. "Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model," International Journal of Forecasting, Elsevier, vol. 29(4), pages 676-694.
    202. Beniak, Patrycja, 2019. "The emerging market reaction to Fed tightening," MPRA Paper 96545, University Library of Munich, Germany, revised 29 Oct 2019.
    203. Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2018. "A term structure model under cyclical fluctuations in interest rates," Economic Modelling, Elsevier, vol. 72(C), pages 140-150.
    204. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012. "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, vol. 105(1), pages 191-208.
    205. Wang, Zijun, 2012. "The causal structure of bond yields," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 93-102.
    206. Ricardo M. Sousa, 2011. "Wealth, Labour Income, Stock Returns and Government Bond Yields, and Financial Stress in the Euro Area," NIPE Working Papers 22/2011, NIPE - Universidade do Minho.
    207. Dimitri Vayanos & Jean‐Luc Vila, 2021. "A Preferred‐Habitat Model of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 89(1), pages 77-112, January.
    208. Piti Disyatat & Phurichai Rungcharoenkitkul, 2016. "Financial globalisation and monetary independence," BIS Papers chapters, in: Bank for International Settlements (ed.), Expanding the boundaries of monetary policy in Asia and the Pacific, volume 88, pages 213-225, Bank for International Settlements.
    209. Yan Liu & Jing Cynthia Wu, 2020. "Reconstructing the Yield Curve," NBER Working Papers 27266, National Bureau of Economic Research, Inc.
    210. Hansen, Anne Lundgaard, 2021. "Modeling persistent interest rates with double-autoregressive processes," Journal of Banking & Finance, Elsevier, vol. 133(C).
    211. Meredith J. Beechey & Erik Hjalmarsson & Pär Österholm, 2008. "Testing the expectations hypothesis when interest rates are near integrated," International Finance Discussion Papers 953, Board of Governors of the Federal Reserve System (U.S.).
    212. Weissensteiner, Alex, 2010. "Using the Black-Derman-Toy interest rate model for portfolio optimization," European Journal of Operational Research, Elsevier, vol. 202(1), pages 175-181, April.
    213. Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
    214. Mittnik, Stefan & Robinzonov, Nikolay & Spindler, Martin, 2015. "Stock market volatility: Identifying major drivers and the nature of their impact," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 1-14.
    215. Li, Jing, 2018. "Essays on model uncertainty in financial models," Other publications TiSEM 202cd910-7ef1-4db4-94ae-d, Tilburg University, School of Economics and Management.
    216. Hautsch, Nikolaus & Yang, Fuyu, 2012. "Bayesian inference in a Stochastic Volatility Nelson–Siegel model," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3774-3792.
    217. Luis Ceballos & Alberto Naudon & Damián Romero, 2015. "Nominal Term Structure and Term Premia: Evidence from Chile," Working Papers Central Bank of Chile 752, Central Bank of Chile.
    218. Nonejad, Nima, 2017. "Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 131-154.
    219. Samuel G Hanson & David O Lucca & Jonathan H Wright, 2021. "Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 136(3), pages 1719-1781.
    220. Balasubramnian, Bhanu & Cyree, Ken B., 2014. "Has market discipline on banks improved after the Dodd–Frank Act?," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 155-166.
    221. Joseph P. Byrne & Jun Nagayasu, 2008. "Common and idiosyncratic factors of the exchange risk premium in emerging European markets," Working Papers 2008_28, Business School - Economics, University of Glasgow.
    222. Dušan Staniek, 2018. "The Expectations Hypothesis in the Theory and Practice of Current Interest Rate Instruments [Hypotéza očekávání v teorii a praxi současných úrokových instrumentů]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2018(2), pages 61-79.
    223. Boons, Martijn, 2016. "State variables, macroeconomic activity, and the cross section of individual stocks," Journal of Financial Economics, Elsevier, vol. 119(3), pages 489-511.
    224. Jiyoung Lee, 2015. "Disentangling the Predictive Power of Term Spreads under Inflation Targeting," International Economic Journal, Taylor & Francis Journals, vol. 29(3), pages 419-450, September.
    225. Hou, Keqiang & Li, Xing & Li, Zeguang & Wu, Ting, 2021. "Forecasting bond returns in a macro model," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 524-545.
    226. Brandt, Michael W. & Gao, Lin, 2019. "Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 64-94.
    227. Glenn D. Rudebusch & Eric T. Swanson, 2008. "The bond premium in a DSGE model with long-run real and nominal risks," Working Paper Research 143, National Bank of Belgium.
    228. Miyanishi, Masako, 2012. "Testing the single-factor model in the presence of persistent regressors," Economics Letters, Elsevier, vol. 116(3), pages 634-636.
    229. John Driffill & Zeno Rotondi, 2007. "Inertia in Taylor Rules," WEF Working Papers 0032, ESRC World Economy and Finance Research Programme, Birkbeck, University of London.
    230. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010. "Countercyclical Currency Risk Premia," NBER Working Papers 16427, National Bureau of Economic Research, Inc.
    231. Sihvonen, Markus, 2021. "Yield curve momentum," Bank of Finland Research Discussion Papers 15/2021, Bank of Finland.
    232. Greg Duffee, 2010. "Sharpe ratios in term structure models," Economics Working Paper Archive 575, The Johns Hopkins University,Department of Economics.
    233. Ralph S.J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "The Cross-Section and Time-Series of Stock and Bond Returns," NBER Working Papers 15688, National Bureau of Economic Research, Inc.
    234. Goliński, Adam & Spencer, Peter, 2017. "The advantages of using excess returns to model the term structure," Journal of Financial Economics, Elsevier, vol. 125(1), pages 163-181.
    235. Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Predicting the yield curve using forecast combinations," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 79-98.
    236. Jardet, Caroline, 2008. "Term structure anomalies: Term premium or peso-problem?," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 592-608, June.
    237. Frehen, Rik G.P. & Hoevenaars, Roy P.M.M. & Palm, Franz C. & Schotman, Peter C., 2008. "Regret aversion and annuity risk in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1050-1061, June.
    238. Mehmet Balcilar & Rangan Gupta & Shixuan Wang & Mark E. Wohar, 2019. "Oil Price Uncertainty and Movements in the US Government Bond Risk Premia," Working Papers 201919, University of Pretoria, Department of Economics.
    239. Paulo Maio, 2013. "Intertemporal CAPM with Conditioning Variables," Management Science, INFORMS, vol. 59(1), pages 122-141, April.
    240. Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," Finance and Economics Discussion Series 2014-52, Board of Governors of the Federal Reserve System (U.S.).
    241. Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The Bond Yield "Conundrum" from a Macro-Finance Perspective," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(S1), pages 83-109, December.
    242. Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura, 2013. "Asymmetry in Government Bond Returns," Macroeconomics Working Papers 23399, East Asian Bureau of Economic Research.
    243. Mönch, Emanuel, 2005. "Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach," Working Paper Series 544, European Central Bank.
    244. Yu, Wei-Choun & Zivot, Eric, 2011. "Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 579-591, April.
    245. Wei Xiong & Hongjun Yan, 2010. "Heterogeneous Expectations and Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.
    246. Boubaker, Sabri & Gounopoulos, Dimitris & Nguyen, Duc Khuong & Paltalidis, Nikos, 2020. "Reaching for yield and the diabolic loop in a monetary union," Journal of International Money and Finance, Elsevier, vol. 108(C).
    247. Omokolade Akinsomi & Goodness C. Aye & Vassilios Babalos & Fotini Economou & Rangan Gupta, 2016. "Real estate returns predictability revisited: novel evidence from the US REITs market," Empirical Economics, Springer, vol. 51(3), pages 1165-1190, November.
    248. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
    249. Riccardo Rebonato, 2017. "Affine Models With Stochastic Market Price Of Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-38, June.
    250. Marcin Dec, 2021. "Parsimonious yield curve modeling in less liquid markets," GRAPE Working Papers 52, GRAPE Group for Research in Applied Economics.
    251. Habrov, Vladimir, 2012. "Optimization of portfolio management based on vector autoregression models and multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 28(4), pages 35-62.
    252. Rubio-Ramírez, Juan Francisco & Fernández-Villaverde, Jesús & Koijen, Ralph & van Binsbergen, Jules, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," CEPR Discussion Papers 7781, C.E.P.R. Discussion Papers.
    253. Chadwick, Meltem, 2010. "Modelling Time-varying Bond Risk Premia for Utilities Industry," MPRA Paper 75840, University Library of Munich, Germany.
    254. Ravi Bansal & George Tauchen & Hao Zhou, 2004. "Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 396-409, October.
    255. Joseph P. Byrne & Jun Nagayasu, 2012. "Common Factors Of The Exchange Risk Premium In Emerging European Markets," Bulletin of Economic Research, Wiley Blackwell, vol. 64(Supplemen), pages 71-85, December.
    256. Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta, 2021. "A robust approach for outlier imputation: Singular Spectrum Decomposition," Working Papers 202164, University of Pretoria, Department of Economics.
    257. Valentin Haddad & Serhiy Kozak & Shrihari Santosh & Stijn Van Nieuwerburgh, 2020. "Factor Timing," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 1980-2018.
    258. Philippe Mueller & Mikhail Chernov, 2008. "The Term Structure of Inflation Expectations," 2008 Meeting Papers 346, Society for Economic Dynamics.
    259. Zhang, Han & Guo, Bin & Liu, Lanbiao, 2022. "The time-varying bond risk premia in China," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 51-76.
    260. Roy P. P. M. Hoevenaars & Roderick D. J. Molenaar & Peter C. Schotman & Tom B. M. Steenkamp, 2014. "Strategic Asset Allocation For Long‐Term Investors: Parameter Uncertainty And Prior Information," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 353-376, April.
    261. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    262. Martin, Ian & Ross, Stephen, 2018. "Notes on the Yield Curve," CEPR Discussion Papers 13176, C.E.P.R. Discussion Papers.
    263. M. Max Croce & Tatyana Marchuk & Christian Schlag, 2019. "The Leading Premium," NBER Working Papers 25633, National Bureau of Economic Research, Inc.
    264. Piti Disyatat & Phurichai Rungcharoenkitkul, 2015. "Monetary Policy and Financial Spillovers: Losing Traction?," PIER Discussion Papers 9, Puey Ungphakorn Institute for Economic Research.
    265. Modena, Matteo, 2008. "The term structure and the expectations hypothesis: a threshold model," MPRA Paper 9611, University Library of Munich, Germany.
    266. Beber, Alessandro & Brandt, Michael & Luisi, Maurizio, 2013. "Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals," CEPR Discussion Papers 9538, C.E.P.R. Discussion Papers.
    267. Oguzhan Cepni & Rangan Gupta & Mark E. Wohar, 2019. "Variants of Consumption-Wealth Ratios and Predictability of U.S. Government Bond Risk Premia: Old is still Gold," Working Papers 201912, University of Pretoria, Department of Economics.
    268. Eric Swanson & Glenn Rudebusch, 2008. "Long-Run Inflation Risk and the Postwar Term Premium," 2008 Meeting Papers 988, Society for Economic Dynamics.
    269. M. Middeldorp, 2011. "Central Bank Transparency, the Accuracy of Professional Forecasts, and Interest Rate Volatility," Working Papers 11-12, Utrecht School of Economics.
    270. Kung, Howard, 2015. "Macroeconomic linkages between monetary policy and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 115(1), pages 42-57.
    271. Sanjay K. Nawalkha & Xiaoyang Zhuo, 2020. "A Theory of Equivalent Expectation Measures for Contingent Claim Returns," Papers 2006.15312, arXiv.org, revised May 2022.
    272. Han, Bing & Hirshleifer, David & Wang, Tracy, 2005. "Investor Overconfidence and the Forward Discount Puzzle," MPRA Paper 6497, University Library of Munich, Germany, revised Dec 2007.
    273. Stanislav Anatolyev & Nikolay Gospodinov, 2019. "Multivariate Return Decomposition: Theory and Implications," Econometric Reviews, Taylor & Francis Journals, vol. 38(5), pages 487-508, May.
    274. Hoevenaars, Roy P.M.M. & Ponds, Eduard H.M., 2008. "Valuation of intergenerational transfers in funded collective pension schemes," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 578-593, April.
    275. Jiang, Fuwei & Lee, Joshua & Martin, Xiumin & Zhou, Guofu, 2019. "Manager sentiment and stock returns," Journal of Financial Economics, Elsevier, vol. 132(1), pages 126-149.
    276. Balcilar, Mehmet & Usman, Ojonugwa & Gungor, Hasan & Roubaud, David & Wohar, Mark E., 2021. "Role of global, regional, and advanced market economic policy uncertainty on bond spreads in emerging markets," Economic Modelling, Elsevier, vol. 102(C).
    277. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," American Economic Review, American Economic Association, vol. 95(2), pages 398-404, May.
    278. A. Onatski & V. Karguine, 2005. "Curve Forecasting by Functional Autoregression," Computing in Economics and Finance 2005 59, Society for Computational Economics.
    279. Çepni, Oğguzhan & Demirer, Riza & Gupta, Rangan & Pierdzioch, Christian, 2020. "Time-varying risk aversion and the predictability of bond premia," Finance Research Letters, Elsevier, vol. 34(C).
    280. Jones, Callum & Kulish, Mariano, 2013. "Long-term interest rates, risk premia and unconventional monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2547-2561.
    281. María O González & Frank Skinner & Samuel Agyei-Ampomah, 2013. "Term structure information and bond strategies," Review of Quantitative Finance and Accounting, Springer, vol. 41(1), pages 53-74, July.
    282. Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011. "How Sovereign Is Sovereign Credit Risk?," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 75-103, April.
    283. Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandía & José Fernando Moreno-Gutiérrez, 2015. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano," Borradores de Economia 13700, Banco de la Republica.
    284. Bakshi, Gurdip & Panayotov, George, 2013. "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, vol. 110(1), pages 139-163.
    285. Kessler, Stephan & Scherer, Bernd, 2009. "Varying risk premia in international bond markets," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1361-1375, August.
    286. Clive G. Bowsher & Roland Meeks, 2006. "The Impossibility of Stationary Yield Spreads and I(1) Yields under the Expectations Theory of the Term Structure," Economics Papers 2006-W05, Economics Group, Nuffield College, University of Oxford.
    287. Nawalkha, Sanjay K & Zhuo, Xiaoyang, 2020. "A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims," OSF Preprints hsxtu, Center for Open Science.
    288. Doshi, Hitesh & Jacobs, Kris & Liu, Rui, 2018. "Macroeconomic determinants of the term structure: Long-run and short-run dynamics," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 99-122.
    289. Kristoffer Nimark, 2012. "Speculative Dynamics in the Term Structure of Interest Rates," Working Papers 430, Barcelona School of Economics.
    290. Januj Juneja, 2018. "Empirical performance of Gaussian affine dynamic term structure models in the presence of autocorrelation misspecification bias," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 695-715, April.
    291. Kim, Hwagyun & Park, Hail, 2013. "Term structure dynamics with macro-factors using high frequency data," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 78-93.
    292. Zhu, Xiaoneng, 2011. "A note on the predictability of excess bond returns and regime shifts," Finance Research Letters, Elsevier, vol. 8(2), pages 101-109, June.
    293. John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
    294. Monika Piazzesi & Martin Schneider, 2008. "Bond positions, expectations, and the yield curve," FRB Atlanta Working Paper 2008-02, Federal Reserve Bank of Atlanta.
    295. David Bolder, 2006. "Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective," Staff Working Papers 06-48, Bank of Canada.
    296. Guoshi Tong, 2017. "Market Timing under Limited Information: An Empirical Investigation in US Treasury Market," Annals of Economics and Finance, Society for AEF, vol. 18(2), pages 291-322, November.
    297. John H. Cochrane, 2017. "Macro-Finance," Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
    298. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2021. "Bond return predictability: Evidence from 25 OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    299. Junko Koeda, 2015. "Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan," Working Papers 1506, Waseda University, Faculty of Political Science and Economics.
    300. Koesrindartoto, Deddy P. & Aaron, Aurelius & Yusgiantoro, Inka & Dharma, Wirata A. & Arroisi, Abdurrohman, 2020. "Who moves the stock market in an emerging country – Institutional or retail investors?," Research in International Business and Finance, Elsevier, vol. 51(C).
    301. Jonathan H. Wright, 2006. "The yield curve and predicting recessions," Finance and Economics Discussion Series 2006-07, Board of Governors of the Federal Reserve System (U.S.).
    302. Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2015. "Mortgage risk and the yield curve," BIS Working Papers 532, Bank for International Settlements.
    303. Fricke, Christoph & Menkhoff, Lukas, 2015. "Financial conditions, macroeconomic factors and disaggregated bond excess returns," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 80-94.
    304. Fabian Hollstein & Marcel Prokopczuk & Christoph Würsig, 2020. "Volatility term structures in commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 527-555, April.
    305. Tobias Adrian & Richard K. Crump & Erik Vogt, 2019. "Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds," Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
    306. Sekkel, Rodrigo, 2011. "International evidence on bond risk premia," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 174-181, January.
    307. Isaac Kleshchelski & Nicolas Vincent, 2009. "Robust Equilibrium Yield Curves," Cahiers de recherche 0907, CIRPEE.
    308. Carlos Alberto Cuadros Lara, 2015. "Descomposicion de la estructura a terminos de la tasa de interes de los bonos soberanos de Estados Unidos y Colombia," Revista de Economía del Rosario, Universidad del Rosario, vol. 18(2), pages 309-342, December.
    309. Jangkoo Kang & Kyung Yoon Kwon, 2020. "Can commodity futures risk factors predict economic growth?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(12), pages 1825-1860, December.
    310. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.
    311. Connolly, Robert & Dubofsky, David & Stivers, Chris, 2018. "Macroeconomic uncertainty and the distant forward-rate slope," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 140-161.
    312. Petter Eilif de Lange & Morten Risstad & Kristian Semmen & Sjur Westgaard, 2023. "Term Premia in Norwegian Interest Rate Swaps," JRFM, MDPI, vol. 16(3), pages 1-19, March.
    313. Casiraghi, Marco & Miccoli, Marcello, 2019. "Inflation risk premia and risk-adjusted expectations of inflation," Economics Letters, Elsevier, vol. 175(C), pages 36-39.
    314. Zhang, Yugui & Zhu, Jie & Zhu, Xiaoneng, 2021. "Global bond risk premia under falling stars," Finance Research Letters, Elsevier, vol. 42(C).
    315. Caio Almeida & Kym Ardison & Daniela Kubudi & Axel Simonsen & José Vicente, 2018. "Forecasting Bond Yields with Segmented Term Structure Models," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 1-33.
    316. Calomiris, Charles W. & Mamaysky, Harry, 2019. "How news and its context drive risk and returns around the world," Journal of Financial Economics, Elsevier, vol. 133(2), pages 299-336.
    317. Josh Davis & Cristian Fuenzalida & Alan M. Taylor, 2019. "The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r," NBER Working Papers 26560, National Bureau of Economic Research, Inc.
    318. Joao Frois Caldeira & Guilherme Valle Moura & Marcelo Savino Portugal, 2011. "Efficient Interest Ratecurve Estimation And Forecasting In Brazil," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 133, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    319. Min Zhang & Adam W. Kolkiewicz & Tony S. Wirjanto & Xindan Li, 2015. "The impacts of financial crisis on sovereign credit risk analysis in Asia and Europe," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 1-57.
    320. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2017. "Macro Risks and the Term Structure of Interest Rates," Finance and Economics Discussion Series 2017-058, Board of Governors of the Federal Reserve System (U.S.).
    321. Caio Almeida & Jeremy J. Graveline & Scott Joslin, 2005. "Do Options Contain Information About Excess Bond Returns?," IBMEC RJ Economics Discussion Papers 2005-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
    322. Andrew Ang & Geert Bekaert & Min Wei, 2005. "Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?," NBER Working Papers 11538, National Bureau of Economic Research, Inc.
    323. Hiona Balfoussia & Mike Wickens, 2006. "Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(3), pages 261-277.
    324. C. N. V. Krishnan & Peter H. Ritchken & James B. Thomson, 2007. "On forecasting the term structure of credit spreads," Working Papers (Old Series) 0705, Federal Reserve Bank of Cleveland.
    325. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Staff Working Papers 14-13, Bank of Canada.
    326. Andrade, Sandro C. & Barrett, W. Brian, 2011. "Can broker-dealer client surveys provide signals for debt investing?," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1170-1178, May.
    327. Joyce, Michael A. S. & Relleen, Jonathan & Sorensen, Steffen, 2008. "Measuring monetary policy expectations from financial market instruments," Working Paper Series 978, European Central Bank.
    328. Antonios Sangvinatsos & Jessica A. Wachter, 2003. "Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors," NBER Working Papers 10086, National Bureau of Economic Research, Inc.
    329. Biao Guo & Hai Lin, 2020. "Volatility and jump risk in option returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1767-1792, November.
    330. Samuel Hanson & Jeremy C. Stein, 2012. "Monetary policy and long-term real rates," Finance and Economics Discussion Series 2012-46, Board of Governors of the Federal Reserve System (U.S.).
    331. Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2016. "Overseas unspanned factors and domestic bond returns," Bank of England working papers 618, Bank of England.
    332. Peter Spencer, 2013. "The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models," Discussion Papers 13/22, Department of Economics, University of York.
    333. Fricke, Christoph & Menkhoff, Lukas, 2014. "Financial conditions, macroeconomic factors and (un)expected bond excess returns," Discussion Papers 35/2014, Deutsche Bundesbank.
    334. Bent Jesper Christensen & Mads Markvart Kjær & Bezirgen Veliyev, 2021. "The incremental information in the yield curve about future interest rate risk," CREATES Research Papers 2021-11, Department of Economics and Business Economics, Aarhus University.
    335. Stefania D'Amico & Athanasios Orphanides, 2014. "Inflation Uncertainty and Disagreement in Bond Risk Premia," Working Paper Series WP-2014-24, Federal Reserve Bank of Chicago.
    336. Hai Lin & Chunchi Wu & Guofu Zhou, 2018. "Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach," Management Science, INFORMS, vol. 64(9), pages 4218-4238, September.
    337. Christopher Otrok & Andre Kurmann, 2011. "News Shocks and the Term Structure of Interest Rates: A Challenge for DSGE Models," 2011 Meeting Papers 426, Society for Economic Dynamics.
    338. Christiane Baumeister, 2021. "Measuring Market Expectations," Working Papers 202163, University of Pretoria, Department of Economics.
    339. Renne, Jean-Paul, 2016. "A tractable interest rate model with explicit monetary policy rates," European Journal of Operational Research, Elsevier, vol. 251(3), pages 873-887.
    340. Bulkley, George & Harris, Richard D.F. & Nawosah, Vivekanand, 2011. "Revisiting the expectations hypothesis of the term structure of interest rates," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1202-1212, May.
    341. Gräb, Johannes & Kostka, Thomas, 2018. "Predicting risk premia in short-term interest rates and exchange rates," Working Paper Series 2131, European Central Bank.
    342. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
    343. Nektarios Aslanidis & Charlotte Christiansen, 2012. "Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy," CREATES Research Papers 2012-34, Department of Economics and Business Economics, Aarhus University.
    344. Carboni, Giacomo, 2014. "Term premia implications of macroeconomic regime changes," Working Paper Series 1694, European Central Bank.
    345. Lenz, Rainer, 2010. "Yield Curve Analysis: Choosing the optimal maturity date of investments and financing," MPRA Paper 27781, University Library of Munich, Germany.
    346. De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).
    347. Min Zhang & Adam W. Kolkiewicz & Tony S. Wirjanto & Xindan Li, 2013. "The Impacts of Financial Crisis on Sovereign Credit Risk Analysis in Asia and Europe," Working Paper series 62_13, Rimini Centre for Economic Analysis.
    348. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2018. "How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 139-169, January.
    349. García-Verdú Santiago, 2010. "Equilibrium yield curves under regime switching," Working Papers 2010-08, Banco de México.
    350. Philippe Mueller & Andrea Vedolin & Yu-min Yen, 2012. "Bond Variance Risk Premia," FMG Discussion Papers dp699, Financial Markets Group.
    351. Yunus Aksoy & Henrique S. Basso, 2015. "Securitization and asset prices," Working Papers 1526, Banco de España.
    352. Bredin, Don & O'Sullivan, Conall & Spencer, Simon, 2021. "Forecasting WTI crude oil futures returns: Does the term structure help?," Energy Economics, Elsevier, vol. 100(C).
    353. Seongman Moon & Carlos Velasco, 2011. "Tests for m-dependence Based on Sample Splitting Methods," Working Papers 1108, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    354. Malik, Sheheryar & Meldrum, Andrew, 2016. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 85-102.
    355. Urga, Giovanni & Wang, Fa, 2022. "Estimation and inference for high dimensional factor model with regime switching," MPRA Paper 113172, University Library of Munich, Germany.
    356. Jules H. van Binsbergen & Michael W. Brandt, 2007. "Optimal Asset Allocation in Asset Liability Management," NBER Working Papers 12970, National Bureau of Economic Research, Inc.
    357. Constantino Hevia & Martin Sola, 2018. "Bond Risk Premia and Restrictions on Risk Prices," JRFM, MDPI, vol. 11(4), pages 1-22, October.
    358. Iason Kynigakis & Ekaterini Panopoulou, 2022. "Does model complexity add value to asset allocation? Evidence from machine learning forecasting models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 603-639, April.
    359. Castagnetti, Carolina & Rossi, Eduardo, 2008. "Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study," MPRA Paper 26196, University Library of Munich, Germany.
    360. Don H. Kim & Marcelo Ochoa, 2021. "International Yield Spillovers," Finance and Economics Discussion Series 2021-001, Board of Governors of the Federal Reserve System (U.S.).
    361. Hai Lin & Daniel Quill & Henk Berkman, 2016. "Information diffusion and the predictability of New Zealand stock market returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(3), pages 749-785, September.
    362. João F. Caldeira, 2020. "Investigating the expectation hypothesis and the risk premium dynamics: new evidence for Brazil," Empirical Economics, Springer, vol. 59(1), pages 395-412, July.
    363. Markus Pelger & Ruoxuan Xiong, 2018. "State-Varying Factor Models of Large Dimensions," Papers 1807.02248, arXiv.org, revised Oct 2020.
    364. Wright, Jonathan H. & Zhou, Hao, 2009. "Bond risk premia and realized jump risk," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2333-2345, December.
    365. Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," CEPR Discussion Papers 7796, C.E.P.R. Discussion Papers.
    366. Zhang, Han, 2021. "An inflation-based ICAPM in China," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    367. Campbell, John Y. & Sunderam, Adi & Viceira, Luis M., 2017. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," Critical Finance Review, now publishers, vol. 6(2), pages 263-301, September.
    368. Adrian, Tobias & , & Shin, Hyun Song, 2016. "Dynamic Leverage Asset Pricing," CEPR Discussion Papers 11466, C.E.P.R. Discussion Papers.
    369. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.
    370. Shaw, Frances & Murphy, Finbarr & O’Brien, Fergal, 2014. "The forecasting efficiency of the dynamic Nelson Siegel model on credit default swaps," Research in International Business and Finance, Elsevier, vol. 30(C), pages 348-368.
    371. Guihai Zhao, 2020. "Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields," Staff Working Papers 20-14, Bank of Canada.
    372. Ferdinand Dreher & Johannes Gräb & Thomas Kostka, 2020. "From carry trades to curvy trades," The World Economy, Wiley Blackwell, vol. 43(3), pages 758-780, March.
    373. Lenz, Rainer, 2010. "Analyse der Renditestrukturkurve: Zur Laufzeitenstruktur von Investitions- und Finanzierungsentscheidungen [Yield curve analysis]," MPRA Paper 26621, University Library of Munich, Germany.
    374. Li, Yulin, 2021. "Investor sentiment and sovereign bonds," Journal of International Money and Finance, Elsevier, vol. 115(C).
    375. Morell, Joseph, 2018. "The decline in the predictive power of the US term spread: A structural interpretation," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 314-331.
    376. Eric T. Swanson, 2007. "What we do and don't know about the term premium," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jul20.
    377. Christian Bach & Stig Vinther Møller, 2010. "Habit-based Asset Pricing with Limited Participation Consumption," CREATES Research Papers 2010-46, Department of Economics and Business Economics, Aarhus University.
    378. Guanhao Feng & Nicholas Polson, 2020. "Regularizing Bayesian predictive regressions," Journal of Asset Management, Palgrave Macmillan, vol. 21(7), pages 591-608, December.
    379. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
    380. Fabian T. Lutzenberger, 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, John Wiley & Sons, vol. 23(3), pages 120-130, September.
    381. Zhao, Guihai, 2017. "Confidence, bond risks, and equity returns," Journal of Financial Economics, Elsevier, vol. 126(3), pages 668-688.
    382. Timmermann, Allan & Guidolin, Massimo, 2007. "Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach," CEPR Discussion Papers 6188, C.E.P.R. Discussion Papers.
    383. Laborda, Ricardo & Muñoz, Fernando, 2016. "Optimal allocation of government bond funds through the business cycle. Is money smart?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 46-67.
    384. Clive G. Bowsher & Roland Meeks, 2008. "Stationarity and the term structure of interest rates: a characterisation of stationary and unit root yield curves," Working Papers 0811, Federal Reserve Bank of Dallas.
    385. Gideon Magnus, 2016. "A plausible model of yield curve dynamics," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(2), pages 205-228, May.
    386. Mirdala, Rajmund, 2015. "Decomposing Euro Area Sovereign Debt Yields into Inflation Expectations and Expected Real Interest Rates," MPRA Paper 68866, University Library of Munich, Germany, revised Nov 2015.
    387. Fernando D. Chague, 2013. "Conditional Betas and Investor Uncertainty," Working Papers, Department of Economics 2013_04, University of São Paulo (FEA-USP).
    388. Ames, Matthew & Bagnarosa, Guillaume & Peters, Gareth W., 2017. "Violations of uncovered interest rate parity and international exchange rate dependences," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 162-187.
    389. Laborda, Ricardo & Olmo, Jose, 2014. "Investor sentiment and bond risk premia," Journal of Financial Markets, Elsevier, vol. 18(C), pages 206-233.
    390. Valentin Haddad & David A. Sraer, 2019. "The Banking View of Bond Risk Premia," NBER Working Papers 26369, National Bureau of Economic Research, Inc.
    391. Kenneth Kuttner, 2006. "Can Central Banks Target Bond Prices?," NBER Working Papers 12454, National Bureau of Economic Research, Inc.
    392. Florian Gunsilius & Susanne Schennach, 2023. "Independent Nonlinear Component Analysis," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 118(542), pages 1305-1318, April.
    393. Kishor, N. Kundan & Marfatia, Hardik A., 2013. "The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 1-24.
    394. Wei-Choun Yu & Donald M. Salyards, 2009. "Parsimonious modeling and forecasting of corporate yield curve," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(1), pages 73-88.
    395. Don H. Kim & Jonathan H. Wright, 2005. "An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates," Finance and Economics Discussion Series 2005-33, Board of Governors of the Federal Reserve System (U.S.).
    396. Croce, Mariano & Schlag, Christian & Marchuk, Tatyana, 2018. "The Leading Premium," CEPR Discussion Papers 12631, C.E.P.R. Discussion Papers.
    397. Leite, André Luís & Filho, Romeu Braz Pereira Gomes & Vicente, José Valentim Machado, 2010. "Forecasting the yield curve: A statistical model with market survey data," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 108-112, March.
    398. Carlo Altavilla & Riccardo Costantini & Raffaella Giacomini, 2013. "Bond returns and market expectations," CeMMAP working papers 20/13, Institute for Fiscal Studies.
    399. Sergey V. Chernenko, 2004. "The information content of forward and futures prices: market expectations and the price of risk," International Finance Discussion Papers 808, Board of Governors of the Federal Reserve System (U.S.).
    400. Hanson, Samuel G., 2014. "Mortgage convexity," Journal of Financial Economics, Elsevier, vol. 113(2), pages 270-299.
    401. Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2006. "Optimal Portfolio Choice with Annuitization," Discussion Paper 2006-78, Tilburg University, Center for Economic Research.
    402. Christoffel, Kai & Kilponen, Juha & Jaccard, Ivan, 2011. "Government bond risk premia and the cyclicality of fiscal policy," Working Paper Series 1411, European Central Bank.
    403. Kučera, Adam, 2020. "Identification of triggers of U.S. yield curve movements," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    404. Jörgen Blomvall & Jonas Ekblom, 2018. "Corporate hedging: an answer to the “how” question," Annals of Operations Research, Springer, vol. 266(1), pages 35-69, July.
    405. Oğuzhan Çepni & Rangan Gupta & Mark E. Wohar, 2021. "Variants of consumption‐wealth ratios and predictability of U.S. government bond risk premia," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 661-674, June.
    406. Bakshi, Gurdip & Panayotov, George & Skoulakis, Georgios, 2011. "Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios," Journal of Financial Economics, Elsevier, vol. 100(3), pages 475-495, June.
    407. Wouter Hueskes & Ralph S.J. Koijen & Evert B. Vrugt & Jules H. van Binsbergen, 2011. "A Term Structure of Growth," 2011 Meeting Papers 672, Society for Economic Dynamics.
    408. Greg Duffee, 2011. "Information in (and not in) the term structure," Economics Working Paper Archive 577, The Johns Hopkins University,Department of Economics.
    409. Bretscher, Lorenzo & Hsu, Alex & Tamoni, Andrea, 2020. "Fiscal policy driven bond risk premia," Journal of Financial Economics, Elsevier, vol. 138(1), pages 53-73.
    410. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2016. "Demographics and the Behavior of Interest Rates," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 732-776, November.
    411. Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen, 2006. "Optimal Decentralized Investment Management," NBER Working Papers 12144, National Bureau of Economic Research, Inc.
    412. Andrea Carriero, 2007. "A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates," Working Papers 591, Queen Mary University of London, School of Economics and Finance.
    413. Barroso, Pedro & Boons, Martijn & Karehnke, Paul, 2021. "Time-varying state variable risk premia in the ICAPM," Journal of Financial Economics, Elsevier, vol. 139(2), pages 428-451.
    414. Samuel Maurer & Joshua V. Rosenberg, 2008. "Signal or noise? Implications of the term premium for recession forecasting," Economic Policy Review, Federal Reserve Bank of New York, vol. 14(Jul), pages 1-11.
    415. Medhat Hassanein & Islam Azzam, 2010. "Ex post and ex ante returns and risks under different maturities of treasury bonds: evidence from developed and emerging markets," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 3(1), pages 103-118.
    416. Mordecai Kurz & Maurizio Motolese, 2011. "Diverse beliefs and time variability of risk premia," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 47(2), pages 293-335, June.
    417. Almeida, Caio & Ardison, Kym & Kubudi, Daniela, 2014. "Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 34(2), November.
    418. Roskelley, Kenneth D., 2016. "Augmenting the Taylor rule: Monetary policy and the bond market," Economics Letters, Elsevier, vol. 144(C), pages 64-67.
    419. Mirco Rubin & Dario Ruzzi, 2020. "Equity Tail Risk in the Treasury Bond Market," Papers 2007.05933, arXiv.org.
    420. Gao, Feng & Li, Yubin & Wang, Xinjie & Zhong, Zhaodong (Ken), 2021. "Corporate social responsibility and the term structure of CDS spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    421. Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2006. "Optimal Portfolio Choice with Annuitization," Other publications TiSEM e0ee89d5-4a5f-4c70-a7ee-d, Tilburg University, School of Economics and Management.
    422. Zaremba, Adam & Czapkiewicz, Anna, 2017. "The cross section of international government bond returns," Economic Modelling, Elsevier, vol. 66(C), pages 171-183.
    423. Al-Zoubi, Haitham A., 2019. "Bond and option prices with permanent shocks," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 272-290.
    424. Kozak, Serhiy, 2022. "Dynamics of bond and stock returns," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 188-209.
    425. Almeida, Caio & Graveline, Jeremy J. & Joslin, Scott, 2011. "Do interest rate options contain information about excess returns?," Journal of Econometrics, Elsevier, vol. 164(1), pages 35-44, September.
    426. Cieslak, Anna & Pang, Hao, 2021. "Common shocks in stocks and bonds," Journal of Financial Economics, Elsevier, vol. 142(2), pages 880-904.
    427. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013. "Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section," Working Paper 2013/19, Norges Bank.
    428. Ying Chen & Bo Li, 2011. "Forecasting Yield Curves in an Adaptive Framework," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 3(4), pages 237-259, December.
    429. Jacobs, Kris & Karoui, Lotfi, 2009. "Conditional volatility in affine term-structure models: Evidence from Treasury and swap markets," Journal of Financial Economics, Elsevier, vol. 91(3), pages 288-318, March.
    430. Juan Andrés Espinosa Torres & Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez, 2014. "Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano," Borradores de Economia 12333, Banco de la Republica.
    431. Ayşe İmrohoroğlu & Şelale Tüzel, 2014. "Firm-Level Productivity, Risk, and Return," Management Science, INFORMS, vol. 60(8), pages 2073-2090, August.
    432. Buraschi, Andrea & Jiltsov, Alexei, 2005. "Inflation risk premia and the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 75(2), pages 429-490, February.
    433. Kroencke, Tim A. & Schindler, Felix & Sebastian, Steffen & Theissen, Erik, 2013. "GDP mimicking portfolios and the cross-section of stock returns," ZEW Discussion Papers 13-026, ZEW - Leibniz Centre for European Economic Research.
    434. Fricke, Christoph, 2012. "Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects," Hannover Economic Papers (HEP) dp-493, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    435. Dahlquist, Magnus & Odegaard, Bernt Arne, 2018. "A Review of Norges Bank's Active Management of the Government Pension Fund Global," UiS Working Papers in Economics and Finance 2018/1, University of Stavanger.
    436. Dimitris A. Georgoutsos & Petros Migiakis, 2010. "European sovereign bond spreads: monetary unification, market conditions and financial integration," Working Papers 115, Bank of Greece.
    437. Zhengyang Jiang, 2019. "US Fiscal Cycle and the Dollar," 2019 Meeting Papers 667, Society for Economic Dynamics.
    438. Entrop, Oliver & Memmel, Christoph & Ruprecht, Benedikt & Wilkens, Marco, 2015. "Determinants of bank interest margins: Impact of maturity transformation," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 1-19.
    439. Lin-Yee Hin & Nikolai Dokuchaev, 2016. "Short Rate Forecasting Based On The Inference From The Cir Model For Multiple Yield Curve Dynamics," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-33, March.
    440. Rui Chen & Meng Wang & Jiri Svec, 2017. "Australian Bond Excess Returns: An Asset Allocation Perspective," Australian Economic Papers, Wiley Blackwell, vol. 56(2), pages 163-173, June.
    441. Bansal, Naresh & Connolly, Robert A. & Stivers, Chris, 2015. "Equity volatility as a determinant of future term-structure volatility," Journal of Financial Markets, Elsevier, vol. 25(C), pages 33-51.
    442. Oguzhan Cepni & Rangan Gupta & I. Ethem Guney & M. Hasan Yilmaz, 2019. "Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-Country Macro-Financial Linkages," Working Papers 201957, University of Pretoria, Department of Economics.
    443. Bouri, Elie & Demirer, Riza & Gupta, Rangan & Wohar, Mark E., 2021. "Gold, platinum and the predictability of bond risk premia," Finance Research Letters, Elsevier, vol. 38(C).
    444. Viceira, Luis M., 2012. "Bond risk, bond return volatility, and the term structure of interest rates," International Journal of Forecasting, Elsevier, vol. 28(1), pages 97-117.
    445. Longstaff, Francis A., 2010. "The subprime credit crisis and contagion in financial markets," Journal of Financial Economics, Elsevier, vol. 97(3), pages 436-450, September.
    446. Kucuk, Ugur N., 2009. "Dynamic Sources of Sovereign Bond Market Liquidity," MPRA Paper 19677, University Library of Munich, Germany.
    447. Michael W. Brandt & Amir Yaron, 2003. "Time-Consistent No-Arbitrage Models of the Term Structure," NBER Working Papers 9458, National Bureau of Economic Research, Inc.
    448. Daniel L. Thornton, 2012. "Evidence on the portfolio balance channel of quantitative easing," Working Papers 2012-015, Federal Reserve Bank of St. Louis.
    449. Granziera, Eleonora & Sihvonen, Markus, 2020. "Bonds, currencies and expectational errors," Bank of Finland Research Discussion Papers 7/2020, Bank of Finland.
    450. Ricardo M. Sousa, 2010. "Collateralizable Wealth, Asset Returns, and Systemic Risk: International Evidence," NIPE Working Papers 15/2010, NIPE - Universidade do Minho.
    451. Kenneth B. Petersen & Vladimir Pozdnyakov, 2008. "Predicting the Fed," Working papers 2008-07, University of Connecticut, Department of Economics.
    452. Revansiddha Basavaraj Khanapure, 2020. "Term structure determinants of time‐varying risk of 1‐year bond returns," The Financial Review, Eastern Finance Association, vol. 55(3), pages 365-384, August.
    453. Xavier Gabaix, 2008. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers 13724, National Bureau of Economic Research, Inc.
    454. Erhard RESCHENHOFER & Thomas STARK, 2019. "Forecasting the Yield Curve with Dynamic Factors," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 101-113, March.
    455. Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, Department of Economics and Business Economics, Aarhus University.
    456. Jian Chen & Jiaquan Yao & Qunzi Zhang & Xiaoneng Zhu, 2023. "Global Disaster Risk Matters," Management Science, INFORMS, vol. 69(1), pages 576-597, January.
    457. Kim, Don H. & Singleton, Kenneth J., 2012. "Term structure models and the zero bound: An empirical investigation of Japanese yields," Journal of Econometrics, Elsevier, vol. 170(1), pages 32-49.
    458. Maio, Paulo & Santa-Clara, Pedro, 2012. "Multifactor models and their consistency with the ICAPM," Journal of Financial Economics, Elsevier, vol. 106(3), pages 586-613.
    459. Andrea Rigamonti & Alex Weissensteiner, 2020. "Asset allocation under predictability and parameter uncertainty using LASSO," Computational Management Science, Springer, vol. 17(2), pages 179-201, June.
    460. Balasubramnian, Bhanu & Cyree, Ken B., 2011. "Market discipline of banks: Why are yield spreads on bank-issued subordinated notes and debentures not sensitive to bank risks?," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 21-35, January.
    461. Çepni, Oğuzhan & Guney, I. Ethem & Gupta, Rangan & Wohar, Mark E., 2020. "The role of an aligned investor sentiment index in predicting bond risk premia of the U.S," Journal of Financial Markets, Elsevier, vol. 51(C).
    462. Guo, Bin & Huang, Fuzhe & Li, Kai, 2020. "Time to build and bond risk premia," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
    463. Favero, Carlo A. & Tamoni, Andrea & Ortu, Fulvio & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
    464. Gregory R. Duffee, 2012. "Bond pricing and the macroeconomy," Economics Working Paper Archive 598, The Johns Hopkins University,Department of Economics.
    465. Qiang Dai & Thomas Philippon, 2005. "Fiscal Policy and the Term Structure of Interest Rates," NBER Working Papers 11574, National Bureau of Economic Research, Inc.
    466. Spencer, Simon & Bredin, Don, 2019. "Agreement matters: OPEC announcement effects on WTI term structure," Energy Economics, Elsevier, vol. 80(C), pages 589-609.
    467. Mauro Costantini & Ricardo M. Sousa, 2020. "Consumption, asset wealth, equity premium, term spread, and flight to quality," European Financial Management, European Financial Management Association, vol. 26(3), pages 778-807, June.
    468. Guihai Zhao, 2018. "Ambiguity, Nominal Bond Yields and Real Bond Yields," Staff Working Papers 18-24, Bank of Canada.
    469. Li, Yulin & Wald, John K. & Wang, Zijun, 2020. "Sovereign bonds, coskewness, and monetary policy regimes," Journal of Financial Stability, Elsevier, vol. 50(C).
    470. Yang, Huan & Cai, Jun & Huang, Lin & Marcus, Alan J., 2021. "Bank stocks, risk factors, and tail behavior," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 203-229.
    471. Philipp Karl Illeditsch, 2018. "Residual Inflation Risk," Management Science, INFORMS, vol. 64(11), pages 5289-5314, November.
    472. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, University Library of Munich, Germany.
    473. Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil, 2017. "Scenario generation for long run interest rate risk assessment," Journal of Econometrics, Elsevier, vol. 201(2), pages 333-347.
    474. Gaus, Eric & Sinha, Arunima, 2018. "What does the yield curve imply about investor expectations?," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 248-265.
    475. Gebhardt, William R. & Hvidkjaer, Soeren & Swaminathan, Bhaskaran, 2005. "The cross-section of expected corporate bond returns: Betas or characteristics?," Journal of Financial Economics, Elsevier, vol. 75(1), pages 85-114, January.
    476. Dahlquist, Magnus & Hasseltoft, Henrik, 2013. "International Bond Risk Premia," Journal of International Economics, Elsevier, vol. 90(1), pages 17-32.
    477. Nikolaos Karouzakis, 2021. "The role of time‐varying risk premia in international interbank markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5720-5745, October.
    478. Ciccarelli, Matteo & Osbat, Chiara, 2017. "Low inflation in the euro area: Causes and consequences," Occasional Paper Series 181, European Central Bank.
    479. António Afonso, & Manish K. Singh, 2016. "Is the supply of long-term debt independent of the term premia? Evidence from Portugal," Working Papers Department of Economics 2016/11, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    480. Gonzalo Rubio & Francisco Sogorb, 2011. "The Adjustment To Target Leverage Of Spanish Public Firms: Macroeconomic Conditions And Distance From Target," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, vol. 19(3), pages 35-63, Winter.
    481. Xu, Yuan, 2015. "Robustness to model uncertainty and the nominal term premium puzzle," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 124-137.
    482. Zhu, Xiaoneng, 2015. "Out-of-sample bond risk premium predictions: A global common factor," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 155-173.
    483. Stig V. Møller & Jesper Rangvid, 2012. "End-of-the-year economic growth and time-varying expected returns," CREATES Research Papers 2012-42, Department of Economics and Business Economics, Aarhus University.
    484. Nikolaus Hautsch & Yangguoyi Ou, 2008. "Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia," SFB 649 Discussion Papers SFB649DP2008-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    485. Schuster, Philipp & Uhrig-Homburg, Marliese, 2015. "Limits to arbitrage and the term structure of bond illiquidity premiums," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 143-159.
    486. Seungho Baek & Jeong Wan Lee & Kyong Joo Oh & Myoungji Lee, 2020. "Yield curve risks in currency carry forwards," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 651-670, April.
    487. Audzeyeva, Alena & Fuertes, Ana-Maria, 2018. "On the predictability of emerging market sovereign credit spreads," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 140-157.
    488. Driessen, Joost & Nijman, Theodore E. & Simon, Zorka, 2022. "A simple approach to estimate long-term interest rates," SAFE Working Paper Series 238, Leibniz Institute for Financial Research SAFE, revised 2022.
    489. Stijn Van Nieuwerburgh & Hanno Lustig & Ralph S.J. Koijen, 2009. "The Bond Risk Premium and the Cross-Section of Equity Returns," 2009 Meeting Papers 12, Society for Economic Dynamics.
    490. Boons, M.F., 2014. "Sorting out commodity and macroeconomic risk in expected stock returns," Other publications TiSEM 1ebdac58-bf37-499d-8835-1, Tilburg University, School of Economics and Management.
    491. Jon Faust & Jonathan H. Wright, 2008. "Efficient Prediction of Excess Returns," NBER Working Papers 14169, National Bureau of Economic Research, Inc.
    492. Eric Jondeau & Michael Rockinger, 2019. "Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(8), pages 2239-2291, December.
    493. Christoffel, Kai & Jaccard, Ivan & Kilponen, Juha, 2013. "Welfare and bond pricing implications of fiscal stabilization policies," Bank of Finland Research Discussion Papers 32/2013, Bank of Finland.
    494. Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010. "Habit formation, surplus consumption and return predictability: International evidence," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1237-1255, November.
    495. Görtz, Christoph & Tsoukalas, John, 2011. "News and Financial Intermediation in Aggregate Fluctuations," MPRA Paper 34113, University Library of Munich, Germany, revised Oct 2011.
    496. Corhay, Alexandre & Kind, Thilo & Kung, Howard & Morales, Gonzalo, 2021. "Discount rates, debt maturity, and the fiscal theory," SAFE Working Paper Series 323, Leibniz Institute for Financial Research SAFE.
    497. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2020. "Predicting bond return predictability," CREATES Research Papers 2020-09, Department of Economics and Business Economics, Aarhus University.
    498. Eric Jondeau & Benoit Mojon & Jean-Guillaume Sahuc, 2020. "Bank Funding Cost and Liquidity Supply Regimes," BIS Working Papers 854, Bank for International Settlements.
    499. Driessen, Joost & Nijman, Theo E. & Simon, Zorka, 2017. "The missing piece of the puzzle: Liquidity premiums in inflation-indexed markets," SAFE Working Paper Series 183, Leibniz Institute for Financial Research SAFE.
    500. Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.
    501. Rodrigo Alfaro & Marco Piña, 2021. "Estimates of the US Shadow-Rate," Working Papers Central Bank of Chile 923, Central Bank of Chile.
    502. Jing-Zhi Huang & Zhan Shi, 2023. "Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance," Management Science, INFORMS, vol. 69(3), pages 1780-1804, March.
    503. Zhang, Han & Fan, Xiaoyun & Guo, Bin & Zhang, Wei, 2019. "Reexamining time-varying bond risk premia in the post-financial crisis era," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).

  28. Brandt, Michael & Cochrane, John & Santa-Clara, Pedro, 2001. "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!," University of California at Los Angeles, Anderson Graduate School of Management qt1jw137zd, Anderson Graduate School of Management, UCLA.

    Cited by:

    1. Nikolaos Panigirtzoglou, 2004. "Implied Foreign Exchange Risk Premia," European Financial Management, European Financial Management Association, vol. 10(2), pages 321-338, June.
    2. Pavlova, Anna & Rigobon, Roberto, 2004. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    3. Cappiello, Lorenzo & De Santis, Roberto A., 2005. "Explaining exchange rate dynamics: the uncovered equity return parity condition," Working Paper Series 529, European Central Bank.
    4. Pistaferri, Luigi & Kocherlakota, Narayana, 2007. "Household Heterogeneity and Real Exchange Rates," CEPR Discussion Papers 6192, C.E.P.R. Discussion Papers.
    5. Timothy K. Chue, 2004. "The Spirit of Capitalism and International Risk Sharing," Econometric Society 2004 Far Eastern Meetings 589, Econometric Society.
    6. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 283-300.
    7. Shu Wu, 2007. "Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 423-442, March.
    8. Michael W. Brandt & Pedro Santa-Clara, 2001. "Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets," NBER Technical Working Papers 0274, National Bureau of Economic Research, Inc.
    9. Roche, M.J. & Moore. M.J., 2002. "Volatile and persistent real exchange rates without the contrivance of sticky prices," Economics Department Working Paper Series n1160402, Department of Economics, National University of Ireland - Maynooth.
    10. Perron, Pierre & Wada, Tatsuma, 2009. "Let's take a break: Trends and cycles in US real GDP," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.
    11. Hanno Lustig, 2005. "Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution (joint with Adrien Verdelhan, BU, forthcoming in Papers and Proceedings JEEA)," UCLA Economics Online Papers 368, UCLA Department of Economics.

  29. John H. Cochrane, 2001. "A Rehabilitation of Stochastic Discount Factor Methodology," NBER Working Papers 8533, National Bureau of Economic Research, Inc.

    Cited by:

    1. Laurinaityte, Nora & Meinerding, Christoph & Schlag, Christian & Thimme, Julian, 2020. "GMM weighting matrices incross-sectional asset pricing tests," Discussion Papers 62/2020, Deutsche Bundesbank.
    2. Massimo Guidolin & Martin Lozano & Juan Arismendi Zambrano, "undated". "Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations," Economics Department Working Paper Series n304-20.pdf, Department of Economics, National University of Ireland - Maynooth.
    3. Peter N Smith & Michael R Wickens, "undated". "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers 02/03, Department of Economics, University of York.
    4. Simin, Timothy, 2008. "The Poor Predictive Performance of Asset Pricing Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 355-380, June.
    5. Chen, Jiaqi & Sherif, Mohamed, 2016. "Illiquidity premium and expected stock returns in the UK: A new approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 52-66.
    6. Ahmed, Shamim & Liu, Xiaoquan & Valente, Giorgio, 2016. "Can currency-based risk factors help forecast exchange rates?," International Journal of Forecasting, Elsevier, vol. 32(1), pages 75-97.
    7. Bansal, Ravi & Dahlquist, Magnus, 2002. "Expropriation Risk and Return in Global Equity Markets," SIFR Research Report Series 8, Institute for Financial Research.
    8. Fergusson, Kevin, 2020. "Less-Expensive Valuation And Reserving Of Long-Dated Variable Annuities When Interest Rates And Mortality Rates Are Stochastic," ASTIN Bulletin, Cambridge University Press, vol. 50(2), pages 381-417, May.
    9. Bernard Walley, 2015. "Macroeconomic sources of foreign exchange risk premium: evidence from South Africa," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(2), pages 382-395, April.
    10. Doron Avramov & Si Cheng & Lior Metzker, 2023. "Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability," Management Science, INFORMS, vol. 69(5), pages 2587-2619, May.
    11. Kevin John Fergusson, 2018. "Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2018.
    12. Brooks, Chris & Fernandez-Perez, Adrian & Miffre, Joëlle & Nneji, Ogonna, 2016. "Commodity risks and the cross-section of equity returns," The British Accounting Review, Elsevier, vol. 48(2), pages 134-150.
    13. Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers 3145, C.E.P.R. Discussion Papers.

  30. Cochrane, John, 2000. "The Risk and Return of Venture Capital," University of California at Los Angeles, Anderson Graduate School of Management qt7qm9h594, Anderson Graduate School of Management, UCLA.

    Cited by:

    1. Buchner, Axel, 2016. "How much can lack of marketability affect private equity fund values?," Review of Financial Economics, Elsevier, vol. 28(C), pages 35-45.
    2. Liang Peng, 2001. "Building A Venture Capital Index," Yale School of Management Working Papers ysm221, Yale School of Management, revised 01 Oct 2001.
    3. Alperovych, Yan & Hübner, Georges & Lobet, Fabrice, 2015. "How does governmental versus private venture capital backing affect a firm's efficiency? Evidence from Belgium," Journal of Business Venturing, Elsevier, vol. 30(4), pages 508-525.
    4. Dirk Bergemann & Ulrich Hege & Liang Peng, 2008. "Venture Capital and Sequential Investments," Cowles Foundation Discussion Papers 1682, Cowles Foundation for Research in Economics, Yale University, revised Nov 2008.
    5. Li, Xu & Vermeulen, Freek, 2021. "High risk, low return (and vice versa): the effect of product innovation on firm performance in a transition economy," LSE Research Online Documents on Economics 120268, London School of Economics and Political Science, LSE Library.
    6. Roman Kraussl & Stefan Krause, 2013. "Has Europe Been Catching Up? An Industry Level Analysis of Venture Capital Success over 1985-2009," LSF Research Working Paper Series 13-6, Luxembourg School of Finance, University of Luxembourg.
    7. Andrew Metrick & Ayako Yasuda, 2010. "Venture Capital and Other Private Equity: A Survey," NBER Working Papers 16652, National Bureau of Economic Research, Inc.
    8. Obrimah, Oghenovo A. & Prakash, Puneet, 2010. "Performance reversals and attitudes towards risk in the venture capital (VC) market," Journal of Economics and Business, Elsevier, vol. 62(6), pages 537-561, November.
    9. Matthias Huss & Heinz Zimmermann, 2018. "The Pricing of Liquidity Risk in Buyout Funds – A Public Market Perspective," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 70(3), pages 285-312, July.
    10. Block, Joern & Fisch, Christian & Vismara, Silvio & Andres, René, 2019. "Private equity investment criteria: An experimental conjoint analysis of venture capital, business angels, and family offices," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 329-352.
    11. Robinson, David T. & Sensoy, Berk A., 2011. "Do Private Equity Fund Managers Earn Their Fees? Compensation, Ownership, and Cash Flow Performance," Working Paper Series 2011-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    12. Bilo, Stéphanie & Christophers, Hans & Degosciu, Michèl & Zimmermann, Heinz, 2005. "Risk, returns, and biases of listed private equity portfolios," Working papers 2005/01, Faculty of Business and Economics - University of Basel.
    13. Kim, Jin-Hyuk & Wagman, Liad, 2016. "Early-stage entrepreneurial financing: A signaling perspective," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 12-22.
    14. Christian Hopp & Christian Lukas, 2014. "A Signaling Perspective on Partner Selection in Venture Capital Syndicates," Entrepreneurship Theory and Practice, , vol. 38(3), pages 635-670, May.
    15. Jürgen Marchart & Thomas Url, 2008. "Hemmnisse für die Finanzierung von Frühphasen- oder Venture-Capital-Fonds in Österreich," WIFO Studies, WIFO, number 32579.
    16. Abhay Abhyankar & Angelica Gonzalez, 2007. "What Drives Corporate Bond Market Betas?," Edinburgh School of Economics Discussion Paper Series 157, Edinburgh School of Economics, University of Edinburgh.
    17. Müller, Elisabeth, 2009. "Returns to private equity: idiosyncratic risk does matter!," ZEW Discussion Papers 04-29 [rev.3], ZEW - Leibniz Centre for European Economic Research.
    18. Nanda, Ramana & Samila, Sampsa & Sorenson, Olav, 2020. "The persistent effect of initial success: Evidence from venture capital," Journal of Financial Economics, Elsevier, vol. 137(1), pages 231-248.
    19. Junfu Zhang, 2006. "A Study of Academic Entrepreneurs Using Venture Capital Data," PPIC Working Papers 2006.01, Public Policy Institute of California.
    20. Zarutskie, Rebecca, 2010. "The role of top management team human capital in venture capital markets: Evidence from first-time funds," Journal of Business Venturing, Elsevier, vol. 25(1), pages 155-172, January.
    21. Das, Sanjiv R. & Jo, Hoje & Kim, Yongtae, 2011. "Polishing diamonds in the rough: The sources of syndicated venture performance," Journal of Financial Intermediation, Elsevier, vol. 20(2), pages 199-230, April.
    22. Barber, Brad M. & Yasuda, Ayako, 2017. "Interim fund performance and fundraising in private equity," Journal of Financial Economics, Elsevier, vol. 124(1), pages 172-194.
    23. Hu, Yunzhi, 2022. "A dynamic theory of bank lending, firm entry, and investment fluctuations," Journal of Economic Theory, Elsevier, vol. 204(C).
    24. Uppal, Raman & Vilkov, Grigory & Buss, Adrian, 2015. "Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets," CEPR Discussion Papers 10437, C.E.P.R. Discussion Papers.
    25. Yan Alperovych & Georges Hübner, 2013. "Incremental impact of venture capital financing," Post-Print hal-02312949, HAL.
    26. Andrew Y. Chen & Chukwuma Dim, 2023. "High-Throughput Asset Pricing," Papers 2311.10685, arXiv.org, revised Mar 2024.
    27. Driessen, Joost & Lin, Tse-Chun & Phalippou, Ludovic, 2012. "A New Method to Estimate Risk and Return of Nontraded Assets from Cash Flows: The Case of Private Equity Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(3), pages 511-535, June.
    28. Balázs FazekasBalázs Fazekas, 2016. "Value-Creating Uncertainty – A Real Options Approach in Venture Capital," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 15(4), pages 151-166.
    29. Humphery-Jenner, Mark & Suchard, Jo-Ann, 2013. "Foreign VCs and venture success: Evidence from China," Journal of Corporate Finance, Elsevier, vol. 21(C), pages 16-35.
    30. Richard A. Hunt & Bret Fund, 2012. "Reassessing the Practical and Theoretical Influence of Entrepreneurship Through Acquisition," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 16(1), pages 29-56, Spring.
    31. Gael Imad'Eddine & Armin Schwienbacher, 2013. "International Capital Flows into the European Private Equity Market," European Financial Management, European Financial Management Association, vol. 19(2), pages 366-398, March.
    32. Warnick, Benjamin J. & Murnieks, Charles Y. & McMullen, Jeffery S. & Brooks, Wade T., 2018. "Passion for entrepreneurship or passion for the product? A conjoint analysis of angel and VC decision-making," Journal of Business Venturing, Elsevier, vol. 33(3), pages 315-332.
    33. Arpit Gupta & Stijn Van Nieuwerburgh, 2021. "Valuing Private Equity Investments Strip by Strip," Journal of Finance, American Finance Association, vol. 76(6), pages 3255-3307, December.
    34. Cristiano Bellavitis & Christian Fisch & Rod B. McNaughton, 2022. "COVID-19 and the global venture capital landscape," Small Business Economics, Springer, vol. 59(3), pages 781-805, October.
    35. Carolin Bock & Maximilian Schmidt, 2015. "Should I stay, or should I go? – How fund dynamics influence venture capital exit decisions," Review of Financial Economics, John Wiley & Sons, vol. 27(1), pages 68-82, November.
    36. Grammig, Joachim & Küchlin, Eva-Maria, 2018. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," Journal of Econometrics, Elsevier, vol. 205(1), pages 6-33.
    37. Ljungqvist, Alexander & Bircan, Cagatay & Biesinger, Markus, 2020. "Value Creation in Private Equity," CEPR Discussion Papers 14676, C.E.P.R. Discussion Papers.
    38. Achleitner, A.-K. & Bock, Carolin & Watzinger, M., 2013. "The Capital Gains Tax: A Curse but also a Blessing for Venture Capital Investment," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77320, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    39. Michael Ewens & Charles M. Jones & Matthew Rhodes-Kropf, 2013. "The Price of Diversifiable Risk in Venture Capital and Private Equity," The Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 1854-1889.
    40. Julian Kaboth & Arnd Lodowicks & Maximilian Schreiter & Bernhard Schwetzler, 2023. "Same same but different: how preferential claims trigger valuation discounts in equity tranches of VC-backed firms," Review of Quantitative Finance and Accounting, Springer, vol. 60(3), pages 877-914, April.
    41. Denis, David J., 2004. "Entrepreneurial finance: an overview of the issues and evidence," Journal of Corporate Finance, Elsevier, vol. 10(2), pages 301-326, March.
    42. Cora Barnhart & Gerald P. Dwyer, 2012. "Returns To Investors In Stocks In New Industries," Economic Inquiry, Western Economic Association International, vol. 50(4), pages 1031-1049, October.
    43. Ivelin Elenchev & Aleksandar Vasilev, 2017. "Forecasting the Success Rate of Reward Based Crowdfunding Projects," Bulgarian Economic Papers bep-2017-09, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria // Center for Economic Theories and Policies at Sofia University St Kliment Ohridski, revised Nov 2017.
    44. Guillermo Yañez & Carlos Maquieira, 2009. "Rendimiento de Ofertas Públicas Iniciales de Acciones en Chile: Evidencia Empírica entre 1994 y 2007," Serie de Documentos de Trabajo 02, Superintendencia de Valores y Seguros.
    45. Armin SCHWIENBACHER, 2001. "Innovation And Venture Capital Exits," Finance 0111005, University Library of Munich, Germany.
    46. Chang, Victor & Newman, Russell & Walters, Robert John & Wills, Gary Brian, 2016. "Review of economic bubbles," International Journal of Information Management, Elsevier, vol. 36(4), pages 497-506.
    47. Timothy Bates & William D. Bradford, 2008. "Venture‐Capital Investment in Minority Business," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2‐3), pages 489-504, March.
    48. Cécile Carpentier & Jean-François L’Her & Jean-Marc Suret, 2012. "Seasoned equity offerings by small and medium-sized enterprises," Small Business Economics, Springer, vol. 38(4), pages 449-465, May.
    49. Liang Peng & Lei Zhang, 2021. "House Prices and Systematic Risk: Evidence from Microdata," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(4), pages 1069-1092, December.
    50. Camille Loir & Bertrand Groslambert, 2023. "The impact of innovation on the profitability of the biotech industry," Economics Bulletin, AccessEcon, vol. 43(3), pages 1286-1297.
    51. Širůček, Martin & Čajka, Ondřej, 2016. "Using Of Pe/Vc By Company Financing And It´S Impact On Company´S Statements," MPRA Paper 77515, University Library of Munich, Germany, revised 2016.
    52. Martin Meier & Leopold Sögner, 2023. "Hunting for superstars," Mathematics and Financial Economics, Springer, volume 17, number 1, June.
    53. Anita Mezzetti & Loic Mar'echal & Dimitri Percia David & William Lacube & S'ebastien Gillard & Michael Tsesmelis & Thomas Maillart & Alain Mermoud, 2022. "TechRank," Papers 2210.07824, arXiv.org.
    54. Cumming, Douglas & Johan, Sofia, 2007. "Regulatory harmonization and the development of private equity markets," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3218-3250, October.
    55. David Chambers & Elroy Dimson & Christophe Spaenjers, 0. "Art as an Asset: Evidence from Keynes the Collector," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(3), pages 490-520.
    56. Norbäck, Pehr-Johan & Persson, Lars, 2004. "The Organization of the Innovation Industry: Entrepreneurs, Venture Capitalists, and Oligopolists," Working Paper Series 626, Research Institute of Industrial Economics.
    57. Bhanot, Karan & Kadapakkam, Palani-Rajan, 2022. "Pay for performance, partnership success, and the internal organization of venture capital firms," Journal of Corporate Finance, Elsevier, vol. 75(C).
    58. Paul Gompers & Anna Kovner & Josh Lerner & David Scharfstein, 2005. "Venture Capital Investment Cycles: The Impact of Public Markets," NBER Working Papers 11385, National Bureau of Economic Research, Inc.
    59. Tony W. Tong & Yong Li, 2011. "Real Options and Investment Mode: Evidence from Corporate Venture Capital and Acquisition," Organization Science, INFORMS, vol. 22(3), pages 659-674, June.
    60. Song, Michael & Wang, Tang & Parry, Mark E., 2010. "Do market information processes improve new venture performance?," Journal of Business Venturing, Elsevier, vol. 25(6), pages 556-568, November.
    61. Marco Da Rin & Thomas F. Hellmann & Manju Puri, 2011. "A survey of venture capital research," NBER Working Papers 17523, National Bureau of Economic Research, Inc.
    62. Adeline Saillard & Thomas Url, 2011. "Venture Capital in Bank- and Market-based Economies," WIFO Working Papers 389, WIFO.
    63. Espenlaub, Susanne & Khurshed, Arif & Mohamed, Abdulkadir, 2014. "Does cross-border syndication affect venture capital risk and return?," International Review of Financial Analysis, Elsevier, vol. 31(C), pages 13-24.
    64. Walz, Uwe & Cumming, Douglas, 2004. "Private equity returns and disclosure around the world," CFS Working Paper Series 2004/05, Center for Financial Studies (CFS).
    65. Christian Diller & Christoph Kaserer, 2009. "What Drives Private Equity Returns?– Fund Inflows, Skilled GPs, and/or Risk?," European Financial Management, European Financial Management Association, vol. 15(3), pages 643-675, June.
    66. Giot, Pierre & Schwienbacher, Armin, 2007. "IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 679-702, March.
    67. Roman Kräussl & Narasimhan Jegadeesh & Joshua M. Pollet, 2014. "Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices," LSF Research Working Paper Series 14-04, Luxembourg School of Finance, University of Luxembourg.
    68. Cole,Shawn Allen & Melecky,Martin & Molders,Florian & Reed,Tristan, 2020. "Long-run Returns to Impact Investing in Emerging Market and Developing Economies," Policy Research Working Paper Series 9366, The World Bank.
    69. Ahmed, Rizwan & ullah, Subhan & Hudson, Robert & Gregoriou, Andros, 2023. "The implications of liquidity ratios: Evidence from Pakistan stock exchange limited," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 235-243.
    70. Junfu Zhang, 2011. "The advantage of experienced start-up founders in venture capital acquisition: evidence from serial entrepreneurs," Small Business Economics, Springer, vol. 36(2), pages 187-208, February.
    71. David C. Ling & Andy Naranjo & Benjamin Scheick, 2016. "Credit Availability and Asset Pricing Dynamics in Illiquid Markets: Evidence from Commercial Real Estate Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(7), pages 1321-1362, October.
    72. X. Zhang & L. D. Valdez & H. E. Stanley & L. A. Braunstein, 2019. "Modeling Risk Contagion in the Venture Capital Market: A Multilayer Network Approach," Complexity, Hindawi, vol. 2019, pages 1-11, December.
    73. William H. Janeway & Ramana Nanda & Matthew Rhodes-Kropf, 2021. "Venture Capital Booms and Start-Up Financing," Annual Review of Financial Economics, Annual Reviews, vol. 13(1), pages 111-127, November.
    74. Nagel, Stefan & Korteweg, Arthur, 2013. "Risk-Adjusting the Returns to Venture Capital," CEPR Discussion Papers 9610, C.E.P.R. Discussion Papers.
    75. Masulis, Ronald W. & Nahata, Rajarishi, 2009. "Financial contracting with strategic investors: Evidence from corporate venture capital backed IPOs," Journal of Financial Intermediation, Elsevier, vol. 18(4), pages 599-631, October.
    76. Andrew Metrick & Ayako Yasuda, 2007. "The economics of private equity funds," Proceedings, Federal Reserve Bank of San Francisco, issue Oct.
    77. Gornall, Will & Strebulaev, Ilya A., 2020. "Squaring venture capital valuations with reality," Journal of Financial Economics, Elsevier, vol. 135(1), pages 120-143.
    78. Didier Cossin & Benoît Leleux & Entela Saliasi, 2002. "Understanding the Economic Value of Legal Covenants in Investment Contracts: A Real-Options Approach to Venture Equity Contracts," Swiss Finance Institute Research Paper Series rp63, Swiss Finance Institute.
    79. Buchner, Axel, 2016. "Dealing with non-normality when estimating abnormal returns and systematic risk of private equity: A closed-form solution," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 60-78.
    80. Dimo Dimov & Pablo Martin de Holan, 2010. "Firm Experience and Market Entry by Venture Capital Firms (1962–2004)," Journal of Management Studies, Wiley Blackwell, vol. 47(1), pages 130-161, January.
    81. Cumming, Douglas J. & MacIntosh, Jeffrey G., 2003. "A cross-country comparison of full and partial venture capital exits," Journal of Banking & Finance, Elsevier, vol. 27(3), pages 511-548, March.
    82. Jörn H. Block & Christian Fisch & Walter Diegel, 2024. "Schumpeterian entrepreneurial digital identity and funding from venture capital firms," The Journal of Technology Transfer, Springer, vol. 49(1), pages 119-157, February.
    83. Andreas Köhn, 2018. "The determinants of startup valuation in the venture capital context: a systematic review and avenues for future research," Management Review Quarterly, Springer, vol. 68(1), pages 3-36, February.
    84. Meng, Rujing, 2008. "A patent race in a real options setting: Investment strategy, valuation, CAPM beta, and return volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3192-3217, October.
    85. Boyer, Brian & Nadauld, Taylor D. & Vorkink, Keith P. & Weisbach, Michael S., 2018. "Private Equity Indices Based on Secondary Market Transactions," Working Paper Series 2018-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    86. Christodoulakis, George & Mohamed, Abdulkadir & Topaloglou, Nikolas, 2018. "Optimal privatization portfolios in the presence of arbitrary risk aversion," European Journal of Operational Research, Elsevier, vol. 265(3), pages 1172-1191.
    87. Li, Yong & Mahoney, Joseph T., 2011. "When are venture capital projects initiated?," Journal of Business Venturing, Elsevier, vol. 26(2), pages 239-254, March.
    88. Morten Sorensen & Neng Wang & Jinqiang Yang, 2013. "Valuing Private Equity," NBER Working Papers 19612, National Bureau of Economic Research, Inc.
    89. Ulrich Hege & Frédéric Palomino & Armin Schwienbacher, 2009. "Venture Capital Performance: The Disparity Between Europe and the United States," Finance, Presses universitaires de Grenoble, vol. 30(1), pages 7-50.
    90. Rohan Chinchwadkar & Rama Seth, 2018. "The Choice of Exit: Influence of Private Equity Investors and Buyout Entry," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1_suppl), pages 1-26, April.
    91. Robinson, David T. & Sensoy, Berk A., 2010. "Private Equity in the 21st Century: Cash Flows, Performance, and Contract Terms from 1984-2010," Working Paper Series 2010-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    92. Pfeffer, Jeffrey, 2010. "Evidence-Based Management for Entrepreneurial Environments: Faster and Better Decisions with Less Risk," Research Papers 2051, Stanford University, Graduate School of Business.
    93. Gilles Chemla & Michel A. Habib & Alexander Ljungqvist, 2007. "An Analysis of Shareholder Agreements," Journal of the European Economic Association, MIT Press, vol. 5(1), pages 93-121, March.
    94. Axel Buchner & Susanne Espenlaub & Arif Khurshed & Abdulkadir Mohamed, 2018. "Cross-border venture capital investments: The impact of foreignness on returns," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 49(5), pages 575-604, July.
    95. Nahata, Rajarishi, 2008. "Venture capital reputation and investment performance," Journal of Financial Economics, Elsevier, vol. 90(2), pages 127-151, November.
    96. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFR Working Papers 17-01, University of Cologne, Centre for Financial Research (CFR).
    97. Vikas Agarwal & Brad Barber & Si Cheng & Allaudeen Hameed & Ayako Yasuda, 2023. "Private Company Valuations by Mutual Funds," Review of Finance, European Finance Association, vol. 27(2), pages 693-738.
    98. Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko & Puertolas, Francisco, 2024. "Modelling profitability of private equity: A fractional integration approach," Research in International Business and Finance, Elsevier, vol. 67(PA).
    99. Agarwal, Vikas & Barber, Brad M. & Cheng, Si & Hameed, Allaudeen & Yasuda, Ayako, 2021. "Private company valuations by mutual funds," CFR Working Papers 21-09, University of Cologne, Centre for Financial Research (CFR).
    100. Liang Peng, 2001. "Building A Venture Capital Index," Yale School of Management Working Papers ysm221, Yale School of Management, revised 01 Oct 2001.
    101. Wang, Lanfang & Wang, Susheng, 2021. "Unusual investor behavior under tacit and endogenous market signals," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 76-97.
    102. Ann‐Kristin Achleitner & Nico Engel & Uwe Reiner, 2013. "The performance of venture capital investments: Do investors overreact?," Review of Financial Economics, John Wiley & Sons, vol. 22(1), pages 20-35, January.
    103. Wang, Lanfang & Wang, Susheng, 2017. "Buybacks as an efficient strategy for venture capital in emerging markets," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 107-123.
    104. Cumming, Douglas & Fleming, Grant & Suchard, Jo-Ann, 2005. "Venture capitalist value-added activities, fundraising and drawdowns," Journal of Banking & Finance, Elsevier, vol. 29(2), pages 295-331, February.
    105. Christoph Kaserer & Niklas Wagner & Ann-Kristin Achleitner, 2005. "Managing Investment Risks of Institutional Private Equity Investors — The Challenge of Illiquidity," Springer Books, in: Michael Frenkel & Markus Rudolf & Ulrich Hommel (ed.), Risk Management, edition 0, pages 259-277, Springer.
    106. Rudra P. Pradhan & Rana P. Maradana & Danish B. Zaki & Saurav Dash & Manju Jayakumar & Kunal Gaurav, 2017. "Venture Capital and Innovation: Evidence from European Economic Area Countries," International Journal of Innovation and Technology Management (IJITM), World Scientific Publishing Co. Pte. Ltd., vol. 14(06), pages 1-30, December.
    107. Roland Füss & Denis Schweizer, 2012. "Short and long-term interactions between venture capital returns and the macroeconomy: evidence for the United States," Review of Quantitative Finance and Accounting, Springer, vol. 38(3), pages 391-410, April.
    108. Amit Bubna & Sanjiv R. Das & Paul Hanouna, 2020. "The Fast and the Curious: VC Drift," Journal of Financial Services Research, Springer;Western Finance Association, vol. 57(1), pages 69-113, February.
    109. Shumiao Ouyang & Jiaheng Yu & Ravi Jagannathan, 2020. "Return to Venture Capital in the Aggregate," NBER Working Papers 27690, National Bureau of Economic Research, Inc.
    110. Luis Alberiko Gil-Alana & Francisco Puertolas-Montanes, 2023. "Profitability of private equity: mean reversion and transitory shocks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 458-471, June.
    111. Johannes Wallmeroth & Peter Wirtz & Alexander Peter Groh, 2017. "Institutional Seed Financing, Angel Financing, and Crowdfunding of Entrepreneurial Ventures: A Literature Review," Working Papers hal-01527999, HAL.
    112. James Dominic & Anto Joseph, 2023. "Dynamics of Venture Capital and Private Equity Investments in India: An Empirical Analysis," JRFM, MDPI, vol. 16(11), pages 1-23, November.
    113. David T. Robinson & Berk A. Sensoy, 2011. "Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity," NBER Working Papers 17428, National Bureau of Economic Research, Inc.
    114. P. Mohnen & F. Palm & S. Loeff & A. Tiwari, 2008. "Financial Constraints and Other Obstacles: are they a Threat to Innovation Activity?," De Economist, Springer, vol. 156(2), pages 201-214, June.
    115. Alperovych, Yan & Hübner, Georges, 2011. "Explaining returns on venture capital backed companies: Evidence from Belgium," Research in International Business and Finance, Elsevier, vol. 25(3), pages 277-295, September.
    116. de Zwart, G.J. & Frieser, B. & van Dijk, D.J.C., 2007. "A Recommitment Strategy for Long Term Private Equity Fund Investors," ERIM Report Series Research in Management ERS-2007-097-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    117. Chaplinsky, Susan & Gupta-Mukherjee, Swasti, 2016. "Investment risk allocation and the venture capital exit market: Evidence from early stage investing," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 38-54.
    118. Pengda Fan & Kazuo Yamada, 2020. "Same bed different dream composition of IPO shares and withdrawal decisions in weak market conditions," Small Business Economics, Springer, vol. 55(4), pages 955-974, December.
    119. McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong, 2012. "Nonlinearity and smoothing in venture capital performance data," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 782-795.
    120. Schmidt, Daniel, 2003. "Private equity-, stock- and mixed asset-portfolios: A bootstrap approach to determine performance characteristics, diversification benefits and optimal portfolio allocations," CFS Working Paper Series 2004/12, Center for Financial Studies (CFS).
    121. Douglas Cumming & Grant Fleming & Sofia A. Johan, 2011. "Institutional Investment in Listed Private Equity," European Financial Management, European Financial Management Association, vol. 17(3), pages 594-618, June.
    122. Kevin Levillain & Blanche Segrestin & Armand Hatchuel, 2014. "Can venture capital foster innovation? A study of the coupling between innovation and finance," Post-Print hal-00969096, HAL.
    123. Bronwyn H. Hall & Josh Lerner, 2009. "The Financing of R&D and Innovation," NBER Working Papers 15325, National Bureau of Economic Research, Inc.
    124. Fazekas Balazs & Becsky-Nagy Patricia, 2015. "The Role Of Venture Capital In The Bridging Of Funding Gaps – A Real Options Reasoning," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 825-830, July.
    125. Wang, Lanfang & Wang, Susheng, 2012. "Endogenous networks in investment syndication," Journal of Corporate Finance, Elsevier, vol. 18(3), pages 640-663.
    126. Dominique Guellec & Caroline Paunov, 2017. "Digital Innovation and the Distribution of Income," NBER Working Papers 23987, National Bureau of Economic Research, Inc.
    127. Ant Bozkaya & William R. Kerr, 2009. "Labor Regulations and European Private Equity," NBER Working Papers 15627, National Bureau of Economic Research, Inc.
    128. Pascal François & Georges Hübner, 2010. "A Portfolio Approach to Venture Capital Financing," Cahiers de recherche 1046, CIRPEE.
    129. Simona Mateut, 2018. "Subsidies, financial constraints and firm innovative activities in emerging economies," Small Business Economics, Springer, vol. 50(1), pages 131-162, January.
    130. Becsky-Nagy Patrícia & Fazekas Balazs, 2014. "Returns Of Private Equity Comparative Analyses Of The Returns Of Venture Capital And Buyout Funds In Europe And In The Us," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 820-827, July.
    131. Achleitner, Ann-Kristin & Engel, Nico & Reiner, Uwe, 2013. "The performance of venture capital investments: Do investors overreact?," Review of Financial Economics, Elsevier, vol. 22(1), pages 20-35.
    132. Dirk De Clercq & Dimo Dimov, 2008. "Internal Knowledge Development and External Knowledge Access in Venture Capital Investment Performance," Journal of Management Studies, Wiley Blackwell, vol. 45(3), pages 585-612, May.
    133. Groh, Alexander Peter & Gottschalg, Oliver, 2011. "The effect of leverage on the cost of capital of US buyouts," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2099-2110, August.
    134. Indraneel Chakraborty & Michael Ewens, "undated". "Does Security Choice Matter in Venture Capital? The Case of Venture Debt," GSIA Working Papers 2012-E35, Carnegie Mellon University, Tepper School of Business.
    135. Alexander Peter Groh & Oliver Gottschalg, 2008. "The Opportunity Cost of Capital of US Buyouts," NBER Working Papers 14148, National Bureau of Economic Research, Inc.
    136. Douglas Cumming & Grant Fleming & Sofia Johan & Mai Takeuchi, 2010. "Legal Protection, Corruption and Private Equity Returns in Asia," Journal of Business Ethics, Springer, vol. 95(2), pages 173-193, September.
    137. Birz, Gene, 2017. "Stale economic news, media and the stock market," Journal of Economic Psychology, Elsevier, vol. 61(C), pages 87-102.
    138. Tennert, Julius & Lambert, Marie & Burghof, Hans-Peter, 2017. "Moral hazard in VC finance: More expensive than you thought," Hohenheim Discussion Papers in Business, Economics and Social Sciences 02-2017, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
    139. Ramon P. DeGennaro & Gerald P. Dwyer, 2010. "Expected returns to stock investments by angel investors in groups," FRB Atlanta Working Paper 2010-14, Federal Reserve Bank of Atlanta.
    140. Arthur Korteweg & Morten Sorensen, 2012. "Estimating Loan-to-Value and Foreclosure Behavior," NBER Working Papers 17882, National Bureau of Economic Research, Inc.
    141. Roman Kräussl & Stefan Krause, 2014. "Has Europe Been Catching Up? An Industry Level Analysis of Venture Capital Success over 1985–2009," European Financial Management, European Financial Management Association, vol. 20(1), pages 179-205, January.
    142. Hand, John R.M., 2007. "Determinants of the round-to-round returns to pre-IPO venture capital investments in U.S. biotechnology companies," Journal of Business Venturing, Elsevier, vol. 22(1), pages 1-28, January.
    143. Goldfarb, Brent & Kirsch, David & Miller, David A., 2007. "Was there too little entry during the Dot Com Era?," Journal of Financial Economics, Elsevier, vol. 86(1), pages 100-144, October.
    144. Yang, Song, 2022. "Are private equity and venture capital helping small and medium-sized enterprises during the COVID-19 pandemic? Evidence from China," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 1-14.
    145. Hashmat Khan & Pythagoras Petratos, 2016. "Entrepreneurship and the Business Cycle: Stylized Facts from U.S. Venture Capital Activity," Carleton Economic Papers 16-09, Carleton University, Department of Economics.
    146. Swaminathan Balasubramaniam & Armando Gomes & SangMok Lee, 2019. "Mergers and Acquisitions with Private Equity Intermediation," 2019 Meeting Papers 1121, Society for Economic Dynamics.
    147. Arpit Gupta & Stijn Van Nieuwerburgh, 2019. "Valuing Private Equity Strip by Strip," NBER Working Papers 26514, National Bureau of Economic Research, Inc.
    148. Ulrich Hege & D. Bergemann, 2004. "The Value of Benchmarking," Post-Print hal-00759765, HAL.
    149. Chhaochharia, Vidhi & Kim, Dasol & Korniotis, George M. & Kumar, Alok, 2019. "Mood, firm behavior, and aggregate economic outcomes," Journal of Financial Economics, Elsevier, vol. 132(2), pages 427-450.
    150. Kasper Meisner Nielsen, 2011. "The Return to Direct Investment in Private Firms: New Evidence on the Private Equity Premium Puzzle," European Financial Management, European Financial Management Association, vol. 17(3), pages 436-463, June.
    151. Block, Joern H. & Hirschmann, Mirko & Fisch, Christian, 2021. "Which criteria matter when impact investors screen social enterprises?," Journal of Corporate Finance, Elsevier, vol. 66(C).
    152. Lossen, Ulrich, 2006. "The Performance of Private Equity Funds: Does Diversification Matter?," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 192, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
    153. Antônio Marcos Duarte Junior & Luiz Carlos Barbosa Medeiros, 2016. "Investing in Private Equity in Brazil," Brazilian Business Review, Fucape Business School, vol. 13(5), pages 51-84, September.
    154. Ruijun Zhang & Xiaotong Yang & Nian Li & Muhammad Asif Khan, 2021. "Herd Behavior in Venture Capital Market: Evidence from China," Mathematics, MDPI, vol. 9(13), pages 1-18, June.
    155. Mikko Jääskeläinen & Markku Maula & Tuukka Seppä, 2006. "Allocation of Attention to Portfolio Companies and the Performance of Venture Capital Firms," Entrepreneurship Theory and Practice, , vol. 30(2), pages 185-206, March.
    156. Arif Khurshed & Abdulkadir Mohamed & Armin Schwienbacher & Fan Wang, 2020. "Do venture capital firms benefit from international syndicates?," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 51(6), pages 986-1007, August.
    157. Juan M. Ortner & Martin C. Schmalz, 2018. "Disagreement and Optimal Security Design," CESifo Working Paper Series 6906, CESifo.
    158. Axel Buchner, 2016. "How much can lack of marketability affect private equity fund values?," Review of Financial Economics, John Wiley & Sons, vol. 28(1), pages 35-45, January.
    159. Edwards, Alexander & Todtenhaupt, Maximilian, 2020. "Capital gains taxation and funding for start-ups," Journal of Financial Economics, Elsevier, vol. 138(2), pages 549-571.
    160. Andrew Y. Chen, 2022. "Do t-Statistic Hurdles Need to be Raised?," Papers 2204.10275, arXiv.org, revised Apr 2024.
    161. Susan Chaplinsky & Swasti Gupta-Mukherjee, 2013. "The Decline in Venture-Backed IPOS: Implications for Capital Recovery," Chapters, in: Mario Levis & Silvio Vismara (ed.), Handbook of Research on IPOs, chapter 2, pages 35-56, Edward Elgar Publishing.
    162. Groh, Alexander P. & Gottschalg, Oliver, 2009. "The opportunity cost of capital of US buyouts," IESE Research Papers D/780, IESE Business School.
    163. Bock, Carolin & Schmidt, Maximilian, 2015. "Should I stay, or should I go? – How fund dynamics influence venture capital exit decisions," Review of Financial Economics, Elsevier, vol. 27(C), pages 68-82.
    164. Ulrich Schmoch & Bernd Beckert & Petra Schaper-Rinkel, 2019. "Impact assessment of a support programme of science-based emerging technologies," Scientometrics, Springer;Akadémiai Kiadó, vol. 118(3), pages 1141-1161, March.
    165. David T. Robinson & Berk A. Sensoy, 2012. "Do Private Equity Managers Earn Their Fees? Compensation, Ownership, and Cash Flow Performance," NBER Working Papers 17942, National Bureau of Economic Research, Inc.
    166. Langzi Chen & Jian Li & Peter Zander, 2018. "Can Political Connections Maintain the Sustainability of R&D Investment in China? There Is No Such Thing as a Free Lunch," Sustainability, MDPI, vol. 10(11), pages 1-19, November.
    167. Marquez, Robert & Nanda, Vikram & Yavuz, M. Deniz, 2010. "Private Equity Fund Returns: Do Managers Actually Leave Money on the Table?," Working Papers 10-24, University of Pennsylvania, Wharton School, Weiss Center.
    168. Axelson, Ulf & Martinovic, Milan, 2016. "European venture capital: myths and facts," LSE Research Online Documents on Economics 118976, London School of Economics and Political Science, LSE Library.
    169. Humphery-Jenner, M., 2011. "Diversification in Private Equity Funds : On Knowledge-sharing, Risk-aversion and Limited-attention," Discussion Paper 2011-046, Tilburg University, Center for Economic Research.
    170. April Knill, 2009. "Should Venture Capitalists Put All Their Eggs in One Basket? Diversification versus Pure‐Play Strategies in Venture Capital," Financial Management, Financial Management Association International, vol. 38(3), pages 441-486, September.
    171. Hayward, Mathew L.A. & Forster, William R. & Sarasvathy, Saras D. & Fredrickson, Barbara L., 2010. "Beyond hubris: How highly confident entrepreneurs rebound to venture again," Journal of Business Venturing, Elsevier, vol. 25(6), pages 569-578, November.
    172. Farrelly, Kieran & Stevenson, Simon, 2019. "The risk and return of private equity real estate funds," Global Finance Journal, Elsevier, vol. 42(C).
    173. Stolpe, Michael, 2003. "Learning and signalling in the French and German venture capital industries," Kiel Working Papers 1156, Kiel Institute for the World Economy (IfW Kiel).
    174. Buchner, Axel & Mohamed, Abdulkadir & Schwienbacher, Armin, 2020. "Herd behaviour in buyout investments," Journal of Corporate Finance, Elsevier, vol. 60(C).
    175. Nikoskelainen, Erkki & Wright, Mike, 2007. "The impact of corporate governance mechanisms on value increase in leveraged buyouts," Journal of Corporate Finance, Elsevier, vol. 13(4), pages 511-537, September.
    176. Schertler, Andrea, 2001. "Venture Capital in Europe's Common Market: A Quantitative Description," Kiel Working Papers 1087, Kiel Institute for the World Economy (IfW Kiel).
    177. Alexander Ljungqvist & Matthew Richardson, 2003. "The cash flow, return and risk characteristics of private equity," NBER Working Papers 9454, National Bureau of Economic Research, Inc.
    178. Guariglia, Alessandra & Liu, Pei, 2014. "To what extent do financing constraints affect Chinese firms' innovation activities?," International Review of Financial Analysis, Elsevier, vol. 36(C), pages 223-240.
    179. George Norman & Lynne Pepall & Dan Richards, 2014. "Sequential Product Innovation, Competition and Patent Policy," Discussion Papers Series, Department of Economics, Tufts University 0786, Department of Economics, Tufts University.
    180. Fabrizi, Simona & Lippert, Steffen & Norbäck, Pehr-Johan & Persson, Lars, 2008. "Venture Capitalists, Asymmetric Information, and Ownership in the Innovation Process," Working Paper Series 776, Research Institute of Industrial Economics.
    181. Bottazzi, L. & Da Rin, M. & Hellmann, T., 2008. "Who are the active investors? Evidence from venture capital," Other publications TiSEM 9336411f-ac48-4fad-8a2c-d, Tilburg University, School of Economics and Management.
    182. Boyan Jovanovic & Balàzs Szentes, 2007. "On the Return to Venture Capital," NBER Working Papers 12874, National Bureau of Economic Research, Inc.
    183. Dorra Najar, 2014. "Fund Managers Fees: Estimation and Sensitivity Analysis Using Monte Carlo Simulation," Working Papers 2014-195, Department of Research, Ipag Business School.
    184. Junfu Zhang, 2009. "The performance of university spin-offs: an exploratory analysis using venture capital data," The Journal of Technology Transfer, Springer, vol. 34(3), pages 255-285, June.
    185. Fili, Andreas, 2014. "Mentoring the CEO or monitoring the ROI? The business angel's interrole conflict in the venture relationship," Working Paper Series 14/7, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
    186. Douglas Cumming & Grant Fleming & Armin Schwienbacher, 2009. "Corporate Relocation in Venture Capital Finance," Entrepreneurship Theory and Practice, , vol. 33(5), pages 1121-1155, September.
    187. Jianhua Gang & Liang Peng & Jinfan Zhang, 2021. "Are Pricier Houses Less Risky? Evidence from China," The Journal of Real Estate Finance and Economics, Springer, vol. 63(4), pages 662-677, November.
    188. Dorra Najar, 2017. "Private equity managers’ fees: estimation and sensitivity analysis using Monte Carlo simulation," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 239-263, January.
    189. Dietmar P.J. Leisen, 2012. "Staged venture capital contracting with ratchets and liquidation rights," Review of Financial Economics, John Wiley & Sons, vol. 21(1), pages 21-30, January.
    190. Cumming, Douglas, 2007. "Government policy towards entrepreneurial finance: Innovation investment funds," Journal of Business Venturing, Elsevier, vol. 22(2), pages 193-235, March.
    191. Mircea BOSCOIANU & Gabriela PRELIPCEAN & Emilia CALEFARIU & Angela Nicoleta COZORICI, 2014. "Strategies To Promote Entrepreneurship In Romania By Implementing Innovative Solutions For Financial Support," Proceedings of the INTERNATIONAL MANAGEMENT CONFERENCE, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 8(1), pages 198-208, November.
    192. Michael D. McKenzie & William H. Janeway, 2011. "Venture capital funds and the public equity market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(3), pages 764-786, September.
    193. Phalippou, Ludovic, 2010. "Venture capital funds: Flow-performance relationship and performance persistence," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 568-577, March.
    194. David C. Ling & Andy Naranjo & Benjamin Scheick, 2014. "Investor Sentiment, Limits to Arbitrage and Private Market Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(3), pages 531-577, September.
    195. Obrimah, Oghenovo A., 2016. "How important is innovation for venture capitalists’ (VCs’) market reputation?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 64-76.
    196. Simona Fabrizi & Steffen Lippert & Pehr-Johan Norbäck & Lars Persson, 2013. "Venture Capitalists and the Patenting of Innovations," Journal of Industrial Economics, Wiley Blackwell, vol. 61(3), pages 623-659, September.
    197. Braun, Reiner & Engel, Nico & Hieber, Peter & Zagst, Rudi, 2011. "The risk appetite of private equity sponsors," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 815-832.
    198. Thomas Astebro, 2003. "The Return to Independent Invention: Evidence of Unrealistic Optimism, Risk Seeking or Skewness Loving?," Economic Journal, Royal Economic Society, vol. 113(484), pages 226-239, January.
    199. Kwon, Sungjoung & Lowry, Michelle & Qian, Yiming, 2020. "Mutual fund investments in private firms," Journal of Financial Economics, Elsevier, vol. 136(2), pages 407-443.
    200. Humphery-Jenner, M., 2011. "Diversification in Private Equity Funds : On Knowledge-sharing, Risk-aversion and Limited-attention," Other publications TiSEM 3e22d8a9-6846-484f-a09e-7, Tilburg University, School of Economics and Management.
    201. Melita Nicotra & Marco Romano & Manlio Giudice & Carmela Elita Schillaci, 2018. "The causal relation between entrepreneurial ecosystem and productive entrepreneurship: a measurement framework," The Journal of Technology Transfer, Springer, vol. 43(3), pages 640-673, June.
    202. Caselli, Stefano & Garcia-Appendini, Emilia & Ippolito, Filippo, 2013. "Contracts and returns in private equity investments," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 201-217.
    203. Richard Kum-yew Lai, 2005. "Why Funds of Funds?," Finance 0509005, University Library of Munich, Germany.
    204. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFS Working Paper Series 572, Center for Financial Studies (CFS).
    205. Junfu Zhang, 2007. "Access to Venture Capital and the Performance of Venture-Backed Start-Ups in Silicon Valley," Economic Development Quarterly, , vol. 21(2), pages 124-147, May.
    206. Alexander Ljungqvist & Matthew Richardson & Daniel Wolfenzon, 2020. "The investment behavior of buyout funds: Theory and evidence," Financial Management, Financial Management Association International, vol. 49(1), pages 3-32, March.
    207. Broughman, Brian J. & Fried, Jesse M., 2012. "Do VCs use inside rounds to dilute founders? Some evidence from Silicon Valley," Journal of Corporate Finance, Elsevier, vol. 18(5), pages 1104-1120.
    208. William Gornall & Ilya A. Strebulaev, 2017. "Squaring Venture Capital Valuations with Reality," NBER Working Papers 23895, National Bureau of Economic Research, Inc.
    209. Achleitner, Ann-Kristin & Braun, Reiner & Engel, Nico, 2011. "Value creation and pricing in buyouts: Empirical evidence from Europe and North America," Review of Financial Economics, Elsevier, vol. 20(4), pages 146-161.
    210. Palea, Vera, 2013. "The Politics of Fair Value Reporting and the Governance of the Standards-Setting Process: Critical Issues and Pitfalls from a European Perspective," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201353, University of Turin.
    211. Tursoy, Turgut & Berk, Niyazi, 2020. "Stock Return and Risk Premium: Evidence from Turkey," MPRA Paper 98877, University Library of Munich, Germany.
    212. Nicolas P. B. Bollen & Berk A. Sensoy, 2022. "How much for a haircut? Illiquidity, secondary markets, and the value of private equity," Financial Management, Financial Management Association International, vol. 51(2), pages 501-538, June.
    213. Bellavitis, Cristiano & Fisch, Christian & Wiklund, Johan, 2021. "A comprehensive review of the global development of initial coin offerings (ICOs) and their regulation," Journal of Business Venturing Insights, Elsevier, vol. 15(C).
    214. Jia, Ning & Wang, Dan, 2017. "Skin in the game: General partner capital commitment, investment behavior and venture capital fund performance," Journal of Corporate Finance, Elsevier, vol. 47(C), pages 110-130.
    215. Newman, Russell & Chang, Victor & Walters, Robert John & Wills, Gary Brian, 2016. "Web 2.0—The past and the future," International Journal of Information Management, Elsevier, vol. 36(4), pages 591-598.
    216. Li, Yong, 2008. "Duration analysis of venture capital staging: A real options perspective," Journal of Business Venturing, Elsevier, vol. 23(5), pages 497-512, September.
    217. Mouselli, Sulaiman & Jaafar, Aziz & Goddard, John, 2013. "Accruals quality, stock returns and asset pricing: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 203-213.
    218. Puneet Prakash & Vikas Sangwan & Kewal Singh, 2021. "Transformational Approach to Analytical Value-at-Risk for near Normal Distributions," JRFM, MDPI, vol. 14(2), pages 1-19, January.
    219. Ann-Kristin Achleitner & Reiner Braun & Eva Lutz & Uwe Reiner, 2014. "Industry relatedness in trade sales and venture capital investment returns," Small Business Economics, Springer, vol. 43(3), pages 621-637, October.
    220. Robert E. Hall & Susan E. Woodward, 2007. "The Incentives to Start New Companies: Evidence from Venture Capital," NBER Working Papers 13056, National Bureau of Economic Research, Inc.
    221. Jason Roderick Donaldson & Giorgia Piacentino & Anjan Thakor, 2021. "Intermediation Variety," Journal of Finance, American Finance Association, vol. 76(6), pages 3103-3152, December.
    222. Adil El Fakir & Richard Fairchild & Mohamed Tkiouat & Abderrahim Taamouti, 2023. "A bargaining model for PLS entrepreneurial financing: A game theoretic model using agent‐based simulation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1228-1241, April.
    223. Cressy, Robert & Munari, Federico & Malipiero, Alessandro, 2007. "Playing to their strengths? Evidence that specialization in the private equity industry confers competitive advantage," Journal of Corporate Finance, Elsevier, vol. 13(4), pages 647-669, September.
    224. Institut für Bank- und Finanzgeschichte (IBF) (Ed.), 2022. "Conference on "Banking and the State"," IBF Paper Series 01-22, IBF – Institut für Bank- und Finanzgeschichte / Institute for Banking and Financial History, Frankfurt am Main.
    225. Vibha Gaba & Ann Terlaak, 2013. "Decomposing Uncertainty and Its Effects on Imitation in Firm Exit Decisions," Organization Science, INFORMS, vol. 24(6), pages 1847-1869, December.
    226. Justin Tumlinson & Deepak Hegde, 2016. "Does Social Proximity Enhance Business Relationships?," ifo DICE Report, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 14(03), pages 36-42, October.
    227. Ann†Kristin Achleitner & Christian Figge, 2014. "Private Equity Lemons?Evidence on Value Creation in Secondary Buyouts," European Financial Management, European Financial Management Association, vol. 20(2), pages 406-433, March.
    228. Gill, Andrej & Walz, Uwe, 2016. "Are VC-backed IPOs delayed trade sales?," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 356-374.
    229. Steven Kaplan & Antoinette Schoar, 2003. "Private Equity Performance: Returns, Persistence and Capital," NBER Working Papers 9807, National Bureau of Economic Research, Inc.
    230. Wang, Lanfang & Wang, Susheng, 2012. "Economic freedom and cross-border venture capital performance," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 26-50.
    231. Groh, Alexander P., 2004. "Risikoadjustierte Performance von Private Equity-Investitionen," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 21382, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    232. Bernardo, Antonio & Chowdhry, Bhagwan, 1998. "Resources, real options, and corporate strategy," University of California at Los Angeles, Anderson Graduate School of Management qt2m96n2gw, Anderson Graduate School of Management, UCLA.
    233. Roman Kraussl & Stefan Krause, 2013. "Has Europe Been Catching Up? An Industry Level Analysis of Venture Capital Success over 1985-2009," DEM Discussion Paper Series 13-6, Department of Economics at the University of Luxembourg.
    234. Lahr, Henry, 2023. "Fat tails in private equity fund returns: The smooth double Pareto distribution," International Review of Financial Analysis, Elsevier, vol. 86(C).
    235. Wang, Lanfang & Wang, Susheng, 2011. "Cross-border venture capital performance: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 71-97, January.
    236. Ant Bozkaya & William R. Kerr, 2014. "Labor Regulations and European Venture Capital," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 23(4), pages 776-810, December.
    237. Gill, Andrej & Walz, Uwe, 2012. "Going public - going private: The case of VC-backed firms," CFS Working Paper Series 2012/02, Center for Financial Studies (CFS).
    238. Del Gaudio, Belinda L. & Porzio, Claudio & Sampagnaro, Gabriele & Verdoliva, Vincenzo, 2020. "Public policy and venture capital: Pursuing the disclosure goal," Research in International Business and Finance, Elsevier, vol. 51(C).
    239. El Ghoul, Sadok & Guedhami, Omrane & Wei, Zuobao & Zhu, Yicheng, 2023. "Does public corruption affect analyst forecast quality?," Journal of Banking & Finance, Elsevier, vol. 154(C).
    240. Min Maung & Zhenyang Tang & Xiaowei Xu, 2020. "Religion and venture investing: A cross‐country analysis," The Financial Review, Eastern Finance Association, vol. 55(3), pages 433-460, August.
    241. Jianhua Gang & Liang Peng & Thomas G. Thibodeau, 2020. "Risk and Returns of Income Producing Properties: Core versus Noncore," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(2), pages 476-503, June.
    242. Paul Gompers & Anna Kovner & Josh Lerner, 2009. "Specialization and Success: Evidence from Venture Capital," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 18(3), pages 817-844, September.
    243. Yao-Wen Hsu, 2010. "Staging of venture capital investment: a real options analysis," Small Business Economics, Springer, vol. 35(3), pages 265-281, October.
    244. Buchner, Axel & Mohamed, Abdulkadir & Schwienbacher, Armin, 2017. "Diversification, risk, and returns in venture capital," Journal of Business Venturing, Elsevier, vol. 32(5), pages 519-535.
    245. Giot, Pierre & Hege, Ulrich & Schwienbacher, Armin, 2014. "Are novice private equity funds risk-takers? Evidence from a comparison with established funds," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 55-71.
    246. Hoch, Felix & Lohwasser, Todor S., 2019. "The influence of institutions on venture capital: How transaction costs, uncertainty, and change affect new ventures," Discussion Papers of the Institute for Organisational Economics 9/2019, University of Münster, Institute for Organisational Economics.
    247. Cora Barnhart & Gerald P. Dwyer, 2002. "Are stocks in new industries like lottery tickets?," FRB Atlanta Working Paper 2002-15, Federal Reserve Bank of Atlanta.
    248. Gaddy, Benjamin E. & Sivaram, Varun & Jones, Timothy B. & Wayman, Libby, 2017. "Venture Capital and Cleantech: The wrong model for energy innovation," Energy Policy, Elsevier, vol. 102(C), pages 385-395.
    249. Simona Mateut, 2015. "Subsidies, financial constraints and firm innovative activities in developing economies," Discussion Papers 2015/11, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    250. Milosevic, Miona, 2018. "Skills or networks? Success and fundraising determinants in a low performing venture capital market," Research Policy, Elsevier, vol. 47(1), pages 49-60.
    251. Chortareas, Georgios E. & Girardone, Claudia & Ventouri, Alexia, 2013. "Financial freedom and bank efficiency: Evidence from the European Union," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1223-1231.
    252. Buchner, Axel, 2016. "Risk-adjusting the returns of private equity using the CAPM and multi-factor extensions," Finance Research Letters, Elsevier, vol. 16(C), pages 154-161.
    253. Jean-Noël Barrot, 2017. "Investor Horizon and the Life Cycle of Innovative Firms: Evidence from Venture Capital," Management Science, INFORMS, vol. 63(9), pages 3021-3043, September.
    254. Hasan, Iftekhar & Khurshed, Arif & Mohamed, Abdulkadir & Wang, Fan, 2018. "Do venture capital firms benefit from a presence on boards of directors of mature public companies?," Journal of Corporate Finance, Elsevier, vol. 49(C), pages 125-140.
    255. Bernardo, Antonio E. & Chowdhry, Bhagwan, 2002. "Resources, real options, and corporate strategy," Journal of Financial Economics, Elsevier, vol. 63(2), pages 211-234, February.
    256. Kraeussl, Roman & Krause, Stefan, 2010. "Are particular industries more likely to succeed? A comparative analysis of VC investment in the US and Europe," CFS Working Paper Series 2010/02, Center for Financial Studies (CFS).
    257. Eric Gedajlovic & Michael Carney, 2010. "Markets, Hierarchies, and Families: Toward a Transaction Cost Theory of the Family Firm," Entrepreneurship Theory and Practice, , vol. 34(6), pages 1145-1172, November.
    258. Ali, Heba, 2019. "Does downside risk matter more in asset pricing? Evidence from China," Emerging Markets Review, Elsevier, vol. 39(C), pages 154-174.
    259. Loic Mar'echal & Alain Mermoud & Dimitri Percia David & Mathias Humbert, 2024. "Measuring the performance of investments in information security startups: An empirical analysis by cybersecurity sectors using Crunchbase data," Papers 2402.04765, arXiv.org, revised Feb 2024.
    260. Valkama, Petri & Maula, Markku & Nikoskelainen, Erkki & Wright, Mike, 2013. "Drivers of holding period firm-level returns in private equity-backed buyouts," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2378-2391.
    261. Clifford, Christopher P., 2008. "Value creation or destruction? Hedge funds as shareholder activists," Journal of Corporate Finance, Elsevier, vol. 14(4), pages 323-336, September.
    262. Ann‐Kristin Achleitner & Reiner Braun & Nico Engel, 2011. "Value creation and pricing in buyouts: Empirical evidence from Europe and North America," Review of Financial Economics, John Wiley & Sons, vol. 20(4), pages 146-161, November.
    263. Schmalz, Martin & Ortner, Juan, 2018. "Disagreement and Security Design," CEPR Discussion Papers 12596, C.E.P.R. Discussion Papers.
    264. Cumming, Douglas & Fleming, Grant & Schwienbacher, Armin, 2006. "Legality and venture capital exits," Journal of Corporate Finance, Elsevier, vol. 12(2), pages 214-245, January.
    265. Li, Emma & Liao, Li & Wang, Zhengwei & Xiang, Hongyu, 2020. "Venture capital certification and customer response: Evidence from P2P lending platforms," Journal of Corporate Finance, Elsevier, vol. 60(C).

  31. John H. Cochrane, 2000. "Money as Stock: Price Level Determination with no Money Demand," NBER Working Papers 7498, National Bureau of Economic Research, Inc.

    Cited by:

    1. Willem Buiter, 2000. "The Fallacy of the Fiscal Theory of the Price Level, Again," CESifo Working Paper Series 303, CESifo.
    2. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    3. Jérôme Creel & Henri Sterdyniak, 2000. "La théorie budgétaire du niveau des prix, un bilan critique," Working Papers hal-00972874, HAL.
    4. António Afonso, 2002. "Disturbing the Fiscal Theory of the Price Level: Can it Fit the EU-15," Working Papers Department of Economics 2002/01, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    5. Michael Kumhof, 2004. "Fiscal Crisis Resolution: Taxation Versus Inflation," 2004 Meeting Papers 874, Society for Economic Dynamics.
    6. Taiji Harashima, 2004. "The Ultimate Source of Inflation: A Microfoundation of the Fiscal Theory of the Price Level," Macroeconomics 0409018, University Library of Munich, Germany, revised 30 Mar 2005.
    7. M. Marzo, 2001. "An Equilibrium Approach to the Term Structure of Interest rates with the Interaction between Monetary and Fiscal Policy," Working Papers 410, Dipartimento Scienze Economiche, Universita' di Bologna.
    8. Jerome Creel & Henri Sterdyniak, 2000. "La théorie budgétaire du niveau des prix : un bilan critique (The Fiscal Theory of the Price Level, a critical assessment) (in French with English summary)," Documents de Travail de l'OFCE 2000-03, Observatoire Francais des Conjonctures Economiques (OFCE).
    9. Michael, Kumhof & Ricardo, Nunes & Irina, Yakadina, 2007. "Simple Monetary Rules under Fiscal Dominance," MPRA Paper 4462, University Library of Munich, Germany.
    10. Bennett T. McCallum, 2003. "Is the Fiscal Theory of the Price Level Learnable?," NBER Working Papers 9961, National Bureau of Economic Research, Inc.
    11. Łyziak, Tomasz & Mackiewicz-Łyziak, Joanna, 2020. "Does fiscal stance affect inflation expectations? Evidence for European economies," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 296-310.
    12. M. Marzo, 2001. "Evaluating Monetary Policy Regimes: the Role of Nominal Rigidities," Working Papers 411, Dipartimento Scienze Economiche, Universita' di Bologna.
    13. Tödter, Karl-Heinz, 2002. "Monetary indicators and policy rules in the P-star model," Discussion Paper Series 1: Economic Studies 2002,18, Deutsche Bundesbank.
    14. Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    15. Fan, Jingwen & Minford, Patrick, 2009. "Can the Fiscal Theory of the price level explain UK inflation in the 1970s?," Cardiff Economics Working Papers E2009/26, Cardiff University, Cardiff Business School, Economics Section, revised Mar 2011.
    16. Willem H. Buiter, 2002. "The Fiscal Theory Of The Price Level: A Critique," Economic Journal, Royal Economic Society, vol. 112(481), pages 459-480, July.
    17. Keiichiro KOBAYASHI, 2002. "Fiscal Consequences of Inflationary Policies," Discussion papers 02010, Research Institute of Economy, Trade and Industry (RIETI).
    18. Harashima, Taiji, 2006. "The Sustainability of Budget Deficits in an Inflationary Economy," MPRA Paper 905, University Library of Munich, Germany.
    19. M. Marzo, 2001. "Monetary and Fiscal Policy Interactions: the Impact on the Term Structure of Interest Rates," Working Papers 409, Dipartimento Scienze Economiche, Universita' di Bologna.
    20. Harashima, Taiji, 2007. "Why should central banks be independent?," MPRA Paper 1838, University Library of Munich, Germany, revised 19 Feb 2007.
    21. Thams, Andreas, 2007. "The Relevance of the fiscal Theory of the Price Level revisited," MPRA Paper 1645, University Library of Munich, Germany.
    22. Mesly, Olivier & Chkir, Imed & Racicot, François-Éric, 2019. "Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?," Economic Modelling, Elsevier, vol. 78(C), pages 11-31.
    23. Joanna Mackiewicz­‑Łyziak, 2014. "Wpływ długu publicznego na oczekiwania inflacyjne konsumentów w Europie," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 5, pages 113-132.
    24. Takeshi Kimura & Takeshi Shimatani & Kenichi Sakura & Tomoaki Nishida, 2010. "The Role of Money and Growth Expectations in Price Determination Mechanism," Bank of Japan Working Paper Series 10-E-11, Bank of Japan.
    25. Lawrence J. Christiano & Terry J. Fitzgerald, 2000. "Understanding the Fiscal Theory of the Price Level," NBER Working Papers 7668, National Bureau of Economic Research, Inc.
    26. Keiichiro Kobayashi, 2003. "A Theory of Banking Crises (Part 1)," Discussion papers 03016, Research Institute of Economy, Trade and Industry (RIETI).
    27. Andreas Thams, 2006. "Fiscal Policy Effects in the European Union," SFB 649 Discussion Papers SFB649DP2006-016, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

  32. Campbell, John & Cochrane, John, 2000. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," Scholarly Articles 3163265, Harvard University Department of Economics.

    Cited by:

    1. Bin Li & Benjamin Liu & Eduardo Roca, 2010. "An Empirical Investigation of Consumption CAPMs in the Australian Market," Discussion Papers in Finance finance:201011, Griffith University, Department of Accounting, Finance and Economics.
    2. John Fry, 2014. "Bubbles, shocks and elementary technical trading strategies," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 87(1), pages 1-13, January.
    3. Marjorie Flavin & Shinobu Nakagawa, 2004. "A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence," NBER Working Papers 10458, National Bureau of Economic Research, Inc.
    4. Cui, Liyuan & Hong, Yongmiao & Li, Yingxing, 2021. "Solving Euler equations via two-stage nonparametric penalized splines," Journal of Econometrics, Elsevier, vol. 222(2), pages 1024-1056.
    5. Kim, Dongcheol & Na, Haejung, 2016. "The forecast dispersion anomaly revisited: Time-series forecast dispersion and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 37-53.
    6. Chen, Long & Petkova, Ralitsa & Zhang, Lu, 2008. "The expected value premium," Journal of Financial Economics, Elsevier, vol. 87(2), pages 269-280, February.
    7. Hui Guo & Zijun Wang & Jian Yang, 2013. "Time-Varying Risk-Return Trade-off in the Stock Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(4), pages 623-650, June.
    8. Ferrari Minesso, Massimo & Pagliari, Maria Sole, 2023. "No country is an island. International cooperation and climate change," Journal of International Economics, Elsevier, vol. 145(C).
    9. Roh, Tai-Yong & Lee, Changjun & Min, Byoung-Kyu, 2019. "Consumption growth predictability and asset prices," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 95-118.
    10. Malcolm Baker & Jeffrey Wurgler, 2004. "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers 10449, National Bureau of Economic Research, Inc.
    11. Kiyoung Chang & Incheol Kim & Ying Li, 2014. "The Heterogeneous Impact of Corporate Social Responsibility Activities That Target Different Stakeholders," Journal of Business Ethics, Springer, vol. 125(2), pages 211-234, December.
    12. Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
    13. Onishchenko Kateryna, 2011. "Can a pure real business cycle model explain the real exchange rate: the case of Ukraine," EERC Working Paper Series 11/04e, EERC Research Network, Russia and CIS.
    14. Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski, 2015. "Generalized Autoregressive Method of Moments," Tinbergen Institute Discussion Papers 15-138/III, Tinbergen Institute, revised 06 Jul 2018.
    15. Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society.
    16. Papadovasilaki, Dimitra & Guerrero, Federico & Sundali, James, 2018. "The effect of early and salient investment experiences on subsequent asset allocations—An experimental study," Journal of Behavioral and Experimental Finance, Elsevier, vol. 19(C), pages 1-19.
    17. Yuan, Haili & Hu, Yijun, 2009. "Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 405-409, December.
    18. Bai, Hang & Hou, Kewei & Kung, Howard & Li, Erica X.N. & Zhang, Lu, 2019. "The CAPM strikes back? An equilibrium model with disasters," Journal of Financial Economics, Elsevier, vol. 131(2), pages 269-298.
    19. Raymond Kan & Cesare Robotti, 2006. "Specification tests of asset pricing models using excess returns," FRB Atlanta Working Paper 2006-10, Federal Reserve Bank of Atlanta.
    20. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
    21. Elena Marquez de la Cruz & Ana Martinez-Canete & Ines Perez-Soba Aguilar, 2007. "Intertemporal preference parameters for some European monetary union countries," Applied Economics, Taylor & Francis Journals, vol. 39(8), pages 997-1011.
    22. Rui Zhou & Johnny Siu-Hang Li & Jeffrey Pai, 2019. "Pricing temperature derivatives with a filtered historical simulation approach," The European Journal of Finance, Taylor & Francis Journals, vol. 25(15), pages 1462-1484, October.
    23. Smoluk, H. J. & VanderLinden, David, 2004. "Catching up with the Americans," Review of Financial Economics, Elsevier, vol. 13(3), pages 211-229.
    24. Ling-Ni Boon & Florian Ielpo, 2016. "An anatomy of global risk premiums," Journal of Asset Management, Palgrave Macmillan, vol. 17(4), pages 229-243, July.
    25. Lars Grüne & Willi Semmler, 2007. "Asset pricing with dynamic programming," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 233-265, May.
    26. Elena Márquez de la Cruz, 2005. "La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 455-481, September.
    27. Willi Semmler & Lars Grüne, 2004. "Asset Pricing with Delayed Consumption Decisions," Computing in Economics and Finance 2004 59, Society for Computational Economics.
    28. OUATTARA, Aboudou & DE LA BRUSLERIE, Hubert, 2015. "The term structure of psychological discount rate: characteristics and functional forms," MPRA Paper 75111, University Library of Munich, Germany.
    29. Li, Haitao & Xu, Yuewu & Zhang, Xiaoyan, 2010. "Evaluating asset pricing models using the second Hansen-Jagannathan distance," Journal of Financial Economics, Elsevier, vol. 97(2), pages 279-301, August.
    30. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46.
    31. Kim, Dongcheol & Kim, Tong Suk & Min, Byoung-Kyu, 2011. "Future labor income growth and the cross-section of equity returns," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 67-81, January.
    32. Hanno Lustig, 2004. "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (joint with Adrien Verdelhan)(updated February 2006)," UCLA Economics Online Papers 303, UCLA Department of Economics.
    33. Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2019. "The Total Risk Premium Puzzle," NBER Working Papers 25653, National Bureau of Economic Research, Inc.
    34. Vassalou, Maria, 2003. "News related to future GDP growth as a risk factor in equity returns," Journal of Financial Economics, Elsevier, vol. 68(1), pages 47-73, April.
    35. Othieno, Ferdinand & Biekpe, Nicholas, 2019. "Estimating the conditional equity risk premium in African frontier markets," Research in International Business and Finance, Elsevier, vol. 47(C), pages 538-551.
    36. Yamin Ahmad, 2002. "Money Market Rates and Implied CCAPM Rates: Some International Evidence," Working Papers gueconwpa~02-02-06, Georgetown University, Department of Economics.
    37. Bin Li & Benjamin Liu & Eduardo Roca, 2011. "Stock returns and consumption factors in the Australian market: Cross-sectional tests," Australian Journal of Management, Australian School of Business, vol. 36(2), pages 247-266, August.
    38. Claude Bergeron & Tov Assogbavi & Jean-pierre Gueyie, 2020. "Conditional capital asset pricing model, long-run risk, and stock valuation," Economics Bulletin, AccessEcon, vol. 40(1), pages 77-86.
    39. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2021. "The impact of hedging on risk-averse agents’ output decisions," Economic Modelling, Elsevier, vol. 104(C).
    40. Joao Gomes & Leonid Kogan & Lu Zhang, 2003. "Equilibrium Cross Section of Returns," Journal of Political Economy, University of Chicago Press, vol. 111(4), pages 693-732, August.
    41. Pataracchia, B., 2013. "Ambiguity aversion and heterogeneity in financial markets : An empirical and theoretical perspective," Other publications TiSEM bc849a3c-87a4-4718-b049-f, Tilburg University, School of Economics and Management.
    42. Struck, Clemens C., 2014. "Habit persistence and the long-run labor supply," Economics Letters, Elsevier, vol. 124(2), pages 243-247.
    43. Lewellen, Jonathan, 2010. "Accounting anomalies and fundamental analysis: An alternative view," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 455-466, December.
    44. Xu, Yuewu & Yao, Xiangkun, 2019. "Extending the Hansen–Jagannathan distance measure of model misspecification," Finance Research Letters, Elsevier, vol. 29(C), pages 384-392.
    45. Ren, Yu & Shimotsu, Katsumi, 2009. "Improvement in finite sample properties of the Hansen-Jagannathan distance test," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 483-506, June.
    46. Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 5245, C.E.P.R. Discussion Papers.
    47. Jianqing Fan & Yuan Ke & Yuan Liao, 2016. "Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia," Papers 1603.07041, arXiv.org, revised Sep 2018.
    48. Virginie Coudert & Mathieu Gex, 2007. "Does Risk Aversion Drive Financial Crises? Testing the Predictive Power of Empirical Indicators," Working Papers 2007-02, CEPII research center.
    49. Fousseni Chabi-Yo, 2006. "Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence," Staff Working Papers 06-38, Bank of Canada.
    50. Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," CRSP working papers 505, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    51. Hanno Lustig & Adrien Verdelhan, 2005. "The Cross-Section of Currency Risk Premia and US Consumption Growth Risk," NBER Working Papers 11104, National Bureau of Economic Research, Inc.
    52. J. Stephen Ferris, 2010. "Fiscal Policy from a Public Choice Perspective," Carleton Economic Papers 10-10, Carleton University, Department of Economics.
    53. Carlos Enrique Carrasco-Gutierrez & Wagner Piazza Gaglianone, 2012. "Evaluating Asset Pricing Models in a Simulated Multifactor Approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(4), pages 425-460.
    54. Willi Semmler, 2011. "Asset Prices, Booms and Recessions," Springer Books, Springer, number 978-3-642-20680-1, October.
    55. Angela Besana & Annamaria Esposito, 2017. "Memory, Marketing and Economic Performances in Usa Symphony Orchestras and Opera Houses," European Journal of Economics and Business Studies Articles, Revistia Research and Publishing, vol. 3, September.
    56. Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
    57. Liu, Ludan, 2008. "It takes a model to beat a model: Volatility bounds," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 80-110, January.
    58. Robert J. Hodrick & Xiaoyan Zhang, 2000. "Evaluating the Specification Errors of Asset Pricing Models," NBER Working Papers 7661, National Bureau of Economic Research, Inc.
    59. Francesco Chincoli & Massimo Guidolin, 2017. "Linear and nonlinear predictability in investment style factors: multivariate evidence," Journal of Asset Management, Palgrave Macmillan, vol. 18(6), pages 476-509, October.
    60. Andreas Humpe & David G. McMillan, 2018. "Equity/bond yield correlation and the FED model: evidence of switching behaviour from the G7 markets," Journal of Asset Management, Palgrave Macmillan, vol. 19(6), pages 413-428, October.
    61. Xiaohong Chen & Sydney C. Ludvigson, 2009. "Land of addicts? an empirical investigation of habit-based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1057-1093.
    62. Mark Browne & Verena Jaeger & Petra Steinorth, 2019. "The impact of economic conditions on individual and managerial risk taking," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 44(1), pages 27-53, March.
    63. Yuewu Xu, 2021. "A new measure of model misspecification with the no-arbitrage constraint: extending the second Hansen–Jagannathan distance," Review of Quantitative Finance and Accounting, Springer, vol. 56(3), pages 917-938, April.
    64. Rubio-Ramírez, Juan Francisco & Fernández-Villaverde, Jesús & Koijen, Ralph & van Binsbergen, Jules, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," CEPR Discussion Papers 7781, C.E.P.R. Discussion Papers.
    65. Johdo, Wataru, 2009. "Habit persistence and stagnation," Economic Modelling, Elsevier, vol. 26(5), pages 1110-1114, September.
    66. Stuart Hyde & Mohamed Sherif, 2005. "Consumption Asset Pricing Models: Evidence From The Uk," Manchester School, University of Manchester, vol. 73(3), pages 343-363, June.
    67. Roos Michael W. M., 2015. "Die Komplexitätsökonomik und ihre Implikationen für die Wirtschaftspolitik," Perspektiven der Wirtschaftspolitik, De Gruyter, vol. 16(4), pages 379-392, December.
    68. William R. Emmons & Frank A. Schmid, 2000. "The Asian crisis and the exposure of large U.S. firms," Review, Federal Reserve Bank of St. Louis, vol. 82(Jan), pages 15-34.
    69. Ogden, Joseph P., 2003. "The calendar structure of risk and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 70(1), pages 29-67, October.
    70. Michael W Brandt & David A Chapman, 2018. "Linear Approximations and Tests of Conditional Pricing Models [A new approach to international arbitrage pricing]," Review of Finance, European Finance Association, vol. 22(2), pages 455-489.
    71. Wonnho Choi, 2018. "Consumption-based capital asset pricing models: issues and controversies," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 181-205, January.
    72. Ascari, Guido & Magnusson, Leandro M. & Mavroeidis, Sophocles, 2021. "Empirical evidence on the Euler equation for consumption in the US," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 129-152.
    73. John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
    74. Emara, Noha & Ma, Jinpeng, 2019. "An Analysis of the Seasonal Cycle and the Business Cycle," MPRA Paper 99310, University Library of Munich, Germany.
    75. John H. Cochrane, 2017. "Macro-Finance," Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
    76. Mark Browne & Verena Jaeger & Petra Steinorth, 2019. "The impact of economic conditions on individual and managerial risk taking," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 44(1), pages 27-53, March.
    77. Wachter, Jessica A., 2005. "Solving models with external habit," Finance Research Letters, Elsevier, vol. 2(4), pages 210-226, December.
    78. Michael W. Brandt & David A. Chapman, 2006. "Linear Approximations and Tests of Conditional Pricing Models," NBER Working Papers 12513, National Bureau of Economic Research, Inc.
    79. Vassalou, Maria, 2001. "News Related to Future GDP Growth as a Risk Factor in Equity Returns," CEPR Discussion Papers 3057, C.E.P.R. Discussion Papers.
    80. Kirill Sossunov, 2002. "A Real Business Cycle Model with Changing Sentiments," Macroeconomics 0210005, University Library of Munich, Germany.
    81. Tobias Adrian & Richard K. Crump & Erik Vogt, 2019. "Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds," Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
    82. Sangwon Suh & Wonho Song & Bong-Soo Lee, 2014. "A new method for forming asset pricing factors from firm characteristics," Applied Economics, Taylor & Francis Journals, vol. 46(28), pages 3463-3482, October.
    83. Joseph P. Byrne & Boulis M. Ibrahim & Xiaoyu Zong, 2020. "Asset Prices and Capital Share Risks: Theory and Evidence," Papers 2006.14023, arXiv.org.
    84. Kang, Jangkoo & Kim, Tong Suk & Lee, Changjun & Min, Byoung-Kyu, 2011. "Macroeconomic risk and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3158-3173.
    85. Jin-Chuan Duan & Weiqi Zhang, 2014. "Forward-Looking Market Risk Premium," Management Science, INFORMS, vol. 60(2), pages 521-538, February.
    86. Kliem, Martin & Uhlig, Harald, 2013. "Bayesian estimation of a DSGE model with asset prices," Discussion Papers 37/2013, Deutsche Bundesbank.
    87. Henin, Pierre-Yves & Weitzenblum, Thomas, 2005. "Employment protection and the stock market: the common shock case," Economic Modelling, Elsevier, vol. 22(1), pages 127-146, January.
    88. Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
    89. Gurdip Bakshi, 2009. "Du subjectiv expectations explain asset pricing puzzles?," 2009 Meeting Papers 1234, Society for Economic Dynamics.
    90. Grammig, Joachim G. & Schrimpf, Andreas, 2006. "Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032, ZEW - Leibniz Centre for European Economic Research.
    91. Grüne, Lars & Semmler, Willi, 2008. "Asset pricing with loss aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3253-3274, October.
    92. Michael Nwogugu, 2020. "Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences," Papers 2005.01709, arXiv.org.
    93. Peter Woehrmann & Willi Semmler & Martin Lettau, "undated". "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
    94. Vít Pošta, 2012. "Estimation of the Time-Varying Risk Premium in the Czech Foreign Exchange Market," Prague Economic Papers, Prague University of Economics and Business, vol. 2012(1), pages 3-17.
    95. Jaber Bahrami & Mosayeb Pahlavani & Reza Roshan & Saeed Rasekhi, 2017. "Adjusting Consumption Based Capital Asset Pricing Model within the Framework of an Open Economy: The Case of Iran," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 309-317.
    96. Kenneth C. Lichtendahl & Raul O. Chao & Samuel E. Bodily, 2012. "Habit Formation from Correlation Aversion," Operations Research, INFORMS, vol. 60(3), pages 625-637, June.
    97. Mordecai Kurz & Hehui Jin & Maurizio Motolese, 2005. "Determinants of stock market volatility and risk premia," Annals of Finance, Springer, vol. 1(2), pages 109-147, July.
    98. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
    99. Galicia-Sanguino, Lucía & Rojo-Suárez, Javier & Alonso-Conde, Ana B. & López-Pérez, M. Victoria, 2021. "Trade integration and research and development investment as a proxy for idiosyncratic risk in the cross-section of stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    100. Francis Breedon & Jagjit S. Chadha, 2003. "Investigating Excess Returns from Nominal Bonds," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(1), pages 73-90, February.
    101. Gregory Phelan & Alexis Akira Toda, 2015. "On the Robustness of Theoretical Asset Pricing Models," Department of Economics Working Papers 2015-10, Department of Economics, Williams College.
    102. Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society.
    103. Ashok Thomas & Luca Spataro, 2018. "Financial Literacy, Human Capital and Stock Market Participation in Europe," Journal of Family and Economic Issues, Springer, vol. 39(4), pages 532-550, December.
    104. Barroso, Pedro & Boons, Martijn & Karehnke, Paul, 2021. "Time-varying state variable risk premia in the ICAPM," Journal of Financial Economics, Elsevier, vol. 139(2), pages 428-451.
    105. Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
    106. Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.
    107. Kim, Soon-Ho & Kim, Dongcheol & Shin, Hyun-Soo, 2012. "Evaluating asset pricing models in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 198-227.
    108. Arbab Khalid Cheema & Wenjie Ding & Qingwei Wang, 2023. "The cross-section of January effect," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 513-530, October.
    109. Vit Posta, 2012. "Time-Varying Risk Premium in the Czech Capital Market: Did the Market Experience a Structural Shock in 2008–2009?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(5), pages 450-470, November.
    110. Docherty, Paul & Chan, Howard & Easton, Steve, 2013. "Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 107-124.
    111. Carlos Enrique Carrasco Gutierrez & Wagner Piazza Gaglianone, 2008. "Evaluating Asset Pricing Models in a Fama-French Framework," Working Papers Series 175, Central Bank of Brazil, Research Department.
    112. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2012. "Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity," FRB Atlanta Working Paper 2012-18, Federal Reserve Bank of Atlanta.
    113. Samih Azar, 2011. "Retesting the CCAPM Euler equations," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(4), pages 324-346, September.
    114. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2010. "On the Hansen-Jagannathan distance with a no-arbitrage constraint," FRB Atlanta Working Paper 2010-04, Federal Reserve Bank of Atlanta.
    115. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
    116. Tai-Sen HE & Fuhai HONG, 2014. "Exposure to Risk and Risk Aversion: A Laboratory Experiment," Economic Growth Centre Working Paper Series 1403, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    117. Chulsoo Kim, 2004. "Is There Irrational Exuberance?," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 29(2), pages 65-80, December.
    118. Gregoriou, Andros & Hunter, John & Wu, Feng, 2009. "An empirical investigation of the relationship between the real economy and stock returns for the United States," Journal of Policy Modeling, Elsevier, vol. 31(1), pages 133-143.
    119. Chen, Ming-Hsiang & Bidarkota, Prasad V., 2004. "Consumption equilibrium asset pricing in two Asian emerging markets," Journal of Asian Economics, Elsevier, vol. 15(2), pages 305-319, April.
    120. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2016. "On the properties of the constrained Hansen–Jagannathan distance," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 121-150.
    121. Ludvigson, Sydney C., 2013. "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 799-906, Elsevier.
    122. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, University Library of Munich, Germany.
    123. H.J Smoluk & David VanderLinden, 2004. "Catching up with the Americans," Review of Financial Economics, John Wiley & Sons, vol. 13(3), pages 211-229.
    124. Hunter, John & Wu, Feng, 2014. "Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies," Economic Modelling, Elsevier, vol. 36(C), pages 557-565.
    125. Bourdeau-Brien, Michael & Kryzanowski, Lawrence, 2020. "Natural disasters and risk aversion," Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 818-835.
    126. Stuart Hyde & Mohamed Sherif, 2004. "Don't break the habit: structural stability tests of consumption models in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 49, Money Macro and Finance Research Group.
    127. Sangwon Suh, 2018. "Portfolio Selection using New Factors based on Firm Characteristics," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 43(1), pages 77-99, March.
    128. Zan Yang & Shuping Wu, 2019. "Land acquisition outcome, developer risk attitude and land development timing," The Journal of Real Estate Finance and Economics, Springer, vol. 59(2), pages 233-271, August.

  33. John H. Cochrane, 1999. "New Facts in Finance," NBER Working Papers 7169, National Bureau of Economic Research, Inc.

    Cited by:

    1. Puneet Handa, 2006. "Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954–2002)," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2423-2468, September.
    2. Andrew Coleman, 2019. "Liquidity, the government balance sheet, and the public sector discount rate," Working Papers 19_13, Motu Economic and Public Policy Research.
    3. Fernando Broner & Guido Lorenzoni & Sergio Schmuckler, 2006. "Why Do Emerging Economies Borrow Short Term?," 2006 Meeting Papers 841, Society for Economic Dynamics.
    4. Hans J. Blommestein & Lex H. Hoogduin & Jolanda J.W. Peeters & Wim W. Boonstra & Verónica Vallés & Christian Weistroffer & Stephan Schulmeister, 2010. "The Quest for Stability: the view of financial institutions," SUERF Studies, SUERF - The European Money and Finance Forum, number 2010/3 edited by Morten Balling, Jan Marc Berk and Marc-Olivier Strauss-Kahn, May.
    5. Fabian Baetje & Lukas Menkhoff, 2016. "Equity Premium Prediction: Are Economic and Technical Indicators Unstable?," Discussion Papers of DIW Berlin 1552, DIW Berlin, German Institute for Economic Research.
    6. Choi, James J. & Haisley, Emily & Kurkoski, Jennifer & Massey, Cade, 2017. "Small cues change savings choices," Journal of Economic Behavior & Organization, Elsevier, vol. 142(C), pages 378-395.
    7. Nan, Zheng & Kaizoji, Taisei, 2019. "Market efficiency of the bitcoin exchange rate: Weak and semi-strong form tests with the spot, futures and forward foreign exchange rates," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 273-281.
    8. Lutzenberger, Fabian T., 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, vol. 23(3), pages 120-130.
    9. Schrimpf, Andreas, 2008. "International Stock Return Predictability Under Model Uncertainty," ZEW Discussion Papers 08-048, ZEW - Leibniz Centre for European Economic Research.
    10. GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    11. Fred Lazar & Eliezer Z. Prisman, 2015. "Regulator's Determination of Return on Equity in the Absence of Public Firms: The Case of Automobile Insurance in Ontario," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 18(2), pages 199-216, September.
    12. Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2016. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 63(3), pages 273-291.
    13. Yacine Ait-Sahalia & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," NBER Working Papers 8127, National Bureau of Economic Research, Inc.
    14. Franz R. Hahn, 2001. "Ökonomische Fundierung von Zinsgleitklauseln in Kreditverträgen," WIFO Monatsberichte (monthly reports), WIFO, vol. 74(10), pages 605-612, October.
    15. Craig Burnside & Bing Han & David Hirshleifer & Tracy Yue Wang, 2011. "Investor Overconfidence and the Forward Premium Puzzle," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 78(2), pages 523-558.
    16. Theologos Dergiades & Panos K. Pouliasis, 2021. "Should Stock Returns Predictability be hooked on Long Horizon Regressions?," Discussion Paper Series 2021_03, Department of Economics, University of Macedonia, revised Feb 2021.
    17. Chang, C-L. & Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Econometric Institute Research Papers EI2018-39, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    18. Coleman, Les, 2014. "Why finance theory fails to survive contact with the real world: A fund manager perspective," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 25(3), pages 226-236.
    19. Liliana Gonzalez & Philip Hoang & John G. Powell Massey & Jing Shi, 2006. "Defining and Dating Bull and Bear Markets: Two Centuries of Evidence," Multinational Finance Journal, Multinational Finance Journal, vol. 10(1-2), pages 81-116, March-Jun.
    20. Lettau, Martin & Wachter, Jessica, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium," CEPR Discussion Papers 4921, C.E.P.R. Discussion Papers.
    21. Bauer, Rob & Derwall, Jeroen & Molenaar, Roderick, 2004. "The real-time predictability of the size and value premium in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 503-523, November.
    22. Drew, Michael E. & Naughton, Tony & Veeraraghavan, Madhu, 2004. "Is idiosyncratic volatility priced?: Evidence from the Shanghai Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 349-366.
    23. Catherine Georgiou, 2022. "Modifications on Book-Valued Ratios," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 15(3), pages 24-37, December.
    24. Bruno Biais & Peter Bossaerts & Chester Spatt, 2010. "Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1503-1543, April.
    25. Scholz, Michael & Nielsen, Jens Perch & Sperlich, Stefan, 2015. "Nonparametric prediction of stock returns based on yearly data: The long-term view," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 143-155.
    26. Vayanos, Dimitri & Guibaud, Stéphane & Nosbusch, Yves, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," CEPR Discussion Papers 9407, C.E.P.R. Discussion Papers.
    27. Eberts, Elke, 2003. "The Connection of Stock Markets Between Germany and the USA: New Evidence From a Co-integration Study," ZEW Discussion Papers 03-36, ZEW - Leibniz Centre for European Economic Research.
    28. Miloš Božović, 2021. "Mutual Fund Performance: Some Recent Evidence From European Equity Funds," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 66(230), pages 7-34, July – Se.
    29. Claude B. Erb & Campbell R. Harvey, 2005. "The Tactical and Strategic Value of Commodity Futures," NBER Working Papers 11222, National Bureau of Economic Research, Inc.
    30. Gary Gorton & Ping He, 2005. "Bank Credit Cycles," NBER Working Papers 11363, National Bureau of Economic Research, Inc.
    31. Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.
    32. Ram Bhar & Carl Chiarella & Toan Pham, 2000. "Modeling the Currency Forward Risk Premium: Theory and Evidence," Research Paper Series 41, Quantitative Finance Research Centre, University of Technology, Sydney.
    33. 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.
    34. Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002. "Spurious Regressions in Financial Economics?," NBER Working Papers 9143, National Bureau of Economic Research, Inc.
    35. Kostakis, Alexandros & Magdalinos, Tassos & Stamatogiannis, Michalis P., 2023. "Taking stock of long-horizon predictability tests: Are factor returns predictable?," Journal of Econometrics, Elsevier, vol. 237(2).
    36. Sloan, Frank A. & Trogdon, Justin G. & Mathews, Carrie A., 2005. "Litigation and the value of tobacco companies," Journal of Health Economics, Elsevier, vol. 24(3), pages 427-447, May.
    37. Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Econometric Society World Congress 2000 Contributed Papers 1504, Econometric Society.
    38. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.
    39. Wolfgang Gohout & Katja Specht, 2007. "Mean-variance portfolios using Bayesian vector-autoregressive forcasts," Statistical Papers, Springer, vol. 48(3), pages 403-418, September.
    40. Cappiello, Lorenzo & Guéné, Stéphane, 2005. "Measuring market and inflation risk premia in France and in Germany," Working Paper Series 436, European Central Bank.
    41. Modena, Matteo, 2008. "Yield curve, time varying term premia, and business cycle fluctuations," MPRA Paper 8873, University Library of Munich, Germany.
    42. Vassalou, Maria, 2003. "News related to future GDP growth as a risk factor in equity returns," Journal of Financial Economics, Elsevier, vol. 68(1), pages 47-73, April.
    43. Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2015. "Are Indian stock returns predictable?," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 506-531.
    44. Komáromi, György, 2002. "A hatékony piacok elméletének elméleti és gyakorlati relevanciája [The theoretical and practical relevance of the theory of efficient markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 377-395.
    45. Peter Blair Henry, 2006. "Capital Account Liberalization: Theory, Evidence, and Speculation," NBER Working Papers 12698, National Bureau of Economic Research, Inc.
    46. John Y. Campbell & Motohiro Yogo, 2002. "Efficient Tests of Stock Return Predictability," Harvard Institute of Economic Research Working Papers 1972, Harvard - Institute of Economic Research.
    47. Andreas Neuhierl & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," NBER Working Papers 22831, National Bureau of Economic Research, Inc.
    48. Campos Dias de Sousa, Ricardo Emanuel & Howden, David, 2015. "The Efficient Market Conjecture," MPRA Paper 79792, University Library of Munich, Germany.
    49. Steven J. Davis & Paul Willen, 2013. "Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03n04), pages 1-53.
    50. Pierdzioch, Christian & Schertler, Andrea, 2005. "Sources of Predictability of European Stock Markets for High-Technology Firms," Kiel Working Papers 1235, Kiel Institute for the World Economy (IfW Kiel).
    51. David McMillan, 2004. "Non-linear predictability of UK stock market returns," Money Macro and Finance (MMF) Research Group Conference 2003 63, Money Macro and Finance Research Group.
    52. Surajit Ray & N. E. Savin, 2008. "The performance of heteroskedasticity and autocorrelation robust tests: a Monte Carlo study with an application to the three-factor Fama-French asset-pricing model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 91-109.
    53. Kugler, Peter & Weder, Beatrice, 2005. "Why are Returns on Swiss Franc Asset so Low?," Working papers 2005/08, Faculty of Business and Economics - University of Basel.
    54. Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003. "How big is the speculative component in Australian share prices?," Journal of Economics and Business, Elsevier, vol. 55(2), pages 177-195.
    55. Emmanuel Farhi & Xavier Gabaix, "undated". "Rare Disasters and Exchange Rates," Working Paper 71001, Harvard University OpenScholar.
    56. Peter Henry, 2007. "Capital Account Liberalization: Theory, Evidence, and Speculation," Discussion Papers 07-004, Stanford Institute for Economic Policy Research.
    57. Neuhierl, Andreas & Weber, Michael, 2019. "Monetary policy communication, policy slope, and the stock market," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 140-155.
    58. Valkanov, Rossen, 1999. "Long-Horizon Regressions: Theoretical Results and Applications to the Expected Returns/Dividend Yields and Fisher Effect Relations," University of California at Los Angeles, Anderson Graduate School of Management qt67b2h2gb, Anderson Graduate School of Management, UCLA.
    59. Lioui, Abraham & Poncet, Patrice, 2003. "International asset allocation: A new perspective," Journal of Banking & Finance, Elsevier, vol. 27(11), pages 2203-2230, November.
    60. Dimitri Vayanos & Jean‐Luc Vila, 2021. "A Preferred‐Habitat Model of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 89(1), pages 77-112, January.
    61. Kadilli, Anjeza, 2015. "Predictability of stock returns of financial companies and the role of investor sentiment: A multi-country analysis," Journal of Financial Stability, Elsevier, vol. 21(C), pages 26-45.
    62. Li Liu & Zhiyuan Pan & Yudong Wang, 2022. "Shrinking return forecasts," The Financial Review, Eastern Finance Association, vol. 57(3), pages 641-661, August.
    63. Butt, Hilal Anwar & Demirer, Riza & Sadaqat, Mohsin & Suleman, Muhammad Tahir, 2022. "Do emerging stock markets offer an illiquidity premium for local or global investors?," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 502-515.
    64. Giannetti, Mariassunta & Simonov, Andrei, 2003. "Which Investors Fear Expropriation? Evidence from Investors' Stock Picking," CEPR Discussion Papers 3843, C.E.P.R. Discussion Papers.
    65. Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés, 2015. "Unbalanced Regressions and the Predictive Equation," CREATES Research Papers 2015-09, Department of Economics and Business Economics, Aarhus University.
    66. Honohan, Patrick & Shi, Anging, 2001. "Deposit dollarization and the financial sector in emerging economies," Policy Research Working Paper Series 2748, The World Bank.
    67. Chung, Yi-Tsai & Hsu, Chuan-Hao & Ke, Mei-Chu & Liao, Tung Liang & Chiang, Yi-Chein, 2016. "The weakening value premium in the Australian and New Zealand stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 123-133.
    68. 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.
    69. M. Deetz & T. Poddig & I. Sidorovitch & A. Varmaz, 2009. "An evaluation of conditional multi-factor models in active asset allocation strategies: an empirical study for the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(3), pages 285-313, September.
    70. Fletcher, Jonathan & Forbes, David, 2002. "An exploration of the persistence of UK unit trust performance," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 475-493, December.
    71. Perelló, Josep, 2007. "Downside Risk analysis applied to the Hedge Funds universe," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(2), pages 480-496.
    72. Minye Zhang & Yongheng Deng, 2010. "Is the Mean Return of Hotel Real Estate Stocks Apt to Overreact to Past Performance?," The Journal of Real Estate Finance and Economics, Springer, vol. 40(4), pages 497-543, May.
    73. Botshekan, Mahmoud & Lucas, André, 2017. "Long-Term versus Short-Term Contingencies in Asset Allocation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(5), pages 2277-2303, October.
    74. Chung, Kyuil, 2009. "Does the liquidity effect guarantee a positive term premium?," Economic Modelling, Elsevier, vol. 26(5), pages 893-903, September.
    75. Philippe Bacchetta & Eric Van Wincoop, 2006. "Incomplete information processing: a solution to the forward discount puzzle," Working Paper Series 2006-35, Federal Reserve Bank of San Francisco.
    76. Kaniel, Ron & Yan, Hong & Carlson, Murray & Chapman, David A., 2015. "Asset Return Predictability in a Heterogeneous Agent Equilibrium Model," CEPR Discussion Papers 10328, C.E.P.R. Discussion Papers.
    77. Georges Prat, 2010. "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," EconomiX Working Papers 2010-22, University of Paris Nanterre, EconomiX.
    78. Caprio, Gerard & Honohan, Patrick, 2001. "Finance for Growth: Policy Choices in a Volatile World," MPRA Paper 9929, University Library of Munich, Germany.
    79. Baetje, Fabian & Menkhoff, Lukas, 2013. "Macro determinants of U.S. stock market risk premia in bull and bear markets," Hannover Economic Papers (HEP) dp-520, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    80. De Nicolo, Gianni & Honohan, Patrick & Ize, Alain, 2003. "Dollarization of the banking system : good or bad?," Policy Research Working Paper Series 3116, The World Bank.
    81. Modena, Matteo, 2008. "The term structure and the expectations hypothesis: a threshold model," MPRA Paper 9611, University Library of Munich, Germany.
    82. Jamie Alcock & Philip Gray, 2005. "Forecasting Stock Returns Using Model‐Selection Criteria," The Economic Record, The Economic Society of Australia, vol. 81(253), pages 135-151, June.
    83. Seppala, Juha, 2004. "The term structure of real interest rates: theory and evidence from UK index-linked bonds," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1509-1549, October.
    84. Han, Bing & Hirshleifer, David & Wang, Tracy, 2005. "Investor Overconfidence and the Forward Discount Puzzle," MPRA Paper 6497, University Library of Munich, Germany, revised Dec 2007.
    85. Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2005. "Multiscale systematic risk," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 55-70, February.
    86. James E. Pesando, 2001. "The Canada Pension Plan: Looking Back at the Recent Reforms," The State of Economics in Canada: Festschrift in Honour of David Slater, in: Patrick Grady & Andrew Sharpe (ed.),The State of Economics in Canada: Festschrift in Honour of David Slater, pages 137-150, Centre for the Study of Living Standards.
    87. Chantziara, Thalia & Skiadopoulos, George, 2008. "Can the dynamics of the term structure of petroleum futures be forecasted? Evidence from major markets," Energy Economics, Elsevier, vol. 30(3), pages 962-985, May.
    88. Fabian Hollstein & Marcel Prokopczuk, 2023. "Managing the Market Portfolio," Management Science, INFORMS, vol. 69(6), pages 3675-3696, June.
    89. Cappiello, Lorenzo & Mehl, Arnaud, 2007. "Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities," Working Paper Series 801, European Central Bank.
    90. Manuel Ammann & Michael Verhofen, 2006. "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(3), pages 309-337, September.
    91. Yigit Atilgan & K. Ozgur Demirtas & A. Doruk Gunaydin & Imra Kirli, 2023. "Average skewness in global equity markets," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 245-271, June.
    92. Bessler, Wolfgang & Drobetz, Wolfgang & Zimmermann, Heinz, 2007. "Conditional Performance Evaluation for German Mutual Equity Funds," Working papers 2007/22, Faculty of Business and Economics - University of Basel.
    93. Lawrenz, Jochen & Zorn, Josef, 2017. "Predicting international stock returns with conditional price-to-fundamental ratios," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 159-184.
    94. Qiang Kang, 2019. "Business-cycle pattern of asset returns: a general equilibrium explanation," Annals of Finance, Springer, vol. 15(4), pages 539-561, December.
    95. Vassalou, Maria, 2001. "News Related to Future GDP Growth as a Risk Factor in Equity Returns," CEPR Discussion Papers 3057, C.E.P.R. Discussion Papers.
    96. Wang, Yudong & Hao, Xianfeng & Wu, Chongfeng, 2021. "Forecasting stock returns: A time-dependent weighted least squares approach," Journal of Financial Markets, Elsevier, vol. 53(C).
    97. Giannetti, Mariassunta & Simonov, Andrei, 2002. "Which Investors Fear Expropriation?," SIFR Research Report Series 10, Institute for Financial Research.
    98. Geromichalos, Athanasios & Herrenbrueck, Lucas M. & Salyer, Kevin D., 2016. "A search-theoretic model of the term premium," Theoretical Economics, Econometric Society, vol. 11(3), September.
    99. Anusha Chari & Peter Blair Henry, 2002. "Risk Sharing and Asset Prices: Evidence From a Natural Experiment," NBER Working Papers 8988, National Bureau of Economic Research, Inc.
    100. Hollstein, Fabian & Prokopczuk, Marcel & Tharann, Björn & Wese Simen, Chardin, 2021. "Predictability in commodity markets: Evidence from more than a century," Journal of Commodity Markets, Elsevier, vol. 24(C).
    101. Atanasov, Victoria, 2021. "Unemployment and aggregate stock returns," Journal of Banking & Finance, Elsevier, vol. 129(C).
    102. John Powell & Jing Shi & Tom Smith & Robert Whaley, 2009. "Common Divisors, Payout Persistence, and Return Predictability," International Review of Finance, International Review of Finance Ltd., vol. 9(4), pages 335-357, December.
    103. Alena Audzeyeva & Xu Wang, 2023. "Fundamentals, real-time uncertainty and CDS index spreads," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 1-33, July.
    104. Xia, Yihong, 2000. "Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation," University of California at Los Angeles, Anderson Graduate School of Management qt3167f8mz, Anderson Graduate School of Management, UCLA.
    105. Gay, Gerald D. & Lin, Chen-Miao & Smith, Stephen D., 2011. "Corporate derivatives use and the cost of equity," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1491-1506, June.
    106. Jianfeng Yu, 2011. "A sentiment-based explanation of the forward premium puzzle," Globalization Institute Working Papers 90, Federal Reserve Bank of Dallas.
    107. David G. McMillan, 2005. "Non‐linear dynamics in international stock market returns," Review of Financial Economics, John Wiley & Sons, vol. 14(1), pages 81-91.
    108. Gultekin Isiklar, 2005. "Structural VAR identification in asset markets using short-run market inefficiencies," Econometrics 0501001, University Library of Munich, Germany, revised 02 Jan 2005.
    109. Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 2008. "The Myth of Long-Horizon Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1577-1605, July.
    110. Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
    111. Fernando Restoy & Rosa Rodríguez, 2005. "Can fundamentals explain cross-country correlations of asset returns?," Working Papers 0540, Banco de España.
    112. Maynard, Alex & Ren, Dongmeng, 2019. "The finite sample power of long-horizon predictive tests in models with financial bubbles," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 418-430.
    113. Fernando Lefort & Eduardo Walker, 1999. "El Dólar Como Activo Financiero: Teoría y Evidencia Chilena," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 36(109), pages 1035-1066.
    114. Szu-Yin Hung & John Glascock, 2008. "Momentum Profitability and Market Trend: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 37(1), pages 51-69, July.
    115. Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019. "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 43-58.
    116. Valkanov, Rossen, 2003. "Long-horizon regressions: theoretical results and applications," Journal of Financial Economics, Elsevier, vol. 68(2), pages 201-232, May.
    117. Slava Karguine, 2003. "Optimal Asset Allocation with Asymptotic Criteria," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(06), pages 593-604.
    118. Zhu, Sheng & Gao, Jun & Sherman, Meadhbh, 2020. "The role of future economic conditions in the cross-section of stock returns: Evidence from the US and UK," Research in International Business and Finance, Elsevier, vol. 52(C).
    119. Wang, Yudong & Pan, Zhiyuan & Wu, Chongfeng & Wu, Wenfeng, 2020. "Industry equi-correlation: A powerful predictor of stock returns," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 1-24.
    120. David Rey, 2005. "Market Timing And Model Uncertainty: An Exploratory Study For The Swiss Stock Market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(3), pages 239-260, October.
    121. Arnaud Mehl & Lorenzo Cappiello, 2009. "Uncovered Interest Parity at Long Horizons: Evidence on Emerging Economies," Review of International Economics, Wiley Blackwell, vol. 17(5), pages 1019-1037, November.
    122. Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014. "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model," MPRA Paper 58554, University Library of Munich, Germany.
    123. Schulmeister, Stephan, 2007. "Die manisch-depressiven Preisschwankungen auf den Finanzmärkten - Wie macht das die 'unsichtbare Hand'?," WSI-Mitteilungen, Nomos Verlagsgesellschaft mbH & Co. KG, vol. 60(12), pages 657-663.
    124. Fabian T. Lutzenberger, 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, John Wiley & Sons, vol. 23(3), pages 120-130, September.
    125. Francis Breedon & Jagjit S. Chadha, 2003. "Investigating Excess Returns from Nominal Bonds," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(1), pages 73-90, February.
    126. Henry, Peter B. & Chari, Anusha, 2001. "Stock Market Liberalizations and the Repricing of Systematic Risk," Research Papers 1677, Stanford University, Graduate School of Business.
    127. Fahmy, Yasser A. F. & Kandil, Magda, 2003. "The Fisher effect: new evidence and implications," International Review of Economics & Finance, Elsevier, vol. 12(4), pages 451-465.
    128. Bessler, Wolfgang & Drobetz, Wolfgang & Henn Overbeck, Jacqueline, 2005. "Hedge Funds: Die Königsdisziplin" der Kapitalanlage," Working papers 2005/04, Faculty of Business and Economics - University of Basel.
    129. Willi Semmler & Raphaële Chappe, 2011. "The Operation of Hedge Funds: Econometric Evidence, Dynamic Modeling, and Regulatory Perspectives," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models, chapter 1, pages 3-34, Palgrave Macmillan.
    130. Byrne, Joseph & Fu, Rong, 2016. "Stock Return Prediction with Fully Flexible Models and Coefficients," MPRA Paper 75366, University Library of Munich, Germany.
    131. Nejla Bergaoui & Abdelwahed Trabelsi, 2016. "A State-Space Version of Fama and French’s Three-Factor Model: Evidence from the Tunisian Stock Exchange," International Journal of Business and Management, Canadian Center of Science and Education, vol. 11(11), pages 214-214, October.
    132. Gusev, Maxim & Kroujiline, Dimitri & Govorkov, Boris & Sharov, Sergey V. & Ushanov, Dmitry & Zhilyaev, Maxim, 2014. "Predictable markets? A news-driven model of the stock market," MPRA Paper 58831, University Library of Munich, Germany.
    133. Scott Gilbert & Petr Zemčík, 2005. "Testing for Latent Factors in Models with Autocorrelation and Heteroskedasticity of Unknown Form," Southern Economic Journal, John Wiley & Sons, vol. 72(1), pages 236-252, July.
    134. Lucian A. Bebchuk & Alma Cohen & Charles C.Y. Wang, 2010. "Learning and the Disappearing Association Between Governance and Returns," NBER Working Papers 15912, National Bureau of Economic Research, Inc.
    135. Dai, Zhifeng & Zhu, Huan, 2020. "Stock return predictability from a mixed model perspective," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
    136. Adrian Austin & Swarna Dutt, 2015. "Exchange Rates and Fundamentals: A New Look at the Evidence on Long-Horizon Predictability," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 43(1), pages 147-159, March.
    137. Yu, Deshui & Huang, Difang, 2023. "Cross-sectional uncertainty and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 321-340.
    138. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO.
    139. Drobetz, Wolfgang & Kugler, Peter & Wanzenried, Gabrielle & Zimmermann, Heinz, 2009. "Heterogeneity in asset allocation decisions: Empirical evidence from Switzerland," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 84-93, March.
    140. Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
    141. Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, C.E.P.R. Discussion Papers.
    142. Inder K. Khurana & K. K. Raman, 2006. "Do Investors Care about the Auditor's Economic Dependence on the Client?," Contemporary Accounting Research, John Wiley & Sons, vol. 23(4), pages 977-1016, December.
    143. Atanasov, Victoria, 2018. "World output gap and global stock returns," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 181-197.
    144. Selçuk, Faruk & Gençay, Ramazan, 2006. "Intraday dynamics of stock market returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 375-387.
    145. Liu, Li & Pan, Zhiyuan, 2020. "Forecasting stock market volatility: The role of technical variables," Economic Modelling, Elsevier, vol. 84(C), pages 55-65.
    146. Peter C. Dawson, 2015. "The capital asset pricing model in economic perspective," Applied Economics, Taylor & Francis Journals, vol. 47(6), pages 569-598, February.
    147. McMillan, David G., 2005. "Non-linear dynamics in international stock market returns," Review of Financial Economics, Elsevier, vol. 14(1), pages 81-91.
    148. Michael W. McCracken & Giorgio Valente, 2012. "Asymptotic Inference for Performance Fees and the Predictability of Asset Returns," Working Papers 2012-049, Federal Reserve Bank of St. Louis.
    149. Xavier Gabaix, 2008. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers 13724, National Bureau of Economic Research, Inc.
    150. Hai Lin & Xinyuan Tao & Junbo Wang & Chunchi Wu, 2020. "Credit Spreads, Business Conditions, and Expected Corporate Bond Returns," JRFM, MDPI, vol. 13(2), pages 1-34, January.
    151. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Myth of Long-Horizon Predictability," NBER Working Papers 11841, National Bureau of Economic Research, Inc.
    152. Peter Phillips, 2010. "Financial crisis of metaphor," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, vol. 23(3), pages 223-242, September.
    153. Brennan, Michael J, 2004. "How Did It Happen?," University of California at Los Angeles, Anderson Graduate School of Management qt1047x6kv, Anderson Graduate School of Management, UCLA.
    154. Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2015. "Combining momentum with reversal in commodity futures," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 423-444.
    155. Bryan Stanhouse & Duane Stock, 2008. "Managing the risk of loan prepayments and the optimal structure of short term lending rates," Annals of Finance, Springer, vol. 4(2), pages 197-215, March.
    156. Chulsoo Kim, 2004. "Is There Irrational Exuberance?," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 29(2), pages 65-80, December.
    157. Michael Scholz & Jens Perch Nielsen & Stefan Sperlich, 2012. "Nonparametric prediction of stock returns guided by prior knowledge," Graz Economics Papers 2012-02, University of Graz, Department of Economics.
    158. Gulraze Wakil, 2020. "Firm size proxies and the value relevance of predictive stock return models," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(3), pages 434-457, July.
    159. Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc.
    160. Vincze, János & Bíró, Anikó & Elek, Péter, 2007. "Szimulációk és érzékenységvizsgálatok a magyar gazdaság egy középméretű makromodelljével [Simulations and sensitivity analyses with a medium-sized macro model of the Hungarian economy]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 774-799.
    161. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2021. "Realized skewness and the short-term predictability for aggregate stock market volatility," Economic Modelling, Elsevier, vol. 103(C).
    162. Nikolaos Mitianoudis & Theologos Dergiades, 2016. "Stock Prices Predictability at Long-horizons: Two Tales from the Time-Frequency Domain," Discussion Paper Series 2016_04, Department of Economics, University of Macedonia, revised Dec 2016.
    163. Tancheva, Z., 2021. "Essays on macro-finance and market anomalies," Other publications TiSEM 3cdb4eb6-0313-4a7a-81c4-2, Tilburg University, School of Economics and Management.
    164. Dai, Zhifeng & Kang, Jie & Wen, Fenghua, 2021. "Predicting stock returns: A risk measurement perspective," International Review of Financial Analysis, Elsevier, vol. 74(C).
    165. Ding, Liang & Ma, Jun, 2013. "Portfolio reallocation and exchange rate dynamics," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3100-3124.
    166. Neszveda, Gábor & Vágó, Ákos, 2021. "A likviditásnyújtás kereskedési stratégiájának hozamvizsgálata a magyar részvénypiacon [Examining trade-strategy results of liquidity provision on the Hungarian stock market]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 794-814.

  34. John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," NBER Working Papers 7170, National Bureau of Economic Research, Inc.

    Cited by:

    1. Giorgio Valente & Mr. Gene L. Leon & Lucio Sarno, 2006. "Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," IMF Working Papers 2006/136, International Monetary Fund.
    2. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    3. Nikolai Roussanov & Hongxun Ruan & Yanhao Wei & Stijn Van Nieuwerburgh, 2021. "Marketing Mutual Funds," The Review of Financial Studies, Society for Financial Studies, vol. 34(6), pages 3045-3094.
    4. Alex Chinco & Samuel M. Hartzmark & Abigail B. Sussman, 2022. "A New Test of Risk Factor Relevance," Journal of Finance, American Finance Association, vol. 77(4), pages 2183-2238, August.
    5. Carol Alexander & Anca Dimitriu, 2003. "Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2003-02, Henley Business School, University of Reading.
    6. Taras Bodnar & Wolfgang Schmid, 2009. "Econometrical analysis of the sample efficient frontier," The European Journal of Finance, Taylor & Francis Journals, vol. 15(3), pages 317-335.
    7. Dichtl, Hubert & Drobetz, Wolfgang, 2015. "Sell in May and Go Away: Still good advice for investors?," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 29-43.
    8. Georges Prat & Remzi Uctum, 2013. "Modeling the horizon-dependent ex-ante risk premium in the foreign exchange market: evidence from survey data," Post-Print hal-01385855, HAL.
    9. Taras Bodnar & Wolfgang Schmid, 2008. "A test for the weights of the global minimum variance portfolio in an elliptical model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 67(2), pages 127-143, March.
    10. Georges Prat & Remzi Uctum, 2012. "Modeling the horizon-dependent risk premium in the forex market: evidence from survey data," EconomiX Working Papers 2012-29, University of Paris Nanterre, EconomiX.
    11. Kalotay, Egon & Gray, Philip & Sin, Samantha, 2007. "Consumer expectations and short-horizon return predictability," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3102-3124, October.
    12. Pim van Vliet & David Blitz, 2011. "Dynamic strategic asset allocation: Risk and return across the business cycle," Journal of Asset Management, Palgrave Macmillan, vol. 12(5), pages 360-375, November.
    13. Taras Bodnar & Wolfgang Schmid & Taras Zabolotskyy, 2009. "Statistical inference of the efficient frontier for dependent asset returns," Statistical Papers, Springer, vol. 50(3), pages 593-604, June.
    14. Carol Alexander & Anca Dimitriu, 2005. "Indexing, cointegration and equity market regimes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(3), pages 213-231.
    15. Eberts, Elke, 2003. "The Connection of Stock Markets Between Germany and the USA: New Evidence From a Co-integration Study," ZEW Discussion Papers 03-36, ZEW - Leibniz Centre for European Economic Research.
    16. Hoang, Khoa & Cannavan, Damien & Gaunt, Clive & Huang, Ronghong, 2019. "Is that factor just lucky? Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    17. J. Sa‐Aadu & James Shilling & Ashish Tiwari, 2010. "On the Portfolio Properties of Real Estate in Good Times and Bad Times1," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(3), pages 529-565, September.
    18. Cappiello, Lorenzo & Guéné, Stéphane, 2005. "Measuring market and inflation risk premia in France and in Germany," Working Paper Series 436, European Central Bank.
    19. Thomas Q. Pedersen, 2008. "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers 2008-60, Department of Economics and Business Economics, Aarhus University.
    20. Elizabeth Watson, 2012. "Asset returns and the investment choices of New Zealanders," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 75, pages 26-34, September.
    21. Amisano, Gianni & Savona, Roberto, 2008. "Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk," Working Paper Series 881, European Central Bank.
    22. Okhrin, Yarema & Schmid, Wolfgang, 2006. "Distributional properties of portfolio weights," Journal of Econometrics, Elsevier, vol. 134(1), pages 235-256, September.
    23. Sakkas, Athanasios & Tessaromatis, Nikolaos, 2020. "Factor based commodity investing," Journal of Banking & Finance, Elsevier, vol. 115(C).
    24. Michael Cooper & Huseyin Gulen, 2006. "Is Time-Series-Based Predictability Evident in Real Time?," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1263-1292, May.
    25. Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December.
    26. Philip Gray, 2008. "Economic significance of predictability in Australian equities," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(5), pages 783-805, December.
    27. James Dow, 2009. "Age, investing horizon and asset allocation," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 422-436, October.
    28. Itamar Drechsler & Amir Yaron, 2008. "What's Vol Got to Do With It," 2008 Meeting Papers 282, Society for Economic Dynamics.
    29. Xu, Yexiao, 2004. "Small levels of predictability and large economic gains," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 247-275, March.
    30. Sujan Adhikari & Pawan Kumar Jha, Ph.D., 2016. "Applicability of Portfolio Theory in Nepali Stock Market," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, vol. 28(1), pages 65-92, April.
    31. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration.
    32. Marco Aiolfi & Carlo Ambrogio Favero, "undated". "Model Uncertainty, Thick Modelling and the predictability of Stock Returns," Working Papers 221, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    33. Ramiro Sosa Navarro, 2010. "Fiscal Imbalances, Inflation and Sovereign Default Dynamics," Ensayos de Política Económica, Departamento de Investigación Francisco Valsecchi, Facultad de Ciencias Económicas, Pontificia Universidad Católica Argentina., vol. 1(4), pages 108-142, Octubre.
    34. Yunting Liu, 2022. "The Short-Run and Long-Run Components of Idiosyncratic Volatility and Stock Returns," Management Science, INFORMS, vol. 68(2), pages 1573-1589, February.
    35. Perelló, Josep, 2007. "Downside Risk analysis applied to the Hedge Funds universe," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(2), pages 480-496.
    36. Georges Prat, 2010. "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," EconomiX Working Papers 2010-22, University of Paris Nanterre, EconomiX.
    37. Bartram, Söhnke & Djuranovik, Leslie & Garratt, Anthony, 2021. "Currency Anomalies," CEPR Discussion Papers 15653, C.E.P.R. Discussion Papers.
    38. Hutchinson, Mark C. & Kyziropoulos, Panagiotis E. & O’Brien, John & O’Reilly, Philip & Sharma, Tripti, 2022. "Technical trading rule profitability in currencies: It’s all about momentum," Research in International Business and Finance, Elsevier, vol. 63(C).
    39. Michele Costa, 2003. "The factor structure of financial markets: a simulation study of the Italian case," Applied Economics Letters, Taylor & Francis Journals, vol. 10(2), pages 83-86.
    40. Jessica A. Wachter & Missaka Warusawitharana, 2006. "Predictable returns and asset allocation: Should a skeptical investor time the market?," 2006 Meeting Papers 22, Society for Economic Dynamics.
    41. Elizabeth Watson, 2012. "Risk, return, and beyond: A conceptual analysis of some factors influencing New Zealanders’ investment decisions," Reserve Bank of New Zealand Analytical Notes series AN2012/07, Reserve Bank of New Zealand.
    42. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2017. "Predictability and diversification benefits of investing in commodity and currency futures," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 52-66.
    43. Xia, Yihong, 2000. "Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation," University of California at Los Angeles, Anderson Graduate School of Management qt3167f8mz, Anderson Graduate School of Management, UCLA.
    44. Lai, Wan-Ni, 2016. "Do academic investment insights benefit society?," Research in International Business and Finance, Elsevier, vol. 38(C), pages 172-176.
    45. Richard M. Levich & Valerio Poti, 2008. "Predictability and 'Good Deals' in Currency Markets," NBER Working Papers 14597, National Bureau of Economic Research, Inc.
    46. Vladimir Kotomin, 2021. "The clientele effect around the turn of the year: evidence from the bond markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(4), pages 637-653, October.
    47. Baur, Dirk G. & Dichtl, Hubert & Drobetz, Wolfgang & Wendt, Viktoria-Sophie, 2020. "Investing in gold – Market timing or buy-and-hold?," International Review of Financial Analysis, Elsevier, vol. 71(C).
    48. Potì, Valerio, 2018. "A new tight and general bound on return predictability," Economics Letters, Elsevier, vol. 162(C), pages 140-145.
    49. Lioui, Abraham & Poncet, Patrice, 2019. "Long horizon predictability: An asset allocation perspective," European Journal of Operational Research, Elsevier, vol. 278(3), pages 961-975.
    50. Potì, Valerio & Levich, Richard & Conlon, Thomas, 2020. "Predictability and pricing efficiency in forward and spot, developed and emerging currency markets," Journal of International Money and Finance, Elsevier, vol. 107(C).
    51. Qi Liu & Lei Lu & Bo Sun & Hongjun Yan, 2015. "A Model of Anomaly Discovery," International Finance Discussion Papers 1128, Board of Governors of the Federal Reserve System (U.S.).
    52. Jianguo Chen & Dar-Hsin Chen, 2004. "The Downside Risk and Equity Evaluation: Emerging Market Evidence," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 3(1), pages 77-93, January.
    53. David Hirshleifer & Chong Huang & Siew Hong Teoh, 2017. "Index Investing and Asset Pricing under Information Asymmetry and Ambiguity Aversion," NBER Working Papers 24143, National Bureau of Economic Research, Inc.
    54. Guanming He, 2021. "Credit rating, post‐earnings‐announcement drift, and arbitrage from transient institutions," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 48(7-8), pages 1434-1467, July.
    55. Hutchinson, Mark C. & Kyziropoulos, Panagiotis E. & O'Brien, John & O'Reilly, Philip & Sharma, Tripti, 2022. "Are carry, momentum and value still there in currencies?," International Review of Financial Analysis, Elsevier, vol. 83(C).
    56. Noël Amenc & Felix Goltz & Véronique Le Sourd, 2009. "The Performance of Characteristics‐based Indices1," European Financial Management, European Financial Management Association, vol. 15(2), pages 241-278, March.
    57. Paul Calluzzo & Fabio Moneta & Selim Topaloglu, 2019. "When Anomalies Are Publicized Broadly, Do Institutions Trade Accordingly?," Management Science, INFORMS, vol. 65(10), pages 4555-4574, October.
    58. Jennie Bai, 2010. "Equity premium predictions with adaptive macro indexes," Staff Reports 475, Federal Reserve Bank of New York.
    59. Hui Chen & Scott Joslin & Sophie X. Ni, 2019. "Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets," NBER Working Papers 25573, National Bureau of Economic Research, Inc.
    60. Timotheos Angelidis & Nikolaos Tessaromatis, 2014. "Global portfolio management under state dependent multiple risk premia," Proceedings of Economics and Finance Conferences 0400966, International Institute of Social and Economic Sciences.
    61. Stefano Cavaglia & Louis Scott & Kenneth Blay & Tarun Gupta, 2022. "Equity factors for multi-asset class portfolios: a strategic asset allocation perspective," Journal of Asset Management, Palgrave Macmillan, vol. 23(2), pages 100-113, March.
    62. Lin Liu & Qiguang Chen, 2020. "How to compare market efficiency? The Sharpe ratio based on the ARMA-GARCH forecast," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-21, December.
    63. Bing Han & Gang Li, 2021. "Information Content of Aggregate Implied Volatility Spread," Management Science, INFORMS, vol. 67(2), pages 1249-1269, February.
    64. Potì, Valerio & Siddique, Akhtar, 2013. "What drives currency predictability?," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 86-106.

  35. John H. Cochrane, 1998. "A Frictionless View of U.S. Inflation," NBER Working Papers 6646, National Bureau of Economic Research, Inc.

    Cited by:

    1. Bennett T. McCallum, 2002. "Consistent Expectations, Rational Expectations, Multiple-Solution Indeterminacies, and Least-Squares Learnability," NBER Working Papers 9218, National Bureau of Economic Research, Inc.
    2. Boris Chafwehé & Charles de Beauffort & Rigas Oikonomou, 2022. "Optimal Monetary Policy Rules in the Fiscal Theory of the Price Level," LIDAM Discussion Papers IRES 2022007, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    3. Boris Chafwehé & Rigas Oikonomou & Romanos Priftis & Lukas Vogel, 2022. "Optimal Monetary Policy with and without Debt," LIDAM Discussion Papers IRES 2022027, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    4. Willem Buiter, 2000. "The Fallacy of the Fiscal Theory of the Price Level, Again," CESifo Working Paper Series 303, CESifo.
    5. Lawrence J. Christiano & Christopher J. Gust, 2000. "The Expectations Trap Hypothesis," NBER Working Papers 7809, National Bureau of Economic Research, Inc.
    6. Nicoletta Batini & Edward Nelson, 2001. "The Lag from Monetary Policy Actions to Inflation: Friedman Revisited," International Finance, Wiley Blackwell, vol. 4(3), pages 381-400.
    7. Riccardo DiCecio & Edward Nelson, 2009. "The Great Inflation in the United States and the United Kingdom: Reconciling Policy Decisions and Data Outcomes," NBER Working Papers 14895, National Bureau of Economic Research, Inc.
    8. Harashima, Taiji, 2007. "Hyperinflation, disinflation, deflation, etc.: A unified and micro-founded explanation for inflation," MPRA Paper 3836, University Library of Munich, Germany.
    9. Peter Claeys, 2005. "Policy mix and debt sustainability: evidence from fiscal policy rules," Economics Working Papers ECO2005/01, European University Institute.
    10. McCallum, Bennett T., 2007. "E-stability vis-a-vis determinacy results for a broad class of linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1376-1391, April.
    11. Willem H. Buiter, 2003. "James Tobin: An Appreciation of his Contribution to Economics," NBER Working Papers 9753, National Bureau of Economic Research, Inc.
    12. Minford, Patrick & Ou, Zhirong & Fan, Jingwen, 2014. "The role of fiscal policy in Britain's Great Inflation," CEPR Discussion Papers 10240, C.E.P.R. Discussion Papers.
    13. George Hondroyiannis & Sophia Lazaretou, 2004. "Inflation Persistence during Periods of Structural Change: An Assessment Using Greek Data," Working Papers 13, Bank of Greece.
    14. Martin Uribe, 2002. "A Fiscal Theory of Sovereign Risk," NBER Working Papers 9221, National Bureau of Economic Research, Inc.
    15. Ozgur ASLAN & H. Levent KORAP, 2007. "Monetary Transmission Mechanism In An Open Economy Framework: The Case Of Turkey," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 5(1), pages 41-66, May.
    16. Betty Daniel & Christos Shiamptanis, 2012. "Pushing the Limit? Fiscal Policy in the European Monetary Union," Working Papers 033, Ryerson University, Department of Economics.
    17. Olusola Joel Oyeleke, 2021. "On the Non-Linear Relationship between Fiscal Deficit and Inflation: The Nigeria Experience," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 27(2), pages 105-117, May.
    18. Aimola Akingbade U. & Odhiambo Nicholas M., 2020. "Public Debt and Inflation: A Review of International Literature," Folia Oeconomica Stetinensia, Sciendo, vol. 20(1), pages 9-24, June.
    19. Li, Bing & Pei, Pei & Tan, Fei, 2021. "Financial distress and fiscal inflation," Journal of Macroeconomics, Elsevier, vol. 70(C).
    20. McCallum, Bennett T., 2003. "Multiple-solution indeterminacies in monetary policy analysis," Journal of Monetary Economics, Elsevier, vol. 50(5), pages 1153-1175, July.
    21. Stefano Eusepi & Bruce Preston, 2008. "Stabilizing expectations under monetary and fiscal policy coordination," Staff Reports 343, Federal Reserve Bank of New York.
    22. Renee Courtois Haltom & John A. Weinberg, 2012. "Unsustainable fiscal policy : implications for monetary policy," Richmond Fed Economic Brief, Federal Reserve Bank of Richmond, issue Jul.
    23. Michael Kumhof, 2004. "Fiscal Crisis Resolution: Taxation Versus Inflation," 2004 Meeting Papers 874, Society for Economic Dynamics.
    24. Taiji Harashima, 2004. "The Ultimate Source of Inflation: A Microfoundation of the Fiscal Theory of the Price Level," Macroeconomics 0409018, University Library of Munich, Germany, revised 30 Mar 2005.
    25. McCallum, Bennett T., 2001. "Indeterminacy, bubbles, and the fiscal theory of price level determination," Journal of Monetary Economics, Elsevier, vol. 47(1), pages 19-30, February.
    26. Mr. Luis Catão & Mr. Marco Terrones, 2003. "Fiscal Deficits and Inflation," IMF Working Papers 2003/065, International Monetary Fund.
    27. Daniel, Betty C, 2001. "A Fiscal Theory of Currency Crises," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 969-988, November.
    28. Mitsuru Iwamura & Takeshi Kudo & Tsutomu Watanabe, 2005. "Monetary and fiscal policy in a liquidity trap: the Japanese experience 1999-2004," Proceedings, Federal Reserve Bank of San Francisco.
    29. Betty C. Daniel, 2010. "Exchange Rate Crises and Fiscal Solvency," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(6), pages 1109-1135, September.
    30. Harashima, Taiji, 2008. "A Microfounded Mechanism of Observed Substantial Inflation Persistence," MPRA Paper 10668, University Library of Munich, Germany.
    31. Stefania Albanesi & V. V. Chari & Lawrence J. Christiano, 2002. "Expectation traps and monetary policy," Working Paper Series WP-02-04, Federal Reserve Bank of Chicago.
    32. Daniel, Betty C. & Shiamptanis, Christos, 2012. "Fiscal risk in a monetary union," European Economic Review, Elsevier, vol. 56(6), pages 1289-1309.
    33. Oguro, Kazumasa & Sato, Motohiro, 2012. "Default Risk on Government Bonds, Deflation, and Inflation," CIS Discussion paper series 537, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
    34. John H. Cochrane, 1998. "Long-term Debt and Optimal Policy in the Fiscal Theory of the Price Level," NBER Working Papers 6771, National Bureau of Economic Research, Inc.
    35. Davig, Troy & Leeper, Eric M. & Walker, Todd B., 2010. ""Unfunded liabilities" and uncertain fiscal financing," Journal of Monetary Economics, Elsevier, vol. 57(5), pages 600-619, July.
    36. Michael, Kumhof & Ricardo, Nunes & Irina, Yakadina, 2007. "Simple Monetary Rules under Fiscal Dominance," MPRA Paper 4462, University Library of Munich, Germany.
    37. Uhlig, H.F.H.V.S., 2000. "Should we be Afraid of Friedman's Rule?," Discussion Paper 2000-62, Tilburg University, Center for Economic Research.
    38. Cochrane, John H., 2018. "Stepping on a rake: The fiscal theory of monetary policy," European Economic Review, Elsevier, vol. 101(C), pages 354-375.
    39. Oscar Bajo-Rubio & Carmen Díaz-Roldán & Vicente Esteve, 2007. "Deficit sustainability and inflation in EMU: An analysis from the fiscal theory of the price level," Working Papers 07-01, Asociación Española de Economía y Finanzas Internacionales.
    40. Philippe Weil, 2002. "Reflections on the Fiscal Theory of the Price Level," Post-Print hal-01053541, HAL.
    41. Howard Kung & Gonzalo Morales & Alexandre Corhay, 2017. "Fiscal Discount Rates and Debt Maturity," 2017 Meeting Papers 840, Society for Economic Dynamics.
    42. Bennett T. McCallum, 2003. "Is the Fiscal Theory of the Price Level Learnable?," NBER Working Papers 9961, National Bureau of Economic Research, Inc.
    43. Backé, Peter, 2004. "Fiscal policy and inflation volatility," Working Paper Series 317, European Central Bank.
    44. Kaan Masatci & Asuman Oktayer, 2022. "The Power of Linear Methods in Determining the Dominant Fiscal Regime: A Research on Turkiye," Journal of Economy Culture and Society, Istanbul University, Faculty of Economics, vol. 65(65), pages 375-394, June.
    45. Willem Buiter, 2004. "A Small Corner of Intertemporal Public Finance - New Developments in Monetary Economics: 2 Ghosts, 2 Eccentricities, A Fallacy, A Mirage and A Mythos," NBER Working Papers 10524, National Bureau of Economic Research, Inc.
    46. Jérôme Creel & Henri Sterdyniak, 2002. "The fiscal theory of the price level and sluggish inflation: how important shall the wealth effect be?," Working Papers hal-00972779, HAL.
    47. Christopher A. Sims, 2013. "Gaps in the Institutional Structure of the Euro Area," Working Papers 1460, Princeton University, Department of Economics, Center for Economic Policy Studies..
    48. António Afonso & Peter Claeys & Ricardo Sousa, 2011. "Fiscal regime shifts in Portugal," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 10(2), pages 83-108, August.
    49. Łyziak, Tomasz & Mackiewicz-Łyziak, Joanna, 2020. "Does fiscal stance affect inflation expectations? Evidence for European economies," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 296-310.
    50. Mitsuru Iwamura & Takeshi Kudo & Tsutomu Watanabe, 2005. "Monetary and Fiscal Policy in a Liquidity Trap: The Japanese Experience 1999-2004," Discussion papers 05009, Research Institute of Economy, Trade and Industry (RIETI).
    51. Dupor, Bill, 2000. "Exchange rates and the fiscal theory of the price level," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 613-630, June.
    52. Robert E. Hall, 1999. "Controlling the Price Level," NBER Working Papers 6914, National Bureau of Economic Research, Inc.
    53. Fan, Jingwen & Minford, Patrick, 2009. "Can the Fiscal Theory of the price level explain UK inflation in the 1970s?," Cardiff Economics Working Papers E2009/26, Cardiff University, Cardiff Business School, Economics Section, revised Mar 2011.
    54. Matthew B. Canzoneri & Robert E. Cumby & Behzad T. Diba, 1998. "Is the Price Level Determined by the Needs of Fiscal Solvency?," NBER Working Papers 6471, National Bureau of Economic Research, Inc.
    55. Michael Woodford, 2001. "Fiscal Requirements for Price Stability," NBER Working Papers 8072, National Bureau of Economic Research, Inc.
    56. António AFONSO & Priscilla TOFFANO, 2013. "Fiscal regimes in the EU," Working Papers of Department of Economics, Leuven ces13.06, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
    57. Willem H. Buiter, 2002. "The Fiscal Theory Of The Price Level: A Critique," Economic Journal, Royal Economic Society, vol. 112(481), pages 459-480, July.
    58. Chadha, Jagjit S. & Nolan, Charles, 2007. "Optimal simple rules for the conduct of monetary and fiscal policy," Journal of Macroeconomics, Elsevier, vol. 29(4), pages 665-689, December.
    59. Campbell leith & Simon Wren-Lewis, "undated". "Compatibility Between Monetary and Fiscal Policy Under EMU," Working Papers 2001_15, Business School - Economics, University of Glasgow.
    60. Perevyshin, Yuri (Перевышин, Юрий), 2017. "Peculiarities of Interaction of Monetary and Fiscal Policy Under the Inflation Targeting Regime [Особенности Взаимодействия Денежно-Кредитной И Фискальной Политики При Режиме Инфляционного Таргетир," Working Papers 031711, Russian Presidential Academy of National Economy and Public Administration.
    61. Fan, Jingwen & Minford, Patrick & Ou, Zhirong, 2013. "The Fiscal Theory of the Price Level - identification and testing for the UK in the 1970s," Cardiff Economics Working Papers E2013/12, Cardiff University, Cardiff Business School, Economics Section.
    62. Leeper, E.M. & Leith, C., 2016. "Understanding Inflation as a Joint Monetary–Fiscal Phenomenon," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2305-2415, Elsevier.
    63. Cochrane, John H., 2005. "Money as stock," Journal of Monetary Economics, Elsevier, vol. 52(3), pages 501-528, April.
    64. John Cochrane, 2022. "A fiscal theory of monetary policy with partially repaid long-term debt," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 45, pages 1-21, July.
    65. Leeper, Eric M. & Plante, Michael & Traum, Nora, 2010. "Dynamics of fiscal financing in the United States," Journal of Econometrics, Elsevier, vol. 156(2), pages 304-321, June.
    66. Eric M. Leeper, 2009. "Anchors Away: How Fiscal Policy Can Undermine the Taylor Principle," NBER Working Papers 15514, National Bureau of Economic Research, Inc.
    67. Eric M. Leeper, 2009. "Anchoring Fiscal Expectations," CAEPR Working Papers 2009-015, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    68. Nandi, Aurodeep, 2019. "Fiscal deficit targeting alongside flexible inflation targeting: India’s fiscal policy transmission," Journal of Asian Economics, Elsevier, vol. 63(C), pages 1-18.
    69. Buiter, Willem H. & Sibert, Anne C., 2018. "The fallacy of the fiscal theory of the price level: One last time," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 12, pages 1-56.
    70. Hassan Ayoub & Etienne Farvaque & Jérôme Creel, 2008. "Détermination du niveau des prix et finances publiques : le cas du Liban, 1965- 2005," Post-Print hal-03417072, HAL.
    71. Mihaela SIMIONESCU, 2016. "The Identification Of Inflation Rate Determinants In The Usa Using The Stochastic Search Variable Selection," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 8(1), pages 171-181, March.
    72. John H. Cochrane, 2017. "Michelson-Morley, Fisher, and Occam: The Radical Implications of Stable Quiet Inflation at the Zero Bound," NBER Chapters, in: NBER Macroeconomics Annual 2017, volume 32, pages 113-226, National Bureau of Economic Research, Inc.
    73. Obstfeld, Maurice & Rogoff, Kenneth, 2017. "Revisiting Speculative Hyperinflations in Monetary Models," CEPR Discussion Papers 12051, C.E.P.R. Discussion Papers.
    74. Harashima, Taiji, 2007. "The Optimal Quantity of Money Consistent with Positive Nominal Interest Rates," MPRA Paper 1839, University Library of Munich, Germany, revised 19 Feb 2007.
    75. Bennett T. McCallum, 2002. "The Unique Minimum State Variable RE Soluiton is E-Stable in All Well Formulated Linear Models," GSIA Working Papers 2003-25, Carnegie Mellon University, Tepper School of Business.
    76. Gonzalez-Astudillo, Manuel, 2013. "Monetary-Fiscal Policy Interactions: Interdependent Policy Rule Coefficients," MPRA Paper 50040, University Library of Munich, Germany.
    77. Harashima, Taiji, 2006. "The Sustainability of Budget Deficits in an Inflationary Economy," MPRA Paper 905, University Library of Munich, Germany.
    78. Marzo, Massimiliano & Romagnoli , Silvia & Zagaglia, Paolo, 2008. "A Continuous-Time Model of the Term Structure of Interest Rates with Fiscal-Monetary Policy Interactions," Research Papers in Economics 2008:6, Stockholm University, Department of Economics.
    79. Mitsuru Iwamara & Takeshi Kudo & Tsutomu Watanabe, 2005. "Monetary and Fiscal Policy in a Liquidity Trap: The Japanese Experience 1999-2004," NBER Working Papers 11151, National Bureau of Economic Research, Inc.
    80. Talpos, Ioan & Dima, Bogdan & Mutascu, Mihai, 2006. "The Fiscal Policy And The Stability Of The Nominal Sector: The Romanian Case," MPRA Paper 5689, University Library of Munich, Germany.
    81. Betty Daniel & Christos Shiamptanis, 2008. "Fiscal Policy in the European Monetary Union," Discussion Papers 08-11, University at Albany, SUNY, Department of Economics.
    82. Bilal Raza & Khurram S Mughal, 2022. "Fiscal Determinants of Inflation in Pakistan," SBP Working Paper Series 108, State Bank of Pakistan, Research Department.
    83. Betty C. Daniel & Christos Shiamptanis, 2010. "Sovereign Default Risk in a Monetary Union," Working Papers 2010-3, Central Bank of Cyprus.
    84. Stephen Cecchetti & Madhusudan Mohanty & Fabrizio Zampolli, 2010. "The future of public debt: prospects and implications," BIS Working Papers 300, Bank for International Settlements.
    85. Marzo, Massimiliano, 2009. "Wage or price-based inflation? Alternative targets in optimal monetary policy rules," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1296-1313, June.
    86. Yang, Yu, 2011. "Frictionless economy and its implementation in real world," MPRA Paper 34345, University Library of Munich, Germany.
    87. Ragna Alstadheim, 2005. "Is the price level in Norway determined by fiscal policy?," Working Paper 2005/5, Norges Bank.
    88. International Monetary Fund, 2008. "Fiscal and Monetary Anchors for Price Stability: Evidence from Sub-Saharan Africa," IMF Working Papers 2008/121, International Monetary Fund.
    89. Sasakura, Kazuyuki, 2021. "A macroeconomic theory of price determination," Structural Change and Economic Dynamics, Elsevier, vol. 59(C), pages 214-227.
    90. Scheer, Alexander, 2015. "Debt consolidation with long-term debt," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112874, Verein für Socialpolitik / German Economic Association.
    91. Berentsen, Aleksander & Waller, Christopher, 2018. "Liquidity premiums on government debt and the fiscal theory of the price level," Journal of Economic Dynamics and Control, Elsevier, vol. 89(C), pages 173-182.
    92. Staffa, Ruben Marek & von Schweinitz, Gregor, 2023. "Fiscal policy under the eyes of wary bondholders," IWH Discussion Papers 26/2023, Halle Institute for Economic Research (IWH).
    93. Galvis Ciro, Juan Camilo & Bedoya Ospina, Juan Guillermo & Loaiza Maya, Rubén Albeiro, 2011. "Una regla de política fiscal óptima para la economía colombiana: aproximación desde un modelo de equilibrio general dinámico y estocástico," Revista Lecturas de Economía, Universidad de Antioquia, CIE, November.
    94. Luca Sala, 2004. "The Fiscal Theory of the Price Level: Identifying Restrictions and Empirical Evidence," Working Papers 257, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    95. Thams, Andreas, 2007. "The Relevance of the fiscal Theory of the Price Level revisited," MPRA Paper 1645, University Library of Munich, Germany.
    96. CASTRO, Rui & De RESENDE, Carlos & RUGE-MURCIA, Francisco, 2003. "The Backing of Government Debt and the Price Level," Cahiers de recherche 16-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    97. Bennett T. McCallum, 1999. "Theoretical Issues Pertaining to Monetary Unions," NBER Working Papers 7393, National Bureau of Economic Research, Inc.
    98. M. Marzo, 2004. "Volatility Matters: Taylor Rules and Capital Accumulation," Working Papers 512, Dipartimento Scienze Economiche, Universita' di Bologna.
    99. Joanna Mackiewicz­‑Łyziak, 2014. "Wpływ długu publicznego na oczekiwania inflacyjne konsumentów w Europie," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 5, pages 113-132.
    100. Saurabh Sharma & Ipsita Padhi & Sarat Dhal, 2022. "Monetary-fiscal coordination: when, why and how?," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 40(4), pages 661-686, September.
    101. Lawrence J. Christiano & Terry J. Fitzgerald, 2000. "Understanding the Fiscal Theory of the Price Level," NBER Working Papers 7668, National Bureau of Economic Research, Inc.
    102. António Afonso & José Alves & Serena Ionta, 2023. "The effects of monetary policy surprises and fiscal sustainability regimes in the Euro Area," Working Papers REM 2023/0281, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    103. Rozina Shaheen, 2018. "Testing Fiscal Dominance Hypothesis in a Structural VAR Specification for Pakistan," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 65(1), pages 51-63, March.
    104. Minea, Alexandru & Tapsoba, René, 2014. "Does inflation targeting improve fiscal discipline?," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 185-203.
    105. Tan, Fei, 2017. "An analytical approach to new Keynesian models under the fiscal theory," Economics Letters, Elsevier, vol. 156(C), pages 133-137.
    106. F. Ballabriga & C. Martinez-Mongay, 2002. "Has EMU shifted policy?," European Economy - Economic Papers 2008 - 2015 166, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    107. Chadha, J.S. & Nolan, C., 2003. "On the Interaction of Monetary and Fiscal Policy," Cambridge Working Papers in Economics 0303, Faculty of Economics, University of Cambridge.
    108. Moreira, Tito Belchior S. & e Souza, Geraldo da Silva & Almeida, Charles Lima de, 2007. "The Fiscal Theory of the Price Level and the Interaction of Monetary and Fiscal Policies: The Brazilian Case," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 27(1), May.
    109. Carlos De Resende, 2007. "Cross-Country Estimates of the Degree of Fiscal Dominance and Central Bank Independence," Staff Working Papers 07-36, Bank of Canada.
    110. Beck-Friis, Peder & Willems, Tim, 2017. "Dissecting fiscal multipliers under the fiscal theory of the price level," European Economic Review, Elsevier, vol. 95(C), pages 62-83.
    111. Óscar J. Arce, 2005. "Reflections on fiscalist divergent price-paths," Working Papers 0533, Banco de España.
    112. Daniel, Betty C., 2001. "The fiscal theory of the price level in an open economy," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 293-308, October.
    113. Andreas Thams, 2006. "Fiscal Policy Effects in the European Union," SFB 649 Discussion Papers SFB649DP2006-016, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

  36. John H. Cochrane, 1998. "Long-term Debt and Optimal Policy in the Fiscal Theory of the Price Level," NBER Working Papers 6771, National Bureau of Economic Research, Inc.

    Cited by:

    1. Boris Chafwehé & Charles de Beauffort & Rigas Oikonomou, 2022. "Optimal Monetary Policy Rules in the Fiscal Theory of the Price Level," LIDAM Discussion Papers IRES 2022007, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    2. Nigel McClung, 2021. "The Power of Forward Guidance and the Fiscal Theory of the Price Level," International Journal of Central Banking, International Journal of Central Banking, vol. 17(71), pages 1-57, December.
    3. Jérôme Creel & Hervé Le Bihan, 2006. "Using Structural Balance Data to Test the Fiscal Theory of the Price Level: Some International Evidence," SciencePo Working papers Main hal-01065036, HAL.
    4. Biswajit Maitra & Tafajul Hossain, 2020. "Inflation in India: causes and anti-inflationary policy perception," International Journal of Economic Policy Studies, Springer, vol. 14(2), pages 363-387, August.
    5. Boris Chafwehé & Rigas Oikonomou & Romanos Priftis & Lukas Vogel, 2022. "Optimal Monetary Policy with and without Debt," LIDAM Discussion Papers IRES 2022027, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    6. Saroj Bhattarai & Jae Won Lee & Woong Yong Park, 2012. "Policy regimes, policy shifts, and U.S. business cycles," Globalization Institute Working Papers 109, Federal Reserve Bank of Dallas.
    7. Willem Buiter, 2000. "The Fallacy of the Fiscal Theory of the Price Level, Again," CESifo Working Paper Series 303, CESifo.
    8. Eisfeldt, Andrea L., 2007. "Smoothing with liquid and illiquid assets," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1572-1586, September.
    9. Suleyman Basak & Georgy Chabakauri, 2011. "Dynamic Hedging in Incomplete Markets: A Simple Solution," FMG Discussion Papers dp680, Financial Markets Group.
    10. Francesco Bianchi & Cosmin Ilut, 2014. "Monetary/Fiscal Policy Mix and Agents' Beliefs," NBER Working Papers 20194, National Bureau of Economic Research, Inc.
    11. Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2019. "The U.S. Public Debt Valuation Puzzle," NBER Working Papers 26583, National Bureau of Economic Research, Inc.
    12. Seghezza, Elena & Morelli, Pierluigi, 2014. "Conflict inflation and delayed stabilization," Journal of Macroeconomics, Elsevier, vol. 39(PA), pages 171-184.
    13. Giancarlo Corsetti & Bartosz Maćkowiak, 2023. "Gambling to Preserve Price (and Fiscal) Stability," RSCAS Working Papers 2022/72, European University Institute.
    14. Stefano Eusepi & Bruce Preston, 2013. "Fiscal foundations of inflation: imperfect knowledge," Staff Reports 649, Federal Reserve Bank of New York.
    15. António Afonso & João Tovar Jalles, 2017. "Euro area time‐varying fiscal sustainability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(3), pages 244-254, July.
    16. L. Marattin & M. Marzo, 2008. "A (Un)Pleasant Arithmetic of Fiscal Policy: the Case of Italian Public Debt," Working Papers 625, Dipartimento Scienze Economiche, Universita' di Bologna.
    17. Reis, Ricardo, 2017. "QE in the future: the central bank’s balance sheet in a fiscal crisis," LSE Research Online Documents on Economics 74329, London School of Economics and Political Science, LSE Library.
    18. Harashima, Taiji, 2007. "Hyperinflation, disinflation, deflation, etc.: A unified and micro-founded explanation for inflation," MPRA Paper 3836, University Library of Munich, Germany.
    19. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2013. "The Effects of the Saving and Banking Glut on the U.S. Economy," NBER Chapters, in: NBER International Seminar on Macroeconomics 2013, pages 52-67, National Bureau of Economic Research, Inc.
    20. Roberto Piazza, 2016. "Self-fulfilling deflations," Temi di discussione (Economic working papers) 1080, Bank of Italy, Economic Research and International Relations Area.
    21. Francesco Bianchi & Renato Faccini & Leonardo Melosi, 2020. "Monetary and Fiscal Policies in Times of Large Debt: Unity is Strength," NBER Working Papers 27112, National Bureau of Economic Research, Inc.
    22. Francesco Bianchi & Leonardo Melosi & Anna Rogantini Picco, 2022. "Who is Afraid of Eurobonds?," Working Paper Series WP 2022-43, Federal Reserve Bank of Chicago.
    23. Oscar Bajo-Rubio & Carmen Díaz-Roldán & Vicente Esteve, 2010. "Government deficit sustainability, and monetary versus fiscal dominance: The case of Spain, 1850-2000," Working Papers 10-04, Asociación Española de Economía y Finanzas Internacionales.
    24. W.H. Buiter, 2000. "The Fallacy of the Fiscal Theory of the Price Level," CEP Discussion Papers dp0447, Centre for Economic Performance, LSE.
    25. Saroj Bhattarai & Jae Won Lee & Choongryul Yang, 2023. "Redistribution and the monetary‐fiscal policy mix," Quantitative Economics, Econometric Society, vol. 14(3), pages 817-853, July.
    26. Eric M. Leeper, 2010. "Monetary science, fiscal alchemy," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 361-434.
    27. Luchelle Soobyah & Nicola Viegi, 2022. "CanNationalTreasurydocontractionarymonetarypolicy," Working Papers 11031, South African Reserve Bank.
    28. Anshuman Kamila, 2022. "Fiscal dominance in India: an empirical estimation," Indian Economic Review, Springer, vol. 57(1), pages 113-132, June.
    29. Marco Bassetto, 2000. "A Game-Theoretic View of the Fiscal Theory of the Price Level," Econometric Society World Congress 2000 Contributed Papers 1492, Econometric Society.
    30. Alexandre Corhay & Thilo Kind & Howard Kung & Gonzalo Morales, 2021. "Discount Rates, Debt Maturity, and the Fiscal Theory," Staff Working Papers 21-58, Bank of Canada.
    31. Mackowiak, Bartosz & Jarocinski, Marek, 2017. "Monetary-Fiscal Interactions and the Euro Area's Malaise," CEPR Discussion Papers 12020, C.E.P.R. Discussion Papers.
    32. Apostolos Serletis & Libo Xu, "undated". "Financial Frictions and the Fiscal Theory of Price Level Determination," Working Papers 2016-42, Department of Economics, University of Calgary, revised 19 Oct 2016.
    33. Minford, Patrick & Ou, Zhirong & Fan, Jingwen, 2014. "The role of fiscal policy in Britain's Great Inflation," CEPR Discussion Papers 10240, C.E.P.R. Discussion Papers.
    34. Plantin, Guillaume & Barthélemy, Jean & Mengus, Eric, 2019. "Public Liquidity Demand and Central Bank Independence," CEPR Discussion Papers 14160, C.E.P.R. Discussion Papers.
    35. Saungweme, Talknice & Odhiambo, Nicholas M., 2020. "The Impact of Domestic and Foreign Public Debt on Economic Growth: Empirical Evidence from Zimbabwe," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 73(1), pages 77-106.
    36. Olusola Joel Oyeleke, 2021. "On the Non-Linear Relationship between Fiscal Deficit and Inflation: The Nigeria Experience," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 27(2), pages 105-117, May.
    37. Ricardo Reis, 2016. "QE in the future: the central bank's balance sheet in a financial crisis," Discussion Papers 1620, Centre for Macroeconomics (CFM).
    38. Jérôme Creel & Günes Kamber, 2004. "Debt, deficits and inflation on the road to the EU: the case of Turkey," Post-Print hal-03458752, HAL.
    39. Mr. Seok G Park, 2012. "Central Banks Quasi-Fiscal Policies and Inflation," IMF Working Papers 2012/014, International Monetary Fund.
    40. Olivier J. Blanchard & Mitali Das, 2017. "A New Index of Debt Sustainability," NBER Working Papers 24068, National Bureau of Economic Research, Inc.
    41. Harashima, Taiji, 2013. "The Phillips Curve and a Micro-foundation of Trend Inflation," MPRA Paper 51305, University Library of Munich, Germany.
    42. Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 2001. "Prospective Deficits and the Asian Currency Crisis," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1155-1197, December.
    43. Eichenbaum, Martin & Rebelo, Sérgio & Burnside, Craig, 2003. "Government Finance in the Wake of Currency Crises," CEPR Discussion Papers 3939, C.E.P.R. Discussion Papers.
    44. Pierre Aldama & Jérôme Creel, 2020. "Asymmetric Macroeconomic Stabilization And Fiscal Consolidation In The Oecd And The Euro Area," Working Papers hal-03403071, HAL.
    45. António Afonso, 2002. "Disturbing the Fiscal Theory of the Price Level: Can it Fit the EU-15," Working Papers Department of Economics 2002/01, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    46. Corsetti, Giancarlo & Mackowiak, Bartosz, 2006. "Fiscal imbalances and the dynamics of currency crises," European Economic Review, Elsevier, vol. 50(5), pages 1317-1338, July.
    47. Orphanides, Athanasios & Hofmann, Boris & Lombardi, Marco & Mojon, Benoit, 2021. "Fiscal and monetary policy interactions in a low interest rate world," CEPR Discussion Papers 16411, C.E.P.R. Discussion Papers.
    48. Goodhart, Charles A.E. & Tsomocos, Dimitrios P. & Wang, Xuan, 2023. "Bank credit, inflation, and default risks over an infinite horizon," Journal of Financial Stability, Elsevier, vol. 67(C).
    49. Francesco Bianchi & Leonardo Melosi, 2013. "Escaping the Great Recession," Working Papers 13-19, Duke University, Department of Economics.
    50. Taiji Harashima, 2004. "The Ultimate Source of Inflation: A Microfoundation of the Fiscal Theory of the Price Level," Macroeconomics 0409018, University Library of Munich, Germany, revised 30 Mar 2005.
    51. Afonso, António & Gonçalves, Luis, 2020. "The policy mix in the US and EMU: Evidence from a SVAR analysis," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    52. Lucotte, Yannick, 2012. "Adoption of inflation targeting and tax revenue performance in emerging market economies: An empirical investigation," Economic Systems, Elsevier, vol. 36(4), pages 609-628.
    53. Alessandro Missale, 2012. "Sovereign debt management and fiscal vulnerabilities," BIS Papers chapters, in: Bank for International Settlements (ed.), Threat of fiscal dominance?, volume 65, pages 157-176, Bank for International Settlements.
    54. McMahon, Michael & Peiris, M. Udara & Polemarchakis, Herakles, 2018. "Perils of unconventional monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 92-114.
    55. Wenxin Du & Carolin E. Pflueger & Jesse Schreger, 2016. "Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy," NBER Working Papers 22592, National Bureau of Economic Research, Inc.
    56. Gliksberg, Baruch, 2013. "Monetary policy and fiscal limits with no-default," European Economic Review, Elsevier, vol. 64(C), pages 285-304.
    57. Lewbel, Arthur & Choi, Jin Young & Zhou, Zhuzhu, 2023. "Over-identified Doubly Robust identification and estimation," Journal of Econometrics, Elsevier, vol. 235(1), pages 25-42.
    58. Lin, Hsin-Yi & Chu, Hao-Pang, 2013. "Are fiscal deficits inflationary?," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 214-233.
    59. Daniel, Betty C, 2001. "A Fiscal Theory of Currency Crises," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 969-988, November.
    60. Hollmayr, Josef & Kühl, Michael, 2019. "Monetary–fiscal interaction and quantitative easing," Economics Letters, Elsevier, vol. 174(C), pages 200-207.
    61. Christoph S. Weber, 2016. "Central Bank Transparency and Inflation (Volatility) – New Evidence," Working Papers 163, Bavarian Graduate Program in Economics (BGPE).
    62. Saito, Makoto & 齊藤, 誠, 2020. "Long-run mild deflation under fiscal unsustainability in Japan," Discussion Paper Series 703, Institute of Economic Research, Hitotsubashi University.
    63. Saroj Dhital & Pedro Gomis-Porqueras & Joseph H. Haslag, 2020. "Monetary and Fiscal Policy Interactions in a Frictional Model of Money, Nominal Public Debt and Banking," Working Papers 2002, Department of Economics, University of Missouri.
    64. Piersanti, Giovanni, 2012. "The Macroeconomic Theory of Exchange Rate Crises," OUP Catalogue, Oxford University Press, number 9780199653126.
    65. Craig Burrnside, 2005. "Fiscal Sustainability in Theory and Practice : A Handbook," World Bank Publications - Books, The World Bank Group, number 7495, December.
    66. Francesco Bianchi & Leonardo Melosi, 2017. "The Dire Effects of the Lack of Monetary and Fiscal Coordination," NBER Working Papers 23605, National Bureau of Economic Research, Inc.
    67. John H. Cochrane, 2010. "Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic," NBER Working Papers 16087, National Bureau of Economic Research, Inc.
    68. Li Lin & Dimitrios P. Tsomocos & Alexandros P. Vardoulakis, 2016. "On default and uniqueness of monetary equilibria," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(1), pages 245-264, June.
    69. Heba Youssef Mohammed Hashem, 2017. "Inflation in Egypt: A fiscal or monetary phenomenon?," Business and Economic Horizons (BEH), Prague Development Center, vol. 13(4), pages 522-535, October.
    70. Harashima, Taiji, 2008. "A Microfounded Mechanism of Observed Substantial Inflation Persistence," MPRA Paper 10668, University Library of Munich, Germany.
    71. Alexander W. Richter, 2013. "The Fiscal Limit and Non-Ricardian Consumers," Auburn Economics Working Paper Series auwp2013-19, Department of Economics, Auburn University.
    72. Luca Gattini & Huw Pill & Ludger Schuknecht, 2015. "A global perspective on inflation and propagation channels," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(3), pages 50-76, May.
    73. Daniel, Betty C. & Shiamptanis, Christos, 2012. "Fiscal risk in a monetary union," European Economic Review, Elsevier, vol. 56(6), pages 1289-1309.
    74. Goohoon Kwon & Lavern McFarlane & Wayne Robinson, 2009. "Public Debt, Money Supply, and Inflation: A Cross-Country Study," IMF Staff Papers, Palgrave Macmillan, vol. 56(3), pages 476-515, August.
    75. Davig, Troy & Leeper, Eric M. & Walker, Todd B., 2010. ""Unfunded liabilities" and uncertain fiscal financing," Journal of Monetary Economics, Elsevier, vol. 57(5), pages 600-619, July.
    76. Kaan MASATÇI & Asuman OKTAYER BUZLUCA, 2022. "Testing the Fiscal Theory of the Price Level in Türkiye by Using Structural Balance Data," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 74-95, December.
    77. Emilio Congregado & Carmen Díaz-Roldán & Vicente Esteve, 2023. "Deficit sustainability and fiscal theory of price level: the case of Italy, 1861–2020," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 50(3), pages 755-782, August.
    78. David B. Gordon & Eric M. Leeper, 2006. "The Price Level, The Quantity Theory Of Money, And The Fiscal Theory Of The Price Level," Scottish Journal of Political Economy, Scottish Economic Society, vol. 53(1), pages 4-27, February.
    79. Cochrane, John H., 2018. "Stepping on a rake: The fiscal theory of monetary policy," European Economic Review, Elsevier, vol. 101(C), pages 354-375.
    80. Anna Sokolova, 2013. "Fiscal Limits and Monetary Policy: Default vs. Inflation," HSE Working papers WP BRP 39/EC/2013, National Research University Higher School of Economics.
    81. McMahon, Michael & Peiris, Udara & Polemarchakis, Herakles, 2015. "Perils of quantitative easing," CRETA Online Discussion Paper Series 04, Centre for Research in Economic Theory and its Applications CRETA.
    82. Oscar Bajo-Rubio & Carmen Díaz-Roldán & Vicente Esteve, 2007. "Deficit sustainability and inflation in EMU: An analysis from the fiscal theory of the price level," Working Papers 07-01, Asociación Española de Economía y Finanzas Internacionales.
    83. Seok Gil Park, 2009. "Quasi-Fiscal Policies of Independent Central Banks and Inflation," CAEPR Working Papers 2009-020, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    84. Uhlig, H.F.H.V.S., 2002. "One Money, But Many Fiscal Policies in Europe : What are the Consequences?," Discussion Paper 2002-32, Tilburg University, Center for Economic Research.
    85. Marco Bassetto & Thomas J. Sargent, 2020. "Shotgun Wedding: Fiscal and Monetary Policy," NBER Working Papers 27004, National Bureau of Economic Research, Inc.
    86. Eric M. Leeper, 2016. "Should Central Banks Care About Fiscal Rules?," NBER Working Papers 22800, National Bureau of Economic Research, Inc.
    87. Howard Kung & Gonzalo Morales & Alexandre Corhay, 2017. "Fiscal Discount Rates and Debt Maturity," 2017 Meeting Papers 840, Society for Economic Dynamics.
    88. António Afonso & José Alves & Oļegs Matvejevs & Oļegs Tkačevs, 2023. "Fiscal Sustainability and the Role of Inflation," CESifo Working Paper Series 10843, CESifo.
    89. Marco Bassetto & David S. Miller, 2022. "A monetary-fiscal theory of sudden inflations," IFS Working Papers W22/56, Institute for Fiscal Studies.
    90. Willem Buiter, 2004. "A Small Corner of Intertemporal Public Finance - New Developments in Monetary Economics: 2 Ghosts, 2 Eccentricities, A Fallacy, A Mirage and A Mythos," NBER Working Papers 10524, National Bureau of Economic Research, Inc.
    91. Djelassi, Mouldi & Essid, Lobna, 2012. "Le niveau des prix en Tunisie est-il déterminé par la politique budgétaire?," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(2), pages 231-256, Juin.
    92. Buiter, Willem, 2017. "The Fallacy of the Fiscal Theory of the Price Level - Once More," CEPR Discussion Papers 11941, C.E.P.R. Discussion Papers.
    93. Swastika, Purti & Dewandaru, Ginanjar & Masih, Mansur, 2013. "The Impact of Debt on Economic Growth: A Case Study of Indonesia," MPRA Paper 58837, University Library of Munich, Germany.
    94. Mesbah Fathy Sharaf & Abdelhalem Mahmoud Shahen & Badr Abdulaziz Binzaid, 2024. "Asymmetric and Nonlinear Foreign Debt–Inflation Nexus in Brazil: Evidence from NARDL and Markov Regime Switching Approaches," Economies, MDPI, vol. 12(1), pages 1-20, January.
    95. De Graeve, Ferre & Queijo von Heideken, Virginia, 2013. "Identifying Fiscal Inflation," Working Paper Series 273, Sveriges Riksbank (Central Bank of Sweden).
    96. Sokolova, A., 2014. "Sovereign Risk and Monetary Policy," Journal of the New Economic Association, New Economic Association, vol. 21(1), pages 56-82.
    97. Matheron, J. & Mojon, B. & Sahuc, J.G., 2012. "The sovereign debt crisis and monetary policy," Financial Stability Review, Banque de France, issue 16, pages 155-167, April.
    98. Łyziak, Tomasz & Mackiewicz-Łyziak, Joanna, 2020. "Does fiscal stance affect inflation expectations? Evidence for European economies," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 296-310.
    99. Dupor, Bill, 2000. "Exchange rates and the fiscal theory of the price level," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 613-630, June.
    100. Dhital, Saroj & Gomis-Porqueras, Pedro & Haslag, Joseph H., 2021. "Monetary and fiscal policy interactions in a frictional model of fiat money, nominal public debt and banking," European Economic Review, Elsevier, vol. 139(C).
    101. Ismail O. Fasanya & Ayinke Fajobi & Abiodun Adetokunbo, 2021. "Are Fiscal Deficits Inflationary In Nigeria? New Evidence From Bounds Testing To Cointegration With Structural Breaks," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 66(228), pages 123-148, January –.
    102. da Silva, Cleomar Gomes & Vieira, Flávio Vilela, 2017. "Monetary and fiscal policy in advanced and developing countries: An analysis before and after the financial crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 13-20.
    103. Bouabdallah, Othman & Jacquinot, Pascal & Patella, Valeria, 2023. "Monetary/fiscal policy regimes in post-war Europe," Working Paper Series 2871, European Central Bank.
    104. Martin Kliem & Alexander Kriwoluzky & Samad Sarferaz, 2016. "On the Low‐Frequency Relationship Between Public Deficits and Inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(3), pages 566-583, April.
    105. Francesco Bianchi & Leonardo Melosi, 2022. "Inflation as a Fiscal Limit," Working Paper Series WP 2022-37, Federal Reserve Bank of Chicago.
    106. Burnside, Craig, 2004. "Currency crises and contingent liabilities," Journal of International Economics, Elsevier, vol. 62(1), pages 25-52, January.
    107. Guillermo Santos, 2022. "Optimal fiscal policy and the Fiscal Theory of the Price Level," LIDAM Discussion Papers IRES 2022022, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    108. Damir Šehović, 2013. "General Aspects of Monetary and Fiscal Policy Coordination," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 2(3), pages 5-27.
    109. Fan, Jingwen & Minford, Patrick, 2009. "Can the Fiscal Theory of the price level explain UK inflation in the 1970s?," Cardiff Economics Working Papers E2009/26, Cardiff University, Cardiff Business School, Economics Section, revised Mar 2011.
    110. Matthew B. Canzoneri & Robert E. Cumby & Behzad T. Diba, 1998. "Is the Price Level Determined by the Needs of Fiscal Solvency?," NBER Working Papers 6471, National Bureau of Economic Research, Inc.
    111. Harashima, Taiji, 2019. "A Theory of Inflation: The Law of Motion for Inflation under the MDC-based Procedure," MPRA Paper 94100, University Library of Munich, Germany.
    112. Pierre Aldama & Jérôme Creel, 2016. "Why fiscal regimes matter for fiscal sustainability analysis: an application to France," SciencePo Working papers Main hal-03459336, HAL.
    113. Saroj Bhattarai & Jae Won Lee & Woong Yong Park, 2012. "Monetary-Fiscal Policy Interactions and Indeterminacy in Postwar US Data," American Economic Review, American Economic Association, vol. 102(3), pages 173-178, May.
    114. Willem H. Buiter, 2002. "The Fiscal Theory Of The Price Level: A Critique," Economic Journal, Royal Economic Society, vol. 112(481), pages 459-480, July.
    115. William C. Gruben & John H. Welch, 2005. "Is tighter fiscal policy expansionary under fiscal dominance? Hypercrowding out in Latin America," Center for Latin America Working Papers 0205, Federal Reserve Bank of Dallas.
    116. Alin OPREANA & Diana MIHAIU, 2012. "Fiscal policy and the optimal gdp under a budget constrain condition," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, vol. 0, pages 775-782, May.
    117. Fan, Jingwen & Minford, Patrick & Ou, Zhirong, 2013. "The Fiscal Theory of the Price Level - identification and testing for the UK in the 1970s," Cardiff Economics Working Papers E2013/12, Cardiff University, Cardiff Business School, Economics Section.
    118. Urmat Dzhunkeev, 2024. "Forecasting Inflation in Russia Using Gradient Boosting and Neural Networks," Russian Journal of Money and Finance, Bank of Russia, vol. 83(1), pages 53-76, March.
    119. Leeper, E.M. & Leith, C., 2016. "Understanding Inflation as a Joint Monetary–Fiscal Phenomenon," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2305-2415, Elsevier.
    120. Seok Gil Park, 2015. "Central Banks' Quasi-Fiscal Policies and Inflation," International Journal of Central Banking, International Journal of Central Banking, vol. 11(2), pages 199-236, March.
    121. Shigeto Kitano, 2009. "Nominal debt and inflation stabilization," International Journal of Economic Theory, The International Society for Economic Theory, vol. 5(4), pages 409-422, December.
    122. Eric M. Leeper & Nora Traum & Todd B. Walker, 2015. "Clearing Up the Fiscal Multiplier Morass," CAEPR Working Papers 2015-013, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    123. Ettmeier, Stephanie & Kriwoluzky, Alexander, 2019. "Active, or passive? Revisiting the role of fiscal policy in the Great Inflation," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203609, Verein für Socialpolitik / German Economic Association.
    124. Pedro, Gomis-Porqueras, 2016. "Fiscal Requirements for Price Stability in Economies with Private Provision of Liquidity and Unemployment," MPRA Paper 75113, University Library of Munich, Germany.
    125. Francesco Bianchi & Leonardo Melosi, 2013. "Dormant Shocks and Fiscal Virtue," Working Papers 13-12, Duke University, Department of Economics.
    126. Cochrane, John H., 2005. "Money as stock," Journal of Monetary Economics, Elsevier, vol. 52(3), pages 501-528, April.
    127. John Cochrane, 2022. "A fiscal theory of monetary policy with partially repaid long-term debt," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 45, pages 1-21, July.
    128. Pohjola, Tapio, 2002. "Effects of fiscal policy on the durability of low inflation regimes," Bank of Finland Research Discussion Papers 14/2002, Bank of Finland.
    129. Eric M. Leeper & Tack Yun, 2005. "Monetary-Fiscal Policy Interactions and the Price Level: Background and Beyond," NBER Working Papers 11646, National Bureau of Economic Research, Inc.
    130. Pedro Gomis-Porqueras & Solmaz Moslehi & Vivianne Vilar, 2013. "The Fiscal Theory of the Price Level When All Income is Taxed," Monash Economics Working Papers 09-13, Monash University, Department of Economics.
    131. Jiang, Zhengyang & Lustig, Hanno & Van Nieuwerburgh, Stijn & Xiaolan, Mindy Z., 2019. "The Government Risk Premium Puzzle," Research Papers 3831, Stanford University, Graduate School of Business.
    132. Benigno, Pierpaolo, 2017. "A Central Bank Theory of Price Level Determination," CEPR Discussion Papers 11966, C.E.P.R. Discussion Papers.
    133. Eric M. Leeper, 2009. "Anchors Away: How Fiscal Policy Can Undermine the Taylor Principle," NBER Working Papers 15514, National Bureau of Economic Research, Inc.
    134. Eric M. Leeper, 2009. "Anchoring Fiscal Expectations," CAEPR Working Papers 2009-015, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    135. Nandi, Aurodeep, 2019. "Fiscal deficit targeting alongside flexible inflation targeting: India’s fiscal policy transmission," Journal of Asian Economics, Elsevier, vol. 63(C), pages 1-18.
    136. Buiter, Willem H. & Sibert, Anne C., 2018. "The fallacy of the fiscal theory of the price level: One last time," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 12, pages 1-56.
    137. Cochrane, John H., 2014. "Monetary policy with interest on reserves," Journal of Economic Dynamics and Control, Elsevier, vol. 49(C), pages 74-108.
    138. John H. Cochrane, 2017. "Michelson-Morley, Fisher, and Occam: The Radical Implications of Stable Quiet Inflation at the Zero Bound," NBER Chapters, in: NBER Macroeconomics Annual 2017, volume 32, pages 113-226, National Bureau of Economic Research, Inc.
    139. Harashima, Taiji, 2007. "The Optimal Quantity of Money Consistent with Positive Nominal Interest Rates," MPRA Paper 1839, University Library of Munich, Germany, revised 19 Feb 2007.
    140. Hess T. Chung & Troy Davig & Eric M. Leeper, 2005. "Monetary and fiscal policy switching," Research Working Paper RWP 05-12, Federal Reserve Bank of Kansas City.
    141. Bergin, Paul R., 2000. "Fiscal solvency and price level determination in a monetary union," Journal of Monetary Economics, Elsevier, vol. 45(1), pages 37-53, February.
    142. José Isidro García de Paso, 2002. "The 1628 Castilian crydown: A test of competing theories of the price level," Hacienda Pública Española / Review of Public Economics, IEF, vol. 163(4), pages 71-92, December.
    143. Giorgio Pizzutto, 1998. "La Teoria Fiscale dei Prezzi In un'Economia Aperta," Departmental Working Papers 1998-07, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    144. Stephanie Ettmeier & Alexander Kriwoluzky, 2020. "Active, or Passive? Revisiting the Role of Fiscal Policy in the Great Inflation," Discussion Papers of DIW Berlin 1872, DIW Berlin, German Institute for Economic Research.
    145. Gonzalez-Astudillo, Manuel, 2013. "Monetary-Fiscal Policy Interactions: Interdependent Policy Rule Coefficients," MPRA Paper 50040, University Library of Munich, Germany.
    146. Harashima, Taiji, 2006. "The Sustainability of Budget Deficits in an Inflationary Economy," MPRA Paper 905, University Library of Munich, Germany.
    147. Eric M. Leeper, 2003. "Fiscal Policy and Inflation: Pondering the Imponderables," NBER Working Papers 9506, National Bureau of Economic Research, Inc.
    148. Kunzmann Vanessa, 2022. "Effects of Cross Country Fiscal Interdependence on Multipliers within a Monetary Union," Working Papers 216, Bavarian Graduate Program in Economics (BGPE).
    149. Jin, Hao & Xiong, Chen, 2021. "Fiscal stress and monetary policy stance in oil-exporting countries," Journal of International Money and Finance, Elsevier, vol. 111(C).
    150. Canzoneri, Matthew & Cumby, Robert & Diba, Behzad, 2010. "The Interaction Between Monetary and Fiscal Policy," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 17, pages 935-999, Elsevier.
    151. Liuren Wu & Frank Xiaoling Zhang, 2008. "A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure," Management Science, INFORMS, vol. 54(6), pages 1160-1175, June.
    152. Gliksberg, Baruch, "undated". "Solving Boundary Value Problems in the Fiscal Theory of the Price Level," Working Papers WP2013/2, University of Haifa, Department of Economics.
    153. Prasad, A & Khundrakpam, Jeevan Kumar, 2003. "Government Deficit and Inflation in India," MPRA Paper 51106, University Library of Munich, Germany, revised 2003.
    154. Leeper, Eric M. & Zhou, Xuan, 2021. "Inflation’s role in optimal monetary-fiscal policy," Journal of Monetary Economics, Elsevier, vol. 124(C), pages 1-18.
    155. Boris Chafwehé & Charles de Beauffort & Rigas Oikonomou, 2021. "Debt Management in a World of Fiscal Dominance," LIDAM Discussion Papers IRES 2021018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    156. Bloise, Gaetano, 2005. "A remark on the fiscal theory of price determination," Journal of Mathematical Economics, Elsevier, vol. 41(8), pages 1037-1052, December.
    157. Guillaume Plantin & Eric Mengus & Jean Barthelemy, 2022. "The Central Bank, the Treasury, or the Market: Which One Determines the Price Level?," Working Papers hal-03792094, HAL.
    158. BLOISE, Gaetano & DREZE, Jacques H. & POLEMARCHAKIS, Herakles M., 2005. "Monetary equilibria over an infinite horizon," LIDAM Reprints CORE 1750, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    159. Craig Burnside, 2004. "The Research Agenda: Craig Burnside on the Causes and Consequences of Twin Banking-Currency Crises," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 5(2), April.
    160. Max Ole Liemen & Olaf Posch, 2022. "FTPL and the Maturity Structure of Government Debt in the New Keynesian Model," CESifo Working Paper Series 9840, CESifo.
    161. Buiter, Willem, 2017. "The Good and the Bad Fiscal Theory of the Price Level," CEPR Discussion Papers 11975, C.E.P.R. Discussion Papers.
    162. Michael Magill & Martine Quinzii, 2014. "Term structure and forward guidance as instruments of monetary policy," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(1), pages 1-32, May.
    163. M. Marzo, 2001. "Monetary and Fiscal Policy Interactions: the Impact on the Term Structure of Interest Rates," Working Papers 409, Dipartimento Scienze Economiche, Universita' di Bologna.
    164. Reis, Ricardo, 2018. "Comment on "Michelson-Morley, Fisher, and Occam: the radical implications of stable quiet inflation at the zero bound"," LSE Research Online Documents on Economics 85665, London School of Economics and Political Science, LSE Library.
    165. Gliksberg, Baruch, "undated". "A Fixed-Point Theory of Price Level Determination in General Equilibrium," Working Papers WP2014/3, University of Haifa, Department of Economics.
    166. Obinyeluaku, Moses & Viegi, Nicola, 2009. "How does fiscal policy affect monetary policy in the Southern African Community (SADC)?," MPRA Paper 15372, University Library of Munich, Germany.
    167. Kriwoluzky, Alexander & Müller, Gernot J. & Wolf, Martin, 2019. "Exit expectations and debt crises in currency unions," Journal of International Economics, Elsevier, vol. 121(C).
    168. Harashima, Taiji, 2007. "Why should central banks be independent?," MPRA Paper 1838, University Library of Munich, Germany, revised 19 Feb 2007.
    169. Gerald P. O'Driscoll Jr., 2015. "A Private Committee for Monetary Reform: Process and Substance," Cato Journal, Cato Journal, Cato Institute, vol. 35(2), pages 331-345, Spring/Su.
    170. Marques, André M. & Carvalho, André R., 2022. "Testing the neo-fisherian hypothesis in Brazil," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 407-419.
    171. Jakob Korbinian Eberl, 2016. "The Collateral Framework of the Eurosystem and Its Fiscal Implications," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 69.
    172. John H. Cochrane, 2016. "Stepping on a Rake: the Fiscal Theory of Monetary Policy," NBER Working Papers 22979, National Bureau of Economic Research, Inc.
    173. Branch, William A. & Gasteiger, Emanuel, 2019. "Endogenously (non-)Ricardian beliefs," ECON WPS - Working Papers in Economic Theory and Policy 03/2019, TU Wien, Institute of Statistics and Mathematical Methods in Economics, Economics Research Unit.
    174. Nicolas Caramp & Dejanir Silva, 2023. "Fiscal Policy and the Monetary Transmission Mechanism," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 716-746, December.
    175. Bretscher, Lorenzo & Hsu, Alex & Tamoni, Andrea, 2020. "Fiscal policy driven bond risk premia," Journal of Financial Economics, Elsevier, vol. 138(1), pages 53-73.
    176. Aldama, Pierre & Creel, Jérôme, 2022. "Real-time fiscal policy responses in the OECD from 1997 to 2018: Procyclical but sustainable?," European Journal of Political Economy, Elsevier, vol. 73(C).
    177. Nöh, Lukas, 2019. "Increasing public debt and the role of central bank independence for debt maturities," European Economic Review, Elsevier, vol. 119(C), pages 179-198.
    178. Benjamin Eden, 2012. "Does a low interest rate support private bubbles?," Vanderbilt University Department of Economics Working Papers 12-00010, Vanderbilt University Department of Economics.
    179. Jane Kiringai, 2002. "Debt and PRSP Conditionality: The Kenya Case," WIDER Working Paper Series DP2002-54, World Institute for Development Economic Research (UNU-WIDER).
    180. CASTRO, Rui & De RESENDE, Carlos & RUGE-MURCIA, Francisco, 2003. "The Backing of Government Debt and the Price Level," Cahiers de recherche 16-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    181. Liu, Ding & Sun, Weihong & Chang, Long, 2021. "Monetary–fiscal policy regime and macroeconomic dynamics in China," Economic Modelling, Elsevier, vol. 95(C), pages 121-135.
    182. Zhengyang Jiang, 2019. "US Fiscal Cycle and the Dollar," 2019 Meeting Papers 667, Society for Economic Dynamics.
    183. Willem Hendrik Buiter, 2023. "The Fiscal Theory of the Price Level," The Economic Record, The Economic Society of Australia, vol. 99(327), pages 568-572, December.
    184. Joanna Mackiewicz­‑Łyziak, 2014. "Wpływ długu publicznego na oczekiwania inflacyjne konsumentów w Europie," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 5, pages 113-132.
    185. Francesco Molteni, 2015. "Liquidity, Government Bonds and Sovereign Debt Crises," Working Papers 2015-32, CEPII research center.
    186. Uhlig, H.F.H.V.S., 2002. "One Money, But Many Fiscal Policies in Europe : What are the Consequences?," Other publications TiSEM f2cdcc6c-329f-4ae6-915b-2, Tilburg University, School of Economics and Management.
    187. Saurabh Sharma & Ipsita Padhi & Sarat Dhal, 2022. "Monetary-fiscal coordination: when, why and how?," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 40(4), pages 661-686, September.
    188. Waheed, Farah & Abdul Rashid,, 2021. "Credit frictions, fiscal imbalances, monetary policy autonomy, and monetary policy rules," The Journal of Economic Asymmetries, Elsevier, vol. 23(C).
    189. Dat Thanh Nguyen & Viet Anh Hoang, 2020. "Monetary Consequences of Fiscal Stress in a Game Theoretic Framework," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(special i), pages 125-164.
    190. Rozina Shaheen, 2018. "Testing Fiscal Dominance Hypothesis in a Structural VAR Specification for Pakistan," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 65(1), pages 51-63, March.
    191. Moises S. Andrade & Tiago Berriel, 2016. "Is There an Output Free Lunch for Fiscal Inationary Policies?," Textos para discussão 650, Department of Economics PUC-Rio (Brazil).
    192. Van Nieuwerburgh, Stijn & Elenev, Vadim & Landvoigt, Tim & Shultz, Patrick, 2021. "Can Monetary Policy Create Fiscal Capacity?," CEPR Discussion Papers 16414, C.E.P.R. Discussion Papers.
    193. Luigi Marattin & Massimiliano Marzo, 2009. "A Note on the (Un)Pleasant Arithmetic of Fiscal Policy: The Case of Italian Public Debt," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 38(3), pages 169-183, November.
    194. Chadha, J.S. & Nolan, C., 2003. "On the Interaction of Monetary and Fiscal Policy," Cambridge Working Papers in Economics 0303, Faculty of Economics, University of Cambridge.
    195. Moreira, Tito Belchior S. & e Souza, Geraldo da Silva & Almeida, Charles Lima de, 2007. "The Fiscal Theory of the Price Level and the Interaction of Monetary and Fiscal Policies: The Brazilian Case," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 27(1), May.
    196. Carlos De Resende, 2007. "Cross-Country Estimates of the Degree of Fiscal Dominance and Central Bank Independence," Staff Working Papers 07-36, Bank of Canada.
    197. Benigno, Pierpaolo, 2016. "Designing Central Banks for Inflation Stability," CEPR Discussion Papers 11402, C.E.P.R. Discussion Papers.
    198. Óscar J. Arce, 2005. "Reflections on fiscalist divergent price-paths," Working Papers 0533, Banco de España.
    199. Eric M. Leeper & Xuan Zhou, 2013. "Inflation's Role in Optimal Monetary-Fiscal Policy," NBER Working Papers 19686, National Bureau of Economic Research, Inc.
    200. Corhay, Alexandre & Kind, Thilo & Kung, Howard & Morales, Gonzalo, 2021. "Discount rates, debt maturity, and the fiscal theory," SAFE Working Paper Series 323, Leibniz Institute for Financial Research SAFE.
    201. Francesco Bianchi, 2012. "Evolving Monetary/Fiscal Policy Mix in the United States," American Economic Review, American Economic Association, vol. 102(3), pages 167-172, May.
    202. Dominguez, Begona & Gomis-Porqueras, Pedro, 2016. "The Effects of Secondary Markets and Unsecured Credit on Inflation Dynamics," MPRA Paper 75096, University Library of Munich, Germany.
    203. Daniel, Betty C., 2001. "The fiscal theory of the price level in an open economy," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 293-308, October.
    204. Pierre Aldama & Jérôme Creel, 2017. "Why Fiscal Regimes Matter for Fiscal Sustainability: An Application to France," Working Papers 2017.01, International Network for Economic Research - INFER.
    205. Liu, Zehao & He, Ping, 2022. "Real liquidity and banking," Journal of Financial Intermediation, Elsevier, vol. 49(C).
    206. Wolf, Martin & Müller, Gernot & Kriwoluzky, Alexander, 2013. "Currency Risk in Currency Unions," CEPR Discussion Papers 9635, C.E.P.R. Discussion Papers.

  37. John H. Cochrane & Jesus Saa-Requejo, 1996. "Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets," NBER Working Papers 5489, National Bureau of Economic Research, Inc.

    Cited by:

    1. HENROTTE, Philippe, 2002. "Pricing kernels and dynamic portfolios," HEC Research Papers Series 768, HEC Paris.
    2. Chen, Chang-Chih & Shyu, So-De & Yang, Chih-Yuan, 2011. "Counterparty effects on capital structure decision in incomplete market," Economic Modelling, Elsevier, vol. 28(5), pages 2181-2189, September.
    3. Gouriéroux Christian & Monfort Alain & Mouabbi Sarah & Renne Jean-Paul, 2020. "Disastrous Defaults," Working papers 778, Banque de France.
    4. Verdelhan, Adrien & Van Nieuwerburgh, Stijn & Lustig, Hanno, 2012. "The Wealth-Consumption Ratio," CEPR Discussion Papers 9022, C.E.P.R. Discussion Papers.
    5. Julio Carmona & Angel León & Antoni Vaello-Sebastià, 2010. "Pricing executive stock options under employment shocks," Post-Print hal-00753042, HAL.
    6. Frank Bosserhoff & Mitja Stadje, 2019. "Robustness of Delta Hedging in a Jump-Diffusion Model," Papers 1910.08946, arXiv.org, revised Apr 2022.
    7. Suleyman Basak & Georgy Chabakauri, 2011. "Dynamic Hedging in Incomplete Markets: A Simple Solution," FMG Discussion Papers dp680, Financial Markets Group.
    8. Jun Liu, 2004. "Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities," The Review of Financial Studies, Society for Financial Studies, vol. 17(3), pages 611-641.
    9. Dirk Broeders & Leo de Haan & Jan Willem van den End, 2022. "How QE changes the nature of sovereign risk," Working Papers 737, DNB.
    10. Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2002. "Model Risk and Regulatory Capital," Other publications TiSEM 6b857b42-548f-416f-b37f-d, Tilburg University, School of Economics and Management.
    11. Hirbod Assa & Nikolay Gospodinov, 2017. "A Robust Approach to Hedging and Pricing in Imperfect Markets," Risks, MDPI, vol. 5(3), pages 1-20, July.
    12. DeMarzo, Peter M. & Kremer, Ilan & Mansour, Yishay, 2016. "Robust option pricing: Hannan and Blackwell meet Black and Scholes," Journal of Economic Theory, Elsevier, vol. 163(C), pages 410-434.
    13. Björk, Tomas & Slinko, Irina, 2004. "Towards a General Theory of Good Deal Bounds," SSE/EFI Working Paper Series in Economics and Finance 595, Stockholm School of Economics.
    14. Christian Rein & Ludger Rüschendorf & Thorsten Schmidt, 2021. "Generalized statistical arbitrage concepts and related gain strategies," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 563-594, April.
    15. Dirk Becherer & Martin Buttner & Klebert Kentia, 2016. "On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples," Papers 1607.06644, arXiv.org, revised Nov 2019.
    16. Fernando Alvarez & Urban J. Jermann, 2000. "Using Asset Prices to Measure the Cost of Business Cycles," NBER Working Papers 7978, National Bureau of Economic Research, Inc.
    17. Robert G. Chambers & John Quiggin, "undated". "Narrowing the No-Arbitrage Bounds," Risk & Uncertainty Working Papers WPR03_3, Risk and Sustainable Management Group, University of Queensland.
    18. Aramonte, Sirio & Szerszeń, Paweł J., 2020. "Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets," Journal of Financial Markets, Elsevier, vol. 51(C).
    19. Mark Huggett & Greg Kaplan, 2010. "Human capital values and returns: bounds implied by earnings and asset returns data," Staff Report 448, Federal Reserve Bank of Minneapolis.
    20. Kasper Larsen & Halil Mete Soner & Gordan v{Z}itkovi'c, 2017. "Conditional Davis Pricing," Papers 1702.02087, arXiv.org, revised Aug 2018.
    21. Mitja Stadje & Antoon Pelsser, 2011. "Time-Consistent and Market-Consistent Evaluations," Papers 1109.1749, arXiv.org, revised Dec 2013.
    22. Aleš Černý, 2020. "Semimartingale theory of monotone mean–variance portfolio allocation," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1168-1178, July.
    23. João Amaro de Matos & Paula Antão, 2001. "Super-replicating Bounds on European Option Prices when the Underlying Asset is Illiquid," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-7.
    24. Hollstein, Fabian & Prokopczuk, Marcel, 2022. "Testing Factor Models in the Cross-Section," Journal of Banking & Finance, Elsevier, vol. 145(C).
    25. Claudio Albanese & Simone Caenazzo & Stéphane Crépey, 2016. "Capital Valuation Adjustment and Funding Valuation Adjustment," Working Papers hal-01285363, HAL.
    26. Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
    27. Chang-Chih Chen & Chia-Chien Chang, 2019. "How Big are the Ambiguity-Based Premiums on Mortgage Insurances?," The Journal of Real Estate Finance and Economics, Springer, vol. 58(1), pages 133-157, January.
    28. Ravi Bansal & Shane Miller & Dongho Song & Amir Yaron, 2019. "The Term Structure of Equity Risk Premia," NBER Working Papers 25690, National Bureau of Economic Research, Inc.
    29. Chen, Jun-Home & Huang, Yu-Lieh & Chang, Jow-Ran, 2017. "Robust Good-Deal Bounds In Incomplete Markets: The Case Of Taiwan," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 58(1), pages 53-67, June.
    30. Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2005. "Demand-Based Option Pricing," NBER Working Papers 11843, National Bureau of Economic Research, Inc.
    31. Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
    32. Kanamura, Takashi & Ohashi, Kazuhiko, 2009. "Pricing summer day options by good-deal bounds," Energy Economics, Elsevier, vol. 31(2), pages 289-297, March.
    33. Pierluigi Balduzzi & Cesare Robotti, 2005. "Asset-pricing models and economic risk premia: a decomposition," FRB Atlanta Working Paper 2005-13, Federal Reserve Bank of Atlanta.
    34. Jan Voelzke & Jeanne Diesteldorf & Fabian Goessling & Till Weigt, 2017. "Investors' favourite - A different look at valuing individual labour income," CQE Working Papers 6017, Center for Quantitative Economics (CQE), University of Muenster.
    35. Hirbod Assa & Nikolay Gospodinov, 2018. "Market consistent valuations with financial imperfection," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(1), pages 65-90, May.
    36. Raimund M. Kovacevic, 2019. "Valuation and pricing of electricity delivery contracts: the producer’s view," Annals of Operations Research, Springer, vol. 275(2), pages 421-460, April.
    37. Leung, Melvern & Fung, Man Chung & O’Hare, Colin, 2018. "A comparative study of pricing approaches for longevity instruments," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 95-116.
    38. Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R., 2009. "Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 676-691, March.
    39. Stadje, M.A. & Pelsser, A., 2014. "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Discussion Paper 2014-002, Tilburg University, Center for Economic Research.
    40. Zuluaga, Luis F. & Peña, Javier & Du, Donglei, 2009. "Third-order extensions of Lo's semiparametric bound for European call options," European Journal of Operational Research, Elsevier, vol. 198(2), pages 557-570, October.
    41. Ren-Raw Chen & Oded Palmon, 2005. "A Non-Parametric Option Pricing Model: Theory and Empirical Evidence," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 115-134, January.
    42. Oleg Bondarenko & Iñaki Longarela, 2009. "A general framework for the derivation of asset price bounds: an application to stochastic volatility option models," Review of Derivatives Research, Springer, vol. 12(2), pages 81-107, July.
    43. Daniel Bauer & George Zanjani, 2016. "The Marginal Cost of Risk, Risk Measures, and Capital Allocation," Management Science, INFORMS, vol. 62(5), pages 1431-1457, May.
    44. ABADA, Ibrahim & EHRENMANN, Andreas & SMEERS, Yves, 2014. "Endogenizing long-term contracts in gas market models," LIDAM Discussion Papers CORE 2014036, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    45. Jonathan Fletcher & Andrew Marshall, 2014. "Investor Heterogeneity and the Cross-section of U.K. Investment Trust Performance," Journal of Financial Services Research, Springer;Western Finance Association, vol. 45(1), pages 67-89, February.
    46. Wayne E. Ferson & Jerchern Lin, 2013. "Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity," NBER Working Papers 19349, National Bureau of Economic Research, Inc.
    47. Antonio E. Bernardo & Olivier Ledoit, 2000. "Gain, Loss, and Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 108(1), pages 144-172, February.
    48. Papanastasopoulos, Georgios & Thomakos, Dimitrios & Wang, Tao, 2011. "Information in balance sheets for future stock returns: Evidence from net operating assets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 269-282.
    49. Potì, Valerio & Wang, DengLi, 2010. "The coskewness puzzle," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1827-1838, August.
    50. Julia Jiang & Weidong Tian, 2019. "Semi-nonparametric approximation and index options," Annals of Finance, Springer, vol. 15(4), pages 563-600, December.
    51. Bates, David S., 2000. "Post-'87 crash fears in the S&P 500 futures option market," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 181-238.
    52. Chen, Chang-Chih & Chang, Chia-Chien & Sun, Edward W. & Yu, Min-Teh, 2022. "Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness," European Journal of Operational Research, Elsevier, vol. 300(2), pages 727-742.
    53. Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2015.
    54. Roger J. A. Laeven & John G. M. Schoenmakers & Nikolaus F. F. Schweizer & Mitja Stadje, 2020. "Robust Multiple Stopping -- A Pathwise Duality Approach," Papers 2006.01802, arXiv.org, revised Sep 2021.
    55. Gurdip Bakshi & Mario Cerrato & John Crosby, 2016. "Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies," Working Papers 2017_01, Business School - Economics, University of Glasgow.
    56. Takuji Arai, 2008. "Good deal bounds induced by shortfall risk," Papers 0802.4141, arXiv.org, revised Mar 2010.
    57. Jocelyne Bion-Nadal, 2007. "Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk," Papers math/0703074, arXiv.org.
    58. Christian Rein & Ludger Ruschendorf & Thorsten Schmidt, 2019. "Generalized statistical arbitrage concepts and related gain strategies," Papers 1907.09218, arXiv.org, revised Jul 2019.
    59. Jinqiang Yang & Zhaojun Yang, 2012. "Arbitrage-free interval and dynamic hedging in an illiquid market," Quantitative Finance, Taylor & Francis Journals, vol. 13(7), pages 1029-1039, May.
    60. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012. "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, vol. 105(1), pages 191-208.
    61. Voelzke, Jan & Gößling, Fabian & Diesteldorf, Jeanne & Weigt, Till, 2017. "Investors' favourite - A different look at valuing individual labour income," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168065, Verein für Socialpolitik / German Economic Association.
    62. Hirbod Assa & Keivan Mallahi Karai, 2013. "Hedging, Pareto Optimality, and Good Deals," Journal of Optimization Theory and Applications, Springer, vol. 157(3), pages 900-917, June.
    63. Almeida, Caio & Freire, Gustavo, 2022. "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, vol. 144(1), pages 174-205.
    64. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CIRANO Working Papers 2009s-32, CIRANO.
    65. Brandt, Michael & Cochrane, John & Santa-Clara, Pedro, 2001. "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!," University of California at Los Angeles, Anderson Graduate School of Management qt1jw137zd, Anderson Graduate School of Management, UCLA.
    66. Fletcher, Jonathan, 2018. "Bayesian tests of global factor models," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 279-289.
    67. Vedolin, Andrea & Sandulescu, Paula Mirela & Trojani, Fabio, 2018. "Model-Free International Stochastic Discount Factors," CEPR Discussion Papers 12971, C.E.P.R. Discussion Papers.
    68. Thai Nguyen & Mitja Stadje, 2020. "Utility maximization under endogenous pricing," Papers 2005.04312, arXiv.org, revised Mar 2024.
    69. Voelzke, Jan, 2015. "Weakening the Gain–Loss-Ratio measure to make it stronger," Finance Research Letters, Elsevier, vol. 12(C), pages 58-66.
    70. Greg Duffee, 2010. "Sharpe ratios in term structure models," Economics Working Paper Archive 575, The Johns Hopkins University,Department of Economics.
    71. Vishal Gaur & Sridhar Seshadri & Marti G. Subrahmanyam, 2011. "Securitization and Real Investment in Incomplete Markets," Management Science, INFORMS, vol. 57(12), pages 2180-2196, December.
    72. Erhan Bayraktar & Virginia R. Young, 2007. "Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio," Papers math/0701650, arXiv.org, revised Jul 2007.
    73. Pal, Soumik, 2007. "Computing strategies for achieving acceptability: A Monte Carlo approach," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1587-1605, November.
    74. Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler & Rodrigo Rodriguez, 2012. "Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices," Papers 1205.4790, arXiv.org, revised Jun 2013.
    75. Kanamura, Takashi & Homann, Lasse & Prokopczuk, Marcel, 2021. "Pricing analysis of wind power derivatives for renewable energy risk management," Applied Energy, Elsevier, vol. 304(C).
    76. Ibrahim Abada & Andreas Ehrenmann & Yves Smeers, 2017. "Modeling Gas Markets with Endogenous Long-Term Contracts," Operations Research, INFORMS, vol. 65(4), pages 856-877, August.
    77. Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan, 2014. "Ambiguity and Reality," Working Papers on Finance 1418, University of St. Gallen, School of Finance.
    78. Charles Cao & Jing-Zhi Huang, 2007. "Determinants of S&P 500 index option returns," Review of Derivatives Research, Springer, vol. 10(1), pages 1-38, January.
    79. Dirk Becherer & Klebert Kentia, 2017. "Hedging under generalized good-deal bounds and model uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(1), pages 171-214, August.
    80. Niushan Gao & Cosimo Munari, 2017. "Surplus-invariant risk measures," Papers 1707.04949, arXiv.org, revised May 2018.
    81. Valentin Haddad & Serhiy Kozak & Shrihari Santosh & Stijn Van Nieuwerburgh, 2020. "Factor Timing," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 1980-2018.
    82. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    83. Takuji Arai & Masaaki Fukasawa, 2011. "Convex risk measures for good deal bounds," Papers 1108.1273, arXiv.org.
    84. Morten Christensen & Eckhard Platen, 2005. "Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps," Research Paper Series 170, Quantitative Finance Research Centre, University of Technology, Sydney.
    85. A. Cherny, 2006. "Weighted V@R and its Properties," Finance and Stochastics, Springer, vol. 10(3), pages 367-393, September.
    86. Roman Kraeussl & Christian Wiehenkamp, 2012. "A call on art investments," Review of Derivatives Research, Springer, vol. 15(1), pages 1-23, April.
    87. Kanamura, Takashi & Ohashi, Kazuhiko, 2007. "A structural model for electricity prices with spikes: Measurement of spike risk and optimal policies for hydropower plant operation," Energy Economics, Elsevier, vol. 29(5), pages 1010-1032, September.
    88. Ang, Andrew & Liu, Jun, 2007. "Risk, return, and dividends," Journal of Financial Economics, Elsevier, vol. 85(1), pages 1-38, July.
    89. Volker Krätschmer & Marcel Ladkau & Roger J. A. Laeven & John G. M. Schoenmakers & Mitja Stadje, 2018. "Optimal Stopping Under Uncertainty in Drift and Jump Intensity," Mathematics of Operations Research, INFORMS, vol. 43(4), pages 1177-1209, November.
    90. Tomasz R. Bielecki & Igor Cialenco & Tao Chen, 2014. "Dynamic Conic Finance via Backward Stochastic Difference Equations," Papers 1412.6459, arXiv.org, revised Dec 2014.
    91. Bates, David S., 1999. "Financial markets' assessments of EMU," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 51(1), pages 229-269, December.
    92. John Handley, 2005. "On the Upper Bound of a Call Option," Review of Derivatives Research, Springer, vol. 8(2), pages 85-95, August.
    93. Chen, Chang-Chih & Ho, Kung-Cheng & Yan, Cheng & Yeh, Chung-Ying & Yu, Min-Teh, 2023. "Does ambiguity matter for corporate debt financing? Theory and evidence," Journal of Corporate Finance, Elsevier, vol. 80(C).
    94. Jonathan Fletcher & Patricia Ntozi‐Obwale, 2008. "Arbitrage Bounds and UK Unit Trust Performance," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(3‐4), pages 580-600, April.
    95. Akuzawa, Toshinao & Nishiyama, Yoshihiko, 2013. "Implied Sharpe ratios of portfolios with options: Application to Nikkei futures and listed options," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 335-357.
    96. Consiglio, Andrea & Carollo, Angelo & Zenios, Stavros A., 2014. "Generating Multi-factor Arbitrage-Free Scenario Trees with Global Optimization," Working Papers 13-35, University of Pennsylvania, Wharton School, Weiss Center.
    97. Alejandro Balbás & Beatriz Balbás & Raquel Balbás, 2022. "Pareto efficient buy and hold investment strategies under order book linked constraints," Annals of Operations Research, Springer, vol. 311(2), pages 945-965, April.
    98. Gikas Hardouvelis & George Papanastasopoulos & Dimitrios D. Thomakos & Tao Wang, 2007. "Accruals, Net Stock Issues and Value-Glamour Anomalies: New Evidence on their Relation," Working Paper series 47_07, Rimini Centre for Economic Analysis.
    99. Hainaut, Donatien & Devolder, Pierre & Pelsser, Antoon, 2018. "Robust evaluation of SCR for participating life insurances under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 107-123.
    100. Cogley, Timothy & Sargent, Thomas J., 2008. "The market price of risk and the equity premium: A legacy of the Great Depression?," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 454-476, April.
    101. Fletcher, Jonathan, 2021. "Evaluating the performance of U.S. international equity closed-end funds," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
    102. Giuseppe Grande & Ignazio Visco, 2010. "A public guarantee of a minimum return to defined contribution pension scheme members," Temi di discussione (Economic working papers) 762, Bank of Italy, Economic Research and International Relations Area.
    103. Joao Amaro de Matos & Ana Lacerda, 2006. "Dry markets and statistical arbitrage bounds for European derivatives," Nova SBE Working Paper Series wp479, Universidade Nova de Lisboa, Nova School of Business and Economics.
    104. Božović, Miloš, 2022. "A common pattern across asset pricing anomalies," Finance Research Letters, Elsevier, vol. 48(C).
    105. Ibáñez, Alfredo, 2008. "Factorization of European and American option prices under complete and incomplete markets," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 311-325, February.
    106. Jocelyne Bion-Nadal & Giulia Nunno, 2013. "Dynamic no-good-deal pricing measures and extension theorems for linear operators on L ∞," Finance and Stochastics, Springer, vol. 17(3), pages 587-613, July.
    107. Guo, Liang, 2013. "Determinants of credit spreads: The role of ambiguity and information uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 279-297.
    108. Davide Pettenuzzo & Allan Timmermann & Rossen Valkanov, 2013. "Forecasting Stock Returns under Economic Constraints," Working Papers 57, Brandeis University, Department of Economics and International Business School.
    109. Maria Arduca & Cosimo Munari, 2020. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Papers 2012.08351, arXiv.org, revised Apr 2022.
    110. Aleš Černý, 2007. "Optimal Continuous‐Time Hedging With Leptokurtic Returns," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 175-203, April.
    111. Richard M. Levich & Valerio Poti, 2008. "Predictability and 'Good Deals' in Currency Markets," NBER Working Papers 14597, National Bureau of Economic Research, Inc.
    112. Wang, Yunqi & Zhou, Ti, 2023. "Out-of-sample equity premium prediction: The role of option-implied constraints," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 199-226.
    113. Qi Feng & Man Luo & Zhaoyu Zhang, 2021. "Deep Signature FBSDE Algorithm," Papers 2108.10504, arXiv.org, revised Aug 2022.
    114. Albanese, Claudio & Tompaidis, Stathis, 2008. "Small transaction cost asymptotics and dynamic hedging," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1404-1414, March.
    115. Sara Biagini & Mustafa Pinar, 2012. "The best gain-loss ratio is a poor performance measure," Papers 1209.6439, arXiv.org, revised Dec 2012.
    116. Maria Arduca & Cosimo Munari, 2023. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Finance and Stochastics, Springer, vol. 27(3), pages 831-862, July.
    117. Corbae, Dean & Marimon, Ramon, 2011. "Introduction to Incompleteness and Uncertainty in Economics," Journal of Economic Theory, Elsevier, vol. 146(3), pages 775-784, May.
    118. Òscar Jordà & Alan M. Taylor, 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," NBER Working Papers 15518, National Bureau of Economic Research, Inc.
    119. Marroquı´n-Martı´nez, Naroa & Moreno, Manuel, 2013. "Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?," European Journal of Operational Research, Elsevier, vol. 225(3), pages 429-442.
    120. Berend Roorda & J. M. Schumacher & Jacob Engwerda, 2005. "Coherent Acceptability Measures In Multiperiod Models," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 589-612, October.
    121. Michel Baes & Pablo Koch-Medina & Cosimo Munari, 2017. "Existence, uniqueness and stability of optimal portfolios of eligible assets," Papers 1702.01936, arXiv.org, revised Dec 2017.
    122. Jun Zhao & Emmanuel Lépinette & Peibiao Zhao, 2019. "Pricing under dynamic risk measures," Post-Print hal-02135232, HAL.
    123. Huang, Yu-Lieh & Tsai, Jeffrey Tzuhao & Yang, Sharon S. & Cheng, Hung-Wen, 2014. "Price bounds of mortality-linked security in incomplete insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 30-39.
    124. Cox, Samuel H. & Fairchild, Joseph R. & Pedersen, Hal W., 2004. "Valuation of structured risk management products," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 259-272, April.
    125. Maria Arduca & Cosimo Munari, 2021. "Risk measures beyond frictionless markets," Papers 2111.08294, arXiv.org.
    126. Tim W. Cogley & Thomas J. Sargent, 2005. "The Market Price of Risk and the Equity Premium," Working Papers 55, University of California, Davis, Department of Economics.
    127. George Yungchih Wang, 2012. "Evaluating an Investment Project in an Incomplete Market," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 055-073, June.
    128. Peter Ryan, 2000. "Tighter Option Bounds from Multiple Exercise Prices," Review of Derivatives Research, Springer, vol. 4(2), pages 155-188, May.
    129. Dilip B. Madan, 2016. "Conic Portfolio Theory," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-42, May.
    130. Yong-Jin Kim, 2004. "Good-Deal Option Price Bounds for a Non-Traded Event with Stochastic Return: A Note," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(2), pages 135-141, June.
    131. Takuji Arai, 2016. "Good deal bounds with convex constraints: --- examples and proofs ---," Keio-IES Discussion Paper Series 2016-017, Institute for Economics Studies, Keio University.
    132. Shi-jie Jiang & Mujun Lei & Cheng-Huang Chung, 2018. "An Improvement of Gain-Loss Price Bounds on Options Based on Binomial Tree and Market-Implied Risk-Neutral Distribution," Sustainability, MDPI, vol. 10(6), pages 1-17, June.
    133. Dirk Becherer & Klebert Kentia, 2017. "Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility," Papers 1704.02505, arXiv.org.
    134. Jocelyne Bion-Nadal & Giulia Di Nunno, 2011. "Extension theorems for linear operators on $L_\infty$ and application to price systems," Papers 1102.5501, arXiv.org.
    135. Dong‐Hyun Ahn & H. Henry Cao & Stéphane Chrétien, 2009. "Portfolio Performance Measurement: a No Arbitrage Bounds Approach," European Financial Management, European Financial Management Association, vol. 15(2), pages 298-339, March.
    136. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2016. "Good deals and benchmarks in robust portfolio selection," European Journal of Operational Research, Elsevier, vol. 250(2), pages 666-678.
    137. Masaaki Fukasawa & Mitja Stadje, 2017. "Perfect hedging under endogenous permanent market impacts," Papers 1702.01385, arXiv.org.
    138. Carmona, Julio & León, Ángel & Vaello-Sebastià, Antoni, 2012. "Executive Stock Options and Time Diversification," QM&ET Working Papers 12-16, University of Alicante, D. Quantitative Methods and Economic Theory.
    139. Mustafa Pınar, 2011. "Gain–loss based convex risk limits in discrete-time trading," Computational Management Science, Springer, vol. 8(3), pages 299-321, August.
    140. Kasper Larsen & Halil Mete Soner & Gordan Žitković, 2020. "Conditional Davis pricing," Finance and Stochastics, Springer, vol. 24(3), pages 565-599, July.
    141. Ryan, Peter J., 2003. "Progressive option bounds from the sequence of concurrently expiring options," European Journal of Operational Research, Elsevier, vol. 151(1), pages 193-223, November.
    142. Emmanuel Lépinette & Ilya Molchanov, 2021. "Risk arbitrage and hedging to acceptability under transaction costs," Finance and Stochastics, Springer, vol. 25(1), pages 101-132, January.
    143. Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
    144. Horváth, Ferenc, 2017. "Essays on robust asset pricing," Other publications TiSEM e54d7b33-1f27-4b0e-9f84-f, Tilburg University, School of Economics and Management.
    145. Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005 216, Society for Computational Economics.
    146. Kaido, Hiroaki & White, Halbert, 2014. "A two-stage procedure for partially identified models," Journal of Econometrics, Elsevier, vol. 182(1), pages 5-13.
    147. Ban, Mingyuan & Chen, Chang-Chih, 2019. "Ambiguity and capital structure adjustments," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 242-270.
    148. Alain MONFORT & Jean-Paul RENNE & Guillaume ROUSSELLET, 2020. "Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion," Working Papers 2020-01, Center for Research in Economics and Statistics.
    149. Pierluigi Balduzzi & Cesare Robotti, 2001. "Minimum-variance kernels, economic risk premia, and tests of multi-beta models," FRB Atlanta Working Paper 2001-24, Federal Reserve Bank of Atlanta.
    150. Kaivanto, Kim & Stoneman, Paul, 2007. "Public provision of sales contingent claims backed finance to SMEs: A policy alternative," Research Policy, Elsevier, vol. 36(5), pages 637-651, June.
    151. Chu Zhang, 2009. "Testing the APT with the Maximum Sharpe Ratio of Extracted Factors," Management Science, INFORMS, vol. 55(7), pages 1255-1266, July.
    152. L. Carassus & E. Temam, 2014. "Pricing and hedging basis risk under no good deal assumption," Annals of Finance, Springer, vol. 10(1), pages 127-170, February.
    153. Ibáñez, Alfredo, 2005. "Option-pricing in incomplete markets: the hedging portfolio plus a risk premium-based recursive approach," DEE - Working Papers. Business Economics. WB wb058121, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    154. Guenter Franke & James Huang & Richard Stapleton, 2006. "Two-dimensional risk-neutral valuation relationships for the pricing of options," Review of Derivatives Research, Springer, vol. 9(3), pages 213-237, November.
    155. Liang Zou, 2005. "Dichotomous Asset Pricing Model," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 185-207, May.
    156. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
    157. Kanamura, Takashi, 2019. "Volumetric Risk Hedging Strategies and Basis Risk Premium for Solar Power," MPRA Paper 92009, University Library of Munich, Germany.
    158. Jan Voelzke, 2014. "Weakening the Gain-Loss-Ratio measure to make it stronger," CQE Working Papers 3114, Center for Quantitative Economics (CQE), University of Muenster.
    159. Hsuan-Chu Lin & Ren-Raw Chen & Oded Palmon, 2016. "Explaining the volatility smile: non-parametric versus parametric option models," Review of Quantitative Finance and Accounting, Springer, vol. 46(4), pages 907-935, May.
    160. Bion-Nadal, Jocelyne, 2009. "Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk," Journal of Mathematical Economics, Elsevier, vol. 45(11), pages 738-750, December.
    161. Fong, Wai Mun, 2010. "A stochastic dominance analysis of yen carry trades," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1237-1246, June.
    162. Aleš Černý, 2003. "Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets," Review of Finance, European Finance Association, vol. 7(2), pages 191-233.
    163. Balter, Anne G. & Pelsser, Antoon, 2020. "Pricing and hedging in incomplete markets with model uncertainty," European Journal of Operational Research, Elsevier, vol. 282(3), pages 911-925.
    164. Chen, An & Hieber, Peter & Nguyen, Thai, 2019. "Constrained non-concave utility maximization: An application to life insurance contracts with guarantees," European Journal of Operational Research, Elsevier, vol. 273(3), pages 1119-1135.
    165. Niedermayer, Daniel & Zimmermann, Heinz, 2007. "The Cross-Section of Positively Weighted Portfolios," Working papers 2007/15, Faculty of Business and Economics - University of Basel.
    166. Brandt, Michael W. & Cochrane, John H. & Santa-Clara, Pedro, 2006. "International risk sharing is better than you think, or exchange rates are too smooth," Journal of Monetary Economics, Elsevier, vol. 53(4), pages 671-698, May.
    167. Klöppel Susanne & Schweizer Martin, 2007. "Dynamic utility-based good deal bounds," Statistics & Risk Modeling, De Gruyter, vol. 25(4/2007), pages 1-25, October.
    168. Fletcher, Jonathan, 2019. "Model comparison tests of linear factor models in U.K. stock returns," Finance Research Letters, Elsevier, vol. 28(C), pages 281-291.
    169. Luenberger, David G., 2002. "A correlation pricing formula," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1113-1126, July.
    170. Gurdip Bakashi & Mario Cerrato & John Crosby, 2015. "Risk Sharing in International Economies and Market Incompleteness," Working Papers 2015_23, Business School - Economics, University of Glasgow.
    171. PInar, Mustafa Ç. & Salih, AslIhan & CamcI, Ahmet, 2010. "Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming," European Journal of Operational Research, Elsevier, vol. 201(3), pages 770-785, March.
    172. Masaaki Fukasawa & Mitja Stadje, 2018. "Perfect hedging under endogenous permanent market impacts," Finance and Stochastics, Springer, vol. 22(2), pages 417-442, April.
    173. Martin Herdegen & Nazem Khan, 2022. "$\rho$-arbitrage and $\rho$-consistent pricing for star-shaped risk measures," Papers 2202.07610, arXiv.org, revised May 2024.
    174. Unyong Pyo, 2011. "Minimax price bounds in incomplete markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(3), pages 274-295, July.
    175. Sascha Desmettre & Christian Laudagé & Jörn Sass, 2020. "Good-Deal Bounds for Option Prices under Value-at-Risk and Expected Shortfall Constraints," Risks, MDPI, vol. 8(4), pages 1-22, October.
    176. Balbás, Alejandro & Balbás, Raquel & Garrido, José, 2010. "Extending pricing rules with general risk functions," European Journal of Operational Research, Elsevier, vol. 201(1), pages 23-33, February.
    177. Strub, Moris S. & Li, Duan & Cui, Xiangyu & Gao, Jianjun, 2019. "Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    178. Energy Sonono, Masimba & Phillip Mashele, Hopolang, 2016. "Estimation of bid-ask prices for options on LIBOR based instruments," Finance Research Letters, Elsevier, vol. 19(C), pages 33-41.
    179. Michael B. Walker, 2014. "Modelling the Bid and Ask Prices of Illiquid CDSs," Papers 1403.1509, arXiv.org.
    180. Longarela, Iñaki R. & Mayoral, Silvia, 2015. "Quote inefficiency in options markets," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 23-36.
    181. Takuji Arai, 2017. "Good Deal Bounds With Convex Constraints," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-15, March.
    182. Hirbod Assa, 2015. "Trade-off Between Robust Risk Measurement and Market Principles," Journal of Optimization Theory and Applications, Springer, vol. 166(1), pages 306-320, July.
    183. Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.
    184. David S. Bates, 1999. "Financial Markets' Assessment of EMU," NBER Working Papers 6874, National Bureau of Economic Research, Inc.
    185. Franke, Günter & Huang, James & Stapleton, Richard C., 2007. "Two-dimensional risk neutral valuation relationships for the pricing of options," CoFE Discussion Papers 07/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
    186. Joao Amaro de Matos & Ana Lacerda, 2004. "Dry markets and superreplication bounds of American derivatives," Nova SBE Working Paper Series wp461, Universidade Nova de Lisboa, Nova School of Business and Economics.

  38. John H. Cochrane, 1995. "What do the VARs Mean?: Measuring the Output Effects of Monetary Policy," NBER Working Papers 5154, National Bureau of Economic Research, Inc.

    Cited by:

    1. Mike Artis & Hans-Martin Krolzig & Juan Toro, 2002. "The European Business Cycle," Economic Working Papers at Centro de Estudios Andaluces E2002/19, Centro de Estudios Andaluces.
    2. Filippo Occhino, 2001. "Monetary Policy Shocks in an Economy with Segmented Markets," Departmental Working Papers 200108, Rutgers University, Department of Economics.
    3. Dolado, Juan J. & María-Dolores, Ramón, 1999. "An Empirical Study of the Cyclical Effects of Monetary Policy in Spain (1977-1997)," CEPR Discussion Papers 2193, C.E.P.R. Discussion Papers.
    4. Kevin D. Hoover & Oscar Jorda, "undated". "Measuring Systematic Monetary Policy," Department of Economics 00-05, California Davis - Department of Economics.
    5. Federico Ravenna, 2006. "Vector autoregressions and reduced form representations of DSGE models," Working Papers 0619, Banco de España.
    6. Norrbin, Stefan, 2001. "What Have We Learned from Empirical Tests of the Monetary Transmission Effect," Working Paper Series 121, Sveriges Riksbank (Central Bank of Sweden).
    7. Mohammed, Mikidadu, 2018. "Do Import Tariffs Generate Stagflationary Tendencies?," EconStor Preprints 201013, ZBW - Leibniz Information Centre for Economics.
    8. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," NBER Working Papers 10220, National Bureau of Economic Research, Inc.
    9. Andrea Stella, 2014. "The Magnitude of Menu Costs: A Structural Estimation," 2014 Meeting Papers 436, Society for Economic Dynamics.
    10. Michael Artis, 1999. "The UK and EMU," Palgrave Macmillan Books, in: David Cobham & George Zis (ed.), From EMS to EMU: 1979 to 1999 and Beyond, chapter 7, pages 161-180, Palgrave Macmillan.
    11. Ang, Andrew & Piazzesi, Monika, 2003. "A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 745-787, May.
    12. Sophocles N. Brissimis & Nicholas S. Magginas, 2004. "Forward-Looking Information in VAR Models and the Price Puzzle," Working Papers 10, Bank of Greece.
    13. Vallés Liberal, Javier & Viñals, José, 1999. "On the Real Effects of Monetary Policy: A Central Banker's View," CEPR Discussion Papers 2241, C.E.P.R. Discussion Papers.
    14. Rómulo Chumacero, 2003. "A Toolkit for Analyzing Alternative Policies in The Chilean Economy," Working Papers Central Bank of Chile 241, Central Bank of Chile.
    15. Narayan Kundan Kishor & Monique Newiak, 2014. "The Instability In The Monetary Policy Reaction Function And The Estimation Of Monetary Policy Shocks," Contemporary Economic Policy, Western Economic Association International, vol. 32(2), pages 390-402, April.
    16. Ángel Cabrera & Luis Felipe Lagos, 2002. "Monetary Policy in Chile: A Black Box?," Central Banking, Analysis, and Economic Policies Book Series, in: Norman Loayza & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy: Rules and Transmission Mechanisms, edition 1, volume 4, chapter 8, pages 197-246, Central Bank of Chile.
    17. Adam Elbourne & Jakob de Haan & Jakob de Haan, 2004. "Asymmetric Monetary Transmission in EMU: The Robustness of VAR Conclusions and Cecchetti’s Legal Family Theory," CESifo Working Paper Series 1327, CESifo.
    18. Andrew Ang & Sen Dong & Monika Piazzesi, 2005. "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco.
    19. Carlos José García, 2001. "Políticas de Estabilización en Chile Durante los Noventa," Working Papers Central Bank of Chile 132, Central Bank of Chile.
    20. Masagus M. Ridhwan & Henri L.F. de Groot & Piet Rietveld & Peter Nijkamp, 2011. "The Regional Impact of Monetary Policy in Indonesia," Tinbergen Institute Discussion Papers 11-081/3, Tinbergen Institute.
    21. Matteo Iacoviello, 2002. "House Prices and Business Cycles in Europe: a VAR Analysis," Boston College Working Papers in Economics 540, Boston College Department of Economics.
    22. Christensen, Michael, 2001. "Real supply shocks and the money growth-inflation relationship," Economics Letters, Elsevier, vol. 72(1), pages 67-72, July.
    23. Chakraborty, Lekha, 2015. "Fiscal Seigniorage "Laffer-curve effect" on Central Bank Autonomy in India," Working Papers 15/156, National Institute of Public Finance and Policy.
    24. Dickinson, David & Liu, Jia, 2007. "The real effects of monetary policy in China: An empirical analysis," China Economic Review, Elsevier, vol. 18(1), pages 87-111.
    25. Berger, Allen N. & Bouwman, Christa H.S., 2017. "Bank liquidity creation, monetary policy, and financial crises," Journal of Financial Stability, Elsevier, vol. 30(C), pages 139-155.
    26. Al-Sharkas, A.A. & Lozi, B.M., 2009. "Effects of Measurement on Inferences: An Application to Money Demand and Related Variables in the United States," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
    27. Oscar Jorda, 2007. "Joint Inference and Counterfactual experimentation for Impulse Response Functions by Local Projections," Working Papers 107, University of California, Davis, Department of Economics.
    28. Jiranyakul, Komain, 2009. "Relationship among Money, Prices and Aggregate Output in Thailand," MPRA Paper 46963, University Library of Munich, Germany.
    29. Svensson, Lars E O, 1998. "Inflation Targeting as a Monetary Policy Rule," CEPR Discussion Papers 1998, C.E.P.R. Discussion Papers.
    30. Ricardo Reis, 2008. "Comment on "In Search of the Transmission Mechanism of Fiscal Policy"," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 227-236, National Bureau of Economic Research, Inc.
    31. Iacoviello, Matteo, 2000. "House prices and the macroeconomy in Europe: Results from a structural var analysis," Working Paper Series 18, European Central Bank.
    32. Eric M. Leeper & Tao Zha, 2002. "Modest Policy Interventions," NBER Working Papers 9192, National Bureau of Economic Research, Inc.
    33. Roberto Perotti, 2007. "In Search of the Transmission Mechanism of Fiscal Policy," NBER Working Papers 13143, National Bureau of Economic Research, Inc.
    34. Huchet, Marilyne, 2003. "Does single monetary policy have asymmetric real effects in EMU?," Journal of Policy Modeling, Elsevier, vol. 25(2), pages 151-178, February.
    35. Khamfula, Y., 2006. "Output Growth and Monetary Policy Interaction in a Common Monetary Area: Forecasting with VEC Models in Namibia, Lesotho, South Africa and Swaziland, 1981-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(2).
    36. Mohammed, Mikidadu, 2018. "Do import tariffs generate stagflationary tendencies?," EconStor Preprints 181674, ZBW - Leibniz Information Centre for Economics, revised 2018.
    37. Bruneau, Catherine & De Bandt, Olivier, 2003. "Monetary and fiscal policy in the transition to EMU: what do SVAR models tell us?," Economic Modelling, Elsevier, vol. 20(5), pages 959-985, September.
    38. Fernando Alvarez & Francesco Lippi, 2014. "Persistent Liquidity Effects and Long-Run Money Demand," American Economic Journal: Macroeconomics, American Economic Association, vol. 6(2), pages 71-107, April.
    39. Kevin Hoover, 2005. "Economic Theory and Causal Inference," Working Papers 257, University of California, Davis, Department of Economics.
    40. Christina D. Romer & David H. Romer, 2004. "A New Measure of Monetary Shocks: Derivation and Implications," American Economic Review, American Economic Association, vol. 94(4), pages 1055-1084, September.
    41. Karnizova, Lilia, 2010. "News versus sunspot shocks in a New Keynesian model," Economics Discussion Papers 2010-15, Kiel Institute for the World Economy (IfW Kiel).
    42. W. A. Razzak, 2016. "New Zealand Labor Market Dynamics: Pre- and Post-global Financial Crisis," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 49-79, September.
    43. James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall.
    44. Anthony Garratt & Kevin Lee & M. Hashem Pesaran & Yongcheol Shin, 2003. "A Long run structural macroeconometric model of the UK," Economic Journal, Royal Economic Society, vol. 113(487), pages 412-455, April.
    45. Lippi, Marco & Reichlin, Lucrezia & Forni, Mario, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers 4133, C.E.P.R. Discussion Papers.
    46. Guglielmo Maria Caporale & Margarita Katsimi & Nikitas Pittis, 2002. "Causality Links between Consumer and Producer Prices: Some Empirical Evidence," Southern Economic Journal, John Wiley & Sons, vol. 68(3), pages 703-711, January.
    47. Alessandri, Piergiorgio & Nelson, Benjamin, 2012. "Simple banking: profitability and the yield curve," Bank of England working papers 452, Bank of England.
    48. Kyle Jurado & Ryan Chahrour, 2018. "Recoverability," 2018 Meeting Papers 320, Society for Economic Dynamics.
    49. Bae, Sang-Kun & Jensen, Mark J. & Murdock, Scott G., 2005. "Long-run neutrality in a fractionally integrated model," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 257-274, June.
    50. Gottschalk, Jan, 2001. "An Introduction into the SVAR Methodology: Identification, Interpretation and Limitations of SVAR models," Kiel Working Papers 1072, Kiel Institute for the World Economy (IfW Kiel).
    51. Kirstin Hubrich & Peter Vlaar, 2004. "Monetary transmission in Germany: Lessons for the Euro area," Empirical Economics, Springer, vol. 29(2), pages 383-414, May.
    52. Antoniou, Fabio & Fiocco, Raffaele & Guo, Dongyu, 2015. "Asymmetric price adjustments: A supply side approach," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 493, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
    53. George E. HALKOS & Marianna K. TRIGONI, 2010. "231 Financial And Real Sector Interactions: The Case Of Greece," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 5(3(13)/Fal), pages 231-246.
    54. Dungey, Mardi & Fry, Renee, 2000. "A Multi-Country Structural VAR Model," Departmental Working Papers 2001-04, The Australian National University, Arndt-Corden Department of Economics.
    55. Brämer, Patrick & Gischer, Horst & Richter, Toni & Weiß, Mirko, 2013. "Competition in banks’ lending business and its interference with ECB monetary policy," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 144-162.
    56. Hassapis, Christis & Kalyvitis, Sarantis, 2002. "Investigating the links between growth and real stock price changes with empirical evidence from the G-7 economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(3), pages 543-575.
    57. Vîntu, Denis, 2022. "The Relationship between Inflation, Interest Rate, Unemployment and Economic Growth," MPRA Paper 112931, University Library of Munich, Germany, revised Feb 2022.
    58. Kliem, Martin & Kriwoluzky, Alexander, 2013. "Reconciling narrative monetary policy disturbances with structural VAR model shocks?," Discussion Papers 23/2013, Deutsche Bundesbank.
    59. Tatjana Dahlhaus & Luca Gambetti, 2018. "Noisy Monetary Policy," Staff Working Papers 18-23, Bank of Canada.
    60. Nicolaas Groenewold, 2012. "Australia and the GFC: Saved by Astute Fiscal Policy?," Economics Discussion / Working Papers 12-28, The University of Western Australia, Department of Economics.
    61. Koichiro Kamada & Tomohiro Sugo, 2006. "Evaluating Japanese Monetary Policy under the Non-negativity Constraint on Nominal Short-term Interest Rates," Bank of Japan Working Paper Series 06-E-17, Bank of Japan.
    62. John W. Keating & Isaac K. Kanyama, 2015. "Is sticky price adjustment important for output fluctuations?," Review of Keynesian Economics, Edward Elgar Publishing, vol. 3(3), pages 392-418, July.
    63. Gordon de Brouwer & Luci Ellis, 1998. "Forward-looking Behaviour and Credibility: Some Evidence and Implications for Policy," RBA Research Discussion Papers rdp9803, Reserve Bank of Australia.
    64. Bao-jun Tang & Pi-qin Gong & Cheng Shen, 2017. "Factors of carbon price volatility in a comparative analysis of the EUA and sCER," Annals of Operations Research, Springer, vol. 255(1), pages 157-168, August.
    65. José Ignacio Castillo Manzano & Fernando González Laxe & Lourdes López Valpuesta, 2006. "Una Introducción al Análisis del Tráfico de Contenedores mediante los Vectores Autoregresivos," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 5, pages 1-23, January.
    66. Christian Calmes & Frederic Dufourt, 2000. "Nominal Dynamics in Expected Market-Clearing Models," Cahiers de recherche CREFE / CREFE Working Papers 126, CREFE, Université du Québec à Montréal.
    67. Ante Babić, 2000. "The Monthly Transaction Money Demand in Croatia," Working Papers 5, The Croatian National Bank, Croatia.
    68. Denis VÎNTU, 2022. "Modeling The Dynamic Equilibrium Under The Policy Of Adjusting The Interest Rate And Taylor'S Rule Of National Bank Of Moldova (Nbm)," Management Strategies Journal, Constantin Brancoveanu University, vol. 55(1), pages 171-194.
    69. Palma, Nuno & Chen, Yao & Ward, Felix, 2023. "Goldilocks: American precious metals and the Rise of the West," CEPR Discussion Papers 17919, C.E.P.R. Discussion Papers.
    70. Canale, Rosaria Rita & Napolitano, Oreste, 2010. "The recessive attitude of EMU policies: reflections on the italian experience, 1998–2008," MPRA Paper 24705, University Library of Munich, Germany.
    71. Biswajit Maitra, 2011. "Anticipated Money, Unanticipated Money and Output Variations in Singapore," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(1), pages 118-133.
    72. Raymond Y.C. Tse & John Raftery, 2001. "The effects of money supply on construction flows," Construction Management and Economics, Taylor & Francis Journals, vol. 19(1), pages 9-17, January.
    73. Patrick J. Coe & James M. Nason, 2004. "Long-run monetary neutrality and long-horizon regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(3), pages 355-373.
    74. Chris Loewald & Konstantin Makrelov & Ekaterina Pirozhkova, 2022. "TheshorttermcostsofreducingtrendinflationinSouthAfrica," Working Papers 11029, South African Reserve Bank.
    75. Dong, Feng & Wen, Yi, 2019. "Long and Plosser meet Bewley and Lucas," Journal of Monetary Economics, Elsevier, vol. 102(C), pages 70-92.
    76. Muhammad Sadiq Ansari, 2007. "An Empirical Investigation of Cost Efficiency in the Banking Sector of Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 3, pages 209-231.
    77. Fabio Milani & John Treadwell, 2011. "The Effects of Monetary Policy "News" and "Surprises"," Working Papers 101109, University of California-Irvine, Department of Economics.
    78. Chakraborty, Lekha S, 2014. "Monetary Seigniorage in an Emerging Economy: Is there a scope for "free lunch" in financing public investment?," MPRA Paper 67497, University Library of Munich, Germany, revised 2015.
    79. Radchenko, Stanislav & Shapiro, Dmitry, 2011. "Anticipated and unanticipated effects of crude oil prices and gasoline inventory changes on gasoline prices," Energy Economics, Elsevier, vol. 33(5), pages 758-769, September.
    80. Lekha Chakraborty, 2018. "Monetary Seigniorage in an Emerging Economy: Empirical Evidences," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(5), pages 135-144, May.
    81. Halkos, George, 2010. "Financial and real sector interactions:the case of Greece," MPRA Paper 24391, University Library of Munich, Germany.
    82. Höppner, Florian & Gottschalk, Jan, 2001. "Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy," Kiel Working Papers 1074, Kiel Institute for the World Economy (IfW Kiel).
    83. Schumacher Christian & Dreger Christian, 2004. "Estimating Large-Scale Factor Models for Economic Activity in Germany: Do They Outperform Simpler Models? / Die Schätzung von großen Faktormodellen für die deutsche Volkswirtschaft: Übertreffen sie ei," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(6), pages 731-750, December.
    84. Monticello, Carlo & Tristani, Oreste, 1999. "What does the single monetary policy do? A SVAR benchmark for the European Central Bank," Working Paper Series 2, European Central Bank.
    85. Vîntu, Denis, 2022. "An Optimizing IS-LM Model Specification with Inflation Targeting. Microeconomic Evidence for Price Adjustment," MPRA Paper 112805, University Library of Munich, Germany, revised Dec 2021.
    86. Groenewold, Nicolaas, 2018. "Australia saved from the financial crisis by policy or by exports?," Journal of Policy Modeling, Elsevier, vol. 40(1), pages 118-135.
    87. Martins Bitans & Dainis Stikuts & Ivars Tillers, 2003. "Transmission of Monetary Shocks in Latvia," Working Papers 2003/01, Latvijas Banka.
    88. Roberto Perotti, 2012. "The Effects of Tax Shocks on Output: Not So Large, but Not Small Either," American Economic Journal: Economic Policy, American Economic Association, vol. 4(2), pages 214-237, May.
    89. Gottschalk, Jan & Höppner, Florian, 2001. "Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy," Bonn Econ Discussion Papers 21/2001, University of Bonn, Bonn Graduate School of Economics (BGSE).
    90. Breitung, Jörg, 1998. "Neuere Entwicklungen auf dem Gebiet ökonometrischer Strukturmodelle: Strukturelle Vektorautoregressionen," SFB 373 Discussion Papers 1998,80, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    91. Bachmeier, Lance, 2008. "Monetary policy and the transmission of oil shocks," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1738-1755, December.
    92. Dreger, Christian & Schumacher, Christian, 2002. "Estimating large-scale factor models for economic activity in Germany: Do they outperform simpler models?," HWWA Discussion Papers 199, Hamburg Institute of International Economics (HWWA).
    93. Kuppers, Markus, 2001. "Curtailing the black box: German banking groups in the transmission of monetary policy," European Economic Review, Elsevier, vol. 45(10), pages 1907-1930, December.
    94. Tiff Macklem & Alain Paquet & Louis Phaneuf, 1996. "Asymmetric Effects of Monetary Policy: Evidence from the Yield Curve," Cahiers de recherche CREFE / CREFE Working Papers 42, CREFE, Université du Québec à Montréal.
    95. Klaeffling, Matt, 2003. "Monetary policy shocks - a nonfundamental look at the data," Working Paper Series 228, European Central Bank.
    96. Binswanger, Mathias, 2004. "How important are fundamentals?--Evidence from a structural VAR model for the stock markets in the US, Japan and Europe," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 185-201, April.
    97. Kahn, Michael & Kandel, Shmuel & Sarig, Oded, 2002. "Real and nominal effects of central bank monetary policy," Journal of Monetary Economics, Elsevier, vol. 49(8), pages 1493-1519, November.
    98. Syed M. Harun & M. Kabir Hassan & Tarek S. Zaher, 2005. "Effect of Monetary Policy on Commercial Banks Across Different Business Conditions," Multinational Finance Journal, Multinational Finance Journal, vol. 9(1-2), pages 99-128, March-Jun.
    99. Fabio Milani & John Treadwell, 2012. "The Effects of Monetary Policy “News” and “Surprises”," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(8), pages 1667-1692, December.
    100. Keating, John W., 2000. "Macroeconomic Modeling with Asymmetric Vector Autoregressions," Journal of Macroeconomics, Elsevier, vol. 22(1), pages 1-28, January.

  39. John H. Cochrane, 1994. "Shocks," NBER Working Papers 4698, National Bureau of Economic Research, Inc.

    Cited by:

    1. Jinzhu Chen & Prakash Kannan & Prakash Loungani & Bharat Trehan, 2012. "New evidence on cyclical and structural sources of unemployment," Proceedings, Federal Reserve Bank of San Francisco, issue March, pages 1-23.
    2. Thapar, Aditi, 2008. "Using private forecasts to estimate the effects of monetary policy," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 806-824, May.
    3. Makoto Nirei, 2004. "Lumpy Investment, Sectoral Propagation, and Business Cycles," 2004 Meeting Papers 774, Society for Economic Dynamics.
    4. Prakash Loungani & Bharat Trehan, 1997. "Explaining unemployment: sectoral vs aggregate shocks," Economic Review, Federal Reserve Bank of San Francisco, pages 3-15.
    5. Eickmeier, Sandra, 2005. "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies 2005,02, Deutsche Bundesbank.
    6. Christian Ragacs & Martin Zagler, 2002. "Persistence of Shocks to Output in Austria and Theories of Economic Growth," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 29(4), pages 305-317, December.

  40. John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Aronsson, Thomas & Johansson-Stenman, Olof, 2014. "Publicly Provided Private Goods and Optimal Taxation when Consumers Have Positional Preferences," Umeå Economic Studies 886, Umeå University, Department of Economics.
    2. Yuming Li & Maosen Zhong, 2009. "International asset returns and exchange rates," The European Journal of Finance, Taylor & Francis Journals, vol. 15(3), pages 263-285.
    3. Auer, Benjamin R., 2013. "Can habit formation under complete market integration explain the cross-section of international equity risk premia?," Review of Financial Economics, Elsevier, vol. 22(2), pages 61-67.
    4. Andrei S. Gonçalves, 2021. "Reinvestment Risk and the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(5), pages 2153-2197, October.
    5. Stillwagon, Josh R., 2015. "Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 85-101.
    6. Havranek, Tomas & Rusnak, Marek & Sokolova, Anna, 2017. "Habit formation in consumption: A meta-analysis," European Economic Review, Elsevier, vol. 95(C), pages 142-167.
    7. Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2018. "A Measure of Risk Appetite for the Macroeconomy," NBER Working Papers 24529, National Bureau of Economic Research, Inc.
    8. 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).
    9. Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2008. "Macroeconomic determinants of stock market returns, volatility and volatility risk-premia," LSE Research Online Documents on Economics 24436, London School of Economics and Political Science, LSE Library.
    10. Xavier Gabaix & Samuel Fraiberg & Romain Ranciere & Adrien Verdehlha & Emmanuel Farhi, 2010. "Crash Risk in Currency Market," 2010 Meeting Papers 640, Society for Economic Dynamics.
    11. Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2005. "New-Keynesian Macroeconomics and the Term Structure," NBER Working Papers 11340, National Bureau of Economic Research, Inc.
    12. Xiaoji Lin, 2009. "Endogenous Technological Progress and the Cross Section of Stock Returns," FMG Discussion Papers dp634, Financial Markets Group.
    13. Valentin Haddad & Tyler Muir, 2021. "Do Intermediaries Matter for Aggregate Asset Prices?," Journal of Finance, American Finance Association, vol. 76(6), pages 2719-2761, December.
    14. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," FMG Discussion Papers dp707, Financial Markets Group.
    15. Kamma, Thijs & Pelsser, Antoon, 2022. "Near-optimal asset allocation in financial markets with trading constraints," European Journal of Operational Research, Elsevier, vol. 297(2), pages 766-781.
    16. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2018. "Ambiguity and the historical equity premium," Post-Print halshs-01886571, HAL.
    17. Francisco Gomes & Alexander Michaelides, 2003. "Portfolio Choice With Internal Habit Formation: A Life-Cycle Model With Uninsurable Labor Income Risk," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 729-766, October.
    18. Ghassan, Hassan B., 2015. "نموذج النفقة والإعتدال حسب كتابات الشيباني [Spending and Fairness Model Based on the Writing of Shibani]," MPRA Paper 80603, University Library of Munich, Germany, revised 2016.
    19. Leibovici, Fernando & Waugh, Michael E., 2019. "International trade and intertemporal substitution," Journal of International Economics, Elsevier, vol. 117(C), pages 158-174.
    20. 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.
    21. Ashby, M. & Linton, O. B., 2022. "Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?," Janeway Institute Working Papers 2226, Faculty of Economics, University of Cambridge.
    22. Robert E. Krainer, 2014. "Financial Aspects of Business Cycles: An Analysis of Balance Sheet Adjustments of U.S. Nonfinancial Enterprises over the Twentieth Century," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 371-407, March.
    23. Sing, Tien Foo & Zou, Yiheng, 2022. "Mortgage payments and equity premium puzzle," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 376-388.
    24. Ikeda, Shinsuke & Gombi, Ichiro, 2009. "Habit Formation In An Interdependent World Economy," Macroeconomic Dynamics, Cambridge University Press, vol. 13(4), pages 477-492, September.
    25. Schmeling, Maik & Schrimpf, Paul & Kroencke, Tim, 2019. "The FOMC Risk Shift," CEPR Discussion Papers 14037, C.E.P.R. Discussion Papers.
    26. Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, University Library of Munich, Germany, revised 16 Nov 2001.
    27. Paul Gao & Kevin X. D. Huang, 2004. "Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence," Research Working Paper RWP 04-07, Federal Reserve Bank of Kansas City.
    28. Ian Dew-Becker & Rhys Bidder, 2015. "Long-Run Risk is the Worst-Case Scenario," 2015 Meeting Papers 490, Society for Economic Dynamics.
    29. Kuehn, Lars-Alexander & Petrosky-Nadeau, Nicolas & Zhang, Lu, 2011. "An Equilibrium Asset Pricing Model with Labor Market Search," Working Paper Series 2012-01, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    30. Owen Lamont, "undated". "Earnings and Expected Returns," CRSP working papers 345, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    31. Zoran Ivkovich & Scott Weisbenner, 2007. "Information Diffusion Effects in Individual Investors' Common Stock Purchases Covet Thy Neighbors' Investment Choices," NBER Working Papers 13201, National Bureau of Economic Research, Inc.
    32. Raymond Kan & Cesare Robotti, 2016. "The Exact Distribution of the Hansen–Jagannathan Bound," Management Science, INFORMS, vol. 62(7), pages 1915-1943, July.
    33. Beck, Günter Wilfried & Kotz, Hans-Helmut, 2016. "Euro area shadow banking activities in a low-interest-rate environment: A flow-of-funds perspective," SAFE White Paper Series 37, Leibniz Institute for Financial Research SAFE.
    34. Barro, Robert J. & Liao, Gordon Y., 2021. "Rare disaster probability and options pricing," Journal of Financial Economics, Elsevier, vol. 139(3), pages 750-769.
    35. Söderlind, Paul, 2005. "C-CAPM Without Ex Post Data," CEPR Discussion Papers 5407, C.E.P.R. Discussion Papers.
    36. Farmer, Roger, 2016. "Pricing Assets in an Economy with Two Types of People," CEPR Discussion Papers 11253, C.E.P.R. Discussion Papers.
    37. Eric Swanson, 2015. "A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt," 2015 Meeting Papers 273, Society for Economic Dynamics.
    38. Lars Hultkrantz, 2021. "Discounting in economic evaluation of healthcare interventions: what about the risk term?," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 22(3), pages 357-363, April.
    39. Marjorie Flavin & Shinobu Nakagawa, 2004. "A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence," NBER Working Papers 10458, National Bureau of Economic Research, Inc.
    40. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
    41. Clark, Andrew E. & Masclet, David & Villeval, Marie Claire, 2006. "Effort and Comparison Income: Experimental and Survey Evidence," IZA Discussion Papers 2169, Institute of Labor Economics (IZA).
    42. Lewis, Karen K. & Liu, Edith X., 2017. "Disaster risk and asset returns: An international perspective," Journal of International Economics, Elsevier, vol. 108(S1), pages 42-58.
    43. Vivek Ghosal & Yang Ye, 2015. "Uncertainty and the employment dynamics of small and large businesses," Small Business Economics, Springer, vol. 44(3), pages 529-558, March.
    44. Philip Arestis & Georgios E Chortareas, 2008. "Atheoretical and Theory-Based Approaches to the Natural Equilibrium Real Interest Rate," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 34(3), pages 390-405.
    45. Giancarlo Corsetti & Luca Dedola & Francesca Viani, 2012. "Traded and Nontraded Goods Prices, and International Risk Sharing: An Empirical Investigation," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 8(1), pages 403-466.
    46. Federico Guglielmo Morelli & Michael Benzaquen & Marco Tarzia & Jean-Philippe Bouchaud, 2020. "Confidence collapse in a multihousehold, self-reflexive DSGE model," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 117(17), pages 9244-9249, April.
    47. Eran Hoffmann, 2018. "The Cyclical Composition of Startups," 2018 Meeting Papers 553, Society for Economic Dynamics.
    48. Hördahl, Peter & Tristani, Oreste & Vestin, David, 2007. "The yield curve and macroeconomic dynamics," Working Paper Series 832, European Central Bank.
    49. Aßmuth, Pascal, 2015. "Stock price related financial fragility and growth patterns," Center for Mathematical Economics Working Papers 539, Center for Mathematical Economics, Bielefeld University.
    50. Kothari, S.P. & Lewellen, Jonathan & Warner, Jerold B., 2006. "Stock returns, aggregate earnings surprises, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 79(3), pages 537-568, March.
    51. Monteiro, Marcel Stanlei & Gutierrez, Carlos Enrique Carrasco, 2022. "Testing Consumption-Based CAPM Using the Stochastic Discount Factor," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 76(1), June.
    52. Pierre-Olivier Gourinchas & Hélène Rey, 2007. "International Financial Adjustment," Journal of Political Economy, University of Chicago Press, vol. 115(4), pages 665-703, August.
    53. Verdelhan, Adrien & Van Nieuwerburgh, Stijn & Lustig, Hanno, 2012. "The Wealth-Consumption Ratio," CEPR Discussion Papers 9022, C.E.P.R. Discussion Papers.
    54. 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, vol. 45(6), pages 1117-1146, September.
    55. Charles L. Evans & David A. Marshall, 2001. "Economic determinants of the nominal treasury yield curve," Working Paper Series WP-01-16, Federal Reserve Bank of Chicago.
    56. Santos, Tano & Veronesi, Pietro, 2022. "Leverage," Journal of Financial Economics, Elsevier, vol. 145(2), pages 362-386.
    57. Hui Guo & Robert F. Whitelaw, 2003. "Uncovering the Risk-Return Relation in the Stock Market," NBER Working Papers 9927, National Bureau of Economic Research, Inc.
    58. Qadan, Mahmoud & Shuval, Kerem, 2022. "Variance risk and the idiosyncratic volatility puzzle," Finance Research Letters, Elsevier, vol. 45(C).
    59. Refet Gurkaynak, 2005. "Econometric Tests of Asset Price Bubbles: Taking Stock," Finance 0504008, University Library of Munich, Germany.
    60. Lloyd, Simon & Marin, Emile, 2020. "Exchange rate risk and business cycles," Bank of England working papers 872, Bank of England.
    61. Christian Bach & Peter O. Christensen, 2016. "Consumption-based equity valuation," Review of Accounting Studies, Springer, vol. 21(4), pages 1149-1202, December.
    62. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
    63. Sousa, Ricardo M., 2009. "Wealth effects on consumption: evidence from the euro area," Working Paper Series 1050, European Central Bank.
    64. Jonathan A. Parker, 2001. "The Consumption Risk of the Stock Market," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(2), pages 279-348.
    65. Martin Lettau & Sydney C. Ludvigson, 2014. "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
    66. Ray Fair, 2002. "Risk Aversion and Stock Prices," Yale School of Management Working Papers ysm311, Yale School of Management, revised 01 Aug 2007.
    67. Escanciano, Juan Carlos & Pardo-Fernandez, Juan Carlos & Van Keilegom, Ingrid, 2013. "Semiparametric Estimation of Risk-return Relationships," LIDAM Discussion Papers ISBA 2013035, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    68. Liya Chu & Xue-Zhong He & Kai Li & Jun Tu, 2022. "Investor Sentiment and Paradigm Shifts in Equity Return Forecasting," Management Science, INFORMS, vol. 68(6), pages 4301-4325, June.
    69. Cui, Liyuan & Hong, Yongmiao & Li, Yingxing, 2021. "Solving Euler equations via two-stage nonparametric penalized splines," Journal of Econometrics, Elsevier, vol. 222(2), pages 1024-1056.
    70. Michael Smolyansky, 2023. "End of an Era: The Coming Long-Run Slowdown in Corporate Profit Growth and Stock Returns," Finance and Economics Discussion Series 2023-041, Board of Governors of the Federal Reserve System (U.S.).
    71. Tim Bollerslev & Viktor Todorov, 2010. "Tails, Fears and Risk Premia," Working Papers 10-33, Duke University, Department of Economics.
    72. Karen K. Lewis, 2011. "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
    73. Robin Greenwood & Samuel G. Hanson, 2011. "Issuer Quality and the Credit Cycle," NBER Working Papers 17197, National Bureau of Economic Research, Inc.
    74. Hassan Shareef & Santhakumar Shijin, 2016. "Expectations Hypothesis and Term Structure of Interest Rates: An Evidence from Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(2), pages 137-152, June.
    75. Holden, Tom D. & Levine, Paul & Swarbrick, Jonathan M., 2017. "Credit crunches from occasionally binding bank borrowing constraints," EconStor Preprints 168441, ZBW - Leibniz Information Centre for Economics.
    76. Juan Carlos Parra‐Alvarez & Olaf Posch & Andreas Schrimpf, 2022. "Peso problems in the estimation of the C‐CAPM," Quantitative Economics, Econometric Society, vol. 13(1), pages 259-313, January.
    77. Sören Harrs & Lara Marie Müller & Bettina Rockenbach, 2021. "How Optimistic and Pessimistic Narratives about COVID-19 Impact Economic Behavior," ECONtribute Discussion Papers Series 091, University of Bonn and University of Cologne, Germany.
    78. Thomas Davidoff & Jeffrey R. Brown & Peter A. Diamond, 2003. "Annuities and Individual Welfare," NBER Working Papers 9714, National Bureau of Economic Research, Inc.
    79. Shaofeng Xu, 2017. "Volatility Risk and Economic Welfare," Staff Working Papers 17-20, Bank of Canada.
    80. Michael F. Gallmeyer & Burton Hollifield, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," 2005 Meeting Papers 676, Society for Economic Dynamics.
    81. Getaneh Mihret Ayele, 2021. "Does bank regulatory requirements affect risk‐taking behaviour of private banks in Ethiopia?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4482-4492, July.
    82. Holger Kraft & Claus Munk & Frank Thomas Seifried & Sebastian Wagner, 2017. "Consumption habits and humps," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(2), pages 305-330, August.
    83. Daniel L. Tortorice, 2014. "Equity Return Predictability, Time Varying Volatility and Learning About the Permanence of Shocks," Working Papers 70, Brandeis University, Department of Economics and International Business School.
    84. Stefan Nagel & Zhengyang Xu, 2019. "Asset Pricing with Fading Memory," NBER Working Papers 26255, National Bureau of Economic Research, Inc.
    85. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    86. Stephanie Schmitt-Grohe & Martin Uribe, 2008. "What's News in Business Cycles," NBER Working Papers 14215, National Bureau of Economic Research, Inc.
    87. René Garcia & Richard Luger, 2007. "The Canadian macroeconomy and the yield curve: an equilibrium-based approach," Canadian Journal of Economics, Canadian Economics Association, vol. 40(2), pages 561-583, May.
    88. Kim, Kun Ho, 2014. "Counter-cyclical risk aversion," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 384-401.
    89. Wei-Bin ZHANG, 2012. "Habits, Saving Propensity, And Economic Growth," Scientific Bulletin - Economic Sciences, University of Pitesti, vol. 11(2), pages 3-15.
    90. Mumtaz, Haroon & Theodoridis, Konstantinos, 2020. "Fiscal policy shocks and stock prices in the United States," European Economic Review, Elsevier, vol. 129(C).
    91. David Le Bris & William Goetzmann & Sébastien Pouget, 2019. "The present value relation over six centuries: The case of the Bazacle company," Post-Print hal-02281530, HAL.
    92. Cristian Badarinza, 2019. "Mortgage Debt and Social Externalities," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 34, pages 43-60, October.
    93. Riccardo Colacito & Eric Ghysels & Jinghan Meng & Wasin Siwasarit, 2016. "Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory," The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2069-2109.
    94. Horvath, Jaroslav, 2020. "Macroeconomic disasters and the equity premium puzzle: Are emerging countries riskier?," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
    95. Fausch, Jürg & Sigonius, Markus, 2018. "The impact of ECB monetary policy surprises on the German stock market," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 46-63.
    96. Mork, Knut Anton & Harang, Fabian Andsem & Trønnes, Haakon Andreas & Bjerketvedt, Vegard Skonseng, 2023. "Dynamic spending and portfolio decisions with a soft social norm," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
    97. Nengjiu Ju & Jianjun Miao, "undated". "Ambiguity, Learning, and Asset Returns," Boston University - Department of Economics - Working Papers Series wp2009-014, Boston University - Department of Economics.
    98. Emmanuelle Augeraud-Veron & Mauro Bambi, 2012. "Does habit formation always increase the agents' desire to smooth consumption?," Discussion Papers 12/12, Department of Economics, University of York.
    99. Bollerslev, Tim & Todorov, Viktor, 2023. "The jump leverage risk premium," Journal of Financial Economics, Elsevier, vol. 150(3).
    100. Tano Santos & Pietro Veronesi, 2004. "Conditional Betas," NBER Working Papers 10413, National Bureau of Economic Research, Inc.
    101. Mark Grinblatt & Matti Keloharju & Seppo Ikaheimo, 2004. "Interpersonal Effects in Consumption: Evidence from the Automobile Purchases of Neighbors," Yale School of Management Working Papers amz2474, Yale School of Management, revised 31 Dec 1969.
    102. Sarah Mouabbi & Jean-Paul Renne & Jean-Guillaume Sahuc, 2021. "Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective," Working papers 844, Banque de France.
    103. Takashi Kano, 2007. "Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect (Revised as CARF-F-124 (2008) )," CARF F-Series CARF-F-101, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    104. Cardak, Buly A. & Martin, Vance L., 2023. "Household willingness to take financial risk: Stockmarket movements and life‐cycle effects," Journal of Banking & Finance, Elsevier, vol. 149(C).
    105. Michael T. Kiley, 2010. "Habit Persistence, Nonseparability between Consumption and Leisure, or Rule-of-Thumb Consumers: Which Accounts for the Predictability of Consumption Growth?," The Review of Economics and Statistics, MIT Press, vol. 92(3), pages 679-683, August.
    106. Chuang, Wen-I & Lee, Bong-Soo, 2006. "An empirical evaluation of the overconfidence hypothesis," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2489-2515, September.
    107. Marko Korhonen & Mikko Puhakka & Matti Viren, 2017. "Economic hardship and suicides," International Journal of Social Economics, Emerald Group Publishing Limited, vol. 44(10), pages 1348-1360, October.
    108. Jack Favilukis, 2007. "Inequality, Stock Market Participation, and the Equity Premium," FMG Discussion Papers dp602, Financial Markets Group.
    109. G. Gopalakrishna, 2017. "Robust test of Long Run Risk and Valuation risk model," Working Papers wp1107, Dipartimento Scienze Economiche, Universita' di Bologna.
    110. Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010. "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 175-194, May.
    111. Kihlstrom, Richard, 2009. "Risk aversion and the elasticity of substitution in general dynamic portfolio theory: Consistent planning by forward looking, expected utility maximizing investors," Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 634-663, September.
    112. Laurent-Emmanuel Calvet & Adlai J. Fisher, 2008. "Multifrequency jump-diffusions: An equilibrium approach," Post-Print hal-00459681, HAL.
    113. Alex Chinco & Samuel M. Hartzmark & Abigail B. Sussman, 2022. "A New Test of Risk Factor Relevance," Journal of Finance, American Finance Association, vol. 77(4), pages 2183-2238, August.
    114. Aiyagari, S.R. & Gertler, M., 1998. ""Overreaction" of Asset Prices in General Equilibrium," Working Papers 98-25, C.V. Starr Center for Applied Economics, New York University.
    115. Grinblatt, Mark & Keloharju, Matti & Ikäheimo, Seppo, 2003. "Interpersonal Effects in Consumption: Evidence from the Automobile Purchases of Neighbors," University of California at Los Angeles, Anderson Graduate School of Management qt69h2f7cv, Anderson Graduate School of Management, UCLA.
    116. Bian, Yong & Meng, Qinglai, 2004. "Preferences, endogenous discount rate, and indeterminacy in a small open economy model," Economics Letters, Elsevier, vol. 84(3), pages 315-322, September.
    117. Richard Dennis, 2009. "Consumption Habits in a New Keynesian Business Cycle Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(5), pages 1015-1030, August.
    118. Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006. "Risk, Uncertainty and Asset Prices," NBER Working Papers 12248, National Bureau of Economic Research, Inc.
    119. González, Mariano & Nave, Juan & Rubio, Gonzalo, 2018. "Macroeconomic determinants of stock market betas," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 26-44.
    120. Jean-Pierre Danthine & John B. Donaldson & Christos Giannikos & Hany Guirguis, 2002. "On the Consequences of State Dependent Preferences for the Pricing of Financial Assets," Cahiers de Recherches Economiques du Département d'économie 02.17, Université de Lausanne, Faculté des HEC, Département d’économie.
    121. Aysun, Uluc, 2008. "Automatic stabilizer feature of fixed exchange rate regimes," Emerging Markets Review, Elsevier, vol. 9(4), pages 302-328, December.
    122. Yongseung Jung, 2010. "Asset Market Structures and Monetary Policy in a Small Open Economy," Macroeconomics Working Papers 22811, East Asian Bureau of Economic Research.
    123. Fagan, Gabriel & Gaspar, Ví­tor, 2007. "Adjusting to the euro," Working Paper Series 716, European Central Bank.
    124. Thomas D. Tallarini & Harold H. Zhang, 2005. "External habit and the cyclicality of expected stock returns," Finance and Economics Discussion Series 2005-27, Board of Governors of the Federal Reserve System (U.S.).
    125. Ghassan, Hassan B., 2015. "A Consumer Model and Social Welfare Based on the Writings of Shibani (750-805 AD, 131-189 AH)," MPRA Paper 72441, University Library of Munich, Germany, revised 05 Mar 2016.
    126. Sanso, Marcos & Aisa, Rosa M., 2006. "Endogenous longevity, biological deterioration and economic growth," Journal of Health Economics, Elsevier, vol. 25(3), pages 555-578, May.
    127. Aleksandar Vasilev, 2018. "Are Habits Important for the Propagation of Business Cycle Fluctuations in Bulgaria?," Bulgarian Economic Papers bep-2018-09, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria // Center for Economic Theories and Policies at Sofia University St Kliment Ohridski, revised Sep 2018.
    128. Konstantinos Angelopoulos & Spyridon Lazarakis & Jim Malley, 2019. "The Distributional Effects of Peer and Aspirational Pressure," CESifo Working Paper Series 7838, CESifo.
    129. Kevin J. Lansing, 2011. "Asset pricing with concentrated ownership of capital," Working Paper Series 2011-07, Federal Reserve Bank of San Francisco.
    130. Smith, William T. & Zhang, Qiang, 2007. "Asset pricing with multiplicative habit and power-expo preferences," Economics Letters, Elsevier, vol. 94(3), pages 319-325, March.
    131. Martin Lettau & Sydney C. Ludvigson, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, Federal Reserve Bank of New York.
    132. Aragó, V. & Barreda-Tarrazona, I. & Breaban, A. & Matallín, J.C. & Salvador, E., 2022. "Market risk aversion under volatility shifts: An experimental study," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 552-568.
    133. Andrew E. Clark & Conchita d'Ambrosio, 2015. "Attitudes to Income Inequality: Experimental and Survey Evidence," PSE-Ecole d'économie de Paris (Postprint) halshs-01109066, HAL.
    134. Friedman, Daniel & Ostrov, Daniel N., 2008. "Conspicuous consumption dynamics," Games and Economic Behavior, Elsevier, vol. 64(1), pages 121-145, September.
    135. Budria, Santiago & Díaz, Antonia, 2006. "Term premium and equity premium in economies with habit formation," UC3M Working papers. Economics we065522, Universidad Carlos III de Madrid. Departamento de Economía.
    136. Stavros Panageas & Nicolae Garleanu, 2008. "Yooung, Old, Conservative and Bold: The implications of finite lives and heterogeneity for asset prices," 2008 Meeting Papers 409, Society for Economic Dynamics.
    137. Schrimpf, Andreas, 2008. "International Stock Return Predictability Under Model Uncertainty," ZEW Discussion Papers 08-048, ZEW - Leibniz Centre for European Economic Research.
    138. Paul Ehling & Christian Heyerdahl-Larsen, 2017. "Correlations," Management Science, INFORMS, vol. 63(6), pages 1919-1937, June.
    139. 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.
    140. Hideaki Tamura & Yoichi Matsuabayashi, 2016. "Alternative Resolution to the Mehra?Prescott Puzzle: Verification by the Original Data," Discussion Papers 1634, Graduate School of Economics, Kobe University.
    141. Olivier Cardi & Gernot J. Muller, 2010. "Habit Formation and Fiscal Transmission in Open Economies," Working Papers hal-00544484, HAL.
    142. Paolo Gelain & Kevin J. Lansing, 2013. "House prices, expectations, and time-varying fundamentals," Working Paper 2013/05, Norges Bank.
    143. Aronsson, Thomas & Johansson-Stenman, Olof, 2014. "Genuine Saving and Conspicuous Consumption," Working Papers in Economics 605, University of Gothenburg, Department of Economics.
    144. Wang, Liyao, 2024. "Partisan conflict and corporate credit spreads: The role of political connection," Journal of Corporate Finance, Elsevier, vol. 84(C).
    145. Alessandro Beber & Michael W. Brandt, 2003. "The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market," NBER Working Papers 9914, National Bureau of Economic Research, Inc.
    146. Seok Young Hong & Oliver Linton, 2016. "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order," CeMMAP working papers CWP53/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    147. Louis R. Piccotti, 2022. "Portfolio returns and consumption growth covariation in the frequency domain, real economic activity, and expected returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(3), pages 513-549, September.
    148. Sharon Kozicki & Peter A. Tinsley, 2001. "Dynamic specifications in optimizing trend-deviation macro models," Research Working Paper RWP 01-03, Federal Reserve Bank of Kansas City.
    149. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
    150. Michael Weber & Christian Dorion & Alexandre Jeanneret & Harjoat Bhamra, 2017. "Deflation, Sticky Leverage and Asset Prices," 2017 Meeting Papers 796, Society for Economic Dynamics.
    151. Bhamra, Harjoat Singh & Kuehn, Lars-Alexander & Strebulaev, Ilya, 2018. "The Levered Equity Risk Premium and Credit Spreads: A Unified Framework," CEPR Discussion Papers 12827, C.E.P.R. Discussion Papers.
    152. Jacob Boudoukh & Matthew Richardson & Tom Smith & Robert Whitelaw, 1999. "Regime Shifts and Bond Returns," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-010, New York University, Leonard N. Stern School of Business-.
    153. Achury, Carolina & Hubar, Sylwia & Koulovatianos, Christos, 2011. "Saving rates and portfolio choice with subsistence consumption," CFS Working Paper Series 2011/06, Center for Financial Studies (CFS).
    154. Robin Greenwood & Samuel G. Hanson, 2013. "Issuer Quality and Corporate Bond Returns," The Review of Financial Studies, Society for Financial Studies, vol. 26(6), pages 1483-1525.
    155. V. Anton Muscatelli & Tiziano Ropele & Patrizio Tirelli, 2004. "Macroeconomic Adjustment in the Euro-area: The Role of Fiscal Policy," Working Papers 2005_20, Business School - Economics, University of Glasgow, revised May 2005.
    156. Huang-Meier, Winifred & Freeman, Mark C., 2015. "Aggregate dividends and consumption smoothing," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 324-335.
    157. Venky Venkateswaran, 2023. "Comment on "Long Term Expectations and Aggregate Fluctuations"," NBER Chapters, in: NBER Macroeconomics Annual 2023, volume 38, pages 363-368, National Bureau of Economic Research, Inc.
    158. Ferrari Minesso, Massimo & Pagliari, Maria Sole, 2023. "No country is an island. International cooperation and climate change," Journal of International Economics, Elsevier, vol. 145(C).
    159. Dr. Thomas Nitschka, 2014. "The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?," Working Papers 2014-01, Swiss National Bank.
    160. Konstantinos Angelopoulos & Stylianos Asimakopoulos & James Malley, 2014. "The optimal distribution of the tax burden over the business cycle," Discussion Papers 2014/17, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    161. Jeffrey R. Brown & Zoran Ivkovich & Paul A. Smith & Scott Weisbenner, 2004. "The Geography of Stock Market Participation: The Influence of Communities and Local Firms," NBER Working Papers 10235, National Bureau of Economic Research, Inc.
    162. Moore, Michael J. & Roche, Maurice J., 2010. "Solving exchange rate puzzles with neither sticky prices nor trade costs," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1151-1170, October.
    163. Lansing, Kevin J. & LeRoy, Stephen F. & Ma, Jun, 2022. "Examining the sources of excess return predictability: Stochastic volatility or market inefficiency?," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 50-72.
    164. Christopher D. Carroll & Jiri Slacalek & Martin Sommer, 2008. "International Evidence On Sticky Consumption Growth," Economics Working Paper Archive 542, The Johns Hopkins University,Department of Economics.
    165. Michael Waugh & Fernando Leibovici, 2010. "Cyclical Fluctuations in International Trade Volumes," 2010 Meeting Papers 1095, Society for Economic Dynamics.
    166. Pierre-Olivier Gourinchas & Hélène Rey, 2013. "External Adjustment, Global Imbalances and Valuation Effects," NBER Working Papers 19240, National Bureau of Economic Research, Inc.
    167. Glenn D. Rudebusch & Eric T. Swanson, 2008. "Examining the bond premium puzzle with a DSGE model," Working Paper Series 2007-25, Federal Reserve Bank of San Francisco.
    168. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-.
    169. Laine, Olli-Matti, 2022. "Evidence about the transmission of monetary policy," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number e53.
    170. Kashyap, Ravi, 2019. "The perfect marriage and much more: Combining dimension reduction, distance measures and covariance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    171. Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
    172. Kåre Johansen & Bjarne Strøm, 2001. "Efficiency Wages, Interfirm Comparison, and Unemployment," Southern Economic Journal, John Wiley & Sons, vol. 68(2), pages 387-402, October.
    173. Díaz, Antonio & Esparcia, Carlos, 2021. "Dynamic optimal portfolio choice under time-varying risk aversion," International Economics, Elsevier, vol. 166(C), pages 1-22.
    174. Nonejad, Nima, 2021. "Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important," International Review of Financial Analysis, Elsevier, vol. 77(C).
    175. Thomas Nitschka, 2014. "What News Drive Variation in Swiss and US Bond and Stock Excess Returns?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 150(II), pages 89-118, June.
    176. Falconio, Andrea & Manganelli, Simone, 2020. "Financial conditions, business cycle fluctuations and growth at risk," Working Paper Series 2470, European Central Bank.
    177. Koehne, Sebastian & Kuhn, Moritz, 2015. "Optimal taxation in a habit formation economy," Journal of Public Economics, Elsevier, vol. 122(C), pages 31-39.
    178. Calvet, Laurent-Emmanuel & Sodini, Paolo, 2011. "Twin picks: disentangling the determinants of risk-taking in household portfolios," HEC Research Papers Series 948, HEC Paris.
    179. Mehmet F. Dicle, 2019. "Increasing return response to changes in risk," Review of Financial Economics, John Wiley & Sons, vol. 37(1), pages 197-215, January.
    180. Zhao, Ningru & Shi, Yukun & Sun, Yang & Miao, Jiaming, 2020. "Aggregate labor market fluctuations under news shocks," Economic Modelling, Elsevier, vol. 90(C), pages 397-405.
    181. Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, "undated". "X-CAPM: An Extrapolative Capital Asset Pricing Model," Working Paper 86521, Harvard University OpenScholar.
    182. Binswanger, J., 2008. "A Simple Bounded-Rationality Life Cycle Model," Discussion Paper 2008-13, Tilburg University, Center for Economic Research.
    183. Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.
    184. Falato, Antonio, 2009. "Happiness maintenance and asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1247-1262, June.
    185. Zolotoy, Leon & Frederickson, James R. & Lyon, John D., 2017. "Aggregate earnings and stock market returns: The good, the bad, and the state-dependent," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 157-175.
    186. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
    187. Pierdzioch, Christian & Yener, Serkan, 2004. "On the Hump-Shaped Output Effect of Monetary Policy in an Open Economy," Kiel Working Papers 1214, Kiel Institute for the World Economy (IfW Kiel).
    188. Arturo Estrella & Jeffrey C. Fuhrer, 2002. "Dynamic Inconsistencies: Counterfactual Implications of a Class of Rational-Expectations Models," American Economic Review, American Economic Association, vol. 92(4), pages 1013-1028, September.
    189. Paul Söderlind, 2006. "C-CAPM Refinements and the Cross-Section of Returns," University of St. Gallen Department of Economics working paper series 2006 2006-07, Department of Economics, University of St. Gallen.
    190. Wendner, Ronald, 2010. "Ramsey, Pigou, and a Consumption Externality," MPRA Paper 21356, University Library of Munich, Germany.
    191. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
    192. Escobar-Posada, Rolando A. & Monteiro, Goncalo, 2017. "Optimal tax policy in the presence of productive, consumption, and leisure externalities," Economics Letters, Elsevier, vol. 152(C), pages 62-65.
    193. Guo, Hui & Savickas, Robert & Wang, Zijun & Yang, Jian, 2009. "Is the Value Premium a Proxy for Time-Varying Investment Opportunities? Some Time-Series Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(1), pages 133-154, February.
    194. Johannes K. Dreyer & Johannes Schneider & William T. Smith, 2020. "Saving-Based Asset Pricing and Leisure," Annals of Economics and Finance, Society for AEF, vol. 21(2), pages 507-526, November.
    195. KENT D. DANIEL & David Hirshleifer & AVANIDHAR SUBRAHMANYAM, 2004. "A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-reactions," Finance 0412006, University Library of Munich, Germany.
    196. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2007. "Asymmetric expectation effects of regime shifts and the Great Moderation," Working Papers 653, Federal Reserve Bank of Minneapolis.
    197. Moskowitz, Tobias J & Pedersen, Lasse Heje & Koijen, Ralph & Vrugt, Evert B., 2013. "Carry," CEPR Discussion Papers 9771, C.E.P.R. Discussion Papers.
      • Koijen, Ralph S.J. & Moskowitz, Tobias J. & Pedersen, Lasse Heje & Vrugt, Evert B., 2018. "Carry," Journal of Financial Economics, Elsevier, vol. 127(2), pages 197-225.
      • Ralph S.J. Koijen & Tobias J. Moskowitz & Lasse Heje Pedersen & Evert B. Vrugt, 2013. "Carry," NBER Working Papers 19325, National Bureau of Economic Research, Inc.
    198. Erdem Basci & Mehmet Fatih Ekinci, 2004. "Bond Premium in Turkey," Macroeconomics 0409007, University Library of Munich, Germany.
    199. Sjögren, Tomas, 2016. "Consumption Norms with Endogenous Norm Beliefs – Implications for Welfare, Commodity Taxation and Income Redistribution," Umeå Economic Studies 938, Umeå University, Department of Economics.
    200. Gianni Amisano & Oreste Tristani, 2019. "Uncertainty Shocks, Monetary Policy and Long-Term Interest Rates," Finance and Economics Discussion Series 2019-024, Board of Governors of the Federal Reserve System (U.S.).
    201. Martin Lettau & Sydney C. Ludvigson, 2004. "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," American Economic Review, American Economic Association, vol. 94(1), pages 276-299, March.
    202. Ivan Jaccard, 2010. "Asset Pricing and Housing Supply in a Production Economy," 2010 Meeting Papers 605, Society for Economic Dynamics.
    203. Aleksandar Vasilev, 2019. "Are Habits in Consumption Important for the Propagation of Business Cycle Fluctuations in Bulgaria?," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 11(3), pages 133-151, September.
    204. Anisha Ghosh & Christian Julliard & Alex P. Taylor, 2017. "What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 442-504.
    205. James Yetman & Gregor W. Smith, 2007. "The Curse Of Irving Fisher (professional Forecasters' Version)," Working Paper 1144, Economics Department, Queen's University.
    206. 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.
    207. Valentin Haddad & Alan Moreira & Tyler Muir, 2021. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response [Funding value adjustments]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5309-5351.
    208. Chang, Kuang-Liang, 2016. "Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 72-87.
    209. Roh, Tai-Yong & Lee, Changjun & Min, Byoung-Kyu, 2019. "Consumption growth predictability and asset prices," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 95-118.
    210. José Fillat & Stefania Garetto, 2010. "Risk, returns, and multinational production," Supervisory Research and Analysis Working Papers QAU10-5, Federal Reserve Bank of Boston.
    211. Casper van Ewijk & Henri de Groot & C. Santing, 2010. "A meta-analysis of the equity premium," CPB Discussion Paper 156, CPB Netherlands Bureau for Economic Policy Analysis.
    212. Zhongjun Qu & Denis Tkachenko, 2017. "Global Identification in DSGE Models Allowing for Indeterminacy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 84(3), pages 1306-1345.
    213. Kai Li & Chenjie Xu, 2023. "Asset pricing with a financial sector," Financial Management, Financial Management Association International, vol. 52(1), pages 67-95, March.
    214. Edoardo GAFFEO & Ivan PETRELLA & Damjan PFAJFAR & Emiliano SANTORO, 2010. "Reference-dependent preferences and the transmission of monetary policy," Working Papers of Department of Economics, Leuven ces10.28, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
    215. Andrew Atkeson & Patrick J. Kehoe, 2008. "On the need for a new approach to analyzing monetary policy," Working Papers 662, Federal Reserve Bank of Minneapolis.
    216. J. David Cummins & Mary A. Weiss, 2009. "Convergence of Insurance and Financial Markets: Hybrid and Securitized Risk‐Transfer Solutions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 493-545, September.
    217. Giraldo, Iader & Jaramillo, Fernando, 2020. "International trade and “Catching up with the Joneses”: Are the consumption patterns convergent?," Research in Economics, Elsevier, vol. 74(3), pages 233-249.
    218. Matthew Baron & Wei Xiong, 2016. "Credit Expansion and Neglected Crash Risk," NBER Working Papers 22695, National Bureau of Economic Research, Inc.
    219. Christopher Anderson, 2021. "Consumption-Based Asset Pricing When Consumers Make Mistakes," Finance and Economics Discussion Series 2021-015, Board of Governors of the Federal Reserve System (U.S.).
    220. Monteiro, Goncalo & Cook, Adam & Dey, Sanjoy, 2013. "Optimal tax policy under habit formation and capital utilization," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 230-248.
    221. Fernando Alvarez & Urban J. Jermann, 2000. "Using Asset Prices to Measure the Cost of Business Cycles," NBER Working Papers 7978, National Bureau of Economic Research, Inc.
    222. Stephane Auray & Fabrice Collard & Patrick Feve, 2005. "Habit Persistence, Money Growth Rule and Real Indeterminacy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(1), pages 48-67, January.
    223. Zechner, Josef & Chaderina, Maria & Weiss, Patrick, 2020. "The Maturity Premium," CEPR Discussion Papers 14570, C.E.P.R. Discussion Papers.
    224. Bovenberg, Lans & Nijman, Theo, 2015. "Personal Pensions with Risk Sharing, Affordable, Adequate and Stable Private Pensions in Europe," Other publications TiSEM 847e1615-acc8-4a4d-ac4c-5, Tilburg University, School of Economics and Management.
    225. Denis Conniffe, 2007. "The Generalised Extreme Value Distribution as Utility Function," The Economic and Social Review, Economic and Social Studies, vol. 38(3), pages 275-288.
    226. Marcus Miller & Paul Weller & Lei Zhang, 2002. "Moral Hazard and the US Stock Market: Analysing the "Greenspan Put"," Economic Journal, Royal Economic Society, vol. 112(478), pages 171-186, March.
    227. Juan Antolin-Diaz & Ivan Petrella & Juan F. Rubio-Ramirez, 2021. "Dividend Momentum and Stock Return Predictability: A Bayesian Approach," FRB Atlanta Working Paper 2021-25, Federal Reserve Bank of Atlanta.
    228. Reichlin, Pietro & Borri, Nicola, 2019. "Optimal Taxation with Homeownership and Wealth Inequality," CEPR Discussion Papers 14144, C.E.P.R. Discussion Papers.
    229. Gadi Barlevy, 2004. "The Cost of Business Cycles and the Benefits of Stabilization: A Survey," NBER Working Papers 10926, National Bureau of Economic Research, Inc.
    230. Susanto Basu & Giacomo Candian & Ryan Chahrour & Rosen Valchev, 2021. "Risky Business Cycles," NBER Working Papers 28693, National Bureau of Economic Research, Inc.
    231. Miguel Cantillo Simon, 2019. "Asset Pricing with Heterogeneous Agents and Non-Tradeable Assets," Working Papers 201907, Universidad de Costa Rica, revised Dec 2019.
    232. Florens Odendahl & Barbara Rossi & Tatevik Sekhposyan, 2021. "Evaluating Forecast Performance with State Dependence," Working Papers 1295, Barcelona School of Economics.
    233. Kocherlakota, Narayana R. & Pistaferri, Luigi, 2005. "Asset pricing implications of Pareto optimality with private information," Discussion Paper Series 1: Economic Studies 2005,29, Deutsche Bundesbank.
    234. John H Cochrane, 2022. "Portfolios for Long-Term Investors [Rare disasters and asset markets in the twentieth century]," Review of Finance, European Finance Association, vol. 26(1), pages 1-42.
    235. Bernd Hayo & Britta Niehof, 2014. "Monetary and Fiscal Policy in Times of Crises: A New Keynesian Perspective in Continuous Time," MAGKS Papers on Economics 201455, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    236. Chang, C-L. & Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Econometric Institute Research Papers EI2018-39, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    237. Hanno Lustig & Stijn Van Nieuwerburgh, 2005. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," NBER Working Papers 11564, National Bureau of Economic Research, Inc.
    238. Armando N. Meier, 2021. "Emotions and Risk Attitudes," SOEPpapers on Multidisciplinary Panel Data Research 1118, DIW Berlin, The German Socio-Economic Panel (SOEP).
    239. Marcelo Pinheiro, 2008. "Demand shocks and market manipulation," Annals of Finance, Springer, vol. 4(3), pages 269-298, July.
    240. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
    241. Lecca, Patrizio & Swales, Kim & Turner, Karen, 2011. "Rebound Effects from Increased Efficiency in the Use of Energy by UK Households," SIRE Discussion Papers 2011-34, Scottish Institute for Research in Economics (SIRE).
    242. Allen Head & Gregor W. Smith, 2004. "Real Exchange Rates, Preferences, And Incomplete Markets: Evidence, 1961-2001," Working Paper 1246, Economics Department, Queen's University.
    243. Fornari, Fabio & Mele, Antonio, 2009. "Financial volatility and economic activity," LSE Research Online Documents on Economics 29309, London School of Economics and Political Science, LSE Library.
    244. Grammig, Joachim & Schrimpf, Andreas, 2009. "Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns," Review of Financial Economics, Elsevier, vol. 18(3), pages 113-123, August.
    245. Paul Castillo & Carlos Montoro & Vicente Tuesta, 2013. "An Estimated Stochastic General Equilibrium Model with Partial Dollarization: A Bayesian Approach," Open Economies Review, Springer, vol. 24(2), pages 217-265, April.
    246. Kozak, Serhiy & Santosh, Shrihari, 2020. "Why do discount rates vary?," Journal of Financial Economics, Elsevier, vol. 137(3), pages 740-751.
    247. Cecilia García-Peñalosa & Stephen Turnovsky, 2008. "Consumption externalities: a representative consumer model when agents are heterogeneous," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 37(3), pages 439-467, December.
    248. Otrok, Christopher, 2001. "On measuring the welfare cost of business cycles," Journal of Monetary Economics, Elsevier, vol. 47(1), pages 61-92, February.
    249. Han, Yufeng & Zhou, Guofu & Zhu, Yingzi, 2016. "A trend factor: Any economic gains from using information over investment horizons?," Journal of Financial Economics, Elsevier, vol. 122(2), pages 352-375.
    250. Stephanie Schmitt-Grohe & Martin Uribe, 2010. "The Optimal Rate of Inflation," NBER Working Papers 16054, National Bureau of Economic Research, Inc.
    251. Jang‐Ting Guo & Alan Krause, 2011. "Optimal Nonlinear Income Taxation with Habit Formation," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 13(3), pages 463-480, June.
    252. Larbi Alaoui & Alvaro Sandroni, 2013. "Predestination and the Protestant ethic," Economics Working Papers 1350, Department of Economics and Business, Universitat Pompeu Fabra.
    253. Rohan Dutta & David K Levine & Salvatore Modica, 2018. "Interventions when Social Norms are Endogenous: A Critique," Levine's Bibliography 786969000000001479, UCLA Department of Economics.
    254. Challe, Edouard & Mojon, Benoit & Ragot, Xavier, 2013. "Equilibrium risk shifting and interest rate in an opaque financial system," European Economic Review, Elsevier, vol. 63(C), pages 117-133.
    255. Ellen R. McGrattan & Edward C. Prescott, 2001. "Taxes, regulations, and asset prices," Working Papers 610, Federal Reserve Bank of Minneapolis.
    256. Christopher Polk & Samuel Thompson & Tuomo Vuolteenaho, 2004. "New Forecasts of the Equity Premium," NBER Working Papers 10406, National Bureau of Economic Research, Inc.
    257. Postlewaite, Andrew & Krueger, Dirk & Hai, Rong, 2013. "On the Welfare Cost of Consumption Fluctuations in the Presence of Memorable Goods," CEPR Discussion Papers 9623, C.E.P.R. Discussion Papers.
    258. Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
    259. Mirko Draca & Stephen Machin, 2015. "Crime and Economic Incentives," Annual Review of Economics, Annual Reviews, vol. 7(1), pages 389-408, August.
    260. Josep Pijoan-Mas, 2007. "Pricing Risk in Economies with Heterogeneous Agents and Incomplete Markets," Journal of the European Economic Association, MIT Press, vol. 5(5), pages 987-1015, September.
    261. Aydilek, Asiye, 2013. "Habit formation and housing over the life cycle," Economic Modelling, Elsevier, vol. 33(C), pages 858-866.
    262. Rui Albuquerque & Martin Eichenbaum & Dimitris Papanikolaou & Sergio Rebelo, 2015. "Long-run Bulls and Bears," NBER Working Papers 20858, National Bureau of Economic Research, Inc.
    263. Marcelle Chauvet & Zeynep Senyuz & Emre Yoldas, 2013. "What does financial volatility tell us about macroeconomic fluctuations?," Finance and Economics Discussion Series 2013-61, Board of Governors of the Federal Reserve System (U.S.).
    264. Kyle Jurado, 2016. "Advance Information and Distorted Beliefs in Macroeconomic and Financial Fluctuations," 2016 Meeting Papers 154, Society for Economic Dynamics.
    265. Geert Bekaert & Campbell R. Harvey & Christian Lundblad & Stephan Siegel, 2009. "What Segments Equity Markets?," NBER Working Papers 14802, National Bureau of Economic Research, Inc.
    266. Hazan, Moshe & D. Maoz, Yishay, 2002. "Women's labor force participation and the dynamics of tradition," Economics Letters, Elsevier, vol. 75(2), pages 193-198, April.
    267. Nitschka, Thomas & Satkurunathan, Shajivan, 2021. "Habits die hard: implications for bond and stock markets internationally," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242358, Verein für Socialpolitik / German Economic Association.
    268. Olaf Posch, 2010. "Risk Premia in General Equilibrium," CESifo Working Paper Series 3131, CESifo.
    269. Guvenen, Fatih, 2006. "Reconciling conflicting evidence on the elasticity of intertemporal substitution: A macroeconomic perspective," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1451-1472, October.
    270. Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2021. "Option Pricing with State-dependent Pricing Kernel," Papers 2112.05308, arXiv.org, revised Apr 2022.
    271. Fernando Alexandre & Vasco J. Gabriel & Pedro Bação, 2007. "The Consumption-Wealth Ratio Under Asymmetric Adjustment," NIPE Working Papers 15/2007, NIPE - Universidade do Minho.
    272. Zhou, Y., 2014. "Essays on habit formation and inflation hedging," Other publications TiSEM 4886da12-1b84-4fd9-aa07-3, Tilburg University, School of Economics and Management.
    273. Agnieszka (A.P.) Markiewicz & Rafal Raciborski, 2018. "Income Inequality and Stock Market Returns," Tinbergen Institute Discussion Papers 18-075/IV, Tinbergen Institute.
    274. Robert E. Hall, 2003. "Dynamics of corporate earnings," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    275. Bonciani, Dario, 2014. "Uncertainty shocks: it's a matter of habit," MPRA Paper 59370, University Library of Munich, Germany.
    276. Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
    277. Liliana Gonzalez & Philip Hoang & John G. Powell Massey & Jing Shi, 2006. "Defining and Dating Bull and Bear Markets: Two Centuries of Evidence," Multinational Finance Journal, Multinational Finance Journal, vol. 10(1-2), pages 81-116, March-Jun.
    278. Juan-Ángel Jiménez-Martín & Alfonso Novales Cinca, 2009. "State-Uncertainty preferences and the Risk Premium in the Exchange rate market," Documentos de Trabajo del ICAE 2009-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    279. M. Berument & Nukhet Dogan, 2012. "Stock market return and volatility: day-of-the-week effect," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 282-302, April.
    280. Elkamhi, Redouane & Jo, Chanik, 2023. "Asset holders’ consumption risk and tests of conditional CCAPM," Journal of Financial Economics, Elsevier, vol. 148(3), pages 220-244.
    281. Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Econometric Society 2004 North American Summer Meetings 477, Econometric Society.
    282. Lettau, Martin & Wachter, Jessica, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium," CEPR Discussion Papers 4921, C.E.P.R. Discussion Papers.
    283. René Garcia & Richard Luger & Eric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.
    284. Szőke, Bálint, 2022. "Estimating robustness," Journal of Economic Theory, Elsevier, vol. 199(C).
    285. Pagel, Michaela, 2012. "Expectations-Based Reference-Dependent Preferences and Asset Pricing," MPRA Paper 47933, University Library of Munich, Germany.
    286. Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo, 2011. "Stock market volatility and learning," LSE Research Online Documents on Economics 121739, London School of Economics and Political Science, LSE Library.
    287. Frederick Ploeg, 2021. "Carbon pricing under uncertainty," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 28(5), pages 1122-1142, October.
    288. Ignacio Presno & Demian Pouzo, 2012. "Sovereign Default Risk and Uncertainty Premia," 2012 Meeting Papers 608, Society for Economic Dynamics.
    289. Cavallari, Lilia, 2022. "The international real business cycle when demand matters," Journal of Macroeconomics, Elsevier, vol. 73(C).
    290. George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, August.
    291. George Halkos & Argyro Zisiadou, 2021. "Can We Hedge an Investment Against A Potential Unexpected Environmental Disaster?," Economics of Disasters and Climate Change, Springer, vol. 5(3), pages 355-365, October.
    292. Wendner, Ronald, 2003. "Do habits raise consumption growth?," Research in Economics, Elsevier, vol. 57(2), pages 151-163, June.
    293. Sebastian Di Tella, 2018. "A Neoclassical Theory of Liquidity Traps," 2018 Meeting Papers 96, Society for Economic Dynamics.
    294. Mao-Wei Hung & Jr-Yan Wang, 2011. "Loss aversion and the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 43(29), pages 4623-4640.
    295. Rebelo, Sérgio, 2005. "Real Business Cycle Models: Past, Present and Future," CEPR Discussion Papers 5384, C.E.P.R. Discussion Papers.
    296. Guo, Hui, 2004. "Limited Stock Market Participation and Asset Prices in a Dynamic Economy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(3), pages 495-516, September.
    297. Sarita Bunsupha, 2018. "Extrapolative Beliefs and Exchange Rate Markets," PIER Discussion Papers 84, Puey Ungphakorn Institute for Economic Research.
    298. John H. Cochrane, 1999. "New Facts in Finance," NBER Working Papers 7169, National Bureau of Economic Research, Inc.
    299. Eisenbach, Thomas M. & Schmalz, Martin C., 2016. "Anxiety in the face of risk," Journal of Financial Economics, Elsevier, vol. 121(2), pages 414-426.
    300. Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 2002. "Habit formation: a resolution of the equity premium puzzle?," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1261-1288, September.
    301. Paulo Maio, 2007. "ICAPM with time-varying risk aversion," Money Macro and Finance (MMF) Research Group Conference 2006 111, Money Macro and Finance Research Group.
    302. Marlène Isoré, 2012. "Essays in macro-finance [Essais de macro-finance]," SciencePo Working papers Main tel-03669376, HAL.
    303. Ivan Jaccard, 2007. "Asset Pricing, Habit Memory, and the Labor Market," Swiss Finance Institute Research Paper Series 07-23, Swiss Finance Institute, revised Nov 2007.
    304. CAMPANALE, Claudio & CASTRO, Rui & CLEMENTI, Gian Luca, 2009. "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Cahiers de recherche 10-2009, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    305. Ko Adachi & Kazuhiro Hiraki & Tomiyuki Kitamura, 2021. "Supplementary Paper Series for the "Assessment" (1): The Effects of the Bank of Japan's ETF Purchases on Risk Premia in the Stock Markets," Bank of Japan Working Paper Series 21-E-3, Bank of Japan.
    306. Aase, Knut K., 2015. "The equity premium in a production economy; A new perspective involving recursive utility," Discussion Papers 2015/15, Norwegian School of Economics, Department of Business and Management Science.
    307. González-Sánchez, Mariano, 2022. "Factorial asset pricing models using statistical anomalies," Research in International Business and Finance, Elsevier, vol. 60(C).
    308. Timmermann, Allan & Pettenuzzo, Davide & Gargano, Antonio, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," CEPR Discussion Papers 10104, C.E.P.R. Discussion Papers.
    309. Fratzscher, Marcel & Müller, Gernot J. & Bussière, Matthieu, 2004. "Current accounts dynamics in OECD and EU acceding countries - an intertemporal approach," Working Paper Series 311, European Central Bank.
    310. Giammarioli, Nicola & Valla, Natacha, 2004. "The natural real interest rate and monetary policy: a review," Journal of Policy Modeling, Elsevier, vol. 26(5), pages 641-660, July.
    311. Yan Li & Liyan Yang, 2013. "Asset-Pricing Implications of Dividend Volatility," Management Science, INFORMS, vol. 59(9), pages 2036-2055, September.
    312. Kalotay, Egon & Gray, Philip & Sin, Samantha, 2007. "Consumer expectations and short-horizon return predictability," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3102-3124, October.
    313. Jaccard Ivan, 2011. "Asset Pricing and Housing Supply in a Production Economy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-40, October.
    314. Dimitris Georgarakos & Michael Haliassos & Giacomo Pasini, 2014. "Household Debt and Social Interactions," The Review of Financial Studies, Society for Financial Studies, vol. 27(5), pages 1404-1433.
    315. Khorunzhina, Natalia, 2015. "Real business-cycle model with habits: Empirical investigation," Economic Modelling, Elsevier, vol. 46(C), pages 61-69.
    316. Pflueger, Carolin & Rinaldi, Gianluca, 2022. "Why does the Fed move markets so much? A model of monetary policy and time-varying risk aversion," Journal of Financial Economics, Elsevier, vol. 146(1), pages 71-89.
    317. Wickens, Michael R., 2003. "Microeconomic Sources of Equity Risk," CEPR Discussion Papers 4070, C.E.P.R. Discussion Papers.
    318. Liu, Jingyi, 2008. "Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?," SIRE Discussion Papers 2008-07, Scottish Institute for Research in Economics (SIRE).
    319. Guiso, Luigi, 2012. "Household Finance: An Emerging Field," CEPR Discussion Papers 8934, C.E.P.R. Discussion Papers.
    320. Olkhov, Victor, 2018. "Expectations, Price Fluctuations and Lorenz Attractor," MPRA Paper 89105, University Library of Munich, Germany.
    321. de Farias Neto, Joao Jose, 2008. "S-shaped utility, subprime crash and the black swan," MPRA Paper 12122, University Library of Munich, Germany.
    322. Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski, 2015. "Generalized Autoregressive Method of Moments," Tinbergen Institute Discussion Papers 15-138/III, Tinbergen Institute, revised 06 Jul 2018.
    323. Pierdzioch, Christian, 2003. "Keeping Up with the Joneses: Implications for the Welfare Effects of Monetary Policy in Open Economies," Kiel Working Papers 1166, Kiel Institute for the World Economy (IfW Kiel).
    324. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
    325. Michael D. Bauer & James D. Hamilton, 2015. "Robust Bond Risk Premia," CESifo Working Paper Series 5541, CESifo.
    326. Wang, Hailong & Hu, Duni, 2020. "Disagreement with procyclical beliefs and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    327. 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.
    328. Marcet, Albert & Scott, Andrew & Faraglia, Elisa, 2008. "In Search of a Theory of Debt Management," CEPR Discussion Papers 6859, C.E.P.R. Discussion Papers.
    329. Avdis, Efstathios & Wachter, Jessica A., 2017. "Maximum likelihood estimation of the equity premium," Journal of Financial Economics, Elsevier, vol. 125(3), pages 589-609.
    330. Tano Santos & Pietro Veronesi, 2016. "Leverage," NBER Working Papers 22905, National Bureau of Economic Research, Inc.
    331. Olkhov, Victor, 2019. "New Essentials of Economic Theory," MPRA Paper 95065, University Library of Munich, Germany.
    332. Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.
    333. Valdivia Coria, Joab Dan & Valdivia Coria, Daney David, 2019. "Microfundaments of a Monetary Policy Rule, Poole's Rule," MPRA Paper 95489, University Library of Munich, Germany.
    334. Wyart, Matthieu & Bouchaud, Jean-Philippe, 2007. "Self-referential behaviour, overreaction and conventions in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 63(1), pages 1-24, May.
    335. Beaudry, Paul & Guay, Alain, 1996. "What do interest rates reveal about the functioning of real business cycle models?," Journal of Economic Dynamics and Control, Elsevier, vol. 20(9-10), pages 1661-1682.
    336. Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2014. "International correlation risk," LSE Research Online Documents on Economics 60955, London School of Economics and Political Science, LSE Library.
    337. Vázquez, Jesús & Aguilar, Pablo, 2021. "Adaptive learning with term structure information," European Economic Review, Elsevier, vol. 134(C).
    338. Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society.
    339. Wen, Yi, 2002. "Fickle Consumers versus Random Technology: Explaining Domestic and International Comovements," Working Papers 02-01, Cornell University, Center for Analytic Economics.
    340. Gómez Manuel A., 2010. "Endogenous Growth, Habit Formation and Convergence Speed," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-32, January.
    341. Maik Dierkes & Jan Krupski & Sebastian Schroen & Philipp Sibbertsen, 2024. "Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle," Review of Derivatives Research, Springer, vol. 27(1), pages 1-35, April.
    342. Mele, Antonio, 2004. "General properties of rational stock-market fluctuations," LSE Research Online Documents on Economics 24701, London School of Economics and Political Science, LSE Library.
    343. Madsen, Jakob B., 2010. "Growth and capital deepening since 1870: Is it all technological progress?," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 641-656, June.
    344. Hlouskova, Jaroslava & Fortin, Ines & Tsigaris, Panagiotis, 2019. "The consumption–investment decision of a prospect theory household: A two-period model with an endogenous second period reference level," Journal of Mathematical Economics, Elsevier, vol. 85(C), pages 93-108.
    345. Narayan, Paresh Kumar & Narayan, Seema & Thuraisamy, Kannan Sivananthan, 2014. "Can institutions and macroeconomic factors predict stock returns in emerging markets?," Emerging Markets Review, Elsevier, vol. 19(C), pages 77-95.
    346. Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2019. "The Time Variation in Risk Appetite and Uncertainty," NBER Working Papers 25673, National Bureau of Economic Research, Inc.
    347. Dioikitopoulos, Evangelos & Turnovsky, Stephen & Wendner, Ronald, 2017. "Dynamic Status Effects, Savings, and Income Inequality," MPRA Paper 81005, University Library of Munich, Germany.
    348. Auer Benjamin R., 2012. "Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren? / Can Time-varying Parameter Specification Based on Consumption Variables Rehabilitate CAPM, ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 232(5), pages 518-544, October.
    349. Shiller, Robert J. & Campbell, John Y. & Viceira, Luis Manuel, 2009. "Understanding Inflation-Indexed Bond Markets," Scholarly Articles 10885503, Harvard University Department of Economics.
    350. Mohsen Jafarian & Fauzias Mat Nor & Izani Ibrahim, 2018. "The Relative Importance of Cash Flow News and Discount Rate News at Driving Stock Price Change," Capital Markets Review, Malaysian Finance Association, vol. 26(1), pages 56-72.
    351. Jennings, Colin & Roelfsema, Hein, 2008. "Civil conflict, federalism and strategic delegation of leadership," SIRE Discussion Papers 2008-16, Scottish Institute for Research in Economics (SIRE).
    352. Antonia Díaz & Josep Pijoan-Mas & José-Víctor Ríos-Rull, 2002. "Precautionary Savings and Wealth Distribution Under Habit Formation Preferences," Working Papers wp2002_0207, CEMFI.
    353. Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
    354. Grammig, Joachim & Küchlin, Eva-Maria, 2018. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," Journal of Econometrics, Elsevier, vol. 205(1), pages 6-33.
    355. Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.).
    356. Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
    357. Moore, Michael J. & Roche, Maurice J., 2002. "Less of a puzzle: a new look at the forward forex market," Journal of International Economics, Elsevier, vol. 58(2), pages 387-411, December.
    358. Anastasios G. Malliaris & Ramaprasad Bhar, 2011. "Dividends, Momentum, and Macroeconomic Variables as Determinants of the US Equity Premium Across Economic Regimes," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 3(1), pages 27-53, April.
    359. Dittmar, Robert F. & Lundblad, Christian T., 2017. "Firm characteristics, consumption risk, and firm-level risk exposures," Journal of Financial Economics, Elsevier, vol. 125(2), pages 326-343.
    360. Scholz, Michael & Nielsen, Jens Perch & Sperlich, Stefan, 2015. "Nonparametric prediction of stock returns based on yearly data: The long-term view," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 143-155.
    361. Safarzyńska, Karolina & van den Bergh, Jeroen C.J.M., 2017. "Integrated crisis-energy policy: Macro-evolutionary modelling of technology, finance and energy interactions," Technological Forecasting and Social Change, Elsevier, vol. 114(C), pages 119-137.
    362. Kakeu, Johnson & Nguimkeu, Pierre, 2017. "Habit formation and exhaustible resource risk-pricing," Energy Economics, Elsevier, vol. 64(C), pages 1-12.
    363. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
    364. Favero, Carlo A. & Söderström, Ulf & Kaminska, Iryna, 2005. "The Predictive Power of the Yield Spread: Further Evidence and A Structural Interpretation," CEPR Discussion Papers 4910, C.E.P.R. Discussion Papers.
    365. Thomas Nitschka, 2007. "Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies," IEW - Working Papers 340, Institute for Empirical Research in Economics - University of Zurich.
    366. Falk, Armin & Knell, Markus, 2004. "Choosing the Joneses: Endogenous Goals and Reference Standards," IZA Discussion Papers 1152, Institute of Labor Economics (IZA).
    367. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
    368. John Driffill & Turalay Kenc & Martin Sola, 2013. "Real Options With Priced Regime-Switching Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(05), pages 1-30.
    369. Hong, Seok Young & Linton, Oliver, 2020. "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Journal of Econometrics, Elsevier, vol. 219(2), pages 389-424.
    370. Massimo Guidolin & Francesco Ravazzolo & Andrea Tortora, 2014. "Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 477-523, November.
    371. Eickmeier, Sandra & Hofmann, Boris, 2010. "Monetary policy, housing booms and financial (im)balances," Discussion Paper Series 1: Economic Studies 2010,07, Deutsche Bundesbank.
    372. Eric T. Swanson & John C. Williams, 2012. "Measuring the effect of the zero lower bound on medium- and longer-term interest rates," Working Paper Series 2012-02, Federal Reserve Bank of San Francisco.
    373. Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
    374. Sanglim Lee, 2012. "Expected Currency Excess Returns and International Business Cycles," Working papers 2012-16, University of Connecticut, Department of Economics.
    375. Lise Clain-Chamosset-Yvrard, 2021. "Expectation-driven asset price fluctuations under the spirit of capitalism hypothesis: The role of heterogeneity," Post-Print halshs-02096620, HAL.
    376. John Cotter & Enrique Salvador, 2014. "The non-linear trade-off between return and risk: a regime-switching multi-factor framework," Working Papers 201414, Geary Institute, University College Dublin.
    377. Chiaki Hara & James Huang & Christoph Kuzmics, 2006. "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," KIER Working Papers 620, Kyoto University, Institute of Economic Research.
    378. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2011. "Risk, Monetary Policy and the Exchange Rate," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 247-309, National Bureau of Economic Research, Inc.
    379. Bui, Duy-Tung & Nguyen, Canh Phuc & Su, Thanh Dinh, 2021. "Asymmetric impacts of monetary policy and business cycles on bank risk-taking: Evidence from Emerging Asian markets," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
    380. Ivan Jaccard & Gauthier Vermandel & Ghassane Benmir, 2022. "Green asset pricing," Working Papers hal-03510811, HAL.
    381. Orazio P. Attanasio & Guglielmo Weber, 2010. "Consumption and Saving: Models of Intertemporal Allocation and Their Implications for Public Policy," NBER Working Papers 15756, National Bureau of Economic Research, Inc.
    382. Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," NBER Working Papers 25122, National Bureau of Economic Research, Inc.
    383. Gourinchas, Pierre-Olivier & Rey, Hélène, 2014. "External Adjustment, Global Imbalances, Valuation Effects," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 585-645, Elsevier.
    384. González-Sánchez, Mariano & Nave, Juan & Rubio, Gonzalo, 2020. "Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity," Research in International Business and Finance, Elsevier, vol. 53(C).
    385. Jair N. Ojeda-Joya, 2014. "A Consumption-Based Approach to Exchange Rate Predictability," Borradores de Economia 12339, Banco de la Republica.
    386. Demetrescu, Matei & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023. "Transformed regression-based long-horizon predictability tests," Journal of Econometrics, Elsevier, vol. 237(2).
    387. Givens, Gregory, 2015. "On the Gains from Monetary Policy Commitment under Deep Habits," MPRA Paper 67996, University Library of Munich, Germany.
    388. Tian, Guoqiang & Yang, Liyan, 2005. "How are Income and Non-Income Factors Different in Promoting Happiness? An Answer to the Easterlin Paradox," MPRA Paper 41209, University Library of Munich, Germany, revised Mar 2010.
    389. Ravi Bansal & Shane Miller & Dongho Song & Amir Yaron, 2019. "The Term Structure of Equity Risk Premia," NBER Working Papers 25690, National Bureau of Economic Research, Inc.
    390. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
    391. Boldrin, M. & Christiano, L.J. & Fisher, J.D.M., 1995. "Asset Pricing Lessons for Modeling Business Cycles," University of Western Ontario, Departmental Research Report Series 9513, University of Western Ontario, Department of Economics.
    392. Michael D. Bauer & Glenn D. Rudebusch, 2017. "Interest Rates Under Falling Stars," CESifo Working Paper Series 6571, CESifo.
    393. Ravi Bansal & Ivan Shaliastovich, 2013. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," The Review of Financial Studies, Society for Financial Studies, vol. 26(1), pages 1-33.
    394. Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius, 2009. "A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings," CREATES Research Papers 2009-01, Department of Economics and Business Economics, Aarhus University.
    395. Julien Chevallier & Mathieu Gatumel & Florian Ielpo, 2014. "Commodity markets through the business cycle," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1597-1618, September.
    396. Farmer, Roger, 2014. "Asset Prices in a Lifecycle Economy," CEPR Discussion Papers 9897, C.E.P.R. Discussion Papers.
    397. Nakamura, Emi & Steinsson, Jón, 2011. "Price setting in forward-looking customer markets," Journal of Monetary Economics, Elsevier, vol. 58(3), pages 220-233.
    398. De Paoli, Bianca & Zabczyk, Pawel, 2009. "Why do risk premia vary over time? A theoretical investigation under habit formation," Bank of England working papers 361, Bank of England.
    399. Douch, Mohamed, 2004. "Equity Premiums In a Small Open Economy," MPRA Paper 876, University Library of Munich, Germany.
    400. Arthur Beddock & Elyès Jouini, 2021. "Live fast, die young: equilibrium and survival in large economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(3), pages 961-996, April.
    401. Robert A. Connolly & Chris Stivers & Licheng Sun, 2022. "Stock returns and inflation shocks in weaker economic times," Financial Management, Financial Management Association International, vol. 51(3), pages 827-867, September.
    402. Sousa, João & Sousa, Ricardo M., 2013. "Asset returns under model uncertainty: evidence from the euro area, the U.S. and the U.K," Working Paper Series 1575, European Central Bank.
    403. H. Bertholon & A. Monfort & F. Pegoraro, 2008. "Econometric Asset Pricing Modelling," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 407-458, Fall.
    404. 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.
    405. Yeung Lewis Chan & Leonid Kogan, 2002. "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," Journal of Political Economy, University of Chicago Press, vol. 110(6), pages 1255-1285, December.
    406. He, Yong, 2018. "Can the visible and invisible hands coexist in land pricing?," MPRA Paper 88770, University Library of Munich, Germany.
    407. Ronald Wendner, 2011. "Ramsey, Pigou, heterogenous agents, and non-atmospheric consumption externalities," Graz Economics Papers 2012-01, University of Graz, Department of Economics.
    408. Leonid Kogan & Dimitris Papanikolaou, 2012. "A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks," NBER Working Papers 17975, National Bureau of Economic Research, Inc.
    409. Zhong, Maosen & Darrat, Ali F. & Anderson, Dwight C., 2003. "Do US stock prices deviate from their fundamental values? Some new evidence," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 673-697, April.
    410. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    411. 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.
    412. Jianjun Miao & Alejandro Rivera, 2016. "Robust Contracts in Continuous Time," Econometrica, Econometric Society, vol. 84(4), pages 1405-1440, July.
    413. Rabitsch, Katrin, 2016. "An incomplete markets explanation of the UIP puzzle," FinMaP-Working Papers 53, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    414. Pere Gomis-Porqueras & Luca Bossi, 2005. "Consequences of Modeling Habit Persistence," Working Papers 0605, University of Miami, Department of Economics, revised 27 Apr 2007.
    415. de Oliveira Souza, Thiago, 2019. "Macro-finance and factor timing: Time-varying factor risk and price of risk premiums," Discussion Papers on Economics 7/2019, University of Southern Denmark, Department of Economics.
    416. Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2017. "Ultimate consumption risk and investment-based stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 473-486.
    417. Ngoc-Khanh Tran & Richard J. Zeckhauser, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," NBER Working Papers 17199, National Bureau of Economic Research, Inc.
    418. Roberto Santis, 2015. "Quantity theory is alive: the role of international portfolio shifts," Empirical Economics, Springer, vol. 49(4), pages 1401-1430, December.
    419. Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011. "Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns," Working Paper 2011/19, Norges Bank.
    420. Uhlig, H.F.H.V.S., 1995. "A toolkit for analyzing nonlinear dynamic stochastic models easily," Discussion Paper 1995-97, Tilburg University, Center for Economic Research.
    421. Christopher Heiberger & Daniel Fehrle, 2020. "The return on everything and the business cycle in production economies," Discussion Paper Series 338, Universitaet Augsburg, Institute for Economics.
    422. Fredj Jawadi & Richard Soparnot & Ricardo M. Sousa, 2017. "Assessing financial and housing wealth effects through the lens of a nonlinear framework," Post-Print hal-01650524, HAL.
    423. Jessica Roldan Pena & Virginia Olivella, 2010. "Re-examining the role of financial constraints in business cycles: is something wrong with the credit multiplier?," 2010 Meeting Papers 377, Society for Economic Dynamics.
    424. Hardouvelis, Gikas A. & Kim, Dongcheol & Wizman, Thierry A., 1996. "Asset pricing models with and without consumption data: An empirical evaluation," Journal of Empirical Finance, Elsevier, vol. 3(3), pages 267-301, September.
    425. Marco Angrisani & Marco Cipriani & Antonio Guarino & Ryan Kendall & Julen Ortiz de Zarate Pina, 2020. "Risk Preferences at the Time of COVID-19: An Experiment with Professional Traders and Students," Staff Reports 927, Federal Reserve Bank of New York.
    426. Nicola Gennaioli & Yueran Ma & Andrei Shleifer, 2016. "Expectations and Investment," NBER Macroeconomics Annual, University of Chicago Press, vol. 30(1), pages 379-431.
    427. Miranda-Agrippino, Silvia, 2016. "Unsurprising shocks: information, premia, and the monetary transmission," Bank of England working papers 626, Bank of England.
    428. Elyasiani, Elyas & Gambarelli, Luca & Muzzioli, Silvia, 2020. "Moment risk premia and the cross-section of stock returns in the European stock market," Journal of Banking & Finance, Elsevier, vol. 111(C).
    429. Ruan, Xinfeng & Zhang, Jin E., 2021. "Ambiguity on uncertainty and the equity premium," Finance Research Letters, Elsevier, vol. 38(C).
    430. Madsen, J. B. & Milas, C., 2003. "The price-dividend relationship in inflationary and deflationary regimes," Working Papers 03/05, Department of Economics, City University London.
    431. Francisco Alvarez-Cuadrado & Ngo Van Long, 2008. "Relative Consumption and Resource Extraction," CIRANO Working Papers 2008s-27, CIRANO.
    432. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
    433. Shi, Zhan, 2019. "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, vol. 134(3), pages 617-646.
    434. Azad, A.S.M. Sohel & Batten, Jonathan A. & Fang, Victor, 2015. "What determines the yen swap spread?," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 1-13.
    435. Illing, Gerhard & Klüh, Ulrich, 2004. "Vermögenspreise und Konsum," Discussion Papers in Economics 316, University of Munich, Department of Economics.
    436. Lewbel, Arthur & Choi, Jin Young & Zhou, Zhuzhu, 2023. "Over-identified Doubly Robust identification and estimation," Journal of Econometrics, Elsevier, vol. 235(1), pages 25-42.
    437. Bansal, Ravi & Kiku, Dana & Yaron, Amir, 2012. "An Empirical Evaluation of the Long-Run Risks Model for Asset Prices," Critical Finance Review, now publishers, vol. 1(1), pages 183-221, January.
    438. Yacine Ait-Sahalia & Jonathan A. Parker & Motohiro Yogo, 2002. "Luxury Goods and the Equity Premium," Working Papers 145, Princeton University, School of Public and International Affairs, Discussion Papers in Economics.
    439. Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper 106061, Harvard University OpenScholar.
    440. Ravi Bansal & Amir Yaron, 2000. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," NBER Working Papers 8059, National Bureau of Economic Research, Inc.
    441. Valdivia Coria, Joab Dan, 2022. "Apalancamiento, ciclo financiero y económico [Leverage, financial and business cycles]," MPRA Paper 116849, University Library of Munich, Germany.
    442. Munk, Claus, 2008. "Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3560-3589, November.
    443. Martin Dierker & Jung-Wook Kim & Jason Lee & Randall Morck, 2016. "Investors’ Interacting Demand and Supply Curves for Common Stocks," Review of Finance, European Finance Association, vol. 20(4), pages 1517-1547.
    444. Vassilios Babalos & Mehmet Balcilar & Tumisang B. Loate & Shingie Chisoro, 2014. "Did Baltic stock markets offer diversification benefits during the recent financial turmoil? Novel evidence from a nonparametric causality in quantiles test," Working Papers 201471, University of Pretoria, Department of Economics.
    445. Carrasco, Raquel & Labeaga, José M. & López-Salido, J. David, 2002. "Consumption and habits : evidence from panel data," UC3M Working papers. Economics we023415, Universidad Carlos III de Madrid. Departamento de Economía.
    446. Hui Guo, 2004. "A rational pricing explanation for the failure of CAPM," Review, Federal Reserve Bank of St. Louis, vol. 86(May), pages 23-34.
    447. Ossama Mikhail & J. Walter Milon & Richard Hofler, 2005. "Is Investment in Environmental Quality a Solution to Recessions? Studying the Welfare Effects of Green Animal Spirits," Others 0510010, University Library of Munich, Germany.
    448. Mariana Mazzucato & Massimiliano Tancioni, 2005. "Innovation and Idiosyncratic Risk: an Industry & Firm Level Analysis," Open Discussion Papers in Economics 50, The Open University, Faculty of Social Sciences, Department of Economics.
    449. Dalderop, Jeroen, 2023. "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, vol. 236(1).
    450. Souza, Thiago de Oliveira, 2020. "Dollar carry timing," Discussion Papers on Economics 10/2020, University of Southern Denmark, Department of Economics.
    451. Yongseung Jung, 2001. "Liquidity effects and habit formation in a sticky price model," International Economic Journal, Taylor & Francis Journals, vol. 18(4), pages 521-546.
    452. Patrick A. Pintus & Yi Wen, 2013. "Leveraged Borrowing and Boom-Bust Cycles," Post-Print hal-01500891, HAL.
    453. Christoph Kaserer, 2022. "Estimating the market risk premium for valuations: arithmetic or geometric mean or something in between?," Journal of Business Economics, Springer, vol. 92(8), pages 1373-1415, October.
    454. Christian Schlag & Michael Semenischev & Julian Thimme, 2021. "Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models," Management Science, INFORMS, vol. 67(12), pages 7932-7950, December.
    455. Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 5951, C.E.P.R. Discussion Papers.
    456. Hayette Gatfaoui, 2015. "Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas," Post-Print hal-01563015, HAL.
    457. Saar, Dan & Yagil, Yossi, 2015. "Forecasting sectorial profitability and credit spreads using bond yields," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 29-43.
    458. Adam Gersl & Petr Jakubik & Dorota Kowalczyk & Steven Ongena & Jose-Luis Peydro Alcalde, 2012. "Monetary Conditions and Banks' Behaviour in the Czech Republic," Working Papers 2012/02, Czech National Bank.
    459. Mehmet Balcilar & Rangan Gupta & Charl Jooste & Mark E. Wohar, 2016. "Periodically Collapsing Bubbles in the South African Stock Market," Working Papers 201624, University of Pretoria, Department of Economics.
    460. Anandadeep Mandal & Sunil S. Poshakwale & Gabriel J. Power, 2021. "Do investors gain from forecasting the asymmetric return co‐movements of financial and real assets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3246-3268, July.
    461. Croix, David de la & Michel, Philippe, 1999. "Optimal growth when tastes are inherited," Journal of Economic Dynamics and Control, Elsevier, vol. 23(4), pages 519-537, February.
    462. Kevin J. Lansing, 2015. "Asset Pricing with Concentrated Ownership of Capital and Distribution Shocks," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(4), pages 67-103, October.
    463. Pierre Monnin, "undated". "Are stock markets really like beauty contests? Empirical evidence of higher order belief's impact on asset prices," IEW - Working Papers 202, Institute for Empirical Research in Economics - University of Zurich.
    464. John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
    465. Leonardo Becchetti & Roberto Rocci & Giovanni Trovato, 2004. "Industry and Time Specific Deviations from Fundamental Values in a Random Coefficient Model," CEIS Research Paper 52, Tor Vergata University, CEIS.
    466. Zhu, Wenge, 2011. "Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 38-46, July.
    467. Ghosal, Vivek & Ye, Yang, 2019. "The impact of uncertainty on the number of businesses," Journal of Economics and Business, Elsevier, vol. 105(C).
    468. Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc.
    469. Barnett, William & Su, Liting, 2016. "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," Studies in Applied Economics 67, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
    470. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.
    471. Jaroslav Borovicka & John Stachurski, 2019. "Stability of Equilibrium Asset Pricing Models: A Necessary and Sufficient Condition," Papers 1910.00778, arXiv.org, revised Feb 2021.
    472. Leonardo Bursztyn & Florian Ederer & Bruno Ferman & Noam Yuchtman, 2012. "Understanding Peer Effects in Financial Decisions: Evidence from a Field Experiment," NBER Working Papers 18241, National Bureau of Economic Research, Inc.
    473. Felix Haase & Matthias Neuenkirch, 2020. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Research Papers in Economics 2020-01, University of Trier, Department of Economics.
    474. Hommes, Cars & in ’t Veld, Daan, 2017. "Booms, busts and behavioural heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 101-124.
    475. Pedro Bordalo & Nicola Gennaioli & Andrei Shleifer, 2022. "Overreaction and Diagnostic Expectations in Macroeconomics," NBER Working Papers 30356, National Bureau of Economic Research, Inc.
    476. Matsen, Egil, 2003. "Habit persistence and welfare gains from international asset trade," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 239-260, April.
    477. Eric T. Swanson, 2019. "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," NBER Working Papers 25764, National Bureau of Economic Research, Inc.
    478. Sule Alan, 2011. "Do Disaster Expectations Explain Household Portfolios?," Koç University-TUSIAD Economic Research Forum Working Papers 1127, Koc University-TUSIAD Economic Research Forum.
    479. Alessie, Rob & Lusardi, Annamaria, 1997. "Consumption, saving and habit formation," Economics Letters, Elsevier, vol. 55(1), pages 103-108, August.
    480. Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
    481. Enrichetta Ravina, 2005. "Keeping Up with the Joneses: Evidence from Micro Data," 2005 Meeting Papers 557, Society for Economic Dynamics.
    482. Urban Jermann, 2006. "The Equity Premium Implied by Production," NBER Working Papers 12487, National Bureau of Economic Research, Inc.
    483. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
    484. Elena Márquez de la Cruz, 2005. "La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 455-481, September.
    485. Santiago Budría, 2008. "An Exploration of Asset Returns in a Production Economy with Relative Habits," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 36(3), pages 261-274, September.
    486. Stéphane Lemarié & Cecilia Vergari, 2021. "Monopoly strategy with purchase dependent preferences and endogenous preference change," Discussion Papers 2021/271, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
    487. Jorge M. Uribe, 2018. "“Scaling Down Downside Risk with Inter-Quantile Semivariances”," IREA Working Papers 201826, University of Barcelona, Research Institute of Applied Economics, revised Oct 2018.
    488. Daniel Paravisini & Veronica Rappoport & Enrichetta Ravina, 2017. "Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios," Management Science, INFORMS, vol. 63(2), pages 279-297, February.
    489. Dmitry Livdan & Horacio Sapriza & Lu Zhang, 2006. "Financially Constrained Stock Returns," NBER Working Papers 12555, National Bureau of Economic Research, Inc.
    490. Federico Morelli & Michael Benzaquen & Marco Tarzia & Jean-Philippe Bouchaud, 2020. "Confidence Collapse in a Multi-Household, Self-Reflexive DSGE Model," Post-Print hal-02323098, HAL.
    491. Ales Marsal & Lorant Kaszab & Roman Horvath, 2017. "Government Spending and the Term Structure of Interest Rates in a DSGE Model," Working and Discussion Papers WP 3/2017, Research Department, National Bank of Slovakia.
    492. Diana Gabrielyan & Lenno Uusküla, 2022. "Inflation Expectations And Consumption With Machine Learning," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 142, Faculty of Economics and Business Administration, University of Tartu (Estonia).
    493. Thomas Nitschka, 2013. "The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization," Review of Financial Economics, John Wiley & Sons, vol. 22(3), pages 118-124, September.
    494. Garcia, Rene & Renault, Eric & Semenov, Andrei, 2006. "Disentangling risk aversion and intertemporal substitution through a reference level," Finance Research Letters, Elsevier, vol. 3(3), pages 181-193, September.
    495. Kris Jacobs & Michel A. Robe & Stéphane Pallage, 2004. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," CIRANO Working Papers 2004s-54, CIRANO.
    496. Roger E.A. Farmer & Carine Nourry & Alain Venditti, 2013. "The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World," AMSE Working Papers 1311, Aix-Marseille School of Economics, France, revised 26 Feb 2013.
    497. Thomas Q. Pedersen, 2008. "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers 2008-60, Department of Economics and Business Economics, Aarhus University.
    498. Peled, Dan & Rachmilevitch, Shiran, 2012. "Infinite horizon allocation with consumption-dependent utility," Working Papers WP2012/9, University of Haifa, Department of Economics, revised 18 Oct 2012.
    499. Kristoffer Nimark, 2006. "Optimal Monetary Policy with Real-time Signal Extraction from the Bond Market," RBA Research Discussion Papers rdp2006-05, Reserve Bank of Australia.
    500. T.C.Y. Kam & G.C. Lim, 2001. "Interest Rate Smoothing and Inflation-Output Variabilityin a Small Open Economy," Department of Economics - Working Papers Series 817, The University of Melbourne.
    501. Bätje, Fabian & Menkhoff, Lukas, 2016. "Predicting the equity premium via its components," VfS Annual Conference 2016 (Augsburg): Demographic Change 145789, Verein für Socialpolitik / German Economic Association.
    502. Alec Brandon & Paul Ferraro & John List & Robert Metcalfe & Michael Price & Florian Rundhammer, 2017. "Do the effects of social nudges persist? Theory and evidence from 38 natural field experiments," Natural Field Experiments 00598, The Field Experiments Website.
    503. Galvani, Valentina, 2018. "The Value Premium During Flights," Working Papers 2018-18, University of Alberta, Department of Economics.
    504. Adrian Buss & Bernard Dumas, 2015. "The Dynamic Properties of Financial-Market Equilibrium with Trading Fees," NBER Working Papers 21421, National Bureau of Economic Research, Inc.
    505. Astrid Matthey & Nadja Dwenger, 2008. "Don’t aim too high: the potential costs of high aspirations," SFB 649 Discussion Papers SFB649DP2008-011, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    506. Emara, Noha, 2014. "Predictive ability of three different estimates of “cay” to excess stock returns - A comparative study Germany & U.S -," MPRA Paper 68686, University Library of Munich, Germany.
    507. Norman Loayza & Klaus Schmidt-Hebbel & Luis Servén, 2001. "Una Revisión del Comportamientoy de los Determinantes del Ahorro en el Mundo," Working Papers Central Bank of Chile 95, Central Bank of Chile.
    508. Johannesen, Niels & Andersen, Asger Lau & Sheridan, Adam, 2021. "Dynamic Spending Responses to Wealth Shocks: Evidence from Quasi-lotteries on the Stock Market," CEPR Discussion Papers 16338, C.E.P.R. Discussion Papers.
    509. Kevin J. Lansing & Jun Ma, 2014. "Explaining Exchange Rate Anomalies in a Model with Taylor-Rule Fundamentals and Consistent Expectations," Working Paper Series 2014-22, Federal Reserve Bank of San Francisco.
    510. Mathias S. Kruttli, 2016. "From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors," Finance and Economics Discussion Series 2016-027, Board of Governors of the Federal Reserve System (U.S.).
    511. Matthijs Breugem & Stefano Colonnello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Carlo Alberto Notebooks 626, Collegio Carlo Alberto.
    512. Martijn Cremers & Vinay Nair & Kose John, 2005. "Takeovers and the Cross-Section of Returns," Yale School of Management Working Papers amz2393, Yale School of Management, revised 01 Sep 2007.
    513. Jing Peng & Pengyu Wei & Zuo Quan Xu, 2022. "Relative growth rate optimization under behavioral criterion," Papers 2211.05402, arXiv.org.
    514. Sean D. Campbell, 2005. "Stock market volatility and the Great Moderation," Finance and Economics Discussion Series 2005-47, Board of Governors of the Federal Reserve System (U.S.).
    515. Caporale, Guglielmo Maria & Georgellis, Yannis & Tsitsianis, Nicholas & Yin, Ya Ping, 2009. "Income and happiness across Europe: Do reference values matter?," Journal of Economic Psychology, Elsevier, vol. 30(1), pages 42-51, February.
    516. Odusami, Babatunde Olatunji, 2010. "To consume or not: How oil prices affect the comovement of consumption and aggregate wealth," Energy Economics, Elsevier, vol. 32(4), pages 857-867, July.
    517. Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2019. "Capital Share Risk in U.S. Asset Pricing," Journal of Finance, American Finance Association, vol. 74(4), pages 1753-1792, August.
    518. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series WP2006-042, Boston University - Department of Economics.
    519. Dr. Thomas Nitschka, 2012. "Global and country-specific business cycle risk in time-varying excess returns on asset markets," Working Papers 2012-10, Swiss National Bank.
    520. Giglio, Stefano & Ströbel, Johannes & Maggiori, Matteo, 2014. "No-Bubble Condition: Model-Free Tests in Housing Markets," CEPR Discussion Papers 9978, C.E.P.R. Discussion Papers.
    521. Andrew E. Clark & David Masclet & Marie Claire Villeval, 2006. "Effort and Comparison Income : Survey and Experimental Evidence," Post-Print halshs-00142880, HAL.
    522. Huberman, Gur & Guasoni, Paolo & Ren, Dan, 2014. "Shortfall Aversion," CEPR Discussion Papers 10064, C.E.P.R. Discussion Papers.
    523. Selahattin GURIS & Aynur PALA, 2014. "Equity Returns, Firm-Specific Characteristics and Sector Rotation: Evidence from Turkey," International Journal of Economics and Financial Issues, Econjournals, vol. 4(2), pages 264-276.
    524. Jack Favilukis & Xiaoji Lin, 2011. "Micro Frictions, Asset Pricing and Aggregate," FMG Discussion Papers dp673, Financial Markets Group.
    525. M. Dolores Collado & Martín Browning, 2006. "Habits And Heterogeneity In Demands: A Panel Data Analysis," Working Papers. Serie AD 2006-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    526. Favilukis, Jack & Lin, Xiaoji, 2011. "Micro frictions, asset pricing, and aggregate implications," LSE Research Online Documents on Economics 119075, London School of Economics and Political Science, LSE Library.
    527. Monique C. Ebell, 2000. "Why Are Asset Returns more Volatile During Recessions? A Theoretical Examination," Econometric Society World Congress 2000 Contributed Papers 1554, Econometric Society.
    528. González-Urteaga, Ana & Rubio, Gonzalo, 2021. "The quality premium with leverage and liquidity constraints," International Review of Financial Analysis, Elsevier, vol. 75(C).
    529. H. J. Smoluk, 2009. "Long‐Term Disability Claims Rates and the Consumption‐to‐Wealth Ratio," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(1), pages 109-131, March.
    530. Cai, Zongwu & Liu, Xuan & Yang, Fang, 2012. "Reexamining the Empirical Relevance of Habit Formation Preferences," MPRA Paper 37817, University Library of Munich, Germany.
    531. Gourio, François, 2008. "Time-series predictability in the disaster model," Finance Research Letters, Elsevier, vol. 5(4), pages 191-203, December.
    532. Nicholas Barberis & Ming Huang & Tano Santos, 1999. "Prospect Theory and Asset Prices," NBER Working Papers 7220, National Bureau of Economic Research, Inc.
    533. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46.
    534. Willman, Alpo, 2007. "Sequential optimization, front-loaded information, and U.S. consumption," Working Paper Series 765, European Central Bank.
    535. Bramoullé, Y. & Ghiglino, C., 2024. "Status Consumption in Networks: A Reference Dependent Approach," Cambridge Working Papers in Economics 2414, Faculty of Economics, University of Cambridge.
    536. Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018. "Market Timing with Moving Averages," Econometric Institute Research Papers EI 2018-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    537. Duclos, Jean-Yves, 2006. "Liberté ou égalité?," L'Actualité Economique, Société Canadienne de Science Economique, vol. 82(4), pages 441-476, décembre.
    538. Chue, Timothy K., 2002. "Time-varying risk preferences and emerging market co-movements," Journal of International Money and Finance, Elsevier, vol. 21(7), pages 1053-1072, December.
    539. Julien Hugonnier & Florian Pelgrin & Pascal St-Amour, 2009. "Health and (other) Asset Holdings," Swiss Finance Institute Research Paper Series 09-18, Swiss Finance Institute.
    540. Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2011. "Online Appendix to "Saving Rates and Portfolio Choice with Subsistence Consumption"," Online Appendices 10-11, Review of Economic Dynamics.
    541. Bandi, Federico M. & Perron, Benoît, 2008. "Long-run risk-return trade-offs," Journal of Econometrics, Elsevier, vol. 143(2), pages 349-374, April.
    542. Ravenna, Federico & Seppälä, Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Bank of Finland Research Discussion Papers 25/2006, Bank of Finland.
    543. Chamil W. Senarathne & Wei Jianguo, 2018. "The Stochastic Implications of Permanent Income Hypothesis for US Speculative Traders: Implications for Consumption-Based Asset Pricing," Croatian Economic Survey, The Institute of Economics, Zagreb, vol. 20(2), pages 5-32, December.
    544. Jingyi Liu, 2008. "Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?," Edinburgh School of Economics Discussion Paper Series 181, Edinburgh School of Economics, University of Edinburgh.
    545. Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen, 2010. "On the Timing and Pricing of Dividends," NBER Working Papers 16455, National Bureau of Economic Research, Inc.
    546. Christopher D Carroll & Jody Overland & David N Weil, 1997. "Comparison Utility in a Growth Model," Economics Working Paper Archive 387, The Johns Hopkins University,Department of Economics.
    547. 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.
    548. Alexander L. Wolman, 2006. "Bond price premiums," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 92(Fall), pages 317-336.
    549. Nicolae Gârleanu & Leonid Kogan & Stavros Panageas, 2009. "The Demographics of Innovation and Asset Returns," NBER Working Papers 15457, National Bureau of Economic Research, Inc.
    550. Sydney Ludvigson & Martin Lettau & Daniel Greenwald, 2014. "The Origins of Stock Market Fluctuations," 2014 Meeting Papers 542, Society for Economic Dynamics.
    551. Basak, Suleyman & Makarov, Dmitry & Shapiro, Alex & Subrahmanyam, Marti, 2020. "Security design with status concerns," Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
    552. Ana Santacreu & Ilian Mihov, 2013. "Exchange rates as an instrument of monetary policy," 2013 Meeting Papers 773, Society for Economic Dynamics.
    553. Guo, Hui, 2004. "Stock prices, firm size, and changes in the federal funds rate target," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 487-507, September.
    554. James M. Nason & Takashi Kano, 2004. "Business Cycle Implications of Habit Formation," Computing in Economics and Finance 2004 175, Society for Computational Economics.
    555. Constantin Chilarescu & Ioana Viasu, 2016. "A Closed-form Solution of a Two-sector Endogenous Growth Model with Habit Formation," Australian Economic Papers, Wiley Blackwell, vol. 55(2), pages 112-127, June.
    556. Berk, Jonathan B. & van Binsbergen, Jules H., 2016. "Assessing asset pricing models using revealed preference," Journal of Financial Economics, Elsevier, vol. 119(1), pages 1-23.
    557. Simon Grant & John Quiggin, 2006. "The Risk Premium For Equity: Implications For Resource Allocation, Welfare And Policy," Australian Economic Papers, Wiley Blackwell, vol. 45(3), pages 253-268, September.
    558. Andreas Stathopoulos, 2012. "Portfolio Home Bias and External Habit Formation," 2012 Meeting Papers 502, Society for Economic Dynamics.
    559. Nathan S. Balke & Mark E. Wohar, 2001. "Explaining stock price movements: is there a case for fundamentals?," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q III, pages 22-34.
    560. Nicholas Apergis & Chritina Christou & Tasawar Hayat & Tareq Saeed, 2020. "U.S. Monetary Policy and Herding: Evidence from Commodity Markets," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 48(3), pages 355-374, September.
    561. Yao, Wenying & Kam, Timothy & Vahid, Farshid, 2014. "VAR(MA), what is it good for? more bad news for reduced-form estimation and inference," Working Papers 2014-14, University of Tasmania, Tasmanian School of Business and Economics.
    562. Bekaert, G.R.J. & Hodrick, R. & Marshall, D., 1997. "The implications of first-order risk aversion for asset market risk premiums," Discussion Paper 1997-07, Tilburg University, Center for Economic Research.
    563. Ricardo M. Sousa, 2006. "Consumption, (Dis)Aggregate Wealth and Asset Returns," Computing in Economics and Finance 2006 212, Society for Computational Economics.
    564. John List & Harald Uhlig, 2017. "Introduction," Journal of Political Economy, University of Chicago Press, vol. 125(6), pages 1723-1727.
    565. Koehne, Sebastian & Kuhn, Moritz, 2013. "Optimal capital taxation for time-nonseparable preferences," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79951, Verein für Socialpolitik / German Economic Association.
    566. Yun, Jaeho, 2020. "A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX," Economics Letters, Elsevier, vol. 186(C).
    567. Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2019. "The Total Risk Premium Puzzle," NBER Working Papers 25653, National Bureau of Economic Research, Inc.
    568. Olaf Posch & Andreas Schrimpf, 2012. "Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM," CREATES Research Papers 2012-32, Department of Economics and Business Economics, Aarhus University.
    569. Geert Bekaert & Eric Engstrom, 2015. "Asset Return Dynamics under Habits and Bad-Environment Good-Environment Fundamentals," Finance and Economics Discussion Series 2015-53, Board of Governors of the Federal Reserve System (U.S.).
    570. Morten Ravn & Stephanie Schmitt-Grohé & Martín Uribe, 2006. "Deep Habits," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 73(1), pages 195-218.
    571. Manuel Buchholz & Lena Tonzer & Julian Berner, 2022. "Firm‐specific forecast errors and asymmetric investment propensity," Economic Inquiry, Western Economic Association International, vol. 60(2), pages 764-793, April.
    572. Ravi Jagannathan & Binying Liu, 2015. "Dividend Dynamics, Learning, and Expected Stock Index Returns," NBER Working Papers 21557, National Bureau of Economic Research, Inc.
    573. Rong Hai & Dirk Krueger & Andrew Postlewaite, 2014. "On the Welfare Cost of Consumption Fluctuations in the Presence of Memorable Goods, Second Version," PIER Working Paper Archive 15-004, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 14 Jan 2015.
    574. Gao, Can & Martin, Ian, 2021. "Volatility, valuation ratios, and bubbles: An empirical measure of market sentiment," SAFE Working Paper Series 312, Leibniz Institute for Financial Research SAFE.
    575. Campbell, John & Viceira, Luis, 1999. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," Scholarly Articles 3163266, Harvard University Department of Economics.
    576. Xue-Zhong He & Lei Shi & Min Zheng, 2012. "Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs," Research Paper Series 302, Quantitative Finance Research Centre, University of Technology, Sydney.
    577. Michael Weber, 2016. "Cash Flow Duration and the Term Structure of Equity Returns," NBER Working Papers 22520, National Bureau of Economic Research, Inc.
    578. James D. Hamilton & Ethan S. Harris & Jan Hatzius & Kenneth D. West, 2016. "The Equilibrium Real Funds Rate: Past, Present, and Future," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 660-707, November.
    579. Schmeling, Maik, 2009. "Investor sentiment and stock returns: Some international evidence," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 394-408, June.
    580. Leonardo Bursztyn & Florian Ederer & Bruno Ferman & Noam Yuchtman, 2014. "Understanding Mechanisms Underlying Peer Effects: Evidence From a Field Experiment on Financial Decisions," Econometrica, Econometric Society, vol. 82(4), pages 1273-1301, July.
    581. Sousa, João & Sousa, Ricardo M., 2017. "Predicting risk premium under changes in the conditional distribution of stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 204-218.
    582. Charles Engel, 2015. "Exchange Rates, Interest Rates, and the Risk Premium," NBER Working Papers 21042, National Bureau of Economic Research, Inc.
    583. Roberto Gómez‐Cram, 2022. "Late to Recessions: Stocks and the Business Cycle," Journal of Finance, American Finance Association, vol. 77(2), pages 923-966, April.
    584. J. David Lopez-Salido & Francisco Vazquez-Grande & Pierlauro Lopez, 2015. "Macro-Finance Separation by Force of Habit," 2015 Meeting Papers 980, Society for Economic Dynamics.
    585. Ngotran, Duong & Ngo, Tien, 2013. "Retail Sector and Economic Development," MPRA Paper 61590, University Library of Munich, Germany, revised Aug 2014.
    586. Juan M. Londono, 2011. "The variance risk premium around the world," International Finance Discussion Papers 1035, Board of Governors of the Federal Reserve System (U.S.).
    587. John Y. Campbell, 2013. "Comment on "Shocks and Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 355-366, National Bureau of Economic Research, Inc.
    588. Lieven Baele, 2010. "The Determinants of Stock and Bond Return Comovements," The Review of Financial Studies, Society for Financial Studies, vol. 23(6), pages 2374-2428, June.
    589. Leland E. Farmer & Lawrence Schmidt & Allan Timmermann, 2023. "Pockets of Predictability," Journal of Finance, American Finance Association, vol. 78(3), pages 1279-1341, June.
    590. Kevin X.D. Huang & Zheng Liu & John Qi Zhu, 2015. "Temptation and Self‐Control: Some Evidence and Applications," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(4), pages 581-615, June.
    591. Nam, Eun-Young & Lee, Kiryoung & Jeon, Yoontae, 2021. "Macroeconomic uncertainty shocks and households’ consumption choice," Journal of Macroeconomics, Elsevier, vol. 68(C).
    592. Klaus Schmidt-Hebbel & Luis Servén, 1998. "World saving: trends and theories," Estudios de Economia, University of Chile, Department of Economics, vol. 25(2 Year 19), pages 191-215, December.
    593. John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2023. "Commodity futures return predictability and intertemporal asset pricing," Post-Print hal-04192933, HAL.
    594. Conchita D’Ambrosio & Joachim R. Frick, 2007. "Individual Well-Being in a Dynamic Perspective," Working Papers 64, ECINEQ, Society for the Study of Economic Inequality.
    595. Ricardo M. Sousa, 2010. "The consumption-wealth ratio and asset returns: The Euro Area, the UK and the US," NIPE Working Papers 9/2010, NIPE - Universidade do Minho.
    596. Yamin Ahmad, 2002. "Money Market Rates and Implied CCAPM Rates: Some International Evidence," Working Papers gueconwpa~02-02-06, Georgetown University, Department of Economics.
    597. Curatola, Giuliano, 2017. "Portfolio choice and asset prices when preferences are interdependent," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 197-223.
    598. Tobias J. Moskowitz & Annette Vissing-Jorgensen, 2002. "The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?," NBER Working Papers 8876, National Bureau of Economic Research, Inc.
    599. Bandi, Federico M. & Tamoni, Andrea, 2023. "Business-cycle consumption risk and asset prices," Journal of Econometrics, Elsevier, vol. 237(2).
    600. Nicholas Apergis & James E. Payne, 2018. "Monetary policy rules and the equity risk premium: Evidence from the US experience," Review of Financial Economics, John Wiley & Sons, vol. 36(4), pages 287-299, October.
    601. Kabderian Dreyer, Johannes & Sharma, Vivek & Smith, William, 2023. "Warm-glow investment and the underperformance of green stocks," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 546-570.
    602. Campbell, John Y, 1996. "Understanding Risk and Return," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 298-345, April.
    603. Wenxin Du & Carolin E. Pflueger & Jesse Schreger, 2020. "Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy," Journal of Finance, American Finance Association, vol. 75(6), pages 3097-3138, December.
    604. Till Strohsal, 2013. "Testing the Preferred-Habitat Theory: The Role ofTime-Varying Risk Aversion," SFB 649 Discussion Papers SFB649DP2013-043, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    605. Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does it Work?," Yale School of Management Working Papers amz2648, Yale School of Management, revised 01 May 2008.
    606. Hubert de La Bruslerie & Florent Pratlong, 2012. "La valeur psychologique du temps : Une synthèse de la littérature," Post-Print halshs-00636357, HAL.
    607. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
    608. Petr Kadeřábek & Aleš Slabý & Josef Vodička, 2008. "Stress Testing of Probability of Default of Individuals," Working Papers IES 2008/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2008.
    609. Pancrazi, Roberto, 2013. "How Benefcial Was the Great Moderation After All?," Economic Research Papers 270533, University of Warwick - Department of Economics.
    610. Curatola, Giuliano, 2016. "Optimal consumption and portfolio choice with loss aversion," SAFE Working Paper Series 130, Leibniz Institute for Financial Research SAFE.
    611. Benjamin Golez & Peter Koudijs, 2014. "Four Centuries of Return Predictability," NBER Working Papers 20814, National Bureau of Economic Research, Inc.
    612. Charles Engel, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Working Papers 272011, Hong Kong Institute for Monetary Research.
    613. Bin Li & Benjamin Liu & Eduardo Roca, 2011. "Stock returns and consumption factors in the Australian market: Cross-sectional tests," Australian Journal of Management, Australian School of Business, vol. 36(2), pages 247-266, August.
    614. Eckerstorfer, Paul & Wendner, Ronald, 2013. "Asymmetric and non-atmospheric consumption externalities, and efficient consumption taxation," Journal of Public Economics, Elsevier, vol. 106(C), pages 42-56.
    615. Hui Guo & Jason Higbee, 2006. "Market timing with aggregate and idiosyncratic stock volatilities," Working Papers 2005-073, Federal Reserve Bank of St. Louis.
    616. Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2007. "Macroeconomic implications of changes in the term premium," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 241-270.
    617. Dong Heon Kim, 2008. "Another Look at Yield Spreads: The Role of Liquidity," Southern Economic Journal, John Wiley & Sons, vol. 74(4), pages 952-970, April.
    618. Sean Holly & Luisa Corrado, 2004. "Habit formation and Interest-Rate Smoothing," Computing in Economics and Finance 2004 215, Society for Computational Economics.
    619. Francis Longstaff & Monika Piazzesi, 2003. "Corporate Earnings and the Equity Premium," NBER Working Papers 10054, National Bureau of Economic Research, Inc.
    620. Peter Koudijs & Hans-Joachim Voth, 2016. "Leverage and Beliefs: Personal Experience and Risk-Taking in Margin Lending," American Economic Review, American Economic Association, vol. 106(11), pages 3367-3400, November.
    621. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2008. "Social Decision Theory: Choosing within and between Groups," Carlo Alberto Notebooks 71, Collegio Carlo Alberto.
    622. Peter Feldhütter & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Risk Premia and Volatilities in a Nonlinear Term Structure Model [Quadratic term structure models: theory and evidence]," Review of Finance, European Finance Association, vol. 22(1), pages 337-380.
    623. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023. "Role of hedging on crypto returns predictability: A new habit-based explanation," Finance Research Letters, Elsevier, vol. 55(PB).
    624. Woon Gyu Choi & Yi Wen, 2005. "Measuring interest rates as determined by thrift and productivity," Working Papers 2005-037, Federal Reserve Bank of St. Louis.
    625. Fortin, Ines & Hlouskova, Jaroslava & Tsigaris, Panagiotis, 2016. "The Consumption-Investment Decision of a Prospect Theory Household," Economics Series 322, Institute for Advanced Studies.
    626. Mr. Ralph Chami & Mr. Thomas F. Cosimano & Ms. Celine Rochon & Julieta Yung, 2020. "Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment," IMF Working Papers 2020/053, International Monetary Fund.
    627. Hoffmann, Mathias & Studer-Suter, Rahel, 2017. "Systematic consumption risk in currency returns," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 187-208.
    628. Emil Iantchev, 2013. "Asset-Pricing Implications of Biologically Based Non-Expected Utility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(3), pages 497-510, July.
    629. Jaksa CVITANIC & Elyès JOUINI & Semyon MALAMUD & Clotilde NAPP, 2009. "Financial Markets Equilibrium with Heterogeneous Agents," Swiss Finance Institute Research Paper Series 09-45, Swiss Finance Institute.
    630. Bekaert, Geert & Hoerova, Marie & Xu, Nancy R., 2023. "Risk, monetary policy and asset prices in a global world," Working Paper Series 2879, European Central Bank.
    631. James B. Bullard & Steven Russell, 1998. "How costly is sustained low inflation for the U.S. economy?," Working Papers 1997-012, Federal Reserve Bank of St. Louis.
    632. Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2019. "Security Analysis: An Investment Perspective," NBER Working Papers 26060, National Bureau of Economic Research, Inc.
    633. Aronsson, Thomas & Johansson-Stenman, Olof, 2014. "State-variable public goods and social comparisons," Journal of Environmental Economics and Management, Elsevier, vol. 68(2), pages 390-410.
    634. 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.
    635. Freund, L. B. & Lee, H. & Rendahl, P., 2022. "The Risk-Premium Channel of Uncertainty: Implications for Unemployment and Inflation," Cambridge Working Papers in Economics 2251, Faculty of Economics, University of Cambridge.
    636. Pietro Veronesi, "undated". "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.
    637. Jim Dolmas, 2013. "Disastrous disappointments: asset-pricing with disaster risk and disappointment aversion," Working Papers 1309, Federal Reserve Bank of Dallas.
    638. Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2020. "Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios," Annals of Operations Research, Springer, vol. 284(1), pages 165-197, January.
    639. Bams, Dennis & Honarvar, Iman, 2021. "VIX and liquidity premium," International Review of Financial Analysis, Elsevier, vol. 74(C).
    640. Chang-Jin Kim & Cheolbeom Park, 2012. "Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability," Discussion Paper Series 1205, Institute of Economic Research, Korea University.
    641. Brice Corgnet & Roberto Hernán-Gonzalez & Praveen Kujal, 2018. "On Booms That Never Bust: Ambiguity in Experimental Asset Markets with Bubbles," Working Papers halshs-01898435, HAL.
    642. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2021. "The impact of hedging on risk-averse agents’ output decisions," Economic Modelling, Elsevier, vol. 104(C).
    643. Lewellen, Jonathan & Nagel, Stefan, 2003. "The Conditional CAPM Does Not Explain Asset-pricing Anomalies," Working papers 4427-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    644. Alexander M. Chinco & Samuel M. Hartzmark & Abigail B. Sussman, 2020. "Necessary Evidence For A Risk Factor’s Relevance," NBER Working Papers 27227, National Bureau of Economic Research, Inc.
    645. Robert Goldberg, 2015. "A methodology for computing and comparing implied equity and corporate-debt Sharpe Ratios," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 733-754, May.
    646. Jürgen Maurer & André Meier, 2008. "Smooth it Like the ‘Joneses’? Estimating Peer‐Group Effects in Intertemporal Consumption Choice," Economic Journal, Royal Economic Society, vol. 118(527), pages 454-476, March.
    647. Julien Hugonnier & Erwan Morellec & Suresh Sundaresan, 2005. "Growth Options in General Equilibrium: Some Asset Pricing Implications," FAME Research Paper Series rp138, International Center for Financial Asset Management and Engineering.
    648. Lundblad, Christian, 2007. "The risk return tradeoff in the long run: 1836-2003," Journal of Financial Economics, Elsevier, vol. 85(1), pages 123-150, July.
    649. Javid, Attiya Yasmin, 2008. "Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms," MPRA Paper 37561, University Library of Munich, Germany.
    650. Tae-Hwy Lee & Millie Yi Mao & Aman Ullah, 2020. "Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility," Working Papers 202015, University of California at Riverside, Department of Economics.
    651. Elyès Jouini & Clotilde Napp, 2010. "Unbiased Disagreement in Financial Markets, Waves of Pessimism and the Risk-Return Trade-off," Review of Finance, European Finance Association, vol. 15(3), pages 575-601.
    652. Michal Czerwonko & Stylianos Perrakis, 2016. "Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics II: Economic Implications," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-28, December.
    653. Sialm, Clemens, 2006. "Stochastic taxation and asset pricing in dynamic general equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 511-540, March.
    654. Lettau, M. & Uhlig, H.F.H.V.S., 1995. "Can Habit Formation be Reconciled with Business Cycle Facts?," Other publications TiSEM b152dad0-97de-48c9-bde6-6, Tilburg University, School of Economics and Management.
    655. Wang, Shengquan & Chen, Langnan, 2019. "Driving factors of equity bubbles," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 304-317.
    656. Eric Ghysels & Pierre Guérin & Massimiliano Marcellino, 2013. "Regime Switches in the Risk-Return Trade-Off," Staff Working Papers 13-51, Bank of Canada.
    657. Cotter, John & Salvador, Enrique, 2022. "The non-linear trade-off between return and risk and its determinants," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 100-132.
    658. Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2012. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," NBER Working Papers 18128, National Bureau of Economic Research, Inc.
    659. Juan M. Londono & Nancy R. Xu, 2021. "The Global Determinants of International Equity Risk Premiums," International Finance Discussion Papers 1318, Board of Governors of the Federal Reserve System (U.S.).
    660. Christian Gollier, 2021. "Habit persistence reduces risk aversion," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 46(2), pages 214-223, April.
    661. Hanno Lustig & Adrien Verdelhan, 2011. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply," American Economic Review, American Economic Association, vol. 101(7), pages 3477-3500, December.
    662. Mariano M. Croce & Riccardo Colacito, 2010. "International Asset Pricing with Risk-Sensitive Rare Events," 2010 Meeting Papers 176, Society for Economic Dynamics.
    663. Ray Fair, 2002. "Risk Aversion and Stock Prices," Yale School of Management Working Papers ysm311, Yale School of Management, revised 01 Aug 2007.
    664. Marco Haan & Hans Maks, 1996. "Stackelberg and Cournot competition under equilibrium limit pricing," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 23(5/6), pages 110-127, December.
    665. Uluc Aysun & Adam Honig, 2008. "Bankruptcy Costs, Liability Dollarization, and Vulnerability to Sudden Stops," Working papers 2008-41, University of Connecticut, Department of Economics.
    666. Cao, N. & Galvani, V. & Gubellini, S., 2017. "Firm-specific stock and bond predictability: New evidence from Canada," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 174-192.
    667. Carlos Montoro, 2010. "Oil shocks and optimal monetary policy," BIS Working Papers 307, Bank for International Settlements.
    668. Harald Uhlig, 2007. "Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model," SFB 649 Discussion Papers SFB649DP2007-003a, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    669. Thomas Nitschka, 2010. "International Evidence for Return Predictability and the Implications for Long‐Run Covariation of the G7 Stock Markets," German Economic Review, Verein für Socialpolitik, vol. 11(4), pages 527-544, November.
    670. Reyno SEYMORE & Margaret MABUGU & Jan VAN HEERDEN, 2010. "Border Tax Adjustments to Negate the Economic Impact of an Electricity Generation Tax," EcoMod2010 259600155, EcoMod.
    671. Lars Peter Hansen, 2014. "Nobel Lecture: Uncertainty Outside and Inside Economic Models," Journal of Political Economy, University of Chicago Press, vol. 122(5), pages 945-987.
    672. Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-047/III, Tinbergen Institute.
    673. Doojav, Gan-Ochir & Damdinsuren, Batnyam & Baasansuren, Lkhagvajav, 2007. "Monetary policy and bond market development: A case of Mongolia," MPRA Paper 72193, University Library of Munich, Germany, revised May 2007.
    674. Martin D. D. Evans, 2012. "Exchange-Rate Dark Matter," Working Papers gueconwpa~12-12-01, Georgetown University, Department of Economics.
    675. Mykola Babiak, 2017. "Generalized Disappointment Aversion, Learning, and Asset Prices," CERGE-EI Working Papers wp606, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    676. Thomas Gomez & Giulia Piccillo, 2019. "Diverse Risk Preferences and Heterogeneous Expectations in an Asset Pricing Model," CESifo Working Paper Series 8003, CESifo.
    677. Veríssimo, Pedro & de Carvalho, Paulo Viegas & Laureano, Luís, 2021. "Asymmetries in the Euro area banking profitability," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
    678. Lior Menzly & Tano Santos & Pietro Veronesi, 2002. "The Time Series of the Cross Section of Asset Prices," NBER Working Papers 9217, National Bureau of Economic Research, Inc.
    679. Ghattassi, Imen, 2008. "On the predictive power of the surplus consumption ratio," Finance Research Letters, Elsevier, vol. 5(1), pages 21-31, March.
    680. Dominique Pepin, 2011. "Instabilité des comportements et cycles financiers : une relecture dans un cadre rationnel avec préférences endogènes," Working Papers hal-00960012, HAL.
    681. Paolo Guasoni & Gur Huberman & Dan Ren, 2020. "Shortfall aversion," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 869-920, July.
    682. Huang, Lingbo & Xiao, Erte, 2021. "Peer effects in public support for Pigouvian taxation," Journal of Economic Behavior & Organization, Elsevier, vol. 187(C), pages 192-204.
    683. Andrew Y. Chen, 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
    684. Ljungqvist, Lars & Uhlig, Harald, 1999. "On Consumption Bunching under Campbell-Cochrane Habit Formation," SSE/EFI Working Paper Series in Economics and Finance 337, Stockholm School of Economics.
    685. Ina Simonovska & Espen Henriksen & Joel David, 2016. "The Risky Capital of Emerging Markets," 2016 Meeting Papers 125, Society for Economic Dynamics.
    686. Gregory R. Duffee, 2012. "Forecasting interest rates," Economics Working Paper Archive 599, The Johns Hopkins University,Department of Economics.
    687. Nathan S. Balke & Mark E. Wohar, 2000. "Low frequency movements in stock prices: a state space decomposition," Working Papers 0001, Federal Reserve Bank of Dallas.
    688. Düring, Bertram, 2008. "Asset pricing under information with stochastic volatility," CoFE Discussion Papers 08/04, University of Konstanz, Center of Finance and Econometrics (CoFE).
    689. Haim Levy, 2020. "The Investment Home Bias with Peer Effect," JRFM, MDPI, vol. 13(5), pages 1-19, May.
    690. Johannes W. Fedderke, 2020. "The South African – United States Sovereign Bond Spread and its Association with Macroeconomic Fundamentals," Working Papers 830, Economic Research Southern Africa.
    691. Ashby, M. & Linton, O. B., 2022. "Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?," Cambridge Working Papers in Economics 2259, Faculty of Economics, University of Cambridge.
    692. Bianca De Paoli & Jens Søndergaard, 2017. "Revisiting the Forward Premium Anomaly Using Consumption Habits: A New Keynesian Model," Economica, London School of Economics and Political Science, vol. 84(335), pages 516-540, July.
    693. Christopher D. Carroll, 1998. "Why Do the Rich Save So Much?," NBER Working Papers 6549, National Bureau of Economic Research, Inc.
    694. Marlène Isoré & Urszula Szczerbowicz, 2015. "Disaster Risk and Preference Shifts in a New Keynesian Model," Working Papers 2015-16, CEPII research center.
    695. Zhiyuan Pan & Yudong Wang & Li Liu & Qing Wang, 2019. "Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 744-776, June.
    696. Carmelo Giaccotto & Erasmo Giambona & Yanhui Zhao, 2021. "Short-Term and Long-Term Discount Rates For Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 63(3), pages 493-524, October.
    697. Tim Bollerslev & Viktor Todorov & Lai Xu, 2014. "Tail Risk Premia and Return Predictability," CREATES Research Papers 2014-49, Department of Economics and Business Economics, Aarhus University.
    698. Richard Dennis, 2004. "Specifying and estimating New Keynesian models with instrument rules and optimal monetary policies," Working Paper Series 2004-17, Federal Reserve Bank of San Francisco.
    699. William A. Barnett & Shu Wu, 2011. "On User Costs of Risky Monetary Assets," World Scientific Book Chapters, in: Financial Aggregation And Index Number Theory, chapter 3, pages 85-105, World Scientific Publishing Co. Pte. Ltd..
    700. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
    701. Chen, Yu & Cosimano, Thomas F. & Himonas, Alex A., 2008. "Analytic solving of asset pricing models: The by force of habit case," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3631-3660, November.
    702. Boyarchenko, Nina, 2012. "Ambiguity shifts and the 2007–2008 financial crisis," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 493-507.
    703. Roelof Salomons, 2008. "A Theoretical And Practical Perspective On The Equity Risk Premium," Journal of Economic Surveys, Wiley Blackwell, vol. 22(2), pages 299-329, April.
    704. Francisco Alvarez-Cuadrado & Jose Maria Casado & Jose Maria Labeaga, 2016. "Envy and Habits: Panel Data Estimates of Interdependent Preferences," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(4), pages 443-469, August.
    705. Meyer, Donald J. & Meyer, Jack, 2005. "Risk preferences in multi-period consumption models, the equity premium puzzle, and habit formation utility," Journal of Monetary Economics, Elsevier, vol. 52(8), pages 1497-1515, November.
    706. Stanislav Khrapov, 2012. "Risk Premia: Short and Long-term," Working Papers w0169, Center for Economic and Financial Research (CEFIR).
    707. Gomes, Francisco J. & Haliassos, Michael & Ramadorai, Tarun, 2020. "Household finance," IMFS Working Paper Series 138, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    708. 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.
    709. Andrew W. Lo & Jiang Wang, 2001. "Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model," NBER Working Papers 8565, National Bureau of Economic Research, Inc.
    710. Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014. "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices," SIRE Discussion Papers 2015-79, Scottish Institute for Research in Economics (SIRE).
    711. Sclip, Alex & Girardone, Claudia & Beltrame, Federico & Paltrinieri, Andrea, 2021. "Bank risks and lending outcomes: Evidence from QE," Journal of International Money and Finance, Elsevier, vol. 118(C).
    712. Giovannetti, Bruno C., 2013. "Asset pricing under quantile utility maximization," Review of Financial Economics, Elsevier, vol. 22(4), pages 169-179.
    713. Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2013. "International correlation risk," LSE Research Online Documents on Economics 43087, London School of Economics and Political Science, LSE Library.
    714. Favilukis, Jack & Lin, Xiaoji, 2012. "Wage Rigidity: A Solution to Several Asset Pricing Puzzles," Working Paper Series 2012-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    715. Sean D. Campbell & Francis X. Diebold, 2005. "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," NBER Working Papers 11736, National Bureau of Economic Research, Inc.
    716. Kogan, Leonid & Ross, Stephen A. & Wang, Jiang & Westerfield, Mark M., 2017. "Market selection," Journal of Economic Theory, Elsevier, vol. 168(C), pages 209-236.
    717. Hitesh Doshi & Kris Jacobs & Rui Liu, 2021. "Information in the Term Structure: A Forecasting Perspective," Management Science, INFORMS, vol. 67(8), pages 5255-5277, August.
    718. Gareis, Johannes & Mayer, Eric, 2012. "Euler equations and money market interest rates: The role of monetary and risk premium shocks," W.E.P. - Würzburg Economic Papers 89, University of Würzburg, Department of Economics.
    719. Hall, Jamie, 2012. "Rapid estimation of nonlinear DSGE models," MPRA Paper 41218, University Library of Munich, Germany.
    720. Leonid Kogan & Dimitris Papanikolaou, 2014. "Growth Opportunities, Technology Shocks, and Asset Prices," Journal of Finance, American Finance Association, vol. 69(2), pages 675-718, April.
    721. Manuel A. Gómez, 2010. "The welfare cost of external habits: a quantitative assessment," Estudios de Economia, University of Chile, Department of Economics, vol. 37(1 Year 20), pages 5-26, June.
    722. Struck, Clemens C., 2014. "Habit persistence and the long-run labor supply," Economics Letters, Elsevier, vol. 124(2), pages 243-247.
    723. Jaime Alonso‐Carrera & Jordi Caballé & Xavier Raurich, 2004. "Consumption Externalities, Habit Formation and Equilibrium Efficiency," Scandinavian Journal of Economics, Wiley Blackwell, vol. 106(2), pages 231-251, June.
    724. Bianca De Paoli & Pawel Zabczyk, 2012. "Cyclical Risk Aversion, Precautionary Saving and Monetary Policy," CEP Discussion Papers dp1132, Centre for Economic Performance, LSE.
    725. ZHANG, Wei-Bin, 2013. "Habit Formation And Preference Change In A Twosector Growth Model With Elastic Labor Supply," Academica Science Journal, Economica Series, Dimitrie Cantemir University, Faculty of Economical Science, vol. 1(2), pages 3-20, May.
    726. Song, Zhongchen, 2022. "The Relationship between Government and Private Consumption: A Replication Study of Fiorito and Kollintzas (European Economic Review, 2004)," Journal of Comments and Replications in Economics (JCRE), ZBW - Leibniz Information Centre for Economics, vol. 1(2022-1), pages 1-24.
    727. 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.
    728. Polk, Christopher & Thompson, Samuel & Vuolteenaho, Tuomo, 2006. "Cross-sectional forecasts of the equity premium," Journal of Financial Economics, Elsevier, vol. 81(1), pages 101-141, July.
    729. Hamburg, Britta & Hoffmann, Mathias & Keller, Joachim, 2005. "Consumption, wealth and business cycles: why is Germany different?," Discussion Paper Series 1: Economic Studies 2005,16, Deutsche Bundesbank.
    730. Yu Chen & Thomas Cosimano & Alex Himonas, 2008. "Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks," Annals of Finance, Springer, vol. 4(3), pages 305-344, July.
    731. Stefan Nagel & Zhengyang Xu, 2022. "Dynamics of Subjective Risk Premia," NBER Working Papers 29803, National Bureau of Economic Research, Inc.
    732. Daniel Andrei & Bruce Carlin & Michael Hasler, 2019. "Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles," Management Science, INFORMS, vol. 67(6), pages 2900-2923, June.
    733. Emmanuel Farhi & Xavier Gabaix, "undated". "Rare Disasters and Exchange Rates," Working Paper 71001, Harvard University OpenScholar.
    734. Pierre Collin-Dufresne & Robert S. Goldstein & Fan Yang, 2010. "On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches," NBER Working Papers 15734, National Bureau of Economic Research, Inc.
    735. Jens Larsen & Ben May & James Talbot, 2003. "Estimating real interest rates for the United Kingdom," Bank of England working papers 200, Bank of England.
    736. Andrew E. Clark & Paul Frijters & Michael A. Shields, 2006. "Income and happiness: Evidence, explanations and economic implications," Working Papers halshs-00590436, HAL.
    737. Stefano DellaVigna, 2009. "Psychology and Economics: Evidence from the Field," Journal of Economic Literature, American Economic Association, vol. 47(2), pages 315-372, June.
    738. Ramón López & Sang Won Yoon, 2013. "Sustainable Economic Growth: Structural Transformation with Consumption Flexibility," Working Papers wp375, University of Chile, Department of Economics.
    739. Lewellen, Jonathan, 2010. "Accounting anomalies and fundamental analysis: An alternative view," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 455-466, December.
    740. Lars A. Lochstoer & Paul C. Tetlock, 2020. "What Drives Anomaly Returns?," Journal of Finance, American Finance Association, vol. 75(3), pages 1417-1455, June.
    741. Stijn Van Nieuwerburgh & Hanno Lustig, 2007. "The Wealth-Consumption Ratio: A Litmus Test for Consumption-Based Asset Pricing Models," 2007 Meeting Papers 398, Society for Economic Dynamics.
    742. 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.
    743. Kanda Naknoi & YiLi Chien, 2013. "The Risk Premium and Long-Run Global Imbalances," 2013 Meeting Papers 55, Society for Economic Dynamics.
    744. Fabio ALESSANDRINI, 2003. "Introducing Capital Structure in a Production Economy: Implications for Investment, Debt and Dividends," Cahiers de Recherches Economiques du Département d'économie 03.03, Université de Lausanne, Faculté des HEC, Département d’économie.
    745. Michael Falkenheim, 2021. "Governmental Risk Taking Under Market Imperfections: Working Paper 2021-07," Working Papers 57255, Congressional Budget Office.
    746. Fernando Alvarez & Urban J. Jermann, 2001. "The Size of the Permanent Component of Asset Pricing Kernels," NBER Working Papers 8360, National Bureau of Economic Research, Inc.
    747. Andreas Fuster & Benjamin Hebert & David Laibson, 2012. "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 1-48.
    748. Jin, Xing & Wang, Leping & Yu, Jun, 2007. "Temporal aggregation and risk-return relation," Finance Research Letters, Elsevier, vol. 4(2), pages 104-115, June.
    749. MatthewD. Rablen, 2008. "Relativity, Rank and the Utility of Income," Economic Journal, Royal Economic Society, vol. 118(528), pages 801-821, April.
    750. Lars P. Hansen & Thomas J. Sargent, 2016. "Sets of Models and Prices of Uncertainty," NBER Working Papers 22000, National Bureau of Economic Research, Inc.
    751. David Alaminos & Ignacio Esteban & M. Belén Salas, 2023. "Neural networks for estimating Macro Asset Pricing model in football clubs," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 30(2), pages 57-75, April.
    752. Yongyang Cai & Kenneth L. Judd & Thomas S. Lontzek, 2013. "The Social Cost of Stochastic and Irreversible Climate Change," NBER Working Papers 18704, National Bureau of Economic Research, Inc.
    753. John Y. Campbell, 2008. "Viewpoint: Estimating the equity premium," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 41(1), pages 1-21, February.
    754. Paya, Ivan & Wang, Peng, 2016. "Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 221-235.
    755. Canzoneri, Matthew B. & Cumby, Robert E. & Diba, Behzad T., 2007. "Euler equations and money market interest rates: A challenge for monetary policy models," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1863-1881, October.
    756. John H. Cochrane & Monika Piazzesi, 2002. "Bond Risk Premia," NBER Working Papers 9178, National Bureau of Economic Research, Inc.
    757. Stark, Oded & Szczygielski, Krzysztof, 2019. "The Likelihood of Divorce and the Riskiness of Financial Decisions," IZA Discussion Papers 12518, Institute of Labor Economics (IZA).
    758. Sydney C. Ludvigson & Serena Ng, 2005. "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers 11477, National Bureau of Economic Research, Inc.
    759. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2011. "Common Risk Factors in Currency Markets," The Review of Financial Studies, Society for Financial Studies, vol. 24(11), pages 3731-3777.
    760. Valkanov, Rossen, 1999. "Long-Horizon Regressions: Theoretical Results and Applications to the Expected Returns/Dividend Yields and Fisher Effect Relations," University of California at Los Angeles, Anderson Graduate School of Management qt67b2h2gb, Anderson Graduate School of Management, UCLA.
    761. Hall, Jamie & Pitt, Michael K. & Kohn, Robert, 2014. "Bayesian inference for nonlinear structural time series models," Journal of Econometrics, Elsevier, vol. 179(2), pages 99-111.
    762. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2008. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1653-1687, July.
    763. Charles Ka Yui Leung & Nan-Kuang Chen, 2006. "Intrinsic Cycles of Land Price: A Simple Model," Journal of Real Estate Research, American Real Estate Society, vol. 28(3), pages 293-320.
    764. Xu, Nancy R., 2021. "Procyclicality of the comovement between dividend growth and consumption growth," Journal of Financial Economics, Elsevier, vol. 139(1), pages 288-312.
    765. Fatih Guvenen, 2009. "A Parsimonious Macroeconomic Model for Asset Pricing," NBER Working Papers 15243, National Bureau of Economic Research, Inc.
    766. Glenn D. Rudebusch, 2010. "Macro-finance models of interest rates and the economy," Working Paper Series 2010-01, Federal Reserve Bank of San Francisco.
    767. Timmer, Yannick, 2018. "Cyclical investment behavior across financial institutions," ESRB Working Paper Series 77, European Systemic Risk Board.
    768. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Post-Print halshs-01215947, HAL.
    769. Bustamante, Maria Cecilia & Zucchi, Francesca, 2023. "Innovation, industry equilibrium, and discount rates," Working Paper Series 2835, European Central Bank.
    770. Laszlo Goerke, 2021. "Habit formation and wage determination," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 42(1), pages 61-76, January.
    771. Campbell, John, 2006. "Household Finance," Scholarly Articles 3157877, Harvard University Department of Economics.
    772. Bai, Hang & Zhang, Lu, 2022. "Searching for the equity premium," Journal of Financial Economics, Elsevier, vol. 143(2), pages 897-926.
    773. Wei, Pengyu & Yang, Charles & Zhuang, Yi, 2023. "Robust consumption and portfolio choice with derivatives trading," European Journal of Operational Research, Elsevier, vol. 304(2), pages 832-850.
    774. Laszlo Goerke, 2020. "An Efficiency-Wage Model with Habit Concerns about Wages," CESifo Working Paper Series 8428, CESifo.
    775. Maasoumi, Esfandiar & Lim, G.C. & Martin, Vance, 2006. "A reexamination of the equity-premium puzzle: A robust non-parametric approach," Departmental Working Papers 0604, Southern Methodist University, Department of Economics.
    776. Steven Heston & Kris Jacobs & Hyung Joo Kim, 2023. "The Pricing Kernel in Options," Finance and Economics Discussion Series 2023-053, Board of Governors of the Federal Reserve System (U.S.).
    777. Motohiro Yogo & Leonid Kogan & Joao Gomes, 2007. "Durability of Output and Expected Stock Returns," 2007 Meeting Papers 432, Society for Economic Dynamics.
    778. 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.
    779. Amanda Safford & James Sundali & Federico Guerrero, 2018. "Does Experiencing a Crash Make All the Difference? An Experiment on the Depression Babies Hypothesis," SAGE Open, , vol. 8(2), pages 21582440187, May.
    780. Mordecai Kurz, "undated". "Endogenous Uncertainty: A Unified View of Market Volatility," Working Papers 98013, Stanford University, Department of Economics.
    781. Nam Gang Lee, 2019. "Trend Growth Shocks and Asset Prices," Working Papers 2019-4, Economic Research Institute, Bank of Korea.
    782. Di Mauro, Carmela & Musumeci, Rosy, 2011. "Linking risk aversion and type of employment," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 40(5), pages 490-495.
    783. Curatola, Giuliano & Dergunov, Ilya, 2023. "International capital markets with interdependent preferences: Theory and empirical evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 403-421.
    784. Joon Woo Bae & Redouane Elkamhi, 2021. "Global Equity Correlation in International Markets," Management Science, INFORMS, vol. 67(11), pages 7262-7289, November.
    785. Gomes, Fábio Augusto Reis & Issler, João Victor, 2014. "Testing consumption optimality using aggregate data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 752, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    786. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00983051, HAL.
    787. Yongyang Cai & Kenneth L. Judd & Thomas S. Lontzek, 2015. "The Social Cost of Carbon with Economic and Climate Risks," Papers 1504.06909, arXiv.org, revised Apr 2015.
    788. Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
    789. Anisha Ghosh & George Constantinides, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," FMG Discussion Papers dp609, Financial Markets Group.
    790. Emmerling, Johannes & Qari, Salmai, 2017. "Car ownership and hedonic adaptation," Journal of Economic Psychology, Elsevier, vol. 61(C), pages 29-38.
    791. Tjeerd de Vries, 2021. "A Tale of Two Tails: A Model-free Approach to Estimating Disaster Risk Premia and Testing Asset Pricing Models," Papers 2105.08208, arXiv.org, revised Oct 2023.
    792. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    793. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.
    794. Juan M. Londono & Nancy R. Xu, 2019. "Variance Risk Premium Components and International Stock Return Predictability," International Finance Discussion Papers 1247, Board of Governors of the Federal Reserve System (U.S.).
    795. Jamal, A. M. M. & Quayes, Shakil, 2004. "Demographic structure and stock prices," Economics Letters, Elsevier, vol. 84(2), pages 211-215, August.
    796. Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 5245, C.E.P.R. Discussion Papers.
    797. Akdeniz,L. & Dechert,W.D., 2005. "The equity premium in Brock's asset pricing model," Working papers 3, Wisconsin Madison - Social Systems.
    798. Wang, Albert Y. & Young, Michael, 2020. "Terrorist attacks and investor risk preference: Evidence from mutual fund flows," Journal of Financial Economics, Elsevier, vol. 137(2), pages 491-514.
    799. Roman Muraviev, 2011. "Additive habits with power utility: Estimates, asymptotics and equilibrium," Papers 1108.2889, arXiv.org.
    800. Li, Lifang & Galvani, Valentina, 2018. "Market states, sentiment, and momentum in the corporate bond market," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 249-265.
    801. Jukka Ilomaki & Hannu Laurila & Michael McAleer, 2018. "Simple Market Timing with Moving Averages," Tinbergen Institute Discussion Papers 18-048/III, Tinbergen Institute.
    802. Guan, Guohui & Liang, Zongxia & Ma, Xingjian, 2024. "Optimal annuitization and asset allocation under linear habit formation," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 176-191.
    803. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2012_047.
    804. Laine, Olli-Matti, 2022. "The term structure of equity premia and the macroeconomy: some results," Economics Letters, Elsevier, vol. 216(C).
    805. Martin Andreasen & Marcelo Ferman & Pawel Zabczyk, 2013. "The Business Cycle Implications of Banks' Maturity Transformation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(4), pages 581-600, October.
    806. Rojo-Suárez, Javier & Alonso-Conde, Ana B. & Lago-Balsalobre, Rubén, 2024. "Industry bubbles and unexpected consumption shocks: A cross-sectional explanation of stock returns under recursive preferences," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1156-1169.
    807. Barnett, William A., 2014. "The joint services of money and credit," MPRA Paper 60336, University Library of Munich, Germany.
    808. Krainer, Robert E., 2013. "Towards a program for financial stability," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 207-218.
    809. John Y. Campbell & John H. Cochrane, 2015. "The Fragile Benefits of Endowment Destruction," Journal of Political Economy, University of Chicago Press, vol. 123(5), pages 1214-1226.
    810. Francke, Marc & Korevaar, Matthijs, 2021. "Housing markets in a pandemic: Evidence from historical outbreaks," Journal of Urban Economics, Elsevier, vol. 123(C).
    811. Santi Budria & Ada Ferrer-i-Carbonell, 2013. "Income Comparisons and Non-Cognitive Skills," Working Papers 733, Barcelona School of Economics.
    812. Thorsten Hens & Sabine Elmiger, 2019. "Economic Foundations for Finance," Springer Texts in Business and Economics, Springer, number 978-3-030-05427-4, June.
    813. Pierlauro Lopez, 2021. "Welfare Implications of Asset Pricing Facts: Should Central Banks Fill Gaps or Remove Volatility?," Working Papers 21-16R, Federal Reserve Bank of Cleveland, revised 16 May 2023.
    814. Rizi, Majid Haghani, 2021. "What moves housing markets: A state-space approach of the price-income ratio," International Economics, Elsevier, vol. 167(C), pages 96-107.
    815. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012. "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, vol. 105(1), pages 191-208.
    816. Miguel Cantillo Simon, 2019. "Using long term implied volatilities to assess past and present U.S. stock prices," Working Papers 201908, Universidad de Costa Rica, revised Dec 2019.
    817. Berner, Julian & Buchholz, Manuel & Tonzer, Lena, 2020. "Asymmetric investment responses to firm-specific forecast errors," IWH Discussion Papers 5/2020, Halle Institute for Economic Research (IWH).
    818. Gonçalves, Andrei S., 2021. "The short duration premium," Journal of Financial Economics, Elsevier, vol. 141(3), pages 919-945.
    819. Selahattin Imrohoroglu, 2004. "A Note on the McGrattan and Prescott (2003) Adjustments and the Equity Premium Puzzle," Macroeconomics 0402009, University Library of Munich, Germany.
    820. Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1005-1033.
    821. Jason Beeler & John Y. Campbell, 2009. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," NBER Working Papers 14788, National Bureau of Economic Research, Inc.
    822. Chan, Joshua C.C. & Santi, Caterina, 2021. "Speculative bubbles in present-value models: A Bayesian Markov-switching state space approach," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    823. René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers 2009s-20, CIRANO.
    824. Michelfelder, Richard A., 2015. "Empirical analysis of the generalized consumption asset pricing model: Estimating the cost of capital," Journal of Economics and Business, Elsevier, vol. 80(C), pages 37-50.
    825. Lars Ljungqvist & Harald Uhlig, 1996. "Catching with the Keynesians," Working Paper Series, Macroeconomic Issues WP-96-15, Federal Reserve Bank of Chicago.
    826. Michael Carlos Best & James S Cloyne & Ethan Ilzetzki & Henrik J Kleven, 2020. "Estimating the Elasticity of Intertemporal Substitution Using Mortgage Notches," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(2), pages 656-690.
    827. Zhang, Tongbin, 2021. "Stock prices and the risk-free rate: An internal rationality approach," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    828. Adrian de la Garza & Giovanni Mastrobuoni & Atsushi Sannabe & Katsunori Yamada, 2010. "The Relative Utility Hypothesis With and Without Self-reported Reference Wages," Carlo Alberto Notebooks 159, Collegio Carlo Alberto.
    829. Hui Chen, 2010. "Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure," Journal of Finance, American Finance Association, vol. 65(6), pages 2171-2212, December.
    830. de Groot, Oliver & Richter, Alexander W. & Throckmorton, Nathaniel, 2020. "Valuation Risk Revalued," CEPR Discussion Papers 14588, C.E.P.R. Discussion Papers.
    831. Guoqiang Tian & Liyan Yang, 2009. "Theory of negative consumption externalities with applications to the economics of happiness," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 39(3), pages 399-424, June.
    832. Niels J. Gormsen & Ralph S. J. Koijen & Ian W. R. Martin, 2021. "Implied Dividend Volatility and Expected Growth," AEA Papers and Proceedings, American Economic Association, vol. 111, pages 361-365, May.
    833. Francisco Alvarez‐Cuadrado, 2007. "Envy, leisure, and restrictions on working hours," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(4), pages 1286-1310, November.
    834. Jianqiu Wang & Ke Wu, 2018. "Testing The Long-Run Risk Model: A Kalman Filter Approach," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(04), pages 1-15, December.
    835. Beck, Günter Wilfried & Kotz, Hans-Helmut & Zabelina, Natalia, 2016. "Lost in translation? ECB's monetary impulses and financial intermediaries' responses," SAFE White Paper Series 36, Leibniz Institute for Financial Research SAFE.
    836. Jean-Pierre DANTHINE & John B. DONALDSON & Paolo SICONOLFI, 2005. "Distribution Risk and Equity Returns," FAME Research Paper Series rp161, International Center for Financial Asset Management and Engineering.
    837. Yang, Wei, 2011. "Long-run risk in durable consumption," Journal of Financial Economics, Elsevier, vol. 102(1), pages 45-61, October.
    838. João Sousa & Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Eveidence from the euro area, the U.K and the U.S," NIPE Working Papers 21/2011, NIPE - Universidade do Minho.
    839. Li Liu & Zhiyuan Pan & Yudong Wang, 2022. "Shrinking return forecasts," The Financial Review, Eastern Finance Association, vol. 57(3), pages 641-661, August.
    840. D. Carroll Christopher, 2000. "Risky Habits and the Marginal Propensity to Consume Output of Permanent Income, or, How Much Would a Permanent Tax Cut Boost Japanese Consumption?," International Economic Journal, Taylor & Francis Journals, vol. 14(4), pages 1-40.
    841. Anne-Charlotte Paret & Miss Anke Weber, 2019. "German Bond Yields and Debt Supply: Is There a “Bund Premium”?," IMF Working Papers 2019/235, International Monetary Fund.
    842. Erik Hjalmarsson, 2008. "Predicting global stock returns," International Finance Discussion Papers 933, Board of Governors of the Federal Reserve System (U.S.).
    843. Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2015. "Asset Pricing with Horizon-Dependent Risk Aversion," 2015 Meeting Papers 1069, Society for Economic Dynamics.
    844. Valentin Haddad & Alan Moreira & Tyler Muir, 2020. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response," NBER Working Papers 27168, National Bureau of Economic Research, Inc.
    845. Been-Lon Chen, 2007. "Multiple BGPs in a Growth Model with Habit Persistence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 25-48, February.
    846. Nijman, Theo E & Bovenberg, Lans, 2015. "Personal Pensions with Risk sharing: Affordable, Adequate and Stable Private Pensions in Europe," CEPR Discussion Papers 10538, C.E.P.R. Discussion Papers.
    847. Ambler, Kate & Godlonton, Susan & Recalde, María P., 2021. "Follow the leader? A field experiment on social influence," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 1280-1297.
    848. Kurt G. Lunsford & Kenneth D. West, 2018. "Some Evidence on Secular Drivers of U.S. Safe Real Rates," NBER Working Papers 25288, National Bureau of Economic Research, Inc.
    849. Stig V. Møller, 2007. "Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns," CREATES Research Papers 2007-07, Department of Economics and Business Economics, Aarhus University.
    850. Florian Schulz, 2016. "On the Timing and Pricing of Dividends: Comment," American Economic Review, American Economic Association, vol. 106(10), pages 3185-3223, October.
    851. Patrick J. Kehoe & Pierlauro Lopez & Virgiliu Midrigan & Elena Pastorino, 2019. "Asset Prices and Unemployment Fluctuations," NBER Working Papers 26580, National Bureau of Economic Research, Inc.
    852. David Dillenberger & Kareen Rozen, 2011. "History-Dependent Risk Attitude, Second Version," PIER Working Paper Archive 12-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 14 Jul 2012.
    853. Klaus Adam & Johannes Beutel & Albert Marcet, 2014. "Stock Price Booms and Expected Capital Gains," UFAE and IAE Working Papers 948.14, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    854. Benjamin M. Friedman, 2015. "Work and Consumption in an Era of Unbalanced Technological Advance," NBER Working Papers 21713, National Bureau of Economic Research, Inc.
    855. Viet Hoang Nguyen & Yongcheol Shin, 2011. "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series wp2011n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    856. Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov, 2014. "Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns," CREATES Research Papers 2014-48, Department of Economics and Business Economics, Aarhus University.
    857. Brandt, Michael & Cochrane, John & Santa-Clara, Pedro, 2001. "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!," University of California at Los Angeles, Anderson Graduate School of Management qt1jw137zd, Anderson Graduate School of Management, UCLA.
    858. Gebka, Bartosz & Wohar, Mark E., 2018. "The predictive power of the yield spread for future economic expansions: Evidence from a new approach," Economic Modelling, Elsevier, vol. 75(C), pages 181-195.
    859. Kazuo MIno & Yasuhiro Nakamoto, 2014. "Conformism and Wealth Distribution," KIER Working Papers 901, Kyoto University, Institute of Economic Research.
    860. Sebastien Rouillon, 2017. "Cooperative and Noncooperative Extraction in a Common Pool with Habit Formation," Post-Print hal-02486334, HAL.
    861. Demian Pouzo & Ignacio Presno, 2012. "Sovereign default risk and uncertainty premia," Working Papers 12-11, Federal Reserve Bank of Boston.
    862. Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2022. "Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," Econometrica, Econometric Society, vol. 90(2), pages 685-713, March.
    863. Oliver Linton & Anisha Ghosh, 2007. "Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error," FMG Discussion Papers dp605, Financial Markets Group.
    864. Andrei Semenov, 2003. "An Empirical Assessment of a Consumption CAPM with a Reference Level under Incomplete Consumption Insurance," Working Papers 2003_5, York University, Department of Economics.
    865. Robin Greenwood & Andrei Shleifer, 2014. "Expectations of Returns and Expected Returns," The Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 714-746.
    866. Corrado, Luisa & Holly, Sean, 2011. "Multiplicative habit formation and consumption: A note," Economics Letters, Elsevier, vol. 113(2), pages 116-119.
    867. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFR Working Papers 17-01, University of Cologne, Centre for Financial Research (CFR).
    868. Emilio Fernandez-Corugedo, 2004. "Consumption Theory," Handbooks, Centre for Central Banking Studies, Bank of England, number 23, April.
    869. Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," CRSP working papers 505, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    870. Sujoy Mukerji & Han N. Ozsoylev & Jean‐Marc Tallon, 2023. "Trading Ambiguity: A Tale Of Two Heterogeneities," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 1127-1164, August.
    871. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2012. "A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 934-956.
    872. Collard, Fabrice & Dellas, Harris, 2012. "Euler equations and monetary policy," Economics Letters, Elsevier, vol. 114(1), pages 1-5.
    873. Bender, Svetlana & Choi, James J. & Dyson, Danielle & Robertson, Adriana Z., 2022. "Millionaires speak: What drives their personal investment decisions?," Journal of Financial Economics, Elsevier, vol. 146(1), pages 305-330.
    874. Bidarkota, Prasad V. & Dupoyet, Brice V., 2007. "The impact of fat tails on equilibrium rates of return and term premia," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 887-905, March.
    875. Robert F. Whitelaw, 1997. "Time-Varying Sharpe Ratios and Market Timing," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-074, New York University, Leonard N. Stern School of Business-.
    876. Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2022. "The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area," Finance Research Letters, Elsevier, vol. 46(PA).
    877. Benjamin R. Auer, 2013. "Can habit formation under complete market integration explain the cross‐section of international equity risk premia?," Review of Financial Economics, John Wiley & Sons, vol. 22(2), pages 61-67, April.
    878. Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    879. Klaus Adam & Albert Marcet, 2010. "Booms and Busts in Asset Prices," IMES Discussion Paper Series 10-E-02, Institute for Monetary and Economic Studies, Bank of Japan.
    880. Snorre Lindset & Knut Anton Mork, 2019. "Risk Taking and Fiscal Smoothing with Sovereign Wealth Funds in Advanced Economies," IJFS, MDPI, vol. 7(1), pages 1-24, January.
    881. Mariana Khapko, 2023. "Asset pricing with dynamically inconsistent agents," Finance and Stochastics, Springer, vol. 27(4), pages 1017-1046, October.
    882. Hornstein Andreas & Uhlig Harald, 2000. "What is the Real Story for Interest Rate Volatility?," German Economic Review, De Gruyter, vol. 1(1), pages 43-67, February.
    883. Kurt F. Lewis & Francisco Vazquez-Grande, 2017. "Measuring the Natural Rate of Interest : A Note on Transitory Shocks," Finance and Economics Discussion Series 2017-059, Board of Governors of the Federal Reserve System (U.S.).
    884. Juin-Jen Chang & Yi-Ling Cheng & Shin-Kun Peng, 2017. "Social comparisons in consumption, international capital flows and tax competition," International Journal of Economic Theory, The International Society for Economic Theory, vol. 13(1), pages 47-71, March.
    885. Hou, Keqiang & Li, Xing & Li, Zeguang & Wu, Ting, 2021. "Forecasting bond returns in a macro model," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 524-545.
    886. Lorenzo Menna & Patrizio Tirelli, 2018. "Risk Premiums, Nominal Rigidities and Limited Asset Market Participation," Working Papers 388, University of Milano-Bicocca, Department of Economics, revised 25 Oct 2018.
    887. Robert Östling & Erik Lindqvist & David Cesarini & Joseph Briggs, 2016. "Wealth, Portfolio Allocations, and Risk Preference," 2016 Meeting Papers 1089, Society for Economic Dynamics.
    888. Robert E. Hall, 2003. "Corporate Earnings Track the Competitive Benchmark," NBER Working Papers 10150, National Bureau of Economic Research, Inc.
    889. Damonte Marco & Cardullo Gabriele, 2022. "The end of the Equity Premium Puzzle? An analysis of the European Financial Markets," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 11(2), pages 1-2.
    890. Ravi Bansal & Robert Dittmar & Dana Kiku, 2009. "Cointegration and Consumption Risks in Asset Returns," The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 1343-1375.
    891. Hanno Lustig & Stijn Van Nieuwerburgh, 2006. "Can Housing Collateral Explain Long-Run Swings in Asset Returns?," NBER Working Papers 12766, National Bureau of Economic Research, Inc.
    892. William R. Emmons & Frank A. Schmid, 2004. "Monetary policy actions and the incentive to invest," Working Papers 2004-018, Federal Reserve Bank of St. Louis.
    893. Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Matthew OBrien & Andrei Shleifer, 2023. "Long-Term Expectations and Aggregate Fluctuations," NBER Chapters, in: NBER Macroeconomics Annual 2023, volume 38, pages 311-347, National Bureau of Economic Research, Inc.
    894. Xiaohui Liu & Chang Shu, 2004. "Consumption and stock markets in Asian economies," International Review of Applied Economics, Taylor & Francis Journals, vol. 18(4), pages 483-496.
    895. Jules Tinang & Nour Meddahi, 2016. "GMM estimation of the Long Run Risks model," 2016 Meeting Papers 1107, Society for Economic Dynamics.
    896. Edmond, Chris & Weill, Pierre-Olivier, 2012. "Aggregate implications of micro asset market segmentation," Journal of Monetary Economics, Elsevier, vol. 59(4), pages 319-335.
    897. Guiso, Luigi & Sapienza, Paola & Zingales, Luigi, 2018. "Time varying risk aversion," Journal of Financial Economics, Elsevier, vol. 128(3), pages 403-421.
    898. Gene Amromin & Steven A. Sharpe, 2014. "From the Horse's Mouth: Economic Conditions and Investor Expectations of Risk and Return," Management Science, INFORMS, vol. 60(4), pages 845-866, April.
    899. Glenn D. Rudebusch & Eric T. Swanson, 2008. "The bond premium in a DSGE model with long-run real and nominal risks," Working Paper Research 143, National Bank of Belgium.
    900. Hueth, Brent & Ibarburu, Maro & Kliebenstein, James, 2006. "Business Organization and Coordination in Marketing Specialty Hogs: A Comparative Analysis of Two Firms from Iowa," Staff General Research Papers Archive 11328, Iowa State University, Department of Economics.
    901. Anisha Ghosh & George M. Constantinides, 2014. "Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes," NBER Working Papers 20678, National Bureau of Economic Research, Inc.
    902. Alejandro SALAZAR-ADAMS & Nicolás PINEDA-PABLOS, 2010. "Policies for Meeting Future Water Needs in Mexican Cities," EcoMod2010 259600147, EcoMod.
    903. Charles Ka Yui Leung & Nan‐Kuang Chen, 2010. "Stock Price Volatility, Negative Autocorrelation And The Consumption–Wealth Ratio: The Case Of Constant Fundamentals," Pacific Economic Review, Wiley Blackwell, vol. 15(2), pages 224-245, May.
    904. Hengjie Ai & Anmol Bhandari, 2021. "Asset Pricing With Endogenously Uninsurable Tail Risk," Econometrica, Econometric Society, vol. 89(3), pages 1471-1505, May.
    905. Ufuk Akcigit & Fernando Alvarez & Stephane Bonhomme & George M Constantinides & Douglas W Diamond & Eugene F Fama & David W Galenson & Michael Greenstone & Lars Peter Hansen & Uhlig Harald & James J H, 2017. "The Past, Present, and Future of Economics: A Celebration of the 125-Year Anniversary of the JPE and of Chicago Economics," Natural Field Experiments 00635, The Field Experiments Website.
    906. Federico Ravenna & University of California & Juha Seppala & University of Illinois, 2006. "Monetary Policy and the Term Structure of Interest Rates," Computing in Economics and Finance 2006 197, Society for Computational Economics.
    907. Calvet, Laurent-Emmanuel & Grandmont, Jean-Michel & Lemaire, Isabelle, 2018. "Aggregation of heterogenous beliefs, asset pricing, and risk sharing in complete financial markets," Research in Economics, Elsevier, vol. 72(1), pages 117-146.
    908. David Schröder & Florian Esterer, 2016. "A New Measure of Equity and Cash Flow Duration: The Duration‐Based Explanation of the Value Premium Revisited," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(5), pages 857-900, August.
    909. Been‐Lon Chen, 2007. "Multiple BGPs in a Growth Model with Habit Persistence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 25-48, February.
    910. Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, vol. 99(3), pages 560-580, March.
    911. Joseph W. Gruber, 2002. "Productivity shocks, habits, and the current account," International Finance Discussion Papers 733, Board of Governors of the Federal Reserve System (U.S.).
    912. Xianfeng Hao & Yudong Wang, 2023. "Forecasting the stock risk premium: A new statistical constraint," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1805-1822, November.
    913. 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.
    914. Yaron Zelekha & Orly Zelekha, 2020. "Income and clinical depression versus non-clinical mental health: Same associations or different structures? A dissociation strategy using a national representative random survey based on EUROHIS (INH," PLOS ONE, Public Library of Science, vol. 15(6), pages 1-18, June.
    915. Peter Carayannopoulos & Olga Kanj & M. Fabricio Perez, 2022. "Pricing dynamics in the market for catastrophe bonds," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 47(1), pages 172-202, January.
    916. Kyoung Jin Choi & Junkee Jeon & Hyeng Keun Koo, 2018. "Duesenberry's Theory of Consumption: Habit, Learning, and Ratcheting," Papers 1812.10038, arXiv.org.
    917. Obregon, Carlos, 2018. "Globalization misguided views," MPRA Paper 85813, University Library of Munich, Germany.
    918. Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman, 2013. "Winners and Losers: Creative Destruction and the Stock Market," NBER Working Papers 18671, National Bureau of Economic Research, Inc.
    919. Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
    920. Vincenzo Merella & Stephen E. Satchell, 2014. "Technology Shocks and Asset Pricing: The Role of Consumer Confidence," Carlo Alberto Notebooks 352, Collegio Carlo Alberto.
    921. Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2022. "Accounting for Risk in a Linearized Solution: How to Approximate the Risky Steady State and Around It," Working Papers 22-14, Federal Reserve Bank of Cleveland.
    922. 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, vol. 17(1), pages 45-75, May.
    923. Noha Emara, 2014. "Predictive Ability of Three Different Estimates of “Cay†to Excess Stock Returns – A Comparative Study for South Africa and USA," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 3-18.
    924. Carbone, Enrica & Duffy, John, 2014. "Lifecycle consumption plans, social learning and external habits: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 106(C), pages 413-427.
    925. Hardouvelis, Gikas & Malliaropoulos, Dimitrios, 2004. "The Yield Spread as a Symmetric Predictor of Output and Inflation," CEPR Discussion Papers 4314, C.E.P.R. Discussion Papers.
    926. René Garcia & Maral Kichian, 2000. "Modelling Risk Premiums in Equity and Foreign Exchange Markets," Staff Working Papers 00-9, Bank of Canada.
    927. Robert E. Hall, 2009. "Reconciling Cyclical Movements in the Marginal Value of Time and the Marginal Product of Labor," Journal of Political Economy, University of Chicago Press, vol. 117(2), pages 281-323, April.
    928. Fedotenkov, Igor, 2016. "Ignorance is bliss: Should a pension reform be announced?," MPRA Paper 71336, University Library of Munich, Germany.
    929. Roberto Marfè, 2016. "Corporate Fraction and the Equilibrium Term Structure of Equity Risk," Review of Finance, European Finance Association, vol. 20(2), pages 855-905.
    930. Luttmer, Erzo F. P., 2004. "Neighbors as Negatives: Relative Earnings and Well-Being," Working Paper Series rwp04-029, Harvard University, John F. Kennedy School of Government.
    931. Ralph S.J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "The Cross-Section and Time-Series of Stock and Bond Returns," NBER Working Papers 15688, National Bureau of Economic Research, Inc.
    932. Campbell, John Y., 2003. "Consumption-based asset pricing," Handbook of the Economics of Finance, 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.
    933. Liu, Ludan, 2008. "It takes a model to beat a model: Volatility bounds," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 80-110, January.
    934. Ana González-Urteaga & Belén Nieto & Gonzalo Rubio, 2022. "Spillover dynamics effects between risk-neutral equity and Treasury volatilities," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(4), pages 663-708, December.
    935. Boutin, Delphine & Petifour, Laurene & Megzari, Haris, 2023. "Permanent Instability of Preferences after COVID-19 Crisis: A Natural Experiment from Urban Burkina Faso," IZA Discussion Papers 16075, Institute of Labor Economics (IZA).
    936. Lubos Pastor & Pietro Veronesi, 2004. "Was There a Nasdaq Bubble in the Late 1990s?," NBER Working Papers 10581, National Bureau of Economic Research, Inc.
    937. Jón Daníelsson & Jean-Pierre Zigrand, 2008. "Equilibrium asset pricing with systemic risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 35(2), pages 293-319, May.
    938. Yan Zhang, 2008. "Does the Utility Function Form Matter for Indeterminacy in a Two Sector Small Open Economy," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 91-101, May.
    939. Rossi, Mariacristina, 2005. "Households’ Consumption under the Habit Formation Hypothesis. Evidence from Italian Households using the Survey of Household Income and Wealth (SHIW)," Economics Discussion Papers 8886, University of Essex, Department of Economics.
    940. Chen, Qi-An & Li, Huashi & Lin, Jianyi & Yan, Youliang, 2023. "Asset pricing with two types of heterogeneous consumption volatilities in mind: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    941. Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014. "Very Long-Run Discount Rates," NBER Working Papers 20133, National Bureau of Economic Research, Inc.
    942. David Backus & Mikhail Chernov & Stanley Zin, 2011. "Sources of Entropy in Representative Agent Models," Working Papers 11-21, New York University, Leonard N. Stern School of Business, Department of Economics.
    943. Zhang, Tongbin, 2014. "Stock Price, Real Riskless Interest Rate and Learning," MPRA Paper 57090, University Library of Munich, Germany.
    944. Pauline Ahern & Frank Hanley & Richard Michelfelder, 2011. "New approach to estimating the cost of common equity capital for public utilities," Journal of Regulatory Economics, Springer, vol. 40(3), pages 261-278, December.
    945. Dunbar, Kwamie, 2023. "CBDC uncertainty: Financial market implications," International Review of Financial Analysis, Elsevier, vol. 87(C).
    946. Boschi, Melisso & Goenka, Aditya, 2012. "Relative risk aversion and the transmission of financial crises," Journal of Economic Dynamics and Control, Elsevier, vol. 36(1), pages 85-99.
    947. Stephen G. Cecchetti & Pok-Sang Lam & Nelson Mark, 1998. "Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?," Working Papers 98-04, Ohio State University, Department of Economics.
    948. Kim, Dong H. & Stock, Duane, 2014. "The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables," Journal of Corporate Finance, Elsevier, vol. 26(C), pages 20-35.
    949. Erica X. N. Li & Dmitry Livdan & Lu Zhang, 2009. "Anomalies," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4301-4334, November.
    950. Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003. "Keeping up with the Joneses: An international asset pricing model," Economics Working Papers 694, Department of Economics and Business, Universitat Pompeu Fabra.
    951. Wonnho Choi, 2014. "Habit Formation and Risk-free Rate Puzzle," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(4), pages 155-170, October.
    952. Jun Ma, 2013. "Long‐Run Risk and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 121-145, February.
    953. Dreyer, Johannes K. & Schneider, Johannes & Smith, William T., 2013. "Saving-based asset-pricing," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3704-3715.
    954. Ghassan, Hassan B., 2015. "Islamic Consumer Model, Fairness Behavior and Asymptotic Utility," MPRA Paper 67141, University Library of Munich, Germany.
    955. M. Martin Boyer, 2004. "Is the Demand for Corporate Insurance a Habit? Evidence of Organizational Inertia from Directors' and Officers' Insurance," CIRANO Working Papers 2004s-33, CIRANO.
    956. Paulo Maio, 2013. "Intertemporal CAPM with Conditioning Variables," Management Science, INFORMS, vol. 59(1), pages 122-141, April.
    957. Jim Dolmas, 2012. "Campbell and Cochrane meet Melino and Yang: reverse engineering the surplus ratio in a Mehra-Prescott economy," Working Papers 1205, Federal Reserve Bank of Dallas.
    958. Aase, Knut K., 2012. "What Puzzles? New insights in asset pricing," Discussion Papers 2012/13, Norwegian School of Economics, Department of Business and Management Science.
    959. Johannes W. Fedderke, 2020. "Is the Phillips curve framework still useful for understanding inflation dynamics in South Africa," Working Papers 10142, South African Reserve Bank.
    960. Monfort, Alain & Pegoraro, Fulvio, 2012. "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
    961. Simon, András & Várpalotai, Viktor, 2001. "Eladósodás, kockázat és óvatosság [Optimal indebtedness in a small open economy showing precautionary behaviour]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 363-392.
    962. Felipe Schwartzman, 2014. "How Can Consumption-Based Asset-Pricing Models Explain Low Interest Rates?," Economic Quarterly, Federal Reserve Bank of Richmond, issue 3Q, pages 209-240.
    963. Aase, Knut K., 2014. "Recursive utility using the stochastic maximum principle," Discussion Papers 2014/3, Norwegian School of Economics, Department of Business and Management Science, revised 25 Mar 2015.
    964. Emara, Noha, 2014. "Predictive ability of three different estimates of “cay” to excess stock returns - A comparative study South Africa & U.S. -," MPRA Paper 68684, University Library of Munich, Germany.
    965. Marwan Alzoubi & Ayman Abdalmajeed Alsmadi & Hamad kasasbeh, 2022. "Systemically Important Bank: A Bibliometric Analysis for the Period of 2002 to 2022," SAGE Open, , vol. 12(4), pages 21582440221, December.
    966. 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.
    967. A Craig Burnside & Jeremy J Graveline, 2020. "On the Asset Market View of Exchange Rates," The Review of Financial Studies, Society for Financial Studies, vol. 33(1), pages 239-260.
    968. De Santis, Roberto A., 2012. "Quantity theory is alive: the role of international portfolio shifts," Working Paper Series 1435, European Central Bank.
    969. Robert J. Shiller, 2014. "Speculative Asset Prices (Nobel Prize Lecture)," Cowles Foundation Discussion Papers 1936, Cowles Foundation for Research in Economics, Yale University.
    970. Abootaleb Shirvani & Stoyan V. Stoyanov & Frank J. Fabozzi & Svetlozar T. Rachev, 2021. "Equity premium puzzle or faulty economic modelling?," Review of Quantitative Finance and Accounting, Springer, vol. 56(4), pages 1329-1342, May.
    971. Kraft, Holger & Munk, Claus & Wagner, Sebastian, 2015. "Housing habits and their implications for life-cycle consumption and investment," SAFE Working Paper Series 85, Leibniz Institute for Financial Research SAFE, revised 2015.
    972. Azariadis, Costas & Kaas, Leo, 2007. "Asset price fluctuations without aggregate shocks," Journal of Economic Theory, Elsevier, vol. 136(1), pages 126-143, September.
    973. Olga Klinkowska & Angelica Gonzalez & Abhay Abhyankar, 2012. "Salvaging the C-CAPM: Currency Carry Trade Risk Premia and Conditioning Information," 2012 Meeting Papers 56, Society for Economic Dynamics.
    974. Miller, Marcus & Zhang, Lei, 2007. "Fear and Market Failure: Global Imbalances and ¿Self-Insurance¿," IDB Publications (Working Papers) 1606, Inter-American Development Bank.
    975. Andres Sagner, 2020. "High Dimensional Quantile Factor Analysis," Working Papers Central Bank of Chile 886, Central Bank of Chile.
    976. Jin, Lawrence J. & Sui, Pengfei, 2022. "Asset pricing with return extrapolation," Journal of Financial Economics, Elsevier, vol. 145(2), pages 273-295.
    977. Bahar Leventoğlu, 2017. "Bargaining with habit formation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(3), pages 477-508, October.
    978. Hongye Guo & Jessica A. Wachter, 2019. ""Superstitious" Investors," NBER Working Papers 25603, National Bureau of Economic Research, Inc.
    979. Ľuboš Pástor & Pietro Veronesi, 2020. "Political Cycles and Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 128(11), pages 4011-4045.
    980. K. Victor Chow & Wanjun Jiang & Bingxin Li & Jingrui Li, 2020. "Decomposing the VIX: Implications for the predictability of stock returns," The Financial Review, Eastern Finance Association, vol. 55(4), pages 645-668, November.
    981. Christopher A. Sims, 2002. "The Role of Models and Probabilities in the Monetary Policy Process," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 33(2), pages 1-62.
    982. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2011. "Can standard preferences explain the prices of out-of-the-money S&P 500 put options?," Working Paper Series WP-2011-11, Federal Reserve Bank of Chicago.
    983. Andrea Ajello & Luca Benzoni & Olena Chyruk, 2012. "Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates," Working Paper Series WP-2014-11, Federal Reserve Bank of Chicago.
    984. YiLi Chien & Harold Cole & Hanno Lustig, 2007. "A Multiplier Approach to Understanding the Macro Implications of Household Finance," NBER Working Papers 13555, National Bureau of Economic Research, Inc.
    985. Jeffrey R. Gerlach, 2005. "Imperfect Information and Stock Market Volatility," The Financial Review, Eastern Finance Association, vol. 40(2), pages 173-194, May.
    986. Christopher Otrok & B. Ravikumar & Charles H. Whiteman, 2002. "Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte Carlo investigation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(2), pages 149-174.
    987. Armin Falk & Markus Knell, "undated". "Choosing the Joneses On the Endogeneity of Reference Groups," IEW - Working Papers 053, Institute for Empirical Research in Economics - University of Zurich.
    988. Majnoni, Giovanni & Powell, Andrew, 2011. "On Endogenous Risk, the Amplification Effects of Financial Systems and Macro Prudential Policies," IDB Publications (Working Papers) 3804, Inter-American Development Bank.
    989. Zemcik, Petr, 2001. "Mean reversion in asset returns and time non-separable preferences," International Review of Economics & Finance, Elsevier, vol. 10(3), pages 223-245, July.
    990. Claudio Campanale & Gian Luca Clementi & Rui Castro, 2008. "Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences," Working Papers. Serie AD 2008-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    991. Poshakwale, Sunil S. & Mandal, Anandadeep, 2016. "Determinants of asymmetric return comovements of gold and other financial assets," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 229-242.
    992. Tano Santos & Pietro Veronesi, 2005. "Cash-Flow Risk, Discount Risk, and the Value Premium," NBER Working Papers 11816, National Bureau of Economic Research, Inc.
    993. Thomas J. Carter & Xin Scott Chen & José Dorich, 2019. "Le taux neutre au Canada : mise à jour de 2019," Staff Analytical Notes 2019-11fr, Bank of Canada.
    994. Yu Chen & Thomas Cosimano & Alex Himonas, 2010. "Continuous time one-dimensional asset-pricing models with analytic price–dividend functions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 42(3), pages 461-503, March.
    995. Ma, Chang, 2020. "Financial stability, growth and macroprudential policy," Journal of International Economics, Elsevier, vol. 122(C).
    996. Sabine Elmiger, 2019. "CAPM-anomalies: quantitative puzzles," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 68(3), pages 643-667, October.
    997. Robert J. Barro & Gordon Y. Liao, 2019. "Tractable Rare Disaster Probability and Options-Pricing," Finance and Economics Discussion Series 2019-073, Board of Governors of the Federal Reserve System (U.S.).
    998. Lee, Kiryoung, 2022. "Which uncertainty measures matter for the cross-section of corporate bond returns? Evidence from the U.S. during 1973–2020," Finance Research Letters, Elsevier, vol. 48(C).
    999. Rob Alessie & Federica Teppa, 2010. "Saving and habit formation: evidence from Dutch panel data," Empirical Economics, Springer, vol. 38(2), pages 385-407, April.
    1000. He, Yunhao & Leippold, Markus, 2020. "Short-run risk, business cycle, and the value premium," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
    1001. Xiaohong Chen & Sydney C. Ludvigson, 2009. "Land of addicts? an empirical investigation of habit-based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1057-1093.
    1002. Lau, Chi-Lei Oscar, 2008. "Disentangling Intertemporal Substitution and Risk Aversion under the Expected Utility Theorem," MPRA Paper 11482, University Library of Munich, Germany.
    1003. Binswanger, Johannes, 2010. "Understanding the heterogeneity of savings and asset allocation: A behavioral-economics perspective," Journal of Economic Behavior & Organization, Elsevier, vol. 76(2), pages 296-317, November.
    1004. Corrado, L. & Holly, S. & Raissi, M., 2012. "Persistent Habits, optimal Monetary Policy Inertia and Interest Rate Smoothing," Cambridge Working Papers in Economics 1247, Faculty of Economics, University of Cambridge.
    1005. Sarah Mouabbi & Jean-Paul Renne & Jean-Guillaume Sahuc, 2020. "Taming Debt: Can GDP-Linked Bonds Do the Trick?," EconomiX Working Papers 2020-13, University of Paris Nanterre, EconomiX.
    1006. Cavallari, Lilia, 2020. "Monetary policy and consumers' demand," Economic Modelling, Elsevier, vol. 92(C), pages 23-36.
    1007. Kaniel, Ron & Yan, Hong & Carlson, Murray & Chapman, David A., 2015. "Asset Return Predictability in a Heterogeneous Agent Equilibrium Model," CEPR Discussion Papers 10328, C.E.P.R. Discussion Papers.
    1008. Obregon, Carlos, 2018. "Globalización visiones equivocadas [Globalization misguided views]," MPRA Paper 86396, University Library of Munich, Germany.
    1009. Hamed Ghanbari & Michael Oancea & Stylianos Perrakis, 2021. "Shedding light on a dark matter: Jump diffusion and option‐implied investor preferences," European Financial Management, European Financial Management Association, vol. 27(2), pages 244-286, March.
    1010. Turnovsky, Stephen J. & Monteiro, Goncalo, 2007. "Consumption externalities, production externalities, and efficient capital accumulation under time non-separable preferences," European Economic Review, Elsevier, vol. 51(2), pages 479-504, February.
    1011. Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2010. "Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices," IDEI Working Papers 636, Institut d'Économie Industrielle (IDEI), Toulouse.
    1012. David Dillenberger & Kareen Rozen, 2010. "History-Dependent Risk Attitude," Cowles Foundation Discussion Papers 1763, Cowles Foundation for Research in Economics, Yale University, revised Jul 2012.
    1013. Rubio-Ramírez, Juan Francisco & Fernández-Villaverde, Jesús & Koijen, Ralph & van Binsbergen, Jules, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," CEPR Discussion Papers 7781, C.E.P.R. Discussion Papers.
    1014. Piazzesi, Monika & Schneider, Martin & Tuzel, Selale, 2007. "Housing, consumption and asset pricing," Journal of Financial Economics, Elsevier, vol. 83(3), pages 531-569, March.
    1015. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 119001, London School of Economics and Political Science, LSE Library.
    1016. Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007. "Arbitrage-free bond pricing with dynamic macroeconomic models," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 305-326.
    1017. Peter N Smith & Michael R Wickens, "undated". "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers 02/03, Department of Economics, University of York.
    1018. Dangl, Thomas & Halling, Michael, 2012. "Predictive regressions with time-varying coefficients," Journal of Financial Economics, Elsevier, vol. 106(1), pages 157-181.
    1019. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01215947, HAL.
    1020. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Working Paper Research 119, National Bank of Belgium.
    1021. Park, Cheolbeom, 2010. "When does the dividend-price ratio predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 81-101, January.
    1022. Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
    1023. Tsafack, Georges & Becker, Ying & Han, Ki, 2023. "Earnings announcement premium and return volatility: Is it consistent with risk-return trade-off?," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    1024. Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta, 2021. "A robust approach for outlier imputation: Singular Spectrum Decomposition," Working Papers 202164, University of Pretoria, Department of Economics.
    1025. Yongseung Han & Myeong Hwan Kim, 2023. "Monetary shocks on the Korean stock index: structural VAR analysis," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(1), pages 85-102, March.
    1026. Valentin Haddad & Serhiy Kozak & Shrihari Santosh & Stijn Van Nieuwerburgh, 2020. "Factor Timing," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 1980-2018.
    1027. Kazuyuki Sasakura, 2021. "Calculating a Giffen Good," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 7(3), pages 349-369, November.
    1028. Victoria Atanasov & Stig V. Møller & Richard Priestley, 2020. "Consumption Fluctuations and Expected Returns," Journal of Finance, American Finance Association, vol. 75(3), pages 1677-1713, June.
    1029. Johdo, Wataru, 2009. "Habit persistence and stagnation," Economic Modelling, Elsevier, vol. 26(5), pages 1110-1114, September.
    1030. Stuart Hyde & Mohamed Sherif, 2005. "Consumption Asset Pricing Models: Evidence From The Uk," Manchester School, University of Manchester, vol. 73(3), pages 343-363, June.
    1031. Bekaert, Geert & Wu, Guojun, 2000. "Asymmetric Volatility and Risk in Equity Markets," The Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
    1032. Bjørn Eraker & Ivan Shaliastovich & Wenyu Wang, 2016. "Durable Goods, Inflation Risk, and Equilibrium Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 29(1), pages 193-231.
    1033. Benjamin Hamidi & Emmanuel Jurczenko & Bertrand Maillet, 2009. "D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?," Post-Print halshs-00389773, HAL.
    1034. Vincenzo Merella & Stephen E. Satchell, 2019. "Asset pricing with utility from external anticipation," Carlo Alberto Notebooks 589, Collegio Carlo Alberto.
    1035. 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.
    1036. 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.
    1037. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    1038. Sander, Magnus, 2018. "Market timing over the business cycle," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 130-145.
    1039. Egil Matsen & Øystein Thøgersen, 2007. "Habit Formation, Strategic Extremism and Debt Policy," CESifo Working Paper Series 2169, CESifo.
    1040. Baetje, Fabian & Menkhoff, Lukas, 2013. "Macro determinants of U.S. stock market risk premia in bull and bear markets," Hannover Economic Papers (HEP) dp-520, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    1041. John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," CRSP working papers 491, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    1042. Bali, Turan G. & Cakici, Nusret & Chabi-Yo, Fousseni, 2015. "A new approach to measuring riskiness in the equity market: Implications for the risk premium," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 101-117.
    1043. Ali-Rind, Asad & Boubaker, Sabri & Jarjir, Souad Lajili, 2023. "Peer effects in financial economics: A literature survey," Research in International Business and Finance, Elsevier, vol. 64(C).
    1044. Jorge Selaive & Vicente Tuesta, 2003. "Net Foreign Assets And Imperfect Financial Integration: An Empirical Approach," Working Papers Central Bank of Chile 252, Central Bank of Chile.
    1045. Andrés Schneider, 2022. "Risk‐Sharing and the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 77(4), pages 2331-2374, August.
    1046. Keunbae Ahn, 2021. "Predictable Fluctuations in the Cross-Section and Time-Series of Asset Prices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2021.
    1047. Van Nieuwerburgh, Stijn & Veldkamp, Laura, 2006. "Learning asymmetries in real business cycles," Journal of Monetary Economics, Elsevier, vol. 53(4), pages 753-772, May.
    1048. Blitz, David & Hanauer, Matthias X. & Vidojevic, Milan, 2020. "The idiosyncratic momentum anomaly," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 932-957.
    1049. Roos Michael W. M., 2015. "Die Komplexitätsökonomik und ihre Implikationen für die Wirtschaftspolitik," Perspektiven der Wirtschaftspolitik, De Gruyter, vol. 16(4), pages 379-392, December.
    1050. Giaccotto, Carmelo & Lin, Xiao & Zhao, Yanhui, 2020. "Term structure of discount rates for firms in the insurance industry," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 147-158.
    1051. Valdivia Coria, Joab Dan, 2023. "Discriminación salarial de género, efectos en la política monetaria y fluctuación cíclica del producto [Gender pay gap, effects on monetary policy and cyclical output fluctuation]," MPRA Paper 116271, University Library of Munich, Germany.
    1052. Mr. Bernhard Eckwert & Mr. Burkhard Drees, 2005. "Asset Mispricing Due to Cognitive Dissonance," IMF Working Papers 2005/009, International Monetary Fund.
    1053. Vasilev, Aleksandar, 2018. "Indeterminacy with preferences featuring multiplicative habits in consumption: lessons from Bulgaria (1999-2016)," EconStor Preprints 182499, ZBW - Leibniz Information Centre for Economics.
    1054. Jessica A. Wachter & Motohiro Yogo, 2010. "Why Do Household Portfolio Shares Rise in Wealth?," NBER Working Papers 16316, National Bureau of Economic Research, Inc.
    1055. Li, Jun & Wang, Huijun & Yu, Jianfeng, 2018. "Aggregate Expected Investment Growth and Stock Market Returns," ADBI Working Papers 808, Asian Development Bank Institute.
    1056. Li, Jun & Yu, Jianfeng, 2012. "Investor attention, psychological anchors, and stock return predictability," Journal of Financial Economics, Elsevier, vol. 104(2), pages 401-419.
    1057. Zając, P. & Avdiushchenko, A., 2020. "The impact of converting waste into resources on the regional economy, evidence from Poland," Ecological Modelling, Elsevier, vol. 437(C).
    1058. Belén Nieto & Gonzalo Rubio, 2007. "Measuring time-varying economic fears with consumption-based stochastic discount factors," Economics Working Papers 1029, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2007.
    1059. Juan Carlos Hatchondo, 2008. "A quantitative study of the role of wealth inequality on asset prices," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 94(Win), pages 73-96.
    1060. Rapach, David E. & Wohar, Mark E., 2009. "Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 427-453, April.
    1061. Ioannis Oikonomou & Chris Brooks & Stephen Pavelin, 2010. "The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis," ICMA Centre Discussion Papers in Finance icma-dp2010-12, Henley Business School, University of Reading.
    1062. Agostino Capponi & Sveinn Olafsson & Thaleia Zariphopoulou, 2019. "Personalized Robo-Advising: Enhancing Investment through Client Interaction," Papers 1911.01391, arXiv.org, revised Nov 2020.
    1063. John Powell & Rubén Roa & Jing Shi & Viliphonh Xayavong, 2007. "A Test for Long-Term Cyclical Clustering of Stock Market Regimes," Australian Journal of Management, Australian School of Business, vol. 32(2), pages 205-221, December.
    1064. Gómez, Marcos & Medina, Juan Pablo & Valenzuela, Gonzalo, 2019. "Unveiling the objectives of central banks: Tales of four Latin American countries," Economic Modelling, Elsevier, vol. 76(C), pages 81-100.
    1065. Haijun Wang & L. Steven Hou, 2015. "Robust Consumption and Portfolio Choice with Habit Formation, the Spirit of Capitalism and Recursive Utility," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 393-416, November.
    1066. Eric Swanson & Glenn Rudebusch, 2008. "Long-Run Inflation Risk and the Postwar Term Premium," 2008 Meeting Papers 988, Society for Economic Dynamics.
    1067. Mangee, Nicholas, 2024. "Stock price swings and fundamentals: The role of Knightian uncertainty," International Review of Financial Analysis, Elsevier, vol. 91(C).
    1068. Marianne Andries, 2012. "Consumption-based Asset Pricing Loss Aversion," 2012 Meeting Papers 571, Society for Economic Dynamics.
    1069. Manuel Ammann & Christian Zenkner, 2003. "Tactical Asset Allocation mit Genetischen Algorithmen," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 139(I), pages 1-40, March.
    1070. Irina Khvostova & Alexander Larin & Anna Novak, 2016. "Euler Equation with Habits and Measurement Errors: Estimates on Russian Micro Data," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 63(4), pages 395-409.
    1071. Lijun Bo & Shihua Wang & Xiang Yu, 2022. "A mean field game approach to equilibrium consumption under external habit formation," Papers 2206.13341, arXiv.org, revised Mar 2024.
    1072. Berling, Peter, 2008. "Real options valuation principle in the multi-period base-stock problem," Omega, Elsevier, vol. 36(6), pages 1086-1095, December.
    1073. Jaroslav Borovička & Lars Peter Hansen & Mark Hendricks & José A. Scheinkman, 2009. "Risk Price Dynamics," NBER Working Papers 15506, National Bureau of Economic Research, Inc.
    1074. Moore, Michael J. & Roche, Maurice J., 2008. "Volatile and persistent real exchange rates with or without sticky prices," Journal of Monetary Economics, Elsevier, vol. 55(2), pages 423-433, March.
    1075. Mariano Croce & Kai Li & Hengjie Ai, 2010. "Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital," 2010 Meeting Papers 663, Society for Economic Dynamics.
    1076. Massa, Massimo & Locarno, Alberto, 2005. "Monetary Policy Uncertainty and the Stock Market," CEPR Discussion Papers 4828, C.E.P.R. Discussion Papers.
    1077. Yongseung Jung, 2010. "Asset Market Structures and Monetary Policy in a Small Open Economy," Working Papers id:3104, eSocialSciences.
    1078. Zin, Stanley E., 2002. "Are behavioral asset-pricing models structural?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 215-228, January.
    1079. Anton Muscatelli & Patrizio Tirelli & Carmine Trecroci, 2003. "Fiscal and Monetary Policy Interactions: Empirical Evidence and Optimal Policy Using a Structural New Keynesian Model," CESifo Working Paper Series 1060, CESifo.
    1080. Razzak, Weshah, 2020. "The Riddle of the Natural Rate of Interest," MPRA Paper 99747, University Library of Munich, Germany.
    1081. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
    1082. Ding, Xiaoya (Sara) & Ni, Yang & Rahman, Abdul & Saadi, Samir, 2015. "Housing price growth and the cost of equity capital," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 283-300.
    1083. Francisco Palomino, 2012. "Bond Risk Premiums and Optimal Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(1), pages 19-40, January.
    1084. Michael W. Brandt & Qiang Kang, 2002. "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers 9056, National Bureau of Economic Research, Inc.
    1085. Azam Mohammadzadeh & Mohammad Nabi Shahiki Tash & Reza Roshan, 2016. "Investigating and Comparing Some Consumption-based Asset Pricing Models: The Case of Iran," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1884-1894.
    1086. Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers 2014/9, Norwegian School of Economics, Department of Business and Management Science.
    1087. Hatcher, Michael, 2011. "Time-varying volatility, precautionary saving and monetary policy," Bank of England working papers 440, Bank of England.
    1088. Xing Jin & LepingWang & JunYu, 2007. "Temporal Aggregation and Risk-Return Relation," Finance Working Papers 21917, East Asian Bureau of Economic Research.
    1089. Matthieu Gilson & Kim Oosterlinck & Andrey Ukhov, 2015. "Time-Varying Risk Aversion during World War II: Evidence from Belgian Lottery Bond Prices," Working Papers CEB 15-031, ULB -- Universite Libre de Bruxelles.
    1090. Michael D. Bauer & Glenn D. Rudebusch & Jing Cynthia Wu, 2014. "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment," American Economic Review, American Economic Association, vol. 104(1), pages 323-337, January.
    1091. Liu, Yi-Fang & Zhang, Wei & Xu, Chao & Vitting Andersen, Jørgen & Xu, Hai-Chuan, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 204-215.
    1092. Hauser, Shmuel & Kedar-Levy, Haim, 2018. "Liquidity might come at cost: The role of heterogeneous preferences," Journal of Financial Markets, Elsevier, vol. 39(C), pages 1-23.
    1093. Thomas Q. Pedersen, 2015. "Predictable Return Distributions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(2), pages 114-132, March.
    1094. Mariarosaria Comunale & Justas Dainauskas & Povilas Lastauskas, 2021. "What explains excess trade persistence? A theory of habits in the supply chains," CAMA Working Papers 2021-11, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    1095. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," American Economic Review, American Economic Association, vol. 95(2), pages 398-404, May.
    1096. DeLong, J. Bradford & Magin, Konstantin, 2008. "The U.S. Equity Return Premium: Past, Present and Future," Department of Economics, Working Paper Series qt2827m1qc, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    1097. Xiang Yu, 2014. "Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments," Papers 1408.1382, arXiv.org, revised Jul 2016.
    1098. Alessie, R.J.M. & Teppa, F., 2002. "Saving and Habit Formation : Evidence from Dutch Panel Data," Other publications TiSEM 60427e7c-434b-4fbc-a05d-e, Tilburg University, School of Economics and Management.
    1099. Pierlauro Lopez & David Lopez-Salido & Francisco Vazquez-Grande, 2018. "Risk-Adjusted Linearizations of Dynamic Equilibrium Models," Working papers 702, Banque de France.
    1100. Kenc, Turalay & Dibooglu, Sel, 2007. "The spirit of capitalism, asset pricing and growth in a small open economy," Journal of International Money and Finance, Elsevier, vol. 26(8), pages 1378-1402, December.
    1101. Atilla Aras, 2021. "Solution to the Equity Premium Puzzle Using the Sufficiency Factor of the Model," Papers 2110.14405, arXiv.org, revised Sep 2022.
    1102. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
    1103. David O. Lucca & Emanuel Moench, 2011. "The pre-FOMC announcement drift," Staff Reports 512, Federal Reserve Bank of New York.
    1104. Larbi Alaoui & Alvaro Sandroni, 2013. "Predestination and the Protestant Ethic," Working Papers 679, Barcelona School of Economics.
    1105. Eduard Dubin & Olesya V. Grishchenko & Vasily Kartashov, 2012. "Habit formation heterogeneity: Implications for aggregate asset pricing," Finance and Economics Discussion Series 2012-07, Board of Governors of the Federal Reserve System (U.S.).
    1106. Pérez, Rafaela & Ruiz, Jesús & Lafuente Luengo, Juan Ángel, 2012. "Monetary policy regimes and the forward bias for foreign exchange," DEE - Working Papers. Business Economics. WB 12960, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    1107. Ricardo Caballero & Stavros Panageas, 2005. "A Quantitative Model of Sudden Stops and External Liquidity Management," NBER Working Papers 11293, National Bureau of Economic Research, Inc.
    1108. Enrico Perotti & Toni Ahnert, 2015. "Cheap but Flighty: How Global Imbalances create Financial Fragility," Tinbergen Institute Discussion Papers 15-036/IV/DSF89, Tinbergen Institute.
    1109. Hui Guo & Robert Savickas, 2006. "Understanding stock return predictability," Working Papers 2006-019, Federal Reserve Bank of St. Louis.
    1110. Wei-Bin Zhang, 2016. "Population Growth And Preference Change In A Generalized Solow Growth Model With Gender Time Distributions," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 7-30, September.
    1111. Mathias Hoffmann, 2006. "Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns," CESifo Working Paper Series 1712, CESifo.
    1112. Bak, Yuhyeon & Park, Cheolbeom, 2022. "Exchange rate predictability, risk premiums, and predictive system," Economic Modelling, Elsevier, vol. 116(C).
    1113. Bollerslev, Tim & Li, Sophia Zhengzi & Todorov, Viktor, 2016. "Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 120(3), pages 464-490.
    1114. Mathieu-Bolh, Nathalie & Wendner, Ronald, 2020. "We are what we eat: Obesity, income, and social comparisons," European Economic Review, Elsevier, vol. 128(C).
    1115. Çepni, Oğguzhan & Demirer, Riza & Gupta, Rangan & Pierdzioch, Christian, 2020. "Time-varying risk aversion and the predictability of bond premia," Finance Research Letters, Elsevier, vol. 34(C).
    1116. Miguel A. Iraola & Manuel S. Santos, 2009. "Long Term Asset Price Volatility and Macroeconomic Fluctuations," Working Papers 2010-1, University of Miami, Department of Economics.
    1117. Gadi Barlevy, 2004. "The Cost of Business Cycles Under Endogenous Growth," American Economic Review, American Economic Association, vol. 94(4), pages 964-990, September.
    1118. Jaroslava Hlouskova & Panagiotis Tsigaris, 2012. "Capital income taxation and risk taking under prospect theory," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 19(4), pages 554-573, August.
    1119. Uhlig, H.F.H.V.S., 1995. "A toolkit for analyzing nonlinear dynamic stochastic models easily," Other publications TiSEM cc1b2469-9d2f-445a-a2b3-1, Tilburg University, School of Economics and Management.
    1120. Hyun Park, 2019. "Endogenous Growth and Equilibrium Cycles under Altruistic and Envious Preferences," Korean Economic Review, Korean Economic Association, vol. 35, pages 307-344.
    1121. Stefan Avdjiev & Nathan Balke, 2010. "Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations," BIS Working Papers 323, Bank for International Settlements.
    1122. Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005 49, Money Macro and Finance Research Group.
    1123. Nicholas Barberis & Ming Huang, 2006. "The Loss Aversion / Narrow Framing Approach to the Equity Premium Puzzle," NBER Working Papers 12378, National Bureau of Economic Research, Inc.
    1124. Cho, Sungjun, 2014. "What drives stochastic risk aversion?," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 44-63.
    1125. Gordon Schulze, 2021. "Carry Trade Returns and Segmented Risk Pricing," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 49(1), pages 23-40, March.
    1126. Jonas Heipertz & Ilian Mihov & Ana Maria Santacreu, 2017. "Managing Macroeconomic Fluctuations with Flexible Exchange Rate Targeting," Working Papers 2017-028, Federal Reserve Bank of St. Louis, revised 16 Jan 2022.
    1127. Marlène Isoré & Urszula Szczerbowicz, 2013. "Disaster Risk in a New Keynesian Model," Working Papers 2013-12, CEPII research center.
    1128. Adriana Fernandez & Alex Nikolsko-Rzhevskyy, 2011. "Forecasting the end of the global recession: did we miss the early signs?," Staff Papers, Federal Reserve Bank of Dallas, issue Apr.
    1129. Markus Knell, 2008. "The Optimal Mix Between Funded and Unfunded Pensions System When People Care About Relative Consumption," Working Papers 146, Oesterreichische Nationalbank (Austrian Central Bank).
    1130. Stijn Van Nieuwerburgh & Hanno Lustig, 2005. "The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street," 2005 Meeting Papers 105, Society for Economic Dynamics.
    1131. Seppälä, Juha, 2000. "The term structure of real interest rates: Theory and evidence form UK index-linked bonds," Bank of Finland Research Discussion Papers 22/2000, Bank of Finland.
    1132. Li, Jun & Wang, Huijun & Yu, Jianfeng, 2021. "Aggregate expected investment growth and stock market returns," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 618-638.
    1133. Jing Jian Xiao & Chunsheng Tao, 2020. "Consumer finance/household finance: the definition and scope," China Finance Review International, Emerald Group Publishing Limited, vol. 11(1), pages 1-25, June.
    1134. Santos, Tano & Veronesi, Pietro, 2010. "Habit formation, the cross section of stock returns and the cash-flow risk puzzle," Journal of Financial Economics, Elsevier, vol. 98(2), pages 385-413, November.
    1135. Patrick Augustin & Roméo Tédongap, 2021. "Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets," Management Science, INFORMS, vol. 67(10), pages 6266-6293, October.
    1136. Kim, Youngju & Lim, Hyunjoon & Sohn, Wook, 2020. "Which external shock matters in small open economies? Global risk aversion vs. US economic policy uncertainty," Japan and the World Economy, Elsevier, vol. 54(C).
    1137. Luo, Yulei & Young, Eric, 2013. "Rational Inattention in Macroeconomics: A Survey," MPRA Paper 54267, University Library of Munich, Germany.
    1138. Doshi, Hitesh & Jacobs, Kris & Liu, Rui, 2018. "Macroeconomic determinants of the term structure: Long-run and short-run dynamics," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 99-122.
    1139. Finocchiaro, Daria, 2011. "Inattention, wealth inequality and equilibrium asset prices," Journal of Monetary Economics, Elsevier, vol. 58(2), pages 146-155, March.
    1140. Jeffrey R. Brown & Zoran Ivkovich & Paul A. Smith & Scott Weisbenner, 2007. "Neighbors Matter: Causal Community Effects and Stock Market Participation," NBER Working Papers 13168, National Bureau of Economic Research, Inc.
    1141. Seeun Jung & Carole Treibich, 2015. "Is Self-Reported Risk Aversion Time Variant?," Revue d'économie politique, Dalloz, vol. 125(4), pages 547-570.
    1142. Qadan, Mahmoud & Idilbi-Bayaa, Yasmeen, 2020. "Risk appetite and oil prices," Energy Economics, Elsevier, vol. 85(C).
    1143. Farmer, Roger, 2015. "Global Sunspots and Asset Prices in a Monetary Economy," CEPR Discussion Papers 10402, C.E.P.R. Discussion Papers.
    1144. Philip N. Jefferson, 2023. "Implementation and Transmission of Monetary Policy: a speech at the H. Parker Willis Lecture, Washington and Lee University, Lexington, Virginia, March 27, 2023," Speech 95893, Board of Governors of the Federal Reserve System (U.S.).
    1145. Marija Đorđević, 2016. "Consumption-Based Macroeconomic Models Of Asset Pricing Theory," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 61(211), pages 7-28, October -.
    1146. Anthony Tay, 2008. "Time-Varying Incentives in the Mutual Fund Industry," Finance Working Papers 22484, East Asian Bureau of Economic Research.
    1147. Martin D. D. Evans (Georgetown University) and Viktoria Hnatkovska (Georgetown University), 2005. "International Capital Flows, Returns and World Financial Integration," Working Papers gueconwpa~05-05-17, Georgetown University, Department of Economics.
    1148. Petkova, Ralitsa & Zhang, Lu, 2005. "Is value riskier than growth?," Journal of Financial Economics, Elsevier, vol. 78(1), pages 187-202, October.
    1149. Ascari, Guido & Magnusson, Leandro M. & Mavroeidis, Sophocles, 2021. "Empirical evidence on the Euler equation for consumption in the US," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 129-152.
    1150. Markus C. Becker & Thorbjørn Knudsen, 2017. "Heterogeneity of habits as a foundation for Schumpeterian economic policy," Journal of Evolutionary Economics, Springer, vol. 27(1), pages 43-62, January.
    1151. Galvani, Valentina & Li, Lifang, 2018. "The Momentum Effect for Canadian Corporate Bonds," Working Papers 2018-16, University of Alberta, Department of Economics.
    1152. Asger Lunde & Allan Timmermann, 2005. "Completion time structures of stock price movements," Annals of Finance, Springer, vol. 1(3), pages 293-326, August.
    1153. Valentin Haddad, 2012. "Concentrated Ownership and Equilibrium Asset Prices," 2012 Meeting Papers 902, Society for Economic Dynamics.
    1154. Yadav, Jayant, 2020. "Flight to Safety in Business cycles," MPRA Paper 104093, University Library of Munich, Germany.
    1155. Massimo Guidolin, 2005. "Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle," Working Papers 2005-005, Federal Reserve Bank of St. Louis.
    1156. Chen Lian & Yueran Ma & Carmen Wang, 2019. "Low Interest Rates and Risk-Taking: Evidence from Individual Investment Decisions," The Review of Financial Studies, Society for Financial Studies, vol. 32(6), pages 2107-2148.
    1157. James C. Morley, 2007. "The Slow Adjustment of Aggregate Consumption to Permanent Income," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 615-638, March.
    1158. John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
    1159. Fang Yang & Xuan Liu & Zongwu Cai, 2013. "Does Relative Risk Aversion Vary with Wealth? Evidence from Households' Portfolio Choice Data," Departmental Working Papers 2013-09, Department of Economics, Louisiana State University.
    1160. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
    1161. Minh Tran & Thanh Duong & Duc Pham-Hi & Marc Bui, 2020. "Detecting the Proportion of Traders in the Stock Market: An Agent-Based Approach," Mathematics, MDPI, vol. 8(2), pages 1-14, February.
    1162. Tetiana Davydiuk & Scott Richard & Ivan Shaliastovich & Amir Yaron, 2023. "How Risky Are U.S. Corporate Assets?," Journal of Finance, American Finance Association, vol. 78(1), pages 141-208, February.
    1163. 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.
    1164. Berkelaar, A.B. & Kouwenberg, R.R.P., 2000. "From boom til bust: how loss aversion affects asset prices," Econometric Institute Research Papers EI 2000-21/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    1165. Erica X. N. Li & Haitao Li & Shujing Wang & Shujing Wang, 2019. "Macroeconomic Risks and Asset Pricing: Evidence from a Dynamic Stochastic General Equilibrium Model," Management Science, INFORMS, vol. 65(8), pages 3585-3604, August.
    1166. Golez, Benjamin & Koudijs, Peter, 2018. "Four centuries of return predictability," Journal of Financial Economics, Elsevier, vol. 127(2), pages 248-263.
    1167. Xavier Gabaix, 2007. "Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices," NBER Working Papers 13430, National Bureau of Economic Research, Inc.
    1168. Anthony Tay & Jacques Olivier, 2008. "Time-Varying Incentives in the Mutual Fund Industry," Working Papers 10-2008, Singapore Management University, School of Economics, revised Jun 2008.
    1169. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2014. "The Risk Premia Embedded in Index Options," CREATES Research Papers 2014-56, Department of Economics and Business Economics, Aarhus University.
    1170. Koskinen Hannu & Vilmunen Jouko, 2017. "Implications for Aggregate Inflation of Sectoral Asymmetries : Generalizing Woodford," Working Papers 1716, Tampere University, Faculty of Management and Business, Economics.
    1171. John H. Cochrane, 2017. "Macro-Finance," Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
    1172. Robert J. Barro, 1995. "Optimal Debt Management," NBER Working Papers 5327, National Bureau of Economic Research, Inc.
    1173. Eleonora Patacchini & Edoardo Rainone, 2014. "The Word on Banking - Social Ties, Trust, and the Adoption of Financial Products," EIEF Working Papers Series 1404, Einaudi Institute for Economics and Finance (EIEF), revised Jul 2014.
    1174. Martin, Ian, 2016. "What is the expected return on the market?," LSE Research Online Documents on Economics 119013, London School of Economics and Political Science, LSE Library.
    1175. Thomas Nitschka, 2005. "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Money Macro and Finance (MMF) Research Group Conference 2005 22, Money Macro and Finance Research Group.
    1176. Christoph Huber & Jürgen Huber & Michael Kirchler, 2020. "Market shocks and professionals' investment behavior - Evidence from the COVID-19 crash," Working Papers 2020-11, Faculty of Economics and Statistics, Universität Innsbruck.
    1177. Alain Cohn & Michel André Maréchal, 2016. "Priming in economics," ECON - Working Papers 226, Department of Economics - University of Zurich.
    1178. Stephan Kessler & Bernd Scherer, 2013. "Momentum and macroeconomic state variables," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(4), pages 335-363, December.
    1179. Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2010. "Crises and Recoveries in an Empirical Model of Consumption Disasters," NBER Working Papers 15920, National Bureau of Economic Research, Inc.
    1180. 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.
    1181. Jessica A. Wachter & Missaka Warusawitharana, 2006. "Predictable returns and asset allocation: Should a skeptical investor time the market?," 2006 Meeting Papers 22, Society for Economic Dynamics.
    1182. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2013. "Macroeconomic Drivers of Bond and Equity Risks," Harvard Business School Working Papers 14-031, Harvard Business School, revised Aug 2018.
    1183. Chen, Zhuo & Liu, Jinyu & Lu, Andrea & Tao, Libin, 2024. "Carbon dioxide and asset pricing: Evidence from international stock markets," Journal of Empirical Finance, Elsevier, vol. 75(C).
    1184. Guofu Zhou & Yingzi Zhu, 2015. "Macroeconomic Volatilities and Long-Run Risks of Asset Prices," Management Science, INFORMS, vol. 61(2), pages 413-430, February.
    1185. Liao, Chechen & Palvia, Prashant & Lin, Hong-Nan, 2006. "The roles of habit and web site quality in e-commerce," International Journal of Information Management, Elsevier, vol. 26(6), pages 469-483.
    1186. Zhang Wei-Bin, 2013. "Habit Formation and Preference Change with Capital and Renewable Resources," Business Systems Research, Sciendo, vol. 4(2), pages 108-125, December.
    1187. Campbell, John Y., 2009. "The Changing Role of Nominal Government Bonds in Asset Allocation," Scholarly Articles 10884856, Harvard University Department of Economics.
    1188. Uddin, Ajim & Yu, Dantong, 2020. "Latent factor model for asset pricing," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    1189. Andrew B. Abel, 1998. "Risk Premia and Term Premia in General Equilibrium," NBER Working Papers 6683, National Bureau of Economic Research, Inc.
    1190. Gebhardt, Georg, 2011. "Investment decisions with loss aversion over relative consumption," Journal of Economic Behavior & Organization, Elsevier, vol. 80(1), pages 68-73.
    1191. Nick Taylor, 2017. "Risk Control: Who Cares?," European Financial Management, European Financial Management Association, vol. 23(1), pages 153-179, January.
    1192. Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2005. "Consumption, Wealth and Business Cycles in Germany," CESifo Working Paper Series 1443, CESifo.
    1193. DeLong, J. Bradford & Magin, Konstantin A., 2008. "The U.S. Equity Return Premium: Past, Present and Future," Department of Economics, Working Paper Series qt7vq683mh, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    1194. Honghai Yu & Xianfeng Hao & Liangyu Wu & Yuqi Zhao & Yudong Wang, 2023. "Eye in outer space: satellite imageries of container ports can predict world stock returns," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-16, December.
    1195. Tihomir Janjicek, 2008. "Exchange Rate Movements From 1961 To 2001," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, vol. 17(2), pages 157-176, december.
    1196. Gârleanu, Nicolae & Kogan, Leonid & Panageas, Stavros, 2012. "Displacement risk and asset returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 491-510.
    1197. van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
    1198. Jeremy Bertomeu & Edwige Cheynel & Michelle Liu‐Watts, 2018. "Are the Fama French factors treated as risk? Evidence from CEO compensation," European Financial Management, European Financial Management Association, vol. 24(5), pages 728-774, November.
    1199. Martin Møller Andreasen, 2008. "Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model," CREATES Research Papers 2008-43, Department of Economics and Business Economics, Aarhus University.
    1200. Gennaro Bernile & Vineet Bhagwat & Ambrus Kecskés & Phuong‐Anh Nguyen, 2021. "Are the risk attitudes of professional investors affected by personal catastrophic experiences?," Financial Management, Financial Management Association International, vol. 50(2), pages 455-486, June.
    1201. Seeun Jung & Carole Treibich, 2014. "Is Self-Reported Risk Aversion Time Varying?," Working Papers halshs-00965549, HAL.
    1202. Qiang Kang, 2019. "Business-cycle pattern of asset returns: a general equilibrium explanation," Annals of Finance, Springer, vol. 15(4), pages 539-561, December.
    1203. Wachter, Jessica A., 2005. "Solving models with external habit," Finance Research Letters, Elsevier, vol. 2(4), pages 210-226, December.
    1204. Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Andrei Shleifer, 2020. "Belief Overreaction and Stock Market Puzzles," NBER Working Papers 27283, National Bureau of Economic Research, Inc.
    1205. Iryna Kaminska & Haroon Mumtaz & Roman Sustek, 2020. "Monetary policy surprises and their transmission through term premia and expected interest rates," Discussion Papers 2024, Centre for Macroeconomics (CFM).
    1206. Jakee, Keith & Sun, Guang-Zhen, 2005. "External habit formation and dependency in the welfare state," European Journal of Political Economy, Elsevier, vol. 21(1), pages 83-98, March.
    1207. Perron, Pierre & Wada, Tatsuma, 2009. "Let's take a break: Trends and cycles in US real GDP," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.
    1208. Demian Pouzo & Ignacio Presno, 2015. "Sovereign Default Risk and Uncertainty Premia," Papers 1512.06960, arXiv.org.
    1209. Nieto, Belén & Rubio, Gonzalo, 2022. "The risk aversion and uncertainty channels between finance and macroeconomics," Finance Research Letters, Elsevier, vol. 45(C).
    1210. K. Cuthbertson & D. Nitzsche & S. Hyde, 2007. "Monetary Policy And Behavioural Finance," Journal of Economic Surveys, Wiley Blackwell, vol. 21(5), pages 935-969, December.
    1211. Chen, Zhongdong & Daves, Phillip R., 2018. "The January sentiment effect in the U.S. stock market," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 94-104.
    1212. Lars Peter Hansen & Thomas J. Sargent, 2019. "Macroeconomic Uncertainty Prices when Beliefs are Tenuous," NBER Working Papers 25781, National Bureau of Economic Research, Inc.
    1213. Sergio Rebelo, 2005. "Real Business Cycle Models: Past, Present and Future," Scandinavian Journal of Economics, Wiley Blackwell, vol. 107(2), pages 217-238, June.
    1214. Alexander David & Pietro Veronesi, 2009. "What Ties Return Volatilities to Price Valuations and Fundamentals?," NBER Working Papers 15563, National Bureau of Economic Research, Inc.
    1215. Peter Christoffersen & Du Du & Redouane Elkamhi, 2013. "Rare Disasters and Credit Market Puzzles," CREATES Research Papers 2013-45, Department of Economics and Business Economics, Aarhus University.
    1216. Li, Shilin & Li, Tongtong & Yang, Jinqiang, 2022. "Optimal consumption and portfolio choices in the stochastic SIS model," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    1217. Jean-Pierre Zigrand & Hyun Song Shin & Jon Danielsson, 2010. "Risk Appetite and Endogenous Risk," FMG Discussion Papers dp647, Financial Markets Group.
    1218. Chan, Ying Tung, 2020. "Optimal emissions tax rates under habit formation and social comparisons," Energy Policy, Elsevier, vol. 146(C).
    1219. Eric T. Swanson, 2009. "Risk aversion, the labor margin, and asset pricing in DSGE models," Working Paper Series 2009-26, Federal Reserve Bank of San Francisco.
    1220. Hui Guo & Robert Savickas, 2003. "On the cross section of conditionally expected stock returns," Working Papers 2003-043, Federal Reserve Bank of St. Louis.
    1221. Leonardo Bursztyn & Robert Jensen, 2017. "Social Image and Economic Behavior in the Field: Identifying, Understanding, and Shaping Social Pressure," Annual Review of Economics, Annual Reviews, vol. 9(1), pages 131-153, September.
    1222. Mordecai Kurz & Maurizio Motolese, "undated". "Endogenous Uncertainty and Market Volatility," Working Papers 99005, Stanford University, Department of Economics.
    1223. Rieger, Marc Oliver & Wang, Mei, 2012. "Can ambiguity aversion solve the equity premium puzzle? Survey evidence from international data," Finance Research Letters, Elsevier, vol. 9(2), pages 63-72.
    1224. Tobias Adrian & Richard K. Crump & Erik Vogt, 2019. "Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds," Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
    1225. Sheheryar Malik & Ms. TengTeng Xu, 2017. "Interconnectedness of Global Systemically-Important Banks and Insurers," IMF Working Papers 2017/210, International Monetary Fund.
    1226. Yener Altunbas & Leonardo Gambacorta & David Marques-Ibanez, 2010. "Does monetary policy affect bank risk-taking?," BIS Working Papers 298, Bank for International Settlements.
    1227. Robin Greenwood & Samuel G. Hanson & Lawrence J. Jin, 2019. "Reflexivity in Credit Markets," NBER Working Papers 25747, National Bureau of Economic Research, Inc.
    1228. Chu, Pyung Kun, 2022. "Semibeta asset pricing in the Korean stock market," Finance Research Letters, Elsevier, vol. 50(C).
    1229. Kucher, Oleg & Kurov, Alexander, 2014. "Business cycle, storage, and energy prices," Review of Financial Economics, Elsevier, vol. 23(4), pages 217-226.
    1230. Jürgen Maurer & André Meier, 2005. "Do the "Joneses" really matter? Peer-group versus correlated effects in intertemporal consumption choice," IFS Working Papers W05/15, Institute for Fiscal Studies.
    1231. Victor H. Aguiar & Nail Kashaev, 2018. "Stochastic Revealed Preferences with Measurement Error," Papers 1810.05287, arXiv.org, revised Sep 2020.
    1232. Joseph P. Byrne & Boulis M. Ibrahim & Xiaoyu Zong, 2020. "Asset Prices and Capital Share Risks: Theory and Evidence," Papers 2006.14023, arXiv.org.
    1233. Wang, Yudong & Hao, Xianfeng & Wu, Chongfeng, 2021. "Forecasting stock returns: A time-dependent weighted least squares approach," Journal of Financial Markets, Elsevier, vol. 53(C).
    1234. William Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su, 2016. "Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201605, University of Kansas, Department of Economics, revised Aug 2016.
    1235. Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2010. "Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs," NBER Working Papers 15733, National Bureau of Economic Research, Inc.
    1236. Larsen, Linda Sandris & Munk, Claus, 2012. "The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 266-293.
    1237. Ricardo De La O & Sean Myers, 2021. "Subjective Cash Flow and Discount Rate Expectations," Journal of Finance, American Finance Association, vol. 76(3), pages 1339-1387, June.
    1238. Møller, Stig V. & Nørholm, Henrik & Rangvid, Jesper, 2014. "Consumer confidence or the business cycle: What matters more for European expected returns?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 230-248.
    1239. Wolfgang Drobetz & Rebekka Haller & Christian Jasperneite & Tizian Otto, 2019. "Predictability and the cross section of expected returns: evidence from the European stock market," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 508-533, December.
    1240. Yuping Song & Xiaolong Tang & Hemin Wang & Zhiren Ma, 2023. "Volatility forecasting for stock market incorporating macroeconomic variables based on GARCH‐MIDAS and deep learning models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 51-59, January.
    1241. Chen, Ming-Hsiang, 2003. "Risk and return: CAPM and CCAPM," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 369-393.
    1242. Wachter, Jessica A., 2002. "Comment on: Are behavioral asset-pricing models structural?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 229-233, January.
    1243. Ljungqvist, Lars & Sargent, Thomas, 2021. "The Fundamental Surplus Strikes Again," CEPR Discussion Papers 16077, C.E.P.R. Discussion Papers.
    1244. Cheol‐Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, September.
    1245. van de Ven, Justin, 2011. "A structural dynamic microsimulation model of household savings and labour supply," Economic Modelling, Elsevier, vol. 28(4), pages 2054-2070, July.
    1246. Bekaert, Geert & Hoerova, Marie, 2016. "What do asset prices have to say about risk appetite and uncertainty?," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 103-118.
    1247. Guidolin, Massimo & Ravazzolo, Francesco & Tortora, Andrea Donato, 2013. "Alternative econometric implementations of multi-factor models of the U.S. financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 87-111.
    1248. Kapalczynski, Anna & Lien, Donald, 2021. "Effectiveness of Augmented Dollar-Cost Averaging," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    1249. Samuel M. Hartzmark, 2016. "Economic Uncertainty and Interest Rates," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 6(2), pages 179-220.
    1250. Lorenzo Bretscher & Alex Hsu & Andrea Tamoni, 2019. "Response of the Macroeconomy to Uncertainty Shocks:the Risk Premium Channel," 2019 Meeting Papers 1567, Society for Economic Dynamics.
    1251. Roberto Marfè, 2015. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 407, Collegio Carlo Alberto.
    1252. Andrés Sagner, 2020. "Measuring Systemic Risk: A Quantile Factor Analysis," Working Papers Central Bank of Chile 874, Central Bank of Chile.
    1253. Max Gillman, 1999. "On Keynes's Theory of the Aggregate Price Level in the Treatise: Any Help for Modern Aggregate Analysis?," CASE-CEU Working Papers 0029, CASE-Center for Social and Economic Research.
    1254. 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.
    1255. Sanjay K. Chugh, 2005. "Optimal inflation persistence: Ramsey taxation with capital and habits," International Finance Discussion Papers 829, Board of Governors of the Federal Reserve System (U.S.).
    1256. Cogley, Timothy & Sargent, Thomas J., 2008. "The market price of risk and the equity premium: A legacy of the Great Depression?," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 454-476, April.
    1257. Daria Pignalosa, 2021. "The Euler Equation Approach: Critical Implications of Recent Developments in the Theory of Intertemporal Choice," Bulletin of Political Economy, Bulletin of Political Economy, vol. 15(1), pages 1-43, June.
    1258. José Luis Torres Chacon, 2015. "Introduction to Dynamic Macroeconomic General Equilibrium Models," Vernon Press Titles in Economics, Vernon Art and Science Inc, edition 2, number 54, August.
    1259. Kwan, Yum K. & Leung, Charles Ka Yui & Dong, Jinyue, 2015. "Comparing consumption-based asset pricing models: The case of an Asian city," Journal of Housing Economics, Elsevier, vol. 28(C), pages 18-41.
    1260. Nimark, Kristoffer, 2008. "Monetary policy with signal extraction from the bond market," Journal of Monetary Economics, Elsevier, vol. 55(8), pages 1389-1400, November.
    1261. Arvind Krishnamurhty & Zhiguo He, 2010. "Intermediary Asset Pricing," 2010 Meeting Papers 1327, Society for Economic Dynamics.
    1262. Crawford, Ian & Polisson, Matthew, 2014. "Testing for intertemporal nonseparability," Journal of Mathematical Economics, Elsevier, vol. 52(C), pages 46-49.
    1263. Galvani, Valentina, 2022. "Country-Based Investing with Exchange Rate and Reserve Currency," Working Papers 2022-5, University of Alberta, Department of Economics.
    1264. Cynamon Barry Z. & Fazzari Steven M., 2008. "Household Debt in the Consumer Age: Source of Growth--Risk of Collapse," Capitalism and Society, De Gruyter, vol. 3(2), pages 1-32, October.
    1265. Rouatbi, Wael & Demir, Ender & Kizys, Renatas & Zaremba, Adam, 2021. "Immunizing markets against the pandemic: COVID-19 vaccinations and stock volatility around the world," International Review of Financial Analysis, Elsevier, vol. 77(C).
    1266. Kang, Jangkoo & Kim, Tong Suk & Lee, Changjun & Min, Byoung-Kyu, 2011. "Macroeconomic risk and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3158-3173.
    1267. Pinheiro, Marcelo, 2008. "Loyalty, peer group effects, and 401(k)," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(1), pages 94-122, February.
    1268. Nason James M. & Smith Gregor W, 2008. "Great Moderation(s) and US Interest Rates: Unconditional Evidence," The B.E. Journal of Macroeconomics, De Gruyter, vol. 8(1), pages 1-33, November.
    1269. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    1270. Wendner, Ronald & Goulder, Lawrence H., 2008. "Status Effects, Public Goods Provision, and the Excess Burden," MPRA Paper 8260, University Library of Munich, Germany.
    1271. CĂLIN, Adrian Cantemir, 2015. "Connection Of European Economic Growth With The Dynamics Of Volatility Of Stock Market Returns," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 19(1), pages 53-66.
    1272. Bing Han & David Hirshleifer & Johan Walden, 2019. "Visibility Bias in the Transmission of Consumption Beliefs and Undersaving," NBER Working Papers 25566, National Bureau of Economic Research, Inc.
    1273. Matteo Modena, 2008. "An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates," Working Papers 2008_35, Business School - Economics, University of Glasgow.
    1274. Daniel Burren, 2010. "The Term Structure of Interest Rates in a New Keynesian Model with Time-Varying Macro Volatility," Annals of Economics and Finance, Society for AEF, vol. 11(2), pages 277-299, November.
    1275. Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Computing in Economics and Finance 2006 217, Society for Computational Economics.
    1276. Alain Abou & Georges Prat, 2009. "The dynamics of U.S. equity risk premia: lessons from professionals'view," Working Papers hal-04140869, HAL.
    1277. Inge van den Bijgaart, 2018. "Too Slow a Change? Deep Habits, Consumption Shifts and Transitory Tax Policy," CESifo Working Paper Series 6958, CESifo.
    1278. Francisco Gomes & Alexander Michaelides & Yuxin Zhang, 2022. "Tactical Target Date Funds," Management Science, INFORMS, vol. 68(4), pages 3047-3070, April.
    1279. Geert Bekaert & Eric Engstrom, 2009. "Inflation and the Stock Market:Understanding the "Fed Model"," NBER Working Papers 15024, National Bureau of Economic Research, Inc.
    1280. Sang Byung Seo & Jessica A. Wachter, 2016. "Do Rare Events Explain CDX Tranche Spreads?," NBER Working Papers 22723, National Bureau of Economic Research, Inc.
    1281. Willman, Alpo, 2003. "Consumption, habit persistence, imperfect information and the lifetime budget constraint," Working Paper Series 251, European Central Bank.
    1282. Olkhov, Victor, 2019. "Econophysics of Asset Price, Return and Multiple Expectations," MPRA Paper 91587, University Library of Munich, Germany.
    1283. 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.
    1284. Atanasov, Victoria, 2021. "Unemployment and aggregate stock returns," Journal of Banking & Finance, Elsevier, vol. 129(C).
    1285. Ronald Wendner, 2009. "Conspicuous Consumption and Overlapping Generations?," EERI Research Paper Series EERI_RP_2009_05, Economics and Econometrics Research Institute (EERI), Brussels.
    1286. Sonnan Chen & Yuchi Gu, 2021. "Joint estimation of volatility risk and tail risk premia with time-varying macro-state-dependent property," Review of Quantitative Finance and Accounting, Springer, vol. 56(4), pages 1357-1397, May.
    1287. Akdeniz, Levent & Dechert, W. Davis, 1997. "Do CAPM results hold in a dynamic economy? A numerical analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 21(6), pages 981-1003, June.
    1288. Chabakauri, Georgy, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
    1289. Bekaert, Geert & Engstrom, Eric, 2010. "Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals," CEPR Discussion Papers 8150, C.E.P.R. Discussion Papers.
    1290. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," NBER Working Papers 13401, National Bureau of Economic Research, Inc.
    1291. V. Anton Muscatelli & Tiziano Ropele & Patrizio Tirelli, 2004. "Fiscal and Monetary Policy Interactions in a New Keynesian Model with Liquidity Constraints," Working Papers 83, University of Milano-Bicocca, Department of Economics, revised Nov 2004.
    1292. Rui Albuquerque & Martin S. Eichenbaum & Sergio Rebelo, 2012. "Valuation Risk and Asset Pricing," NBER Working Papers 18617, National Bureau of Economic Research, Inc.
    1293. Efdal Ulas Misirli, 2018. "Productivity Risk and Industry Momentum," Financial Management, Financial Management Association International, vol. 47(3), pages 739-774, September.
    1294. Grant Simon & Quiggin John, 2005. "What Does the Equity Premium Mean?," The Economists' Voice, De Gruyter, vol. 2(4), pages 1-7, September.
    1295. Milos Bozovic, 2015. "Equity Premium in Serbia: A Different Kind of Puzzle?," MIC 2015: Managing Sustainable Growth; Proceedings of the Joint International Conference, Portorož, Slovenia, 28–30 May 2015,, University of Primorska, Faculty of Management Koper.
    1296. González-Urteaga, Ana & Rubio, Gonzalo, 2016. "The cross-sectional variation of volatility risk premia," Journal of Financial Economics, Elsevier, vol. 119(2), pages 353-370.
    1297. Katrin Rabitsch, 2016. "An Incomplete Markets Explanation of the Uncovered Interest Rate Parity Puzzle," Review of International Economics, Wiley Blackwell, vol. 24(2), pages 422-446, May.
    1298. Hong, Sanghyun, 2022. "Transactions costs and the equity premium puzzle," Finance Research Letters, Elsevier, vol. 49(C).
    1299. Velculescu, Delia, 2011. "Consumption habits in an overlapping-generations model," Economics Letters, Elsevier, vol. 111(2), pages 127-130, May.
    1300. Rodrigo Fuentes & Fabián Gredig, 2007. "Estimating the Chilean Natural Rate of Interest," Working Papers Central Bank of Chile 448, Central Bank of Chile.
    1301. Du, Du, 2011. "General equilibrium pricing of options with habit formation and event risks," Journal of Financial Economics, Elsevier, vol. 99(2), pages 400-426, February.
    1302. Krainer, Robert, 2009. "Portfolio and financing adjustments for U.S. banks: Some empirical evidence," Journal of Financial Stability, Elsevier, vol. 5(1), pages 1-24, January.
    1303. Harris, Matthew C. & Kessler, Lawrence M., 2019. "Habit formation and activity persistence: Evidence from gym equipment," Journal of Economic Behavior & Organization, Elsevier, vol. 166(C), pages 688-708.
    1304. Thomas Tallarini, "undated". "Risk-Sensitive Real Business Cycles," GSIA Working Papers 1997-35, Carnegie Mellon University, Tepper School of Business.
    1305. Jonen, Benjamin & Scheuring, Simon, 2014. "Time-varying international diversification and the forward premium," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 128-148.
    1306. Cotter, John & Hanly, Jim, 2010. "Time-varying risk aversion: An application to energy hedging," Energy Economics, Elsevier, vol. 32(2), pages 432-441, March.
    1307. Ilias Tsiakas & Jiahan Li & Haibin Zhang, 2020. "Equity Premium Prediction and the State of the Economy," Working Paper series 20-16, Rimini Centre for Economic Analysis.
    1308. Jiang, Xiandeng & Zhao, Ningru & Pan, Zheng, 2022. "Regional housing wealth, relative housing wealth and labor market behavior," Journal of Housing Economics, Elsevier, vol. 55(C).
    1309. Michael B. Devereux & Alan Sutherland, 2009. "Valuation Effects and the Dynamics of Net External Assets," NBER Working Papers 14794, National Bureau of Economic Research, Inc.
    1310. Ortiz, Marco, 2013. "Learning Through the Yield Curve," Working Papers 2013-018, Banco Central de Reserva del Perú.
    1311. De Rezende, Rafael B. & Ristiniemi, Annukka, 2018. "A shadow rate without a lower bound constraint," Working Paper Series 355, Sveriges Riksbank (Central Bank of Sweden).
    1312. Adrian Ma, 2006. "Time-varying Risk Premium in the Forward Exchange Rate," EcoMod2006 272100057, EcoMod.
    1313. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Staff Working Papers 14-13, Bank of Canada.
    1314. Beum-Jo Park, 2009. "Risk-return relationship in equity markets: using a robust GMM estimator for GARCH-M models," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 93-104.
    1315. Lukas Freund & Hanbaek Lee & Pontus Rendahl, 2022. "Online Appendix to "The Risk-Premium Channel of Uncertainty: Implications for Unemployment and Inflation"," Online Appendices 21-230, Review of Economic Dynamics.
    1316. Dave Berger & H. J. Turtle, 2009. "Time Variability In Market Risk Aversion," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(3), pages 285-307, September.
    1317. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2023. "The Variance Risk Premium in Equilibrium Models," Review of Finance, European Finance Association, vol. 27(6), pages 1977-2014.
    1318. Alex Hsu & Francisco J. Palomino & Charles Qian, 2017. "The Decline in Asset Return Predictability and Macroeconomic Volatility," Finance and Economics Discussion Series 2017-050, Board of Governors of the Federal Reserve System (U.S.).
    1319. Liu, Xiaochun, 2017. "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 1-19.
    1320. Wang, Qin & Ren, Yu & Zou, Yiheng, 2016. "Uninsured expense shocks and equity premia," Economic Modelling, Elsevier, vol. 58(C), pages 64-74.
    1321. Rohan Dutta & David K Levine & Salvatore Modica, 2018. "Peer Monitoring, Ostracism and the Internalization of Social Norms," Levine's Working Paper Archive 786969000000001449, David K. Levine.
    1322. Gonzalo, Jesús & Olmo, José, 2016. "Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion," UC3M Working papers. Economics 23599, Universidad Carlos III de Madrid. Departamento de Economía.
    1323. Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu, 2012. "Technological Growth and Asset Pricing," Journal of Finance, American Finance Association, vol. 67(4), pages 1265-1292, August.
    1324. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, October.
    1325. Ghattassi, I., 2013. "Surplus Consumption Ratio and Expected Stock Returns," Working papers 417, Banque de France.
    1326. Brian J. Hall & Jeffrey B. Liebman, 1998. "Are CEOs Really Paid Like Bureaucrats?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 113(3), pages 653-691.
    1327. Pohl, Walt, 2016. "External habit: Anything goes," Economics Letters, Elsevier, vol. 146(C), pages 140-142.
    1328. Friederike Mengel & Ronald Peeters, 2022. "Do markets encourage risk-seeking behaviour?," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1474-1480, October.
    1329. Souza, Thiago de Oliveira, 2018. "Size-related premiums," Discussion Papers on Economics 3/2018, University of Southern Denmark, Department of Economics.
    1330. Christos I. Giannikos & Georgios Koimisis, 2021. "Equity Premium with Habits, Wealth Inequality and Background Risk," JRFM, MDPI, vol. 14(7), pages 1-15, July.
    1331. Seo, Sung Won & Kim, Jun Sik, 2015. "The information content of option-implied information for volatility forecasting with investor sentiment," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 106-120.
    1332. Robert J. Barro & Gordon Liao, 2017. "Option-pricing formula with disaster risk," AEI Economics Working Papers 966780, American Enterprise Institute.
    1333. Gârleanu, Nicolae & Panageas, Stavros, 2021. "What to expect when everyone is expecting: Self-fulfilling expectations and asset-pricing puzzles," Journal of Financial Economics, Elsevier, vol. 140(1), pages 54-73.
    1334. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2021. "Asset pricing with heterogeneous agents and long-run risk," Journal of Financial Economics, Elsevier, vol. 140(3), pages 941-964.
    1335. Paolo Guasoni, 2006. "Asymmetric Information in Fads Models," Finance and Stochastics, Springer, vol. 10(2), pages 159-177, April.
    1336. Luigi Guiso, 2014. "Risk Aversion and Financial Crisis," EIEF Working Papers Series 1412, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2014.
    1337. Dumas, Bernard & Buss, Adrian, 2015. "Trading Fees and Slow-Moving Capital," CEPR Discussion Papers 10737, C.E.P.R. Discussion Papers.
    1338. Achim Backhaus & Aliya Zhakanova Isiksal & Matthias Bausch, 2022. "What Financial Conditions Affect Dynamic Equity Risk Factor Allocation?," Economies, MDPI, vol. 10(2), pages 1-21, February.
    1339. Müller, Lara Marie & Harrs, Sören & Rockenbach, Bettina, 2022. "How Narratives Impact Financial Behavior - Experimental Evidence from the COVID-19 Pandemic," VfS Annual Conference 2022 (Basel): Big Data in Economics 264089, Verein für Socialpolitik / German Economic Association.
    1340. Miquel Faig, 1999. "Asset Pricing, Growth, And The Business Cycle With Irreversible Investment," Working Papers faig-98-02, University of Toronto, Department of Economics.
    1341. Jianfeng Yu, 2011. "A sentiment-based explanation of the forward premium puzzle," Globalization Institute Working Papers 90, Federal Reserve Bank of Dallas.
    1342. Benjamin M. Friedman, 2017. "Work and consumption in an era of unbalanced technological advance," Journal of Evolutionary Economics, Springer, vol. 27(2), pages 221-237, April.
    1343. Daouk, Hazem & Ng, David T.C., 2009. "Is Unlevered Firm Volatility Asymmetric?," Working Papers 51182, Cornell University, Department of Applied Economics and Management.
    1344. Michael Wickens, 2014. "How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics," Discussion Papers 14/17, Department of Economics, University of York.
    1345. Samuel Hanson & Jeremy C. Stein, 2012. "Monetary policy and long-term real rates," Finance and Economics Discussion Series 2012-46, Board of Governors of the Federal Reserve System (U.S.).
    1346. Yaw Mensah & Robert Werner, 2008. "The capital market implications of the frequency of interim financial reporting: an international analysis," Review of Quantitative Finance and Accounting, Springer, vol. 31(1), pages 71-104, July.
    1347. Rojo Suárez, Javier & Alonso Conde, Ana Belén & Ferrero Pozo, Ricardo, 2020. "European equity markets: Who is the truly representative investor?," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 325-346.
    1348. Ramchand, Latha, 1999. "Asset pricing in open economies with incomplete markets: implications for foreign currency returns," Journal of International Money and Finance, Elsevier, vol. 18(6), pages 871-890, December.
    1349. Lorenzo C. G. Pozzi & Casper De Vries & Jorn Zenhorst & Casper G, de Vries, 2010. "World Equity Premium Based Risk Aversion Estimates," CESifo Working Paper Series 3152, CESifo.
    1350. Franke, Günter & Lüders, Erik, 2006. "Return predictability and stock market crashes in a simple rational expectation models," CoFE Discussion Papers 06/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
    1351. Jaime Alonso-Carrera & Jordi Caball?Author-Email: jordi.caballe@uab.es & Xavier Raurich, 2001. "Income Taxation with Habit Formation and Consumption Externalities," UFAE and IAE Working Papers 496.01, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    1352. Jakob B. Madsen, 2009. "The Macroeconomics Of Stock Prices In The Medium Term And In The Long Run," Manchester School, University of Manchester, vol. 77(2), pages 127-152, March.
    1353. Zhang, Yan, 2008. "Does the utility function form matter for indeterminacy in a two sector small open economy?," MPRA Paper 10045, University Library of Munich, Germany.
    1354. Lawrence J. Christiano & Martin S. Eichenbaum & Mathias Trabandt, 2020. "Why is Unemployment so Countercyclical?," NBER Working Papers 26723, National Bureau of Economic Research, Inc.
    1355. Adem Atmaz & Suleyman Basak, 2022. "Stock Market and No‐Dividend Stocks," Journal of Finance, American Finance Association, vol. 77(1), pages 545-599, February.
    1356. Jeffery D. Amato & Andrew Filardo & Gabriele Galati & Goetz von Peter & Feng Zhu, 2005. "Research on exchange rates and monetary policy: an overview," BIS Working Papers 178, Bank for International Settlements.
    1357. Battauz, Anna & De Donno, Marzia & Ortu, Fulvio, 2011. "Intertemporal asset pricing and the marginal utility of wealth," Journal of Mathematical Economics, Elsevier, vol. 47(2), pages 227-244, March.
    1358. Clark Lundberg, 2019. "Identifying horizon-based heterogeneity in the cross section of portfolio returns," Economics Bulletin, AccessEcon, vol. 39(2), pages 1163-1175.
    1359. Demetrescu, Matei & Rodrigues, Paulo M.M., 2022. "Residual-augmented IVX predictive regression," Journal of Econometrics, Elsevier, vol. 227(2), pages 429-460.
    1360. Hyungbin Park, 2015. "The Martin Integral Representation of Markovian Pricing Kernels," Papers 1504.00276, arXiv.org.
    1361. Robert Amano & Thomas Carter & Sylvain Leduc, 2019. "Precautionary Pricing: The Disinflationary Effects of ELB Risk," Working Paper Series 2019-26, Federal Reserve Bank of San Francisco.
    1362. Wang, Yudong & Liu, Li & Ma, Feng & Diao, Xundi, 2018. "Momentum of return predictability," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 141-156.
    1363. Ben Malin, 2006. "Lower-Frequency Macroeconomic Fluctuations: Living Standards and Leisure," 2006 Meeting Papers 752, Society for Economic Dynamics.
    1364. Tom Engsted, 2009. "Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak," CREATES Research Papers 2009-17, Department of Economics and Business Economics, Aarhus University.
    1365. Gomes, Francisco & Michaelides, Alexander, 2005. "Asset pricing with limited risk sharing and heterogeneous agents," LSE Research Online Documents on Economics 24649, London School of Economics and Political Science, LSE Library.
    1366. Olivier Davanne, 2004. "Volatilité des marchés financiers et allocation d’actifs," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 177-201.
    1367. William T. Smith & Qiang Zhang, 2006. "Asset Pricing With Multiplicative Habit and Power-Expo Preferences (Subsequently published in "Economics Letters", 2007, 94(3), 319-325. )," CARF F-Series CARF-F-070, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    1368. Luis Viceira & Carolin Pflueger & John Campbell, 2014. "Monetary Policy Drivers of Bond and Equity Risks," 2014 Meeting Papers 137, Society for Economic Dynamics.
    1369. Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 2008. "The Myth of Long-Horizon Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1577-1605, July.
    1370. Wendner, Ronald, 2010. "Conspicuous consumption and generation replacement in a model of perpetual youth," Journal of Public Economics, Elsevier, vol. 94(11-12), pages 1093-1107, December.
    1371. Xu, Shaojun, 2023. "Behavioral asset pricing under expected feedback mode," International Review of Financial Analysis, Elsevier, vol. 86(C).
    1372. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2009. "Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 76(3), pages 851-878.
    1373. Sebastian Di Tella & Robert E. Hall, 2020. "Risk Premium Shocks Can Create Inefficient Recessions," NBER Working Papers 26721, National Bureau of Economic Research, Inc.
    1374. Shiller, Robert J., 2013. "Speculative Asset Prices," Nobel Prize in Economics documents 2013-6, Nobel Prize Committee.
    1375. Kliem, Martin & Uhlig, Harald, 2013. "Bayesian estimation of a DSGE model with asset prices," Discussion Papers 37/2013, Deutsche Bundesbank.
    1376. Marianne Andries & Thomas M. Eisenbach & Martin C. Schmalz, 2014. "Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty," Staff Reports 703, Federal Reserve Bank of New York.
    1377. Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
    1378. Ekin Ayse Ozsuca & Elif Akbostanci, 2012. "An Empirical Analysis of the Risk Taking Channel of Monetary Policy in Turkey," ERC Working Papers 1208, ERC - Economic Research Center, Middle East Technical University, revised Dec 2012.
    1379. Reis Gomes, Fábio Augusto, 2020. "Evaluating a consumption function with precautionary savings and habit formation under a general income process," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 157-166.
    1380. Christiane Baumeister, 2021. "Measuring Market Expectations," Working Papers 202163, University of Pretoria, Department of Economics.
    1381. Yukun Liu & Ben Matthies, 2022. "Long‐Run Risk: Is It There?," Journal of Finance, American Finance Association, vol. 77(3), pages 1587-1633, June.
    1382. Tang, Dragon Yongjun & Yan, Hong, 2008. "Market conditions, default risk and credit spreads," Discussion Paper Series 2: Banking and Financial Studies 2008,08, Deutsche Bundesbank.
    1383. John H. Cochrane, 2002. "Stocks as Money: Convenience Yield and the Tech-Stock Bubble," NBER Working Papers 8987, National Bureau of Economic Research, Inc.
    1384. Jun Li, 2019. "Explaining Momentum and Value Simultaneously," Management Science, INFORMS, vol. 64(9), pages 4239-4260, September.
    1385. Andreas Fuster & David Laibson & Brock Mendel, 2010. "Natural Expectations and Macroeconomic Fluctuations," Journal of Economic Perspectives, American Economic Association, vol. 24(4), pages 67-84, Fall.
    1386. Bekaert, Geert & Hoerova, Marie, 2014. "The VIX, the variance premium and stock market volatility," Journal of Econometrics, Elsevier, vol. 183(2), pages 181-192.
    1387. Tyler Abbot, 2017. "General Equilibrium Under Convex Portfolio Constraints and Heterogeneous Risk Preferences," Papers 1706.05877, arXiv.org, revised Jun 2018.
    1388. de la Croix, David & Urbain, Jean-Pierre, 1996. "Intertemporal Substitution in Import Demand and Habit Formation," LIDAM Discussion Papers IRES 1996002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    1389. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
    1390. Valdivia Coria, Joab Dan & Valdivia Coria, Daney David, 2019. "Microfundamentos de una Regla de Política Monetaria, Regla de Poole [Microfundaments of a Monetary Policy Rule, Poole's Rule]," MPRA Paper 93854, University Library of Munich, Germany.
    1391. Theodore Syriopoulos, 2002. "Market mispricings and portfolio allocation to mutual fund classes," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 26(3), pages 249-266, September.
    1392. Alain Abou & Georges Prat, 1986. "Ex-ante risk premia in the US stock market: analysing experts' behaviour at the individual level," Post-Print halshs-00172883, HAL.
    1393. Knut Anton Mork & Vegard Skonseng Bjerketvedt, 2021. "Soft habits," Working Paper Series 18921, Department of Economics, Norwegian University of Science and Technology.
    1394. Hjalmarsson, Erik, 2018. "Maximal predictability under long-term mean reversion," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 269-282.
    1395. Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
    1396. Jianfeng Yu, 2012. "Online Appendix to "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models"," Online Appendices 10-230, Review of Economic Dynamics.
    1397. De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).
    1398. Neuhierl, Andreas & Varneskov, Rasmus T., 2021. "Frequency dependent risk," Journal of Financial Economics, Elsevier, vol. 140(2), pages 644-675.
    1399. Weber, Martin & Kieren, Pascal & Mueller-Dethard, Jan, 2020. "Why so Negative? Belief Formation and Risk Taking in Boom and Bust Markets," CEPR Discussion Papers 14647, C.E.P.R. Discussion Papers.
    1400. Attanasio, O. & Bonfatti, A. & Kitao, S. & Weber, G., 2016. "Global Demographic Trends," Handbook of the Economics of Population Aging, in: Piggott, John & Woodland, Alan (ed.), Handbook of the Economics of Population Aging, edition 1, volume 1, chapter 0, pages 179-235, Elsevier.
    1401. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho.
    1402. Kraft, Holger & Meyer-Wehmann, André & Seifried, Frank Thomas, 2022. "Endogenous habits and equilibrium asset prices," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 279-300.
    1403. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, vol. 102(6), pages 2734-2766, October.
    1404. Gurdip Bakshi, 2009. "Du subjectiv expectations explain asset pricing puzzles?," 2009 Meeting Papers 1234, Society for Economic Dynamics.
    1405. Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw, 2014. "On the Fundamental Relation Between Equity Returns and Interest Rates," NBER Working Papers 20187, National Bureau of Economic Research, Inc.
    1406. Walter Pohl & Karl Schmedders & Ole Wilms, 2018. "Higher Order Effects in Asset Pricing Models with Long‐Run Risks," Journal of Finance, American Finance Association, vol. 73(3), pages 1061-1111, June.
    1407. Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019. "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 43-58.
    1408. Grammig, Joachim G. & Schrimpf, Andreas, 2006. "Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032, ZEW - Leibniz Centre for European Economic Research.
    1409. Yu, Jianfeng & Yuan, Yu, 2011. "Investor sentiment and the mean-variance relation," Journal of Financial Economics, Elsevier, vol. 100(2), pages 367-381, May.
    1410. Benjamin Keefer, 2016. "Sensitization and Extraordinary Persistence," Working Papers 2016-01, Carleton College, Department of Economics.
    1411. García-Verdú Santiago, 2010. "Equilibrium yield curves under regime switching," Working Papers 2010-08, Banco de México.
    1412. Li, Tongtong & Wang, Shibo & Yang, Jinqiang, 2021. "Robust consumption and portfolio choices with habit formation," Economic Modelling, Elsevier, vol. 98(C), pages 227-246.
    1413. Jow-Ran Chang & Hsu-Hsien Chu, 2015. "Elucidating Equity Premium Using Corporate Dividends And Habit Formation," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-20, December.
    1414. M. Martin Boyer, 2003. "Is the Demand for Corporate Insurance a Habit? Evidence from Directors' and Officers' Insurance," CIRANO Working Papers 2003s-42, CIRANO.
    1415. Schlag, Christian & Semenischev, Michael & Thimme, Julian, 2020. "Predictability and the cross-section of expected returns: A challenge for asset pricing models," SAFE Working Paper Series 289, Leibniz Institute for Financial Research SAFE.
    1416. Anne Epaulard & Aude Pommeret, 2003. "Recursive Utility, Endogenous Growth, and the Welfare Cost of Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(3), pages 672-684, July.
    1417. Jim Malley & Hassan Molana, 2002. "The Life-Cycle-Permanent-Income Model: A Reinterpretation and Supporting Evidence," Working Papers 2002_17, Business School - Economics, University of Glasgow.
    1418. Poshakwale, Sunil S. & Mandal, Anandadeep, 2016. "What drives asymmetric dependence structure of asset return comovements?," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 312-330.
    1419. William M. Cready & Umit G. Gurun, 2010. "Aggregate Market Reaction to Earnings Announcements," Journal of Accounting Research, Wiley Blackwell, vol. 48(2), pages 289-334, May.
    1420. Ahn, Seryoong & Choi, Kyoung Jin & Koo, Hyeng Keun, 2015. "A simple asset pricing model with heterogeneous agents, uninsurable labor income and limited stock market participation," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 9-22.
    1421. Christian Bach, 2011. "Conservatism in Corporate Valuation," CREATES Research Papers 2011-32, Department of Economics and Business Economics, Aarhus University.
    1422. Giorgio E. Primiceri & Ernst Schaumburg & Andrea Tambalotti, 2006. "Intertemporal Disturbances," NBER Working Papers 12243, National Bureau of Economic Research, Inc.
    1423. William Barnett & Shu Wu, 2004. "Intertemporally non-separable monetary-asset risk adjustment and aggregation," Economics Bulletin, AccessEcon, vol. 5(13), pages 1-9.
    1424. Chang, Ming-Jen & Chang, Juin-Jen & Shieh, Jhy-Yuan, 2014. "Keeping up with the Joneses and exchange rate volatility in a Redux model," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 569-584.
    1425. Diamond, William & Landvoigt, Tim, 2022. "Credit cycles with market-based household leverage," Journal of Financial Economics, Elsevier, vol. 146(2), pages 726-753.
    1426. Merella, Vincenzo & Satchell, Stephen E., 2022. "By force of confidence," European Economic Review, Elsevier, vol. 150(C).
    1427. Tom Engsted & Stig V. Møller, 2008. "An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns," CREATES Research Papers 2008-12, Department of Economics and Business Economics, Aarhus University.
    1428. Stein, Tobias, 2024. "Forecasting the equity premium with frequency-decomposed technical indicators," International Journal of Forecasting, Elsevier, vol. 40(1), pages 6-28.
    1429. Michelfelder, Richard A. & Pilotte, Eugene A., 2011. "Treasury Bond risk and return, the implications for the hedging of consumption and lessons for asset pricing," Journal of Economics and Business, Elsevier, vol. 63(6), pages 582-604.
    1430. Hui Guo & Buhui Qiu, 2023. "Conditional Equity Premium and Aggregate Corporate Investment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(1), pages 251-295, February.
    1431. Schmidt-Hebbel, K. & Serven, L., 1997. "Saving Across the World: Puzzles and Policies," World Bank - Discussion Papers 354, World Bank.
    1432. Luca De Gennaro Aquino & Xuedong He & Moris Simon Strub & Yuting Yang, 2024. "Reference-dependent asset pricing with a stochastic consumption-dividend ratio," Papers 2401.12856, arXiv.org.
    1433. Alonso, Francisco & Blanco, Roberto & Rubio Irigoyen, Gonzalo, 2005. "Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
    1434. Paulo Rogério Faustino Matos, 2019. "The role of household debt and delinquency decisions in consumption-based asset pricing," Annals of Finance, Springer, vol. 15(2), pages 179-203, June.
    1435. Karen K. Lewis & Edith X. Liu, 2012. "International Consumption Risk Is Shared After All: An Asset Return View," NBER Working Papers 17872, National Bureau of Economic Research, Inc.
    1436. Wen, Yi, 2007. "By force of demand: Explaining international comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 1-23, January.
    1437. Chong, Terence Tai Leung & Lin, Shiyu, 2015. "Predictive Models for Disaggregate Stock Market Volatility," MPRA Paper 68460, University Library of Munich, Germany.
    1438. Jaccard, Ivan, 2021. "Leveraged property cycles," Working Paper Series 2539, European Central Bank.
    1439. Adriana Grasso & Filippo Natoli, 2018. "Consumption volatility risk and the inversion of the yield curve," Temi di discussione (Economic working papers) 1169, Bank of Italy, Economic Research and International Relations Area.
    1440. Krueger, Dirk & Lustig, Hanno, 2010. "When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?," Journal of Economic Theory, Elsevier, vol. 145(1), pages 1-41, January.
    1441. Pierlauro Lopez, 2016. "Welfare Implications of the Term Structure of Returns: Should Central Banks Fill Gaps or Remove Volatility?," 2016 Meeting Papers 742, Society for Economic Dynamics.
    1442. Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
    1443. Aleksandar Vasilev, 2019. "Indeterminacy with preferences featuring multiplicative habits in consumption," EERI Research Paper Series EERI RP 2019/08, Economics and Econometrics Research Institute (EERI), Brussels.
    1444. Delphine Boutin & Laurène Petifour & Haris Megzari, 2022. "Instability of preferences due to Covid-19 Crisis and emotions: a natural experiment from urban Burkina Faso," Working Papers hal-03623601, HAL.
    1445. 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.
    1446. Wei-Bin Zhang, 2013. "Dynamic Interactions among Growth, Environmental Change, Habit Formation, and Preference Change," The International Journal of Economic Behavior - IJEB, Faculty of Business and Administration, University of Bucharest, vol. 3(1), pages 3-25, December.
    1447. Hlouskova, Jaroslava & Fortin, Ines & Tsigaris, Panagiotis, 2017. "The consumption–investment decision of a prospect theory household: A two-period model," Journal of Mathematical Economics, Elsevier, vol. 70(C), pages 74-89.
    1448. Marc Oliver Rieger & Thorsten Hens & Mei Wang, 2013. "International Evidence on the Equity Premium Puzzle and Time Discounting," Multinational Finance Journal, Multinational Finance Journal, vol. 17(3-4), pages 149-163, September.
    1449. Stefan Avdjiev, 2011. "News driven business cycles and data on asset prices in estimated DSGE models," BIS Working Papers 358, Bank for International Settlements.
    1450. Lars Peter Hansen & James J. Heckman, 1996. "The Empirical Foundations of Calibration," Journal of Economic Perspectives, American Economic Association, vol. 10(1), pages 87-104, Winter.
    1451. Hernando Zuleta, 2006. "Poor people and risky business," Documentos de Trabajo 3356, Universidad del Rosario.
    1452. Barroso, Pedro & Detzel, Andrew, 2021. "Do limits to arbitrage explain the benefits of volatility-managed portfolios?," Journal of Financial Economics, Elsevier, vol. 140(3), pages 744-767.
    1453. Chen, Long, 2009. "On the reversal of return and dividend growth predictability: A tale of two periods," Journal of Financial Economics, Elsevier, vol. 92(1), pages 128-151, April.
    1454. Ravi Kashyap, 2016. "Solving the Equity Risk Premium Puzzle and Inching Towards a Theory of Everything," Papers 1604.04872, arXiv.org, revised Sep 2019.
    1455. Zhu, Xiaoneng & Zhu, Jie, 2013. "Predicting stock returns: A regime-switching combination approach and economic links," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4120-4133.
    1456. Enrique Martínez García, 2016. "Finite-Order VAR Representation of Linear Rational Expectations Models: With Some Lessons for Monetary Policy," Globalization Institute Working Papers 285, Federal Reserve Bank of Dallas.
    1457. Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2015. "Risk Factors, Copula Dependence and Risk Sensitivity of a Large Portfolio," Documents de recherche 15-03, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    1458. Aßmuth, Pascal, 2017. "Stock price related financial fragility and growth patterns," Economics Discussion Papers 2017-108, Kiel Institute for the World Economy (IfW Kiel).
    1459. Tim W. Cogley & Thomas J. Sargent, 2005. "The Market Price of Risk and the Equity Premium," Working Papers 55, University of California, Davis, Department of Economics.
    1460. Bjørn Eraker, 2008. "Affine General Equilibrium Models," Management Science, INFORMS, vol. 54(12), pages 2068-2080, December.
    1461. Campbell, John Y. & Sunderam, Adi & Viceira, Luis M., 2017. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," Critical Finance Review, now publishers, vol. 6(2), pages 263-301, September.
    1462. Bozzola, Martina & DiFalco, Salvatore & Finger, Robert, 2017. "Time variant risk preferences in agriculture: evidences from Italy," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258365, Agricultural and Applied Economics Association.
    1463. Cheng, Hang & Shi, Yongdong, 2020. "Forecasting China's stock market variance," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
    1464. Peter Woehrmann & Willi Semmler & Martin Lettau, "undated". "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
    1465. David W. Wilcox, 2009. "Comment on "Reducing the Risk of Investment-Based Social Security Reform"," NBER Chapters, in: Social Security Policy in a Changing Environment, pages 218-227, National Bureau of Economic Research, Inc.
    1466. Nozawa, Yoshio & Qiu, Yancheng, 2021. "Corporate bond market reactions to quantitative easing during the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 133(C).
    1467. Frederick Van der Ploeg, 2004. "The Welfare State, Redistribution and the Economy, Reciprocal Altruism, Consumer Rivalry and Second Best," CESifo Working Paper Series 1234, CESifo.
    1468. Been-lon Chen & Yu-shan Hsu, 2009. "Is admiration a source of indeterminacy when the speed of habit formation is finite?," Economics Bulletin, AccessEcon, vol. 29(4), pages 3041-3049.
    1469. Borup, Daniel & Schütte, Erik Christian Montes, 2022. "Asset pricing with data revisions," Journal of Financial Markets, Elsevier, vol. 59(PB).
    1470. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun, 2023. "The effect of uncertainty on stock market volatility and correlation," Journal of Banking & Finance, Elsevier, vol. 154(C).
    1471. Morhaim, Lisa & Ulus, Ayşegül Yıldız, 2023. "On history-dependent optimization models: A unified framework to analyze models with habits, satiation and optimal growth," Journal of Mathematical Economics, Elsevier, vol. 105(C).
    1472. Carl Chen & Peter Lung & F. Wang, 2013. "Where are the sources of stock market mispricing and excess volatility?," Review of Quantitative Finance and Accounting, Springer, vol. 41(4), pages 631-650, November.
    1473. Bliss, Richard T. & Potter, Mark E. & Schwarz, Christopher, 2012. "Decision making and risk aversion in the Cash Cab," Journal of Economic Behavior & Organization, Elsevier, vol. 84(1), pages 163-173.
    1474. Salomons, Roelof & Grootveld, Henk, 2002. "The equity risk premium: emerging versus developed markets," Research Report 02E45, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    1475. Akira Yamazaki, 2022. "Recovering subjective probability distributions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1234-1263, July.
    1476. Toni Ahnert & Enrico Perotti, 2018. "Seeking Safety," Staff Working Papers 18-41, Bank of Canada.
    1477. C. Jennings & H.J. Roelfsema, 2004. "Conspicuous Public Goods and Leadership Selection," Working Papers 04-10, Utrecht School of Economics.
    1478. Dominique Pépin & Stephen M. Miller, 2020. "The Time-Varying Nature of Risk Aversion: Evidence from 60 Years of U.S. Stock Market Data," Working papers 2020-09, University of Connecticut, Department of Economics.
    1479. George M. Constantinides, 2017. "Asset Pricing: Models and Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 125(6), pages 1782-1790.
    1480. Rangvid, Jesper, 2006. "Output and expected returns," Journal of Financial Economics, Elsevier, vol. 81(3), pages 595-624, September.
    1481. Jacobs, Kris, 2000. "Estimating Nonseparable Preference Specifications for Asset Market Participants," Econometric Society World Congress 2000 Contributed Papers 1472, Econometric Society.
    1482. Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Demand Disagreement," 2018 Meeting Papers 607, Society for Economic Dynamics.
    1483. Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein, 2012. "Endogenous Dividend Dynamics and the Term Structure of Dividend Strips," NBER Working Papers 18450, National Bureau of Economic Research, Inc.
    1484. Zhao, Dongxu & Li, Kai, 2022. "Bounded rationality, adaptive behaviour, and asset prices," International Review of Financial Analysis, Elsevier, vol. 80(C).
    1485. Jaccard, Ivan, 2018. "Stochastic discounting and the transmission of money supply shocks," Working Paper Series 2174, European Central Bank.
    1486. Head, Allen C. & Smith, Gregor W., 2003. "The CCAPM meets Euro-interest rate persistence, 1960-2000," Journal of International Economics, Elsevier, vol. 59(2), pages 349-366, March.
    1487. Catherine Bruneau & Ch. Duval-Kieffer & J. P. Nicolai, 2000. "Managing funds in the US market: how to distinguish between transitory distortions and structural changes in the stock prices?," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 146-162.
    1488. Hyeon O. Lee & Hyun Park, 2015. "Indeterminate Balanced Growth under Habit Persistence and Fiscal Policies," International Economic Journal, Taylor & Francis Journals, vol. 29(2), pages 259-284, June.
    1489. Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2019. "Financial Market Risk Perceptions and the Macroeconomy," NBER Working Papers 26290, National Bureau of Economic Research, Inc.
    1490. Schiff, Maurice, 2004. "On the inefficiency of inequality," Policy Research Working Paper Series 3360, The World Bank.
    1491. Orrego, Fabrizio, 2010. "Demography, stock prices and interest rates: The Easterlin hypothesis revisited," Working Papers 2010-012, Banco Central de Reserva del Perú.
    1492. Nicholas Barberis & Ming Huang, 2001. "Mental Accounting, Loss Aversion, and Individual Stock Returns," NBER Working Papers 8190, National Bureau of Economic Research, Inc.
    1493. Christian Bach & Stig Vinther Møller, 2010. "Habit-based Asset Pricing with Limited Participation Consumption," CREATES Research Papers 2010-46, Department of Economics and Business Economics, Aarhus University.
    1494. Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014. "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model," MPRA Paper 58554, University Library of Munich, Germany.
    1495. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
    1496. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
    1497. 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.
    1498. Andrei Polbin & Sergey Drobyshevsky, 2014. "Developing a Dynamic Stochastic Model of General Equilibrium for the Russian Economy," Research Paper Series, Gaidar Institute for Economic Policy, issue 166P, pages 156-156.
    1499. Rajnish Mehra, 2003. "The Equity Premium: Why is it a Puzzle?," NBER Working Papers 9512, National Bureau of Economic Research, Inc.
    1500. Wei-Choun Yu, 2008. "Macroeconomic and financial market volatilities: an empirical evidence of factor model," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-18.
    1501. Kim, Yun-Yeong, 2021. "Composite-asset-risk approach to solving the equity premium puzzle," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 200-216.
    1502. Casey B. Mulligan, 2013. "Uncertainty, Redistribution, and the Labor Market," NBER Working Papers 19553, National Bureau of Economic Research, Inc.
    1503. Zhao, Guihai, 2017. "Confidence, bond risks, and equity returns," Journal of Financial Economics, Elsevier, vol. 126(3), pages 668-688.
    1504. Stavrakeva, Vania & Tang, Jenny, 2019. "The Dollar During the Great Recession: US Monetary Policy Signaling and The Flight To Safety," CEPR Discussion Papers 14034, C.E.P.R. Discussion Papers.
    1505. Gregory R Duffee, 2023. "Macroeconomic News and Stock–Bond Comovement," Review of Finance, European Finance Association, vol. 27(5), pages 1859-1882.
    1506. Akdeniz, Levent & Salih, Aslıhan Altay & Ok, Süleyman Tuluğ, 2007. "Are stock prices too volatile to be justified by the dividend discount model?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 433-444.
    1507. Mordecai Kurz & Hehui Jin & Maurizio Motolese, 2005. "Determinants of stock market volatility and risk premia," Annals of Finance, Springer, vol. 1(2), pages 109-147, July.
    1508. Alan Guoming Huang & Eric Hughson & J. Chris Leach, 2016. "Generational Asset Pricing, Equity Puzzles, and Cyclicality," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 22, pages 52-71, October.
    1509. van den Bijgaart, Inge, 2016. "Essays in environmental economics and policy," Other publications TiSEM 298bee2a-cb08-4173-9fe1-8, Tilburg University, School of Economics and Management.
    1510. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
    1511. Alex Hsu & Erica X. N. Li & Francisco Palomino, 2021. "Real and Nominal Equilibrium Yield Curves," Management Science, INFORMS, vol. 67(2), pages 1138-1158, February.
    1512. Bergin, Paul R. & Shin, Hyung-Cheol & Tchakarov, Ivan, 2007. "Does exchange rate variability matter for welfare? A quantitative investigation of stabilization policies," European Economic Review, Elsevier, vol. 51(4), pages 1041-1058, May.
    1513. Michael Smolyansky, 2023. "End of an Era: The Coming Long-Run Slowdown in Corporate Profit Growth and Stock Returns," Finance and Economics Discussion Series 2023-041, Board of Governors of the Federal Reserve System (U.S.).
    1514. Been-Lon Chen & Yu-Shan Hsu & Kazuo Mino, 2013. "Can consumption habit spillovers be a source of equilibrium indeterminacy?," Journal of Economics, Springer, vol. 109(3), pages 245-269, July.
    1515. Orrego, Fabrizio, 2011. "Demografía y precios de activos," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 22, pages 83-101.
    1516. Andrew B. Abel, 2003. "Optimal Taxation When Consumers Have Endogenous Benchmark Levels of Consumption," NBER Working Papers 10099, National Bureau of Economic Research, Inc.
    1517. Grosse Steffen, Christoph & Podstawski, Maximilian, 2017. "Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168101, Verein für Socialpolitik / German Economic Association.
    1518. Bouaddi, Mohammed & Larocque, Denis & Normandin, Michel, 2015. "Equity premia and state-dependent risks," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 393-409.
    1519. Andrei Semenov, 2017. "Background risk in consumption and the equity risk premium," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 407-439, February.
    1520. Ivan Tchakarov & Paul Bergin, 2003. "Does Exchange Rate Risk Matter for Welfare?," Computing in Economics and Finance 2003 61, Society for Computational Economics.
    1521. Ashley Lim & Yihui Lan & Sirimon Treepongkaruna, 2020. "Asset pricing and energy consumption risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3813-3850, December.
    1522. Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
    1523. Eric T. Swanson, 2012. "Risk aversion, risk premia, and the labor margin with generalized recursive preferences," Working Paper Series 2012-17, Federal Reserve Bank of San Francisco.
    1524. Imen Bedoui-Belghith & Slaheddine Hallara & Faouzi Jilani, 2023. "Crisis transmission degree measurement under crisis propagation model," SN Business & Economics, Springer, vol. 3(1), pages 1-27, January.
    1525. Mele, Antonio, 2007. "Asymmetric stock market volatility and the cyclical behavior of expected returns," Journal of Financial Economics, Elsevier, vol. 86(2), pages 446-478, November.
    1526. Birru, Justin & Young, Trevor, 2022. "Sentiment and uncertainty," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1148-1169.
    1527. Alex Luiz Ferreira, 2016. "Precautionary And Long Run Risks For An Open Economy," Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting] 047, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    1528. Dong‐Hyun Ahn & H. Henry Cao & Stéphane Chrétien, 2009. "Portfolio Performance Measurement: a No Arbitrage Bounds Approach," European Financial Management, European Financial Management Association, vol. 15(2), pages 298-339, March.
    1529. Kiryoung Lee & Yoontae Jeon & Insik Kim, 2021. "Which economic uncertainty measure matters for households' portfolio decision?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(2), pages 343-369, June.
    1530. Laborda, Ricardo & Olmo, Jose, 2014. "Investor sentiment and bond risk premia," Journal of Financial Markets, Elsevier, vol. 18(C), pages 206-233.
    1531. Zongxia Liang & Keyu Zhang, 2024. "A Mean Field Game Approach to Relative Investment-Consumption Games with Habit Formation," Papers 2401.15659, arXiv.org.
    1532. Roger E. A. Farmer, 2018. "Pricing Assets in a Perpetual Youth Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 30, pages 106-124, October.
    1533. Dayong Zhang & Jun Li & Qiang Ji & Shunsuke Managi, 2021. "Climate variations, culture and economic behaviour of Chinese households," Climatic Change, Springer, vol. 167(1), pages 1-18, July.
    1534. Robert J. Barro & José F. Ursua, 2011. "Rare Macroeconomic Disasters," NBER Working Papers 17328, National Bureau of Economic Research, Inc.
    1535. George M. Korniotis & Alok Kumar, 2008. "Do behavioral biases adversely affect the macro-economy?," Finance and Economics Discussion Series 2008-49, Board of Governors of the Federal Reserve System (U.S.).
    1536. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
    1537. Tyler Muir & Erkko Etula & Tobias Adrian, 2011. "Broker-Dealer Leverage and the Cross-Section of Stock Returns," 2011 Meeting Papers 1448, Society for Economic Dynamics.
    1538. Huang, MeiChi, 2012. "Housing deep-habit model: Mutual implications of macroeconomics and asset pricing," Economics Letters, Elsevier, vol. 116(3), pages 526-530.
    1539. Muhammad Shahbaz & Ijaz Ur Rehman & Talat Afza, 2016. "Macroeconomic determinants of stock market capitalization in an emerging market: fresh evidence from cointegration with unknown structural breaks," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 9(1), pages 75-99, March.
    1540. Peter Reinhard Hansen & Chen Tong, 2022. "Option Pricing with Time-Varying Volatility Risk Aversion," Papers 2204.06943, arXiv.org, revised Oct 2022.
    1541. Andrei Semenov, 2008. "Estimation of the consumption CAPM with imperfect sample separation information," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 333-348.
    1542. Grishchenko, Olesya V., 2010. "Internal vs. external habit formation: The relative importance for asset pricing," Journal of Economics and Business, Elsevier, vol. 62(3), pages 176-194, May.
    1543. Angela Maddaloni & Jose-Luis Peydro, 2011. "Bank Risk-taking, Securitization, Supervision, and Low Interest Rates: Evidence from the Euro-area and the U.S. Lending Standards," The Review of Financial Studies, Society for Financial Studies, vol. 24(6), pages 2121-2165.
    1544. Akdeniz, Levent & Dechert, W. Davis, 2007. "The equity premium in Brock's asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2263-2292, July.
    1545. Liu, Zheng & Phaneuf, Louis, 2007. "Technology shocks and labor market dynamics: Some evidence and theory," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2534-2553, November.
    1546. Sámano Daniel, 2009. "Explaining Taxes at the Upper Tail of the Income Distribution: The Role of Utility Interdependence," Working Papers 2009-16, Banco de México.
    1547. Gianni Amisano & Oreste Tristani, 2023. "Monetary policy and long‐term interest rates," Quantitative Economics, Econometric Society, vol. 14(2), pages 689-716, May.
    1548. Cheolbeom Park & Dong-hun Shin, 2014. "Stock Market Predictability: Global Evidence and an Explanation," Discussion Paper Series 1405, Institute of Economic Research, Korea University.
    1549. Eduard Baitinger, 2021. "Forecasting asset returns with network‐based metrics: A statistical and economic analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1342-1375, November.
    1550. Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016. "Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary," Studies in Applied Economics 59, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
    1551. Guo, Haifeng & Hung, Chi-Hsiou D. & Kontonikas, Alexandros, 2022. "The Fed and the stock market: A tale of sentiment states," Journal of International Money and Finance, Elsevier, vol. 128(C).
    1552. Spierdijk, Laura & Umar, Zaghum, 2014. "Stocks for the long run? Evidence from emerging markets," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 217-238.
    1553. Sarkar, Asani & Zhang, Lingjia, 2009. "Time varying consumption covariance and dynamics of the equity premium: Evidence from the G7 countries," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 613-631, September.
    1554. Chan, Ying Tung & Qiao, Hui, 2023. "Volatility spillover between oil and stock prices: Structural connectedness based on a multi-sector DSGE model approach with Bayesian estimation," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 265-286.
    1555. Min, Byoung-Kyu & Kim, Tong Suk, 2016. "Momentum and downside risk," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 104-118.
    1556. Salomons, Roelof & Grootveld, Henk, 2003. "The equity risk premium: emerging vs. developed markets," Emerging Markets Review, Elsevier, vol. 4(2), pages 121-144, June.
    1557. Anton Muscatelli & Patrizio Tirelli & Carmine Trecroci, 2004. "Can Fiscal Policy Help Macroeconomic Stabilisation? Evidence from a New Keynesian Model with Liquidity Constraints," CESifo Working Paper Series 1171, CESifo.
    1558. Lee, Kiryoung & Jeon, Yoontae, 2020. "Measuring Chinese consumers’ perceived uncertainty," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 51-70.
    1559. Stefano Giglio & Ian Dew-Becker & David Berger, 2016. "Contractionary Volatility or Volatile Contractions?," 2016 Meeting Papers 673, Society for Economic Dynamics.
    1560. Naresh Bansal & Robert A. Connolly & Chris Stivers, 2022. "Beta and size equity premia following a high‐VIX threshold," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1491-1517, August.
    1561. Yulei Luo, 2006. "Rational Inattention, Portfolio Choice, and the Equity Premium," Computing in Economics and Finance 2006 56, Society for Computational Economics.
    1562. Dou, Winston Wei & Ji, Yan & Wu, Wei, 2021. "Competition, profitability, and discount rates," Journal of Financial Economics, Elsevier, vol. 140(2), pages 582-620.
    1563. Adlai Fisher & Charles Martineau & Jinfei Sheng, 2022. "Macroeconomic Attention and Announcement Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5057-5093.
    1564. Pei Kuang & Renbin Zhang & Tongbin Zhang, 2019. "New Tests of Expectation Formation with Applications to Asset Pricing Models," Discussion Papers 19-05, Department of Economics, University of Birmingham.
    1565. John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," Harvard Institute of Economic Research Working Papers 1763, Harvard - Institute of Economic Research.
    1566. Luiz Félix & Roman Kräussl & Philip Stork, 2020. "Implied volatility sentiment: a tale of two tails," Quantitative Finance, Taylor & Francis Journals, vol. 20(5), pages 823-849, May.
    1567. Munk, Claus, 2015. "Financial Asset Pricing Theory," OUP Catalogue, Oxford University Press, number 9780198716457.
    1568. Jeon, Junkee & Koo, Hyeng Keun & Shin, Yong Hyun, 2018. "Portfolio selection with consumption ratcheting," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 153-182.
    1569. Miguel Palacios, 2010. "Human Capital as an Asset Class: Implications from a General Equilibrium Model," Working Papers 2011-016, Human Capital and Economic Opportunity Working Group.
    1570. Ferhan Salman, 2005. "Risk Aversion, Sovereign Bonds and Risk Premium," Working Papers 0514, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    1571. Christoffel, Kai & Kilponen, Juha & Jaccard, Ivan, 2011. "Government bond risk premia and the cyclicality of fiscal policy," Working Paper Series 1411, European Central Bank.
    1572. Hyde, Stuart & Sherif, Mohamed, 2010. "Consumption asset pricing and the term structure," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 99-109, February.
    1573. Chao Wei, 2010. "Inflation and Stock Prices: No Illusion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2-3), pages 325-345, March.
    1574. Jaccard, Ivan, 2013. "Liquidity constraints, risk premia, and themacroeconomic effects of liquidity shocks," Working Paper Series 1525, European Central Bank.
    1575. Collard, Fabrice & Feve, Patrick & Ghattassi, Imen, 2006. "Predictability and habit persistence," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 2217-2260, November.
    1576. Guohui Guan & Qitao Huang & Zongxia Liang & Fengyi Yuan, 2020. "Retirement decision with addictive habit persistence in a jump diffusion market," Papers 2011.10166, arXiv.org, revised Feb 2024.
    1577. Dimitris Papanikolaou, 2011. "Investment Shocks and Asset Prices," Journal of Political Economy, University of Chicago Press, vol. 119(4), pages 639-685.
    1578. Cochrane, John H, 1996. "A Cross-Sectional Test of an Investment-Based Asset Pricing Model," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 572-621, June.
    1579. Aßmuth, Pascal, 2020. "Stock price related financial fragility and growth patterns," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 14, pages 1-34.
    1580. Liu, Li & Ma, Feng & Wang, Yudong, 2015. "Forecasting excess stock returns with crude oil market data," Energy Economics, Elsevier, vol. 48(C), pages 316-324.
    1581. Johri, Alok & Letendre, Marc-Andre, 2007. "What do `residuals' from first-order conditions reveal about DGE models?," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2744-2773, August.
    1582. Stephen E. Satchell & Shaun A. Bond, 2004. "Asymmetry, Loss Aversion and Forecasting," Econometric Society 2004 Australasian Meetings 160, Econometric Society.
    1583. Boschi, Melisso, 2006. "Habit formation and the transmission of financial crises," Economics Discussion Papers 8900, University of Essex, Department of Economics.
    1584. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 328-383, Elsevier.
    1585. Chen, Hung-Ju & Li, Ming-Chia, 2008. "Chaotic dynamics in a monetary economy with habit persistence," Journal of Economic Behavior & Organization, Elsevier, vol. 65(2), pages 245-260, February.
    1586. Massimo Guidolin & Erwin Hansen & Gabriel Cabrera, 2023. "Time-Varying Risk Aversion and International Stock Returns," BAFFI CAREFIN Working Papers 23203, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    1587. Alvarez-Cuadrado, Francisco & Van Long, Ngo, 2011. "Relative consumption and renewable resource extraction under alternative property-rights regimes," Resource and Energy Economics, Elsevier, vol. 33(4), pages 1028-1053.
    1588. Fuerst, Michael E., 2006. "Investor risk premia and real macroeconomic fluctuations," Journal of Macroeconomics, Elsevier, vol. 28(3), pages 540-563, September.
    1589. John Y. Campbell, 2003. "Two Puzzles of Asset Pricing and Their Implications for Investors," The American Economist, Sage Publications, vol. 47(1), pages 48-74, March.
    1590. Yan Yan & Zhewen Liao & Xiaosong Chen, 2018. "Fixed-income securities: bibliometric review with network analysis," Scientometrics, Springer;Akadémiai Kiadó, vol. 116(3), pages 1615-1640, September.
    1591. Mr. Jan-Peter Olters & Mr. Daniel Leigh, 2006. "Natural-Resource Depletion, Habit Formation, and Sustainable Fiscal Policy: Lessons from Gabon," IMF Working Papers 2006/193, International Monetary Fund.
    1592. Alexandre Dmitriev & Ivo Krznar, 2010. "Habit Persistence and International Comovements," Working Papers 23, The Croatian National Bank, Croatia.
    1593. Yichuan Wang & Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2017. "The Term Structure of the Price of Variance Risk," 2017 Meeting Papers 1641, Society for Economic Dynamics.
    1594. Vintilă Georgeta & Păunescu Radu Alin, 2015. "Econometric Tests of the CAPM Model for a Portfolio Composed of Companies Listed on Nasdaq and Dow Jones Components," Scientific Annals of Economics and Business, Sciendo, vol. 62(3), pages 453-480, November.
    1595. Sungjun Cho & Liu Liu, 2023. "Correcting estimation bias in regime switching dynamic term structure models," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 1093-1127, October.
    1596. Gene Amromin & Steven A. Sharpe, 2012. "From the horse’s mouth: how do investor expectations of risk and return vary with economic conditions?," Working Paper Series WP-2012-08, Federal Reserve Bank of Chicago.
    1597. Gourio, François, 2012. "Macroeconomic implications of time-varying risk premia," Working Paper Series 1463, European Central Bank.
    1598. Lafuente, Juan Angel & Ruiz, Jesus, 2006. "Monetary policy and forward bias for foreign exchange revisited: Empirical evidence from the US-UK exchange rate," Economic Modelling, Elsevier, vol. 23(2), pages 238-264, March.
    1599. 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.
    1600. Dietz, Simon & Venmans, Frank, 2019. "The endowment effect, discounting and the environment," LSE Research Online Documents on Economics 100110, London School of Economics and Political Science, LSE Library.
    1601. Zhiguo He & Bryan Kelly & Asaf Manela, 2016. "Intermediary Asset Pricing: New Evidence from Many Asset Classes," NBER Working Papers 21920, National Bureau of Economic Research, Inc.
    1602. Tino Berger & Lorenzo Pozzi, 2023. "Cyclical consumption," Tinbergen Institute Discussion Papers 23-064/VI, Tinbergen Institute.
    1603. Alex Hsu & Erica X. N. Li & Francisco J. Palomino, 2016. "Real and Nominal Equilibrium Yield Curves: Wage Rigidities and Permanent Shocks," Finance and Economics Discussion Series 2016-032, Board of Governors of the Federal Reserve System (U.S.).
    1604. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFS Working Paper Series 572, Center for Financial Studies (CFS).
    1605. George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
    1606. Hall, Jamie, 2012. "Consumption dynamics in general equilibrium," MPRA Paper 43933, University Library of Munich, Germany.
    1607. Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2023. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Working Papers 23-11, Federal Reserve Bank of Cleveland.
    1608. Duernecker, Georg, 2007. "Growth Effects of Consumption Jealousy in a Two-Sector Model," Economics Series 201, Institute for Advanced Studies.
    1609. Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society.
    1610. Simon Oh & Jessica A. Wachter, 2018. "Cross-sectional Skewness," NBER Working Papers 25113, National Bureau of Economic Research, Inc.
    1611. Amadeu DaSilva & Mira Farka & Christos Giannikos, 2011. "Habit Formation in an Overlapping Generations Model with Borrowing Constraints," European Financial Management, European Financial Management Association, vol. 17(4), pages 705-725, September.
    1612. Ben Ammar, Semir & Braun, Alexander & Eling, Martin, 2015. "Alternative Risk Transfer and Insurance-Linked Securities: Trends, Challenges and New Market Opportunities," I.VW HSG Schriftenreihe, University of St.Gallen, Institute of Insurance Economics (I.VW-HSG), volume 56, number 56.
    1613. Minford, Patrick & Lungu, Laurian, 2005. "Explaining The Equity Risk Premium," CEPR Discussion Papers 5017, C.E.P.R. Discussion Papers.
    1614. Byrne, Joseph & Fu, Rong, 2016. "Stock Return Prediction with Fully Flexible Models and Coefficients," MPRA Paper 75366, University Library of Munich, Germany.
    1615. Hanno Lustig & Adrien Verdelhan, 2009. "Comment on "Carry Trades and Currency Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 361-384, National Bureau of Economic Research, Inc.
    1616. Gürtler, Marc & Hartmann, Nora, 2004. "The equity premium puzzle and emotional asset pricing," Working Papers FW10V3, Technische Universität Braunschweig, Institute of Finance.
    1617. Steinbacher, Matjaz, 2008. "Stochastic Processes in Finance and Behavioral Finance," MPRA Paper 13603, University Library of Munich, Germany.
    1618. Huang Xian Yu, 2017. "Capital Asset Pricing Model – investigation and Testing," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(6), pages 1-5.
    1619. Rodrigo Fuentes S & Fabián Gredig U., 2008. "The Neutral Interest Rate: Estimates for Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(2), pages 47-58, August.
    1620. Yi Wen, 2005. "By force of demand: explaining international comovements and the saving-investment correlation puzzle," Working Papers 2005-043, Federal Reserve Bank of St. Louis.
    1621. Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
    1622. van der Sar, Nico L., 2004. "Behavioral finance: How matters stand," Journal of Economic Psychology, Elsevier, vol. 25(3), pages 425-444, June.
    1623. Li, Yuming & Zhong, Maosen, 2005. "Consumption habit and international stock returns," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 579-601, March.
    1624. Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.
    1625. van den Bijgaart, I.M., 2017. "Too slow a change? Deep habits, consumption shifts and transitory tax," Working Papers in Economics 701, University of Gothenburg, Department of Economics.
    1626. Christopher D Carroll, 2000. "Solving Consumption Models with Multiplicative Habits," Economics Working Paper Archive 421, The Johns Hopkins University,Department of Economics.
    1627. Andrea Buraschi & Andrea Carnelli, 2014. "Understanding Short†versus Long†Run Risk Premia," European Financial Management, European Financial Management Association, vol. 20(4), pages 714-738, September.
    1628. Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2015. "Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle," Journal of Finance, American Finance Association, vol. 70(5), pages 1903-1948, October.
    1629. Ceylan, Ozcan, 2012. "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers 12-4, Galatasaray University Economic Research Center.
    1630. Marko Korhonen & Mikko Puhakka & Matti Viren, 2016. "Economic hardship and suicide mortality in Finland, 1875–2010," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 17(2), pages 129-137, March.
    1631. Olkhov, Victor, 2019. "New Essentials of Economic Theory III. Economic Applications," MPRA Paper 94053, University Library of Munich, Germany.
    1632. Smith, William T., 2002. "Consumption and saving with habit formation and durability," Economics Letters, Elsevier, vol. 75(3), pages 369-375, May.
    1633. Kraus, Alan & Sagi, Jacob S., 2006. "Asset pricing with unforeseen contingencies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 417-453, November.
    1634. Marlène Isore, 2012. "Essays in macro-finance," Sciences Po publications info:hdl:2441/eo6779thqgm, Sciences Po.
    1635. P. Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
    1636. Ahnert, Toni & Perotti, Enrico, 2021. "Cheap but flighty: A theory of safety-seeking capital flows," Journal of Banking & Finance, Elsevier, vol. 131(C).
    1637. Park, Hyun, 2013. "Do habits generate endogenous fluctuations in a growing economy?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 54-68.
    1638. TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2018. "An Equilibrium Model of Term Structures of Bonds and Equities," Working Paper Series G-1-19, Hitotsubashi University Center for Financial Research.
    1639. Elyès Jouini & Clotilde Napp, 2004. "Conditional comonotonicity," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(2), pages 153-166, December.
    1640. Lim, G.C. & McNelis, Paul D., 2008. "Computational Macroeconomics for the Open Economy," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262123061, December.
    1641. Anne Vila Wetherilt & Simon Wells, 2004. "Long-horizon equity return predictability: some new evidence for the United Kingdom," Bank of England working papers 244, Bank of England.
    1642. Gourinchas, Pierre-Olivier & Rey, Hélène, 2014. "Chapter 10 External Adjustment, Global Imbalances, Valuation Effects," Department of Economics, Working Paper Series qt42k8h7mp, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    1643. Mesly, Olivier & Chkir, Imed & Racicot, François-Éric, 2019. "Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?," Economic Modelling, Elsevier, vol. 78(C), pages 11-31.
    1644. Choi, Kyoung Jin & Jeon, Junkee & Koo, Hyeng Keun, 2022. "Intertemporal preference with loss aversion: Consumption and risk-attitude," Journal of Economic Theory, Elsevier, vol. 200(C).
    1645. Salomons, Roelof & Sterken, Elmer, 2009. "Corporate control rights and the long-run equity risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 63-76, February.
    1646. James J. Choi & Adriana Z. Robertson, 2018. "What Matters to Individual Investors? Evidence from the Horse’s Mouth," NBER Working Papers 25019, National Bureau of Economic Research, Inc.
    1647. Pawe³ Kliber, 2016. "A puzzle of excessive equity risk premium and the case of Poland," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 12(1), pages 1-11, June.
    1648. Petr Kadeřábek & Aleš Slabý & Josef Vodička, 2008. "Stress testing of probability of default of individuals," Prague Economic Papers, Prague University of Economics and Business, vol. 2008(4), pages 340-355.
    1649. Sylvia Sarantopoulou-Chiourea & George Skiadopoulos, 2015. "A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers 741, Queen Mary University of London, School of Economics and Finance.
    1650. Brückbauer, Frank, 2022. "Do financial market experts know their theory? New evidence from survey data," ZEW Discussion Papers 20-092, ZEW - Leibniz Centre for European Economic Research, revised 2022.
    1651. Alexander Kurov, 2012. "What determines the stock market's reaction to monetary policy statements?," Review of Financial Economics, John Wiley & Sons, vol. 21(4), pages 175-187, November.
    1652. Bradley Jones, 2014. "Identifying Speculative Bubbles: A Two-Pillar Surveillance Framework," IMF Working Papers 2014/208, International Monetary Fund.
    1653. Hui Guo & Zijun Wang & Jian Yang, 2006. "Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market," Working Papers 2006-047, Federal Reserve Bank of St. Louis.
    1654. Stefano Cassella & Huseyin Gulen, 2018. "Extrapolation Bias and the Predictability of Stock Returns by Price-Scaled Variables," The Review of Financial Studies, Society for Financial Studies, vol. 31(11), pages 4345-4397.
    1655. Liang, Pinghan & Guo, Shiqi, 2015. "Social interaction, Internet access and stock market participation—An empirical study in China," Journal of Comparative Economics, Elsevier, vol. 43(4), pages 883-901.
    1656. Kozak, Serhiy, 2022. "Dynamics of bond and stock returns," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 188-209.
    1657. Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
    1658. Giannikos, Christos I. & Koimisis, Georgios, 2021. "Habits, Wealth and Equity Risk Premium," Finance Research Letters, Elsevier, vol. 38(C).
    1659. Nicolas P. B. Bollen & Berk A. Sensoy, 2022. "How much for a haircut? Illiquidity, secondary markets, and the value of private equity," Financial Management, Financial Management Association International, vol. 51(2), pages 501-538, June.
    1660. Michael S. O'Doherty, 2012. "On the Conditional Risk and Performance of Financially Distressed Stocks," Management Science, INFORMS, vol. 58(8), pages 1502-1520, August.
    1661. Chabakauri, Georgy, 2012. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 119046, London School of Economics and Political Science, LSE Library.
    1662. Hideaki Tamura & Yoichi Matsubayashi, 2014. "A New Solution to the Equity Premium Puzzle and the Risk-Free Rate Puzzle: Theory and Evidence," Discussion Papers 1422, Graduate School of Economics, Kobe University.
    1663. Piotr Białowolski, 2019. "Patterns and evolution of consumer debt: evidence from latent transition models," Quality & Quantity: International Journal of Methodology, Springer, vol. 53(1), pages 389-415, January.
    1664. Giorgio PIZZUTTO, 2008. "Rischio di lungo periodo e premio a termine," Departmental Working Papers 2008-03, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    1665. Hyungbin Park, 2014. "Ross Recovery with Recurrent and Transient Processes," Papers 1410.2282, arXiv.org, revised Oct 2015.
    1666. Masataka Suzuki, 2014. "Hidden persistent disasters and asset prices," Annals of Finance, Springer, vol. 10(3), pages 395-418, August.
    1667. Lorenzo Bretscher & Alex Hsu & Andrea Tamoni, 2023. "The Real Response to Uncertainty Shocks: The Risk Premium Channel," Management Science, INFORMS, vol. 69(1), pages 119-140, January.
    1668. Agostino Capponi & Sveinn Ólafsson & Thaleia Zariphopoulou, 2022. "Personalized Robo-Advising: Enhancing Investment Through Client Interaction," Management Science, INFORMS, vol. 68(4), pages 2485-2512, April.
    1669. Xiao Chen & Jin Hyuk Choi & Kasper Larsen & Duane J. Seppi, 2023. "Price impact in Nash equilibria," Finance and Stochastics, Springer, vol. 27(2), pages 305-340, April.
    1670. Bhatt, Vipul & Kishor, Kundan & Marfatia, Hardik, 2017. "Estimating excess sensitivity and habit persistence in consumption using Greenbook forecast as an instrument," MPRA Paper 79748, University Library of Munich, Germany.
    1671. Guy Kaplanski & Haim Levy, 2017. "Envy and Altruism: Contrasting Bivariate and Univariate Prospect Preferences," Scandinavian Journal of Economics, Wiley Blackwell, vol. 119(2), pages 457-483, April.
    1672. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013. "Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section," Working Paper 2013/19, Norges Bank.
    1673. Michael Dempsey, 2015. "Stock Markets, Investments and Corporate Behavior:A Conceptual Framework of Understanding," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number p1007, June.
    1674. Johansson-Stenman, Olof & Carlsson, Fredrik & Daruvala, Dinky, 2001. "Measuring Hypothetical Grandparents Preferences For Equality And Relative Standings," Working Papers in Economics 42, University of Gothenburg, Department of Economics.
    1675. Jakob B. Madsen, 2003. "The Macroeconomics of Share Prices in the Medium Term and in the Long Run," EPRU Working Paper Series 03-11, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    1676. Katsuhiro Oshima, 2021. "Heterogeneous beliefs, monetary policy, and stock price volatility," Annals of Finance, Springer, vol. 17(1), pages 79-125, March.
    1677. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
    1678. Jaroslava Hlouskova & Jana Mikocziova & Rudolf Sivak & Peter Tsigaris, 2014. "Capital Income Taxation and Risk-Taking under Prospect Theory: The Continuous Distribution Case," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(5), pages 374-391, November.
    1679. Christopher Boortz, 2016. "Irrational Exuberance and Herding in Financial Markets," SFB 649 Discussion Papers SFB649DP2016-016, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    1680. Taeyoung Doh & Shu Wu, 2016. "The Equilibrium Term Structure of Equity and Interest Rates," Research Working Paper RWP 16-11, Federal Reserve Bank of Kansas City.
    1681. Jeffrey L. Callen & Matthew R. Lyle, 2020. "The term structure of implied costs of equity capital," Review of Accounting Studies, Springer, vol. 25(1), pages 342-404, March.
    1682. Alan Moreira & Tyler Muir, 2016. "Volatility Managed Portfolios," NBER Working Papers 22208, National Bureau of Economic Research, Inc.
    1683. Bouakez, Hafedh & Cardia, Emanuela & Ruge-Murcia, Francisco J., 2005. "Habit formation and the persistence of monetary shocks," Journal of Monetary Economics, Elsevier, vol. 52(6), pages 1073-1088, September.
    1684. Bölcskei, Vanda, 2009. "Az intertemporális döntések viselkedési közgazdaságtani modelljeinek áttekintése [A review of the models of inter-temporal decision-making in behavioural economics]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 1025-1040.
    1685. Vania Stavrakeva & Jenny Tang, 2018. "The dollar during the global recession: US monetary policy and the exorbitant duty," Working Papers 18-10, Federal Reserve Bank of Boston.
    1686. Engen, Eric & Gale, William & Uccello, Cori, 1999. "The Adequacy of Household Saving," MPRA Paper 56442, University Library of Munich, Germany.
    1687. Raghu Suryanarayanan, 2006. "Implications of Anticipated Regret and Endogenous Beliefs for Equilibrium Asset Prices: A Theoretical Framework," CSEF Working Papers 162, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    1688. Pakos, Michal, 2004. "Asset Pricing with Durable Goods and Nonhomothetic Preferences," MPRA Paper 26167, University Library of Munich, Germany.
    1689. Zhi Da & Wei Yang & Hayong Yun, 2016. "Household Production and Asset Prices," Management Science, INFORMS, vol. 62(2), pages 387-409, February.
    1690. Xin Chen & Wei He & Libin Tao & Jianfeng Yu, 2023. "Attention and Underreaction-Related Anomalies," Management Science, INFORMS, vol. 69(1), pages 636-659, January.
    1691. Wolfgang Maennig & Viktoria C. E. Schumann, 2022. "Prevention Effect of News Shocks in Anti-Doping Policies," Journal of Sports Economics, , vol. 23(4), pages 431-459, May.
    1692. Wooheon Rhee, 2004. "Habit Formation And Precautionary Saving: Evidence From The Korean Household Panel Studies," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 29(2), pages 1-19, December.
    1693. Hong, Yongmiao & Liu, Yanhui & Wang, Shouyang, 2009. "Granger causality in risk and detection of extreme risk spillover between financial markets," Journal of Econometrics, Elsevier, vol. 150(2), pages 271-287, June.
    1694. Drobetz, Wolfgang & Kugler, Peter & Wanzenried, Gabrielle & Zimmermann, Heinz, 2009. "Heterogeneity in asset allocation decisions: Empirical evidence from Switzerland," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 84-93, March.
    1695. Patrick Toche & Lyon, 2001. "Keeping Up With the Joneses and Unemployment Risk," Economics Series Working Papers 63, University of Oxford, Department of Economics.
    1696. Bjørn Eraker & Aoxiang Yang, 2022. "The Price of Higher Order Catastrophe Insurance: The Case of VIX Options," Journal of Finance, American Finance Association, vol. 77(6), pages 3289-3337, December.
    1697. Ichiro Gombi & Shinsuke Ikeda, 2003. "Habit Formation And The Transfer Paradox," The Japanese Economic Review, Japanese Economic Association, vol. 54(4), pages 361-380, December.
    1698. Azmat, Saad & Jalil, Muhammad Naiman & Skully, Michael & Brown, Kym, 2016. "Investor’s choice of Shariah compliant ‘replicas’ and original Islamic instruments," Journal of Economic Behavior & Organization, Elsevier, vol. 132(S), pages 4-22.
    1699. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233, Elsevier.
    1700. Budría, Santiago, 2012. "Are Relative-Income Effects Constant across the Well-being Distribution?," IZA Discussion Papers 6591, Institute of Labor Economics (IZA).
    1701. Runli Xie, 2009. "Trade-Off Between Consumption Growth and Inequality: Theory and Evidence for Germany," SFB 649 Discussion Papers SFB649DP2009-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    1702. Anthony W. Lynch & Oliver Randall, 2011. "Why Surplus Consumption in the Habit Model May be Less Persistent than You Think," NBER Working Papers 16950, National Bureau of Economic Research, Inc.
    1703. Roll, Richard W. & Cornell, Brad, 2004. "A Delegated Agent Asset-pricing model," University of California at Los Angeles, Anderson Graduate School of Management qt9f06903n, Anderson Graduate School of Management, UCLA.
    1704. Peter Christoffersen & Du Du & Redouane Elkamhi, 2017. "Rare Disasters, Credit, and Option Market Puzzles," Management Science, INFORMS, vol. 63(5), pages 1341-1364, May.
    1705. Rohan Dutta & David K. Levine & Salvatore Modica, 2021. "The whip and the Bible: Punishment versus internalization," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 23(5), pages 858-894, October.
    1706. Giuseppe Cappelletti, 2012. "Do wealth fluctuations generate time-varying risk aversion? Italian micro-evidence on household asset allocation," Temi di discussione (Economic working papers) 845, Bank of Italy, Economic Research and International Relations Area.
    1707. Castañeda, Pablo & Castro, Rubén & Fajnzylber, Eduardo & Medina, Juan Pablo & Villatoro, Félix, 2021. "Saving for the future: Evaluating the sustainability and design of Pension Reserve Funds," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    1708. Stavros Panageas, 2020. "The Implications of Heterogeneity and Inequality for Asset Pricing," NBER Working Papers 26974, National Bureau of Economic Research, Inc.
    1709. Taipalus, Katja, 2006. "Bubbles in the Finnish and US equities markets," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2006_035.
    1710. Katsuhiro Oshima, 2019. "Subjective Beliefs, Monetary Policy, and Stock Price Volatility," KIER Working Papers 1012, Kyoto University, Institute of Economic Research.
    1711. Hui Guo, 2009. "Data Revisions And Out‐Of‐Sample Stock Return Predictability," Economic Inquiry, Western Economic Association International, vol. 47(1), pages 81-97, January.
    1712. Airaudo, Marco, 2020. "Temptation and forward-guidance," Journal of Economic Theory, Elsevier, vol. 186(C).
    1713. Chen, Been-Lon & Lee, Shun-Fa, 2007. "Import Tariffs and Growth in a Model with Habits," MPRA Paper 27667, University Library of Munich, Germany.
    1714. Samih Azar, 2011. "Retesting the CCAPM Euler equations," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(4), pages 324-346, September.
    1715. Fernando Alvarez & Urban J. Jermann, 2005. "Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth," Econometrica, Econometric Society, vol. 73(6), pages 1977-2016, November.
    1716. Syriopoulos, Theodore, 2002. "Risk aversion and portfolio allocation to mutual fund classes," International Review of Economics & Finance, Elsevier, vol. 11(4), pages 427-447.
    1717. Gkanoutas-Leventis, Angelos & Nesvetailova, Anastasia, 2015. "Financialisation, oil and the Great Recession," Energy Policy, Elsevier, vol. 86(C), pages 891-902.
    1718. Thorsten Lehnert, 2020. "Fear and stock price bubbles," PLOS ONE, Public Library of Science, vol. 15(5), pages 1-17, May.
    1719. Bu, Di & Hanspal, Tobin & Liao, Yin & Liu, Yong, 2021. "Risk taking, preferences, and beliefs: Evidence from Wuhan," SAFE Working Paper Series 301, Leibniz Institute for Financial Research SAFE.
    1720. Martin Andreasen, 2012. "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 295-316, July.
    1721. Yeguang Chi & Xiao Qiao & Sibo Yan & Binbin Deng, 2021. "Volatility and returns: Evidence from China†," International Review of Finance, International Review of Finance Ltd., vol. 21(4), pages 1441-1463, December.
    1722. Berg, Tobias, 2010. "The term structure of risk premia: new evidence from the financial crisis," Working Paper Series 1165, European Central Bank.
    1723. Wolfgang Drobetz & Tizian Otto, 2021. "Empirical asset pricing via machine learning: evidence from the European stock market," Journal of Asset Management, Palgrave Macmillan, vol. 22(7), pages 507-538, December.
    1724. Morita, Hiroshi & Okimoto, Tatsuyoshi, 2021. "The interest rate determination when economic variables are partially observable," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    1725. Jankauskas, Tomas, 2023. "Essays in empirical finance," Other publications TiSEM 4c319f87-ba97-44be-897e-1, Tilburg University, School of Economics and Management.
    1726. Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, C.E.P.R. Discussion Papers.
    1727. Cho, Sungjun, 2013. "New return anomalies and new-Keynesian ICAPM," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 87-106.
    1728. Aase, Knut K., 2014. "Heterogeneity and limited stock market Participation," Discussion Papers 2014/5, Norwegian School of Economics, Department of Business and Management Science, revised 25 Mar 2015.
    1729. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," 2012 Meeting Papers 636, Society for Economic Dynamics.
    1730. Edward R. Lawrence & John Geppert & Arun J. Prakash, 2009. "An Empirical Investigation of the Campbell‐Cochrane Habit Utility Model," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(5‐6), pages 774-791, June.
    1731. Berger, Dave & Turtle, H.J., 2011. "Emerging market crises and US equity market returns," Global Finance Journal, Elsevier, vol. 22(1), pages 32-41.
    1732. Ricardo J. Caballero & Stavros Panageas, 2003. "Hedging Sudden Stops and Precautionary Contractions," NBER Working Papers 9778, National Bureau of Economic Research, Inc.
    1733. Atanasov, Victoria, 2018. "World output gap and global stock returns," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 181-197.
    1734. Viceira, Luis M., 2012. "Bond risk, bond return volatility, and the term structure of interest rates," International Journal of Forecasting, Elsevier, vol. 28(1), pages 97-117.
    1735. Uppal, Raman & Bhamra, Harjoat Singh, 2013. "Asset Prices with Heterogeneity in Preferences and Beliefs," CEPR Discussion Papers 9459, C.E.P.R. Discussion Papers.
    1736. Filippo Ippolito & Alessandro Villa, 2022. "Levered Returns and Capital Structure Imbalances," Working Paper Series WP 2022-42, Federal Reserve Bank of Chicago.
    1737. Juin-jen Chang & Jhy-hwa Chen & Jhy-yuan Shieh, 2012. "Consumption externalities, market imperfections and optimal taxation," International Journal of Economic Theory, The International Society for Economic Theory, vol. 8(4), pages 345-359, December.
    1738. Michael W. Brandt & Amir Yaron, 2003. "Time-Consistent No-Arbitrage Models of the Term Structure," NBER Working Papers 9458, National Bureau of Economic Research, Inc.
    1739. Qiang Dai & Olesya V. Grishchenko, 2011. "An empirical investigation of consumption-based asset pricing models with stochastic habit formation," Finance and Economics Discussion Series 2011-47, Board of Governors of the Federal Reserve System (U.S.).
    1740. Valentin Jouvanceau & Ieva Mikaliunaite, 2020. "Euro Area Monetary Communications: Excess Sensitivity and Perception Shocks," Bank of Lithuania Working Paper Series 79, Bank of Lithuania.
    1741. Heinke, Steve & Olschewski, Sebastian & Rieskamp, Jörg, 2022. "Experiences and Asset Price Dynamics," VfS Annual Conference 2022 (Basel): Big Data in Economics 264017, Verein für Socialpolitik / German Economic Association.
    1742. Samuel M. Hartzmark & David H. Solomon, 2020. "Reconsidering Returns," NBER Working Papers 27380, National Bureau of Economic Research, Inc.
    1743. Aaron Tornell, 2003. "Robust-H_infinity Forecasting and Asset Pricing Anomalies (December 2001)," UCLA Economics Online Papers 237, UCLA Department of Economics.
    1744. Vivek Ghosal & Yang Ye, 2013. "Business Decision-Making under Uncertainty: Evidence from Employment and Number of Businesses," CESifo Working Paper Series 4312, CESifo.
    1745. Antonio N. Bojanic, 2021. "A Markov-Switching Model of Inflation in Bolivia," Economies, MDPI, vol. 9(1), pages 1-18, March.
    1746. M. Falagiarda & M. Marzo, 2012. "A DSGE model with Endogenous Term Structure," Working Papers wp830, Dipartimento Scienze Economiche, Universita' di Bologna.
    1747. Xiaoji Lin & Ding Luo & Andres Donangelo & Frederico Belo, 2017. "Labor Hiring, Aggregate Dividends, and Return Predictability in the Time Series," 2017 Meeting Papers 885, Society for Economic Dynamics.
    1748. Michael D. Bauer & Glenn D. Rudebusch & Jing Cynthia Wu, 2011. "Unbiased estimate of dynamic term structure models," Working Paper Series 2011-12, Federal Reserve Bank of San Francisco.
    1749. Jonathan Dark, 2021. "The lead of oil price rises on US equity market beliefs and preferences," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1861-1887, November.
    1750. Petr Zemčík, 2001. "An empirical investigation of the consumption based Capital Asset Pricing Model using a modified variance-ratio test," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(1), pages 1-22, March.
    1751. Jirasakuldech, Benjamas & Emekter, Riza & Rao, Ramesh P., 2008. "Do Thai stock prices deviate from fundamental values?," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 298-315, June.
    1752. Lars Ljungqvist & Harald Uhlig, 2009. "Optimal Endowment Destruction under Campbell-Cochrane Habit Formation," NBER Working Papers 14772, National Bureau of Economic Research, Inc.
    1753. Dittmar, Amy K. & Dittmar, Robert F., 2008. "The timing of financing decisions: An examination of the correlation in financing waves," Journal of Financial Economics, Elsevier, vol. 90(1), pages 59-83, October.
    1754. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
    1755. Curatola, Giuliano & Donadelli, Michael & Grüning, Patrick, 2015. "Matching the BRIC equity premium: A structural approach," Emerging Markets Review, Elsevier, vol. 22(C), pages 65-75.
    1756. Jesse Bricker & Jacob Krimmel & Rodney Ramcharan, 2014. "Signaling Status: The Impact of Relative Income on Household Consumption and Financial Decisions," Finance and Economics Discussion Series 2014-76, Board of Governors of the Federal Reserve System (U.S.).
    1757. Huynh, Nhan, 2023. "Unemployment beta and the cross-section of stock returns: Evidence from Australia," International Review of Financial Analysis, Elsevier, vol. 86(C).
    1758. Douglas T Breeden, 2016. "Consumer signals," Journal of Asset Management, Palgrave Macmillan, vol. 17(4), pages 244-263, July.
    1759. Zhang, Yuzhao, 2014. "Contrarian flows, consumption and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 101-111.
    1760. Amadeu DaSilva & Mira Farka, 2017. "Retracted: Portfolio Allocation and Asset Returns in an OLG Economy with Increasing Risk Aversion," European Financial Management, European Financial Management Association, vol. 23(4), pages 836-836, September.
    1761. Andreas Gruener & Christian Finke, 2018. "Lead-Lag Relationships in International Stock Markets Revisited: Are They Exploitable?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 9(1), pages 8-30, January.
    1762. Been‐Lon Chen & Mei Hsu & Yu‐Shan Hsu, 2010. "A One‐Sector Growth Model With Consumption Standard: Indeterminate Or Determinate?," The Japanese Economic Review, Japanese Economic Association, vol. 61(1), pages 85-96, March.
    1763. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
    1764. Alsheikh, Muna Ibrahim, 2020. "Beliefs-dependent utilities do influence firm-specific wealth (executives’ inside equity holdings)," Journal of Economics and Business, Elsevier, vol. 109(C).
    1765. Tan Wang, 2000. "Updating Rules for Non-Bayesian Preferences," Econometric Society World Congress 2000 Contributed Papers 0157, Econometric Society.
    1766. Yi-Cheng Shih & Sheng-Syan Chen & Cheng-Few Lee & Po-Jung Chen, 2014. "The evolution of capital asset pricing models," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 415-448, April.
    1767. Stefano DellaVigna & Attila Lindner & Balázs Reizer & Johannes F. Schmieder, 2016. "Reference-Dependent Job Search: Evidence from Hungary," NBER Working Papers 22257, National Bureau of Economic Research, Inc.
    1768. Brevik, Frode & d'Addona, Stefano, 2013. "Is Ignorance Bliss? The Cost Of Business-Cycle Uncertainty," Macroeconomic Dynamics, Cambridge University Press, vol. 17(4), pages 728-746, June.
    1769. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
    1770. Mehra, Rajnish, 2002. "Finance," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1069-1074, July.
    1771. Ctirad Slavik, 2011. "Asset Prices and Business Cycles with Financial Frictions," 2011 Meeting Papers 587, Society for Economic Dynamics.
    1772. Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76, Elsevier.
    1773. Gareth Lui-Evans & Shalini Mitra, 2019. "Informality and Bank Stability," Working Papers 201903, University of Liverpool, Department of Economics.
    1774. Curatola, Giuliano, 2016. "Preference evolution and the dynamics of capital markets," SAFE Working Paper Series 128, Leibniz Institute for Financial Research SAFE.
    1775. Long Chen & Hui Guo & Lu Zhang, 2006. "Equity market volatility and expected risk premium," Working Papers 2006-007, Federal Reserve Bank of St. Louis.
    1776. Ravi Bansal & Hengjie Ai, 2016. "Macro Announcement Premium and Risk Preferences," 2016 Meeting Papers 715, Society for Economic Dynamics.
    1777. Shoka Hayaki, 2024. "The Impact of Individual Loss Aversion on Market Risk-Return Trade-off: A Non-linear Approach," Discussion Paper Series DP2024-05, Research Institute for Economics & Business Administration, Kobe University.
    1778. Philip Jefferson, 2001. "Price dynamics when there are alternatives to cash payment," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(2), pages 149-171, June.
    1779. Berrada, Tony & Detemple, Jérôme & Rindisbacher, Marcel, 2018. "Asset pricing with beliefs-dependent risk aversion and learning," Journal of Financial Economics, Elsevier, vol. 128(3), pages 504-534.
    1780. Jianjun Miao & Bin Wei & Hao Zhou, 2018. "Ambiguity Aversion and Variance Premium," FRB Atlanta Working Paper 2018-14, Federal Reserve Bank of Atlanta.
    1781. Tom Krebs, 2003. "Growth and Welfare Effects of Business Cycles in Economies with Idiosyncratic Human Capital Risk," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 846-868, October.
    1782. Sydney Ludvigson, 2008. "The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(2), April.
    1783. Maria Grith & Wolfgang Karl Härdle & Volker Krätschmer, 2013. "Reference Dependent Preferences and the EPK Puzzle," SFB 649 Discussion Papers SFB649DP2013-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    1784. David Schröder, 2020. "The role of market efficiency on implied cost of capital estimates: an international perspective," Annals of Finance, Springer, vol. 16(4), pages 463-499, December.
    1785. Thorsten Hens & Terje Lensberg & Klaus Schenk-Hoppé & Peter Wöhrmann, 2011. "An evolutionary explanation of the value premium puzzle," Journal of Evolutionary Economics, Springer, vol. 21(5), pages 803-815, December.
    1786. Saar, Dan & Yagil, Yossi, 2015. "Forecasting growth and stock performance using government and corporate yield curves: Evidence from the European and Asian markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 27-41.
    1787. Qin Wang & Yiheng Zou & Yu Ren & Zhuo Huang, 2015. "The Spirit of Capitalism and the Equity Premium," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 493-513, November.
    1788. Michael Wickens, 2015. "How Did We Get to Where We Are Now? Reflections on 50 Years of Macroeconomic and Financial Econometrics," Manchester School, University of Manchester, vol. 83, pages 60-82, December.
    1789. Joachim Inkmann & Zhen Shi, 2015. "Parametric Portfolio Policies in the Surplus Consumption Ratio," International Review of Finance, International Review of Finance Ltd., vol. 15(2), pages 257-282, June.
    1790. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho.
    1791. Veronesi, Pietro & Santos, Tano, 2016. "Habits and Leverage," CEPR Discussion Papers 11681, C.E.P.R. Discussion Papers.
    1792. James P. Cover & Boyi Zhuang, 2021. "Life with habit and expectation: A new explanation of equity premium puzzle," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 50(1), February.
    1793. Junkee Jeon & Kyunghyun Park, 2021. "Portfolio selection with drawdown constraint on consumption: a generalization model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 93(2), pages 243-289, April.
    1794. Brennan, Michael & Wang, Ashley W & Xia, Yihong, 2003. "Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing," University of California at Los Angeles, Anderson Graduate School of Management qt20r0j5t8, Anderson Graduate School of Management, UCLA.
    1795. Xavier Gabaix, 2008. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers 13724, National Bureau of Economic Research, Inc.
    1796. Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
    1797. Knut Anton Mork & Fabian Andsem Harang & Haakon Andreas Tr{o}nnes & Vegard Skonseng Bjerketvedt, 2022. "Dynamic spending and portfolio decisions with a soft social norm," Papers 2212.10053, arXiv.org.
    1798. Guo, Hui & Jiang, Xiaowen, 2021. "Aggregate Distress Risk and Equity Returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
    1799. Nicolas Petrosky-Nadeau & Lu Zhang & Lars-Alexander Kuehn, 2010. "Aggregate Asset Pricing with Labor Market Frictions," 2010 Meeting Papers 904, Society for Economic Dynamics.
    1800. Liu, Xiaochun, 2017. "Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 275-293.
    1801. Aras, Atilla, 2021. "Solution to the Equity Premium Puzzle," OSF Preprints gj3n2, Center for Open Science.
    1802. Davis, Morris A. & Van Nieuwerburgh, Stijn, 2015. "Housing, Finance, and the Macroeconomy," Handbook of Regional and Urban Economics, in: Gilles Duranton & J. V. Henderson & William C. Strange (ed.), Handbook of Regional and Urban Economics, edition 1, volume 5, chapter 0, pages 753-811, Elsevier.
    1803. Hasseltoft, Henrik, 2007. "The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates," SIFR Research Report Series 58, Institute for Financial Research.
    1804. de Oliveira Souza, Thiago, 2018. "Red tape asset pricing," Discussion Papers on Economics 8/2018, University of Southern Denmark, Department of Economics.
    1805. Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, Department of Economics and Business Economics, Aarhus University.
    1806. Michael Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley Zin, 2017. "Term Premium Dynamics and the Taylor Rule," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-39, December.
    1807. Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva, 2013. "Risk-Return Trade-Off for European Stock Markets," CREATES Research Papers 2013-31, Department of Economics and Business Economics, Aarhus University.
    1808. Aleksy Leeuwenkamp & Wentao Hu, 2023. "New general dependence measures: construction, estimation and application to high-frequency stock returns," Papers 2309.00025, arXiv.org.
    1809. Simon H. Kwan, 2013. "The price of stock and bond risk in recoveries," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue aug19.
    1810. David Wilcox, 2005. "Discussion of 'What Caused the Decline in US Business Cycle Volatility?'," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & David Norman (ed.),The Changing Nature of the Business Cycle, Reserve Bank of Australia.
    1811. Brenner, Menachem & Izhakian, Yehuda, 2018. "Asset pricing and ambiguity: Empirical evidence⁎," Journal of Financial Economics, Elsevier, vol. 130(3), pages 503-531.
    1812. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
    1813. Kim, Jun Sik & Ryu, Doojin & Seo, Sung Won, 2014. "Investor sentiment and return predictability of disagreement," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 166-178.
    1814. Tan, Zhengxun & Xiao, Binuo & Huang, Yilong & Zhou, Li, 2021. "Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    1815. Sakemoto, Ryuta, 2021. "Economic Evaluation of Cryptocurrency Investment," MPRA Paper 108283, University Library of Munich, Germany.
    1816. Umar, Zaghum, 2017. "The demand of energy from an optimal portfolio choice perspective," Economic Modelling, Elsevier, vol. 61(C), pages 478-494.
    1817. Nathan S. Balke & Mark E. Wohar, 2006. "What Drives Stock Prices? Identifying the Determinants of Stock Price Movements," Southern Economic Journal, John Wiley & Sons, vol. 73(1), pages 55-78, July.
    1818. Rajnish Mehra & Arunima Sinha, 2016. "The Term Structure of Interest Rates in India," NBER Working Papers 22020, National Bureau of Economic Research, Inc.
    1819. Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio, 2014. "Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns," Documentos de Trabajo del ICAE 2014-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    1820. Alec Brandon & Paul J. Ferraro & John A. List & Robert D. Metcalfe & Michael K. Price & Florian Rundhammer, 2017. "Do The Effects of Nudges Persist? Theory and Evidence from 38 Natural Field Experiments," NBER Working Papers 23277, National Bureau of Economic Research, Inc.
    1821. Gomez, Juan-Pedro, 2007. "The impact of keeping up with the Joneses behavior on asset prices and portfolio choice," Finance Research Letters, Elsevier, vol. 4(2), pages 95-103, June.
    1822. Cejnek, Georg & Randl, Otto, 2016. "Risk and return of short-duration equity investments," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 181-198.
    1823. Oliver Boguth & Murray Carlson & Adlai Fisher & Mikhail Simutin, 2023. "The Term Structure of Equity Risk Premia: Levered Noise and New Estimates," Review of Finance, European Finance Association, vol. 27(4), pages 1155-1182.
    1824. Bluwstein, Kristina & Yung, Julieta, 2019. "Back to the real economy: the effects of risk perception shocks on the term premium and bank lending," Bank of England working papers 806, Bank of England.
    1825. Müller, Janis & Posch, Peter N., 2019. "Consumption volatility ambiguity and risk premium’s time-variation," Finance Research Letters, Elsevier, vol. 29(C), pages 336-339.
    1826. Rachel J. Huang & Larry Y. Tzeng, 2008. "Consumption Externality and Equilibrium Underinsurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(4), pages 1039-1054, December.
    1827. Bhamra, Harjoat S. & Fisher, Adlai J. & Kuehn, Lars-Alexander, 2011. "Monetary policy and corporate default," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 480-494.
    1828. Liu, Wen-Fang & Turnovsky, Stephen J., 2005. "Consumption externalities, production externalities, and long-run macroeconomic efficiency," Journal of Public Economics, Elsevier, vol. 89(5-6), pages 1097-1129, June.
    1829. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023. "Predicting inflation expectations: A habit-based explanation under hedging," International Review of Financial Analysis, Elsevier, vol. 89(C).
    1830. Bai, Hang, 2021. "Unemployment and credit risk," Journal of Financial Economics, Elsevier, vol. 142(1), pages 127-145.
    1831. Marcos José Pérez Monteiro & Pedro Cavalcante Ferreira & Leandro Radusweski Quintal, 2014. "The Latin American Saving Gap," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 036, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    1832. Gupta, Kartick & Krishnamurti, Chandrasekhar, 2018. "Do macroeconomic conditions and oil prices influence corporate risk-taking?," Journal of Corporate Finance, Elsevier, vol. 53(C), pages 65-86.
    1833. Gerelt Tserenjigmid, 2020. "On the characterization of linear habit formation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(1), pages 49-93, July.
    1834. Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2019. "How the Wealth Was Won: Factor Shares as Market Fundamentals," CEPR Discussion Papers 14200, C.E.P.R. Discussion Papers.
    1835. 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.
    1836. Dercole, Fabio & Radi, Davide, 2020. "Does the “uptick rule” stabilize the stock market? Insights from adaptive rational equilibrium dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 130(C).
    1837. Astrid Matthey, 2005. "Getting Used to Risks: Reference Dependence and Risk Inclusion," SFB 649 Discussion Papers SFB649DP2005-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    1838. Efstathios Avdis & Jessica A. Wachter, 2013. "Maximum likelihood estimation of the equity premium," NBER Working Papers 19684, National Bureau of Economic Research, Inc.
    1839. Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019. "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, vol. 132(3), pages 182-204.
    1840. Adam Szeidl & Raj Chetty, 2005. "Consumption Commitments: Neoclassical Foundations for Habit Formation," 2005 Meeting Papers 122, Society for Economic Dynamics.
    1841. Sean D. Campbell, 2004. "Macroeconomic volatility, predictability and uncertainty in the Great Moderation: evidence from the survey of professional forecasters," Finance and Economics Discussion Series 2004-52, Board of Governors of the Federal Reserve System (U.S.).
    1842. George M. Constantinides & John B. Donaldson & Rajnish Mehra, 2005. "Junior is Rich: Bequests as Consumption," NBER Working Papers 11122, National Bureau of Economic Research, Inc.
    1843. Mark E. Wohar & David E. Rapach, 2005. "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005 329, Society for Computational Economics.
    1844. Moore, Michael J. & Roche, Maurice J., 2012. "When does uncovered interest parity hold?," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 865-879.
    1845. Eric Tham, 2023. "Sentiment or habits: Why not both?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(1), pages 203-215, February.
    1846. Tahir Choulli & Christophe Stricker & Jia Li, 2007. "Minimal Hellinger martingale measures of order q," Finance and Stochastics, Springer, vol. 11(3), pages 399-427, July.
    1847. Rocha Armada, Manuel J. & Sousa, Ricardo M. & Wohar, Mark E., 2015. "Consumption growth, preference for smoothing, changes in expectations and risk premium," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 80-97.
    1848. Gadi Barlevy, 2005. "The cost of business cycles and the benefits of stabilization," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 29(Q I), pages 32-49.
    1849. Braun, Alexander, 2011. "Pricing catastrophe swaps: A contingent claims approach," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 520-536.
    1850. Li, Kaifeng & Xia, Bobo & Guo, Zhaoxuan, 2021. "A consumption-based asset pricing model with disappointment aversion and uncertainty shocks," Economic Modelling, Elsevier, vol. 94(C), pages 235-243.
    1851. Favero, Carlo A. & Tamoni, Andrea & Ortu, Fulvio & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
    1852. Tyler Muir, 2017. "Financial Crises and Risk Premia," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(2), pages 765-809.
    1853. Chow, Gregory C. & Zheng, Lihui, 2002. "Equity premium and consumption sensitivity when the consumer-investor allows for unfavorable circumstances," Journal of Economic Dynamics and Control, Elsevier, vol. 26(9-10), pages 1417-1429, August.
    1854. Ram Yamarthy, 2019. "Corporate Debt Maturity and the Real Economy," 2019 Meeting Papers 627, Society for Economic Dynamics.
    1855. Chen, Jhy-hwa & Yang, Chih-yu & Shieh, Jhy-yuan & Chang, Juin-jen, 2020. "Consumption aspirations in dirty and clean goods and economic growth," Economic Modelling, Elsevier, vol. 87(C), pages 254-266.
    1856. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2006. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Working Papers 0630, Banco de España.
    1857. Ravi Jagannathan & Yong Wang, 2005. "Consumption Risk and the Cost of Equity Capital," NBER Working Papers 11026, National Bureau of Economic Research, Inc.
    1858. Pei Kuang, 2019. "New Tests of Expectation Formation with Applications to Asset Pricing Models," 2019 Meeting Papers 187, Society for Economic Dynamics.
    1859. Maio, Paulo & Silva, André C., 2020. "Asset pricing implications of money: New evidence," Journal of Banking & Finance, Elsevier, vol. 120(C).
    1860. Hongwei Zhang & Qiang He & Ben Jacobsen & Fuwei Jiang, 2020. "Forecasting stock returns with model uncertainty and parameter instability," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 629-644, August.
    1861. Gregory R. Duffee, 2012. "Bond pricing and the macroeconomy," Economics Working Paper Archive 598, The Johns Hopkins University,Department of Economics.
    1862. Brandt, Michael W. & Cochrane, John H. & Santa-Clara, Pedro, 2006. "International risk sharing is better than you think, or exchange rates are too smooth," Journal of Monetary Economics, Elsevier, vol. 53(4), pages 671-698, May.
    1863. Bekaert, Geert, 2001. "Editor's foreword to the special issue: "On the predictability of asset returns"," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 451-457, December.
    1864. Santiago Budría & Antonia Díaz, 2006. "Term and Equity Premium in Economies with Habit Formation," Working Papers 2006-23, FEDEA.
    1865. Douch, Mohamed & Bouaddi, Mohammed, 2010. "EQUITY Premium Puzzle in a Data-Rich Environment," MPRA Paper 29440, University Library of Munich, Germany.
    1866. Mauro Costantini & Ricardo M. Sousa, 2020. "Consumption, asset wealth, equity premium, term spread, and flight to quality," European Financial Management, European Financial Management Association, vol. 26(3), pages 778-807, June.
    1867. Liu, Chia-ying & Chang, Juin-jen, 2011. "Keeping up with the Joneses, consumer ethnocentrism, and optimal taxation," Economic Modelling, Elsevier, vol. 28(4), pages 1519-1525, July.
    1868. Petros Messis & Antonis Alexandridis & Achilleas Zapranis, 2021. "Testing and comparing conditional risk‐return relationship with a new approach in the cross‐sectional framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 218-240, January.
    1869. Guihai Zhao, 2018. "Ambiguity, Nominal Bond Yields and Real Bond Yields," Staff Working Papers 18-24, Bank of Canada.
    1870. Michael Scholz & Jens Perch Nielsen & Stefan Sperlich, 2012. "Nonparametric prediction of stock returns guided by prior knowledge," Graz Economics Papers 2012-02, University of Graz, Department of Economics.
    1871. Gregoriou, Andros & Hunter, John & Wu, Feng, 2009. "An empirical investigation of the relationship between the real economy and stock returns for the United States," Journal of Policy Modeling, Elsevier, vol. 31(1), pages 133-143.
    1872. Jang, Jeewon & Kang, Jangkoo, 2017. "An intertemporal CAPM with higher-order moments," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 314-337.
    1873. Youngju Kim & Hyunjoon Lim, 2018. "Which External Shock Matters in Small Open Economies? US Economic Policy Uncertainty vs. Global Risk Aversion," Working Papers 2018-29, Economic Research Institute, Bank of Korea.
    1874. Bank for International Settlements, 2006. "The recent behaviour of financial market volatility," BIS Papers, Bank for International Settlements, number 29.
    1875. Paolo Guasoni, 2006. "Asymmetric Information in Fads Models," Finance and Stochastics, Springer, vol. 10(2), pages 159-177, April.
    1876. Sanghyun Hong, 2020. "Transactions Costs and the Equity Premium Puzzle," Working Papers in Economics 20/16, University of Canterbury, Department of Economics and Finance.
    1877. Şaziye Gaziog̃lu & Azize Bastıyalı-Hafavi & Özge Sezgin, 2013. "Jumps in an stochastic optimization: self-financing portfolio for risk averse investors: does bequest matter?," Applied Economics Letters, Taylor & Francis Journals, vol. 20(8), pages 790-794, May.
    1878. Demian Pouzo & Ignacio Presno, 2016. "Sovereign Default Risk and Uncertainty Premia," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(3), pages 230-266, July.
    1879. Balvers, Ronald J. & Huang, Dayong, 2007. "Productivity-based asset pricing: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 86(2), pages 405-445, November.
    1880. Kaminska, Iryna & Mumtaz, Haroon & Sustek, Roman, 2021. "Monetary policy surprises and their transmission through term premia and expected interest rates," Bank of England working papers 914, Bank of England, revised 28 Apr 2021.
    1881. Casey B. Mulligan, 2004. "Robust Aggregate Implications of Stochastic Discount Factor Volatility," NBER Working Papers 10210, National Bureau of Economic Research, Inc.
    1882. Zviadadze, Irina, 2018. "Term Structure of Risk in Expected Returns," CEPR Discussion Papers 13414, C.E.P.R. Discussion Papers.
    1883. Lou, Jun & Wong, Tat Wing & Fung, Ka Wai Terence & Shaende, Jonas J. Nazimoff, 2021. "Stock and bond joint pricing, consumption surplus, and inflation news," Research in International Business and Finance, Elsevier, vol. 58(C).
    1884. Palandri, Alessandro, 2014. "Risk-free rate effects on conditional variances and conditional correlations of stock returns," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 95-111.
    1885. Ludvigson, Sydney C., 2013. "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 799-906, Elsevier.
    1886. Koskinen Hannu & Vilmunen Jouko, 2018. "Implications for Aggregate Inflation of Sectoral Asymmetries: An Empirical Implication," Working Papers 1818, Tampere University, Faculty of Management and Business, Economics.
    1887. Park, Heungju & Sohn, Sungbin, 2021. "Flight to quality and implicit guarantee: Evidence from Chinese trust products," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 399-419.
    1888. Han, Jihun & Park, Hyungbin, 2015. "The intrinsic bounds on the risk premium of Markovian pricing kernels," Finance Research Letters, Elsevier, vol. 13(C), pages 36-44.
    1889. Goncalo Monteiro & Stephen Turnovsky, 2013. "Anticipated Consumption and its Impact on Capital Accumulation and Growth: 'Forward-Looking' vs. 'Backward-Looking' Consumption Reference," CESifo Working Paper Series 4536, CESifo.
    1890. Leroux, Anke D. & Martin, Vance L. & Zheng, Hao, 2018. "Addressing water shortages by force of habit," Resource and Energy Economics, Elsevier, vol. 53(C), pages 42-61.
    1891. Goncalo Monteiro & Stephen J. Turnovsky, 2016. "Anticipated consumption and its impact on capital accumulation and growth: “Forward-looking” versus “backward-looking” consumption reference," International Journal of Economic Theory, The International Society for Economic Theory, vol. 12(3), pages 203-232, September.
    1892. 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.
    1893. Cesteros, Santiago Rodrigo, 2018. "Sobre volatilidad macroeconómica y dolarización de la riqueza: el caso argentino [On macroeconomic volatility and wealth dollarization: the Argentine case]," MPRA Paper 88968, University Library of Munich, Germany.
    1894. Li, Yuming, 2001. "Expected Returns and Habit Persistence," The Review of Financial Studies, Society for Financial Studies, vol. 14(3), pages 861-899.
    1895. Leo Krippner, 2005. "Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics 05/02, University of Waikato.
    1896. Peter Berling & Kaj Rosling, 2005. "The Effects of Financial Risks on Inventory Policy," Management Science, INFORMS, vol. 51(12), pages 1804-1815, December.
    1897. Katsuhiro Oshima, 2019. "Heterogeneous Beliefs, Monetary Policy, and Stock Price Volatility," KIER Working Papers 1013, Kyoto University, Institute of Economic Research.
    1898. 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.
    1899. Dahlquist, Magnus & Hasseltoft, Henrik, 2013. "International Bond Risk Premia," Journal of International Economics, Elsevier, vol. 90(1), pages 17-32.
    1900. Mariano M. Croce & Martin Lettau & Sydney Ludvigson, 2006. "Investor Information, Long-Run Risk, and the Duration fo Risky Assets," 2006 Meeting Papers 628, Society for Economic Dynamics.
    1901. Jules H. van Binsbergen & Ralph S. J. Koijen, 2016. "On the Timing and Pricing of Dividends: Reply," American Economic Review, American Economic Association, vol. 106(10), pages 3224-3237, October.
    1902. Thomas J. Carter & Xin Scott Chen & José Dorich, 2019. "The Neutral Rate in Canada: 2019 Update," Staff Analytical Notes 2019-11, Bank of Canada.
    1903. Aronsson, Thomas & Johansson-Stenman, Olof, 2014. "Positional preferences in time and space: Optimal income taxation with dynamic social comparisons," Journal of Economic Behavior & Organization, Elsevier, vol. 101(C), pages 1-23.
    1904. Andrade, Sandro C. & Ekponon, Adelphe & Jeanneret, Alexandre, 2023. "Sovereign risk premia and global macroeconomic conditions," Journal of Financial Economics, Elsevier, vol. 147(1), pages 172-197.
    1905. Bourdeau-Brien, Michael & Kryzanowski, Lawrence, 2020. "Natural disasters and risk aversion," Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 818-835.
    1906. Philip N. Jefferson, 2023. "U.S. Economic Outlook and Monetary Policy Transmission: A speech Beyond the Business Cycle: Adapting to a New Global Paradigm" 65th Annual Meeting of the National Association for Business Economi," Speech 97101, Board of Governors of the Federal Reserve System (U.S.).
    1907. Campbell, John, 2008. "Estimating the Equity Premium," Scholarly Articles 3196339, Harvard University Department of Economics.
    1908. Franke, Günter & Weber, Thomas, 2006. "Wieweit tragen rationale Modelle in der Finanzmarktforschung?," CoFE Discussion Papers 06/09, University of Konstanz, Center of Finance and Econometrics (CoFE).
    1909. Meyer-Gohde, Alexander, 2021. "On the accuracy of linear DSGE solution methods and the consequences for log-normal asset pricing," IMFS Working Paper Series 154, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    1910. Gu, Shihao & Kelly, Bryan & Xiu, Dacheng, 2021. "Autoencoder asset pricing models," Journal of Econometrics, Elsevier, vol. 222(1), pages 429-450.
    1911. Ferreira, Alex & Matos, Paulo, 2020. "Precautionary risks for an open economy," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 154-167.
    1912. John Duffy & Enrica Carbone, 2013. "Lifecycle Consumption Plans, Social Learning and External Habits: Experimental Evidence," Working Paper 513, Department of Economics, University of Pittsburgh, revised Sep 2013.
    1913. Jürgen Maurer & André Meier, 2008. "Smooth it Like the “Joneses?†Estimating Peer-Group Effects in Intertemporal Consumption Choice," MEA discussion paper series 08167, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
    1914. Zhu, Xiaoneng, 2015. "Out-of-sample bond risk premium predictions: A global common factor," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 155-173.
    1915. Stig V. Møller & Jesper Rangvid, 2012. "End-of-the-year economic growth and time-varying expected returns," CREATES Research Papers 2012-42, Department of Economics and Business Economics, Aarhus University.
    1916. Sugita, Katsuhiro & 杉田, 勝弘, 2006. "Bayesian Analysis of Dynamic Multivariate Models with Multiple Structural Breaks," Discussion Papers 2006-14, Graduate School of Economics, Hitotsubashi University.
    1917. Nikolay Arefiev, 2016. "Identification of Monetary Policy Shocks within a Svar Using Restrictions Consistent with a DSGE Model," HSE Working papers WP BRP 125/EC/2016, National Research University Higher School of Economics.
    1918. Kasprowicz Tomasz & Bednorz Andrzej, 2017. "Threshold Theory – modelling risk attitude," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 13(4), pages 97-109, December.
    1919. De Paoli, Bianca & Sondergaard, Jens, 2009. "Foreign exchange rate risk in a small open economy," Bank of England working papers 365, Bank of England.
    1920. Bruno Giovannetti & Mauro Rodrigues, Eduardo Ros, 2014. "Investment Grade, Asset Prices and Changes in the Source of Systematic Risk," Working Papers, Department of Economics 2014_05, University of São Paulo (FEA-USP).
    1921. Ruan, Xinfeng, 2021. "Ambiguity, long-run risks, and asset prices in continuous time," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 115-126.
    1922. Geert Bekaert & Steven R. Grenadier, 1999. "Stock and Bond Pricing in an Affine Economy," NBER Working Papers 7346, National Bureau of Economic Research, Inc.
    1923. Pierdzioch, Christian & Yener, Serkan, 2004. "On the Welfare Effects of Monetary Policy When Households Try to Keep Up with the Rest of the World," Kiel Working Papers 1198, Kiel Institute for the World Economy (IfW Kiel).
    1924. Manuel Gómez, 2010. "A note on external habits and efficiency in the AK model," Journal of Economics, Springer, vol. 99(1), pages 53-64, February.
    1925. Mikael Priks, 2010. "Does Frustration Lead to Violence? Evidence from the Swedish Hooligan Scene," Kyklos, Wiley Blackwell, vol. 63(3), pages 450-460, August.
    1926. Pilar Iglesias & Jaime San Martín & Soledad Torres & Frederi Viens, 2011. "Option pricing under a Gamma-modulated diffusion process," Annals of Finance, Springer, vol. 7(2), pages 199-219, May.
    1927. Matthijs Breugem & Adrian Buss, 2017. "Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency," Carlo Alberto Notebooks 524, Collegio Carlo Alberto.
    1928. Qadan, Mahmoud & Jacob, Maram, 2022. "The value premium and investors' appetite for risk," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 194-219.
    1929. Diego Comin & Ana Maria Santacreu & Mark Gertler & Phuong Ngo, 2018. "Stock Price Fluctuations and Productivity Growth," 2018 Meeting Papers 1147, Society for Economic Dynamics.
    1930. Rodriguez, Juan Carlos, 2006. "Consumption, the persistence of shocks, and asset price volatility," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1741-1760, November.
    1931. Gene Amromin & Steven A. Sharpe, 2008. "Expectations of risk and return among household investors: Are their Sharpe ratios countercyclical?," Finance and Economics Discussion Series 2008-17, Board of Governors of the Federal Reserve System (U.S.).
    1932. Dr. Nicolas Alexis Cuche-Curti & Harris Dellas & Jean-Marc Natal, 2009. "A dynamic stochastic general equilibrium model for Switzerland," Economic Studies 2009-05, Swiss National Bank.
    1933. Jacqueline Volkman Wise, 2013. "Pension Portfolio Choice and Peer Envy," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 461-489, June.
    1934. Nicola Borri & Pietro Reichlin, 2020. "Online Appendix to "Optimal Taxation with Home Ownership and Wealth Inequality"," Online Appendices 19-19, Review of Economic Dynamics.
    1935. Gregory R. Duffee, 2023. "Macroeconomic News in Asset Pricing and Reality," Journal of Finance, American Finance Association, vol. 78(3), pages 1499-1543, June.
    1936. Marc‐André Letendre, 2004. "Capital utilization and habit formation in a small open economy model," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 37(3), pages 721-741, August.
    1937. Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.
    1938. Johann Caro-Burnett & Ahmed Mushfiq Mobarak & Judith A. Chevalier, 2021. "Is Habit a Powerful Policy Instrument to Induce Prosocial Behavioral Change?," Cowles Foundation Discussion Papers 2275, Cowles Foundation for Research in Economics, Yale University.
    1939. Li, Kai & Liu, Jun, 2023. "Extrapolative asset pricing," Journal of Economic Theory, Elsevier, vol. 210(C).
    1940. Enrique Martínez García, 2007. "A monetary model of the exchange rate with informational frictions," Globalization Institute Working Papers 02, Federal Reserve Bank of Dallas.
    1941. Vincenzo Merella & Steve Satchell, 2005. "The Impact of Consumer Confidence on Expected Utility Maximization: A Contribution to the Equity Premium Puzzle Literature," Birkbeck Working Papers in Economics and Finance 0525, Birkbeck, Department of Economics, Mathematics & Statistics.
    1942. Peñaranda, Francisco, 2003. "Evaluation of joint density forecasts of stock and bond returns: predictability and parameter uncertainty," LSE Research Online Documents on Economics 24857, London School of Economics and Political Science, LSE Library.
    1943. Cuthbertson, Keith & Hayes, Simon & Nitzsche, Dirk, 1999. "Explaining movements in UK stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 1-19.
    1944. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Post-Print halshs-00983051, HAL.
    1945. Kam, Timothy, 2007. "Interest-rate smoothing in a two-sector small open economy," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 283-304, June.
    1946. Stijn Van Nieuwerburgh & Hanno Lustig & Ralph S.J. Koijen, 2009. "The Bond Risk Premium and the Cross-Section of Equity Returns," 2009 Meeting Papers 12, Society for Economic Dynamics.
    1947. Jeremy J. Siegel & Richard H. Thaler, 1997. "Anomalies: The Equity Premium Puzzle," Journal of Economic Perspectives, American Economic Association, vol. 11(1), pages 191-200, Winter.
    1948. Pierdzioch, Christian, 2004. "Productivity Shocks and Delayed Exchange-Rate Overshooting," Kiel Working Papers 1199, Kiel Institute for the World Economy (IfW Kiel).
    1949. Stuart Hyde & Mohamed Sherif, 2004. "Don't break the habit: structural stability tests of consumption models in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 49, Money Macro and Finance Research Group.
    1950. Li, George, 2007. "Time-varying risk aversion and asset prices," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 243-257, January.
    1951. Strub, Moris S. & Li, Duan & Cui, Xiangyu & Gao, Jianjun, 2019. "Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    1952. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous epstein-zin investors," LSE Research Online Documents on Economics 62003, London School of Economics and Political Science, LSE Library.
    1953. CHEN, Chuanglian & CHEN, Guojin & YAO, Shujie, 2012. "Do imports crowd out domestic consumption? A comparative study of China, Japan and Korea," China Economic Review, Elsevier, vol. 23(4), pages 1036-1050.
    1954. Liu, Desu, 2012. "Is relative risk aversion constant? A reinterpretation of recent asset allocation findings at the micro level," Economics Letters, Elsevier, vol. 117(1), pages 250-252.
    1955. Le Thanh Ha & To Trung Thanh & Doan Ngoc Thang, 2021. "Welfare costs of monetary policy uncertainty in the economy with shifting trend inflation," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(1), pages 126-154, February.
    1956. Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.
    1957. Minh Hai Ngo & Marc Oliver Rieger & Shuonan Yuan, 2018. "The Fundamental Equity Premium and Ambiguity Aversion in an International Context," Risks, MDPI, vol. 6(4), pages 1-24, November.
    1958. Longstaff, Francis & Piazzesi, Monika, 2002. "Corporate Earnings and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management qt3qn115m4, Anderson Graduate School of Management, UCLA.
    1959. Nonejad, Nima, 2022. "Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact," Energy Economics, Elsevier, vol. 115(C).
    1960. Saziye Gaziog-super-˜lu & Azize Bastıyalı-Hayfavi, 2010. "Stochastic optimization applied to self-financing portfolio: does bequest matter?," Applied Economics, Taylor & Francis Journals, vol. 42(30), pages 3831-3838.
    1961. J. David Cummins & Philippe Trainar, 2009. "Securitization, Insurance, and Reinsurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 463-492, September.
    1962. Junttila, Juha & Kinnunen, Heli, 2004. "The performance of economic tracking portfolios in an IT-intensive stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 601-623, September.
    1963. Lars Ljungqvist & Harald Uhlig, 2015. "Comment on the Campbell-Cochrane Habit Model," Journal of Political Economy, University of Chicago Press, vol. 123(5), pages 1201-1213.
    1964. Long Chen & Zhi Da & Richard Priestley, 2012. "Dividend Smoothing and Predictability," Management Science, INFORMS, vol. 58(10), pages 1834-1853, October.
    1965. Jim Malley & Hassan Molana, 2003. "The Life-Cycle-Permanent- Income Hypothesis: A Reinterpretation and Supporting Evidence," Dundee Discussion Papers in Economics 138, Economic Studies, University of Dundee.
    1966. J. Bradford DeLong & Konstantin Magin, 2009. "The U.S. Equity Return Premium: Past, Present, and Future," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 193-208, Winter.
    1967. Otrok, Christopher & Ravikumar, B & Whiteman, Charles, 2001. "Stochastic Discount Factor Models and the Equity Premium Puzzle," MPRA Paper 22938, University Library of Munich, Germany, revised Nov 2004.
    1968. Berthold, Brendan, 2023. "The macroeconomic effects of uncertainty and risk aversion shocks," European Economic Review, Elsevier, vol. 154(C).
    1969. Faria, Joao Ricardo & Mollick, Andre Varella, 2004. "The nominal theory of interest under habit formation: evidence for the U.S., 1959-2002," The North American Journal of Economics and Finance, Elsevier, vol. 15(3), pages 333-354, December.
    1970. Kargar, Mahyar, 2021. "Heterogeneous intermediary asset pricing," Journal of Financial Economics, Elsevier, vol. 141(2), pages 505-532.
    1971. Christoffel, Kai & Jaccard, Ivan & Kilponen, Juha, 2013. "Welfare and bond pricing implications of fiscal stabilization policies," Bank of Finland Research Discussion Papers 32/2013, Bank of Finland.
    1972. Delphine BOUTIN & Laurène PETIFOUR & Haris MEGZARI, 2022. "Instability of preferences due to Covid-19 Crisis and emotions: a natural experiment from urban Burkina Faso," Bordeaux Economics Working Papers 2022-05, Bordeaux School of Economics (BSE).
    1973. Cakici, Nusret & Zaremba, Adam, 2023. "Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns," Journal of Banking & Finance, Elsevier, vol. 149(C).
    1974. Kim, Eung-Bin & Byun, Suk-Joon, 2021. "Risk, ambiguity, and equity premium: International evidence," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 321-335.
    1975. Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010. "Habit formation, surplus consumption and return predictability: International evidence," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1237-1255, November.
    1976. Niels Joachim Gormsen, 2021. "Time Variation of the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(4), pages 1959-1999, August.
    1977. Li Liu & Zhiyuan Pan & Yudong Wang, 2021. "What can we learn from the return predictability over the business cycle?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 108-131, January.
    1978. Shane Frederick & George Loewenstein & Ted O'Donoghue, 2002. "Time Discounting and Time Preference: A Critical Review," Journal of Economic Literature, American Economic Association, vol. 40(2), pages 351-401, June.
    1979. Andreas Reschreiter, 2004. "Risk factors of inflation-indexed and conventional government bonds and the APT," Money Macro and Finance (MMF) Research Group Conference 2003 79, Money Macro and Finance Research Group.
    1980. P. Simmons & N. Tantisantiwong, 2014. "Equilibrium moment restrictions on asset returns: normal and crisis periods," The European Journal of Finance, Taylor & Francis Journals, vol. 20(11), pages 1064-1089, November.
    1981. Shahid Ebrahim, M. & Mathur, Ike, 2001. "Investor heterogeneity, market segmentation, leverage and the equity premium puzzle," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1897-1919, October.
    1982. Maurice J. Roche & Michael J. Moore, 2010. "For Rich or for Poor: When does Uncovered Interest Parity Hold?," Working Papers 015, Ryerson University, Department of Economics.
    1983. Andrew Y. Chen, 2014. "Habit, Production, and the Cross-Section of Stock Returns," Finance and Economics Discussion Series 2014-103, Board of Governors of the Federal Reserve System (U.S.).
    1984. Bianchi, Sergio & Pianese, Augusto, 2018. "Time-varying Hurst–Hölder exponents and the dynamics of (in)efficiency in stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 109(C), pages 64-75.
    1985. Andrew Y. Chen & Mihail Velikov, 2020. "Zeroing in on the Expected Returns of Anomalies," Finance and Economics Discussion Series 2020-039, Board of Governors of the Federal Reserve System (U.S.).
    1986. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2020. "Predicting bond return predictability," CREATES Research Papers 2020-09, Department of Economics and Business Economics, Aarhus University.
    1987. Ryan Banerjee & Nicoletta Batini, 2003. "UK Consumers’ Habits," Discussion Papers 13, Monetary Policy Committee Unit, Bank of England.
    1988. Seok Young Hong & Oliver Linton, 2016. "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in finite order," CeMMAP working papers 53/16, Institute for Fiscal Studies.
    1989. Passadore, Juan & Xu, Yu, 2022. "Illiquidity in sovereign debt markets," Journal of International Economics, Elsevier, vol. 137(C).
    1990. Bibaswan Chatterjee & Rolando Escobar‐Posada & Goncalo Monteiro, 2023. "Anticipation in leisure—Effects on labor‐leisure choice," International Journal of Economic Theory, The International Society for Economic Theory, vol. 19(2), pages 384-412, June.
    1991. Held, Matthias & Kapraun, Julia & Omachel, Marcel & Thimme, Julian, 2020. "Up- and downside variance risk premia in global equity markets," Journal of Banking & Finance, Elsevier, vol. 118(C).
    1992. Bradley Jones, 2015. "Asset Bubbles: Re-thinking Policy for the Age of Asset Management," IMF Working Papers 2015/027, International Monetary Fund.
    1993. Ichiro Gombi & Shinsuke Ikeda, 2001. "Heterogeneous Habits and the Transfer Paradox," ISER Discussion Paper 0551, Institute of Social and Economic Research, Osaka University.
    1994. Yum K. Kwan & Jinyue Dong, 2014. "Stock Price Dynamics of China: What Do the Asset Markets Tell Us About the Chinese Utility Function?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(03), pages 77-108, May.
    1995. Andrew B. Abel, 2006. "Equity Premia with Benchmark Levels of Consumption: Closed-Form Results," NBER Working Papers 12290, National Bureau of Economic Research, Inc.
    1996. Rhee, Hyuk-jae & Turdaliev, Nurlan, 2012. "Optimal monetary policy in a small open economy with inflation and output persistence," Economic Modelling, Elsevier, vol. 29(6), pages 2533-2542.
    1997. Yang Lu & Michael Siemer, 2013. "Learning, Rare Disasters, and Asset Prices," Finance and Economics Discussion Series 2013-85, Board of Governors of the Federal Reserve System (U.S.).
    1998. Timothy Kam, 2003. "The Value of Interest-rate Smoothing in a Forward-looking Small Open Economy," Economics Discussion / Working Papers 03-12, The University of Western Australia, Department of Economics.
    1999. Torben G. Andersen & Luca Benzoni, 2008. "Realized volatility," Working Paper Series WP-08-14, Federal Reserve Bank of Chicago.
    2000. Juin‐Jen Chang & Hsueh‐Fang Tsai & Tsung‐Sheng Tsai, 2019. "Optimal Dynamic Taxation with Distinctive Forms of Social Status Attainment," Scandinavian Journal of Economics, Wiley Blackwell, vol. 121(2), pages 808-842, April.
    2001. Jialun Li & Kent Smetters, 2011. "Optimal Portfolio Choice with Wage-Indexed Social Security," NBER Working Papers 17025, National Bureau of Economic Research, Inc.
    2002. Lars A. Lochstoer & Tyler Muir, 2022. "Volatility Expectations and Returns," Journal of Finance, American Finance Association, vol. 77(2), pages 1055-1096, April.
    2003. Binswanger, Johannes, 2012. "Life cycle saving: Insights from the perspective of bounded rationality," European Economic Review, Elsevier, vol. 56(3), pages 605-623.
    2004. Rhys M. Bidder & Ian Dew-Becker, 2014. "Long-Run Risk is the Worst-Case Scenario: Ambiguity Aversion and Non-Parametric Estimation of the Endowment Process," Working Paper Series 2014-16, Federal Reserve Bank of San Francisco.
    2005. Yi-Fang Liu & Wei Zhang & Chao Xu & J{o}rgen Vitting Andersen & Hai-Chuan Xu, 2013. "Impact of information cost and switching of trading strategies in an artificial stock market," Papers 1311.4274, arXiv.org, revised Jul 2014.
    2006. Motohiro Yogo, 2006. "A Consumption‐Based Explanation of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 61(2), pages 539-580, April.
    2007. Lioui, Abraham & Tarelli, Andrea, 2022. "Chasing the ESG factor," Journal of Banking & Finance, Elsevier, vol. 139(C).
    2008. Jacobs Martin, 2016. "Accounting for Changing Tastes: Approaches to Explaining Unstable Individual Preferences," Review of Economics, De Gruyter, vol. 67(2), pages 121-183, August.
    2009. George Halkos & Argyro Zisiadou, 2020. "Is Investors’ Psychology Affected Due to a Potential Unexpected Environmental Disaster?," JRFM, MDPI, vol. 13(7), pages 1-24, July.
    2010. Xinglin Yang, 2023. "Unspanned macro risks in VIX futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1305-1328, September.
    2011. Balvers, Ronald J. & Huang, Dayong, 2009. "Evaluation of linear asset pricing models by implied portfolio performance," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1586-1596, September.
    2012. Nikolay Arefiev, 2011. "Generalized Calvo Approach," HSE Working papers WP BRP 06/EC/2011, National Research University Higher School of Economics.
    2013. Rünstler, Gerhard & Balfoussia, Hiona & Burlon, Lorenzo & Buss, Ginters & Comunale, Mariarosaria & De Backer, Bruno & Dewachter, Hans & Guarda, Paolo & Haavio, Markus & Hindrayanto, Irma & Iskrev, Nik, 2018. "Real and financial cycles in EU countries - Stylised facts and modelling implications," Occasional Paper Series 205, European Central Bank.
    2014. Etro, Federico, 2017. "Research in economics and macroeconomics," Research in Economics, Elsevier, vol. 71(3), pages 373-383.
    2015. Vipul Bhatt & N. Kundan Kishor & Hardik Marfatia, 2020. "Estimating Excess Sensitivity and Habit Persistence in Consumption Using Greenbook Forecasts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(2), pages 257-284, April.
    2016. Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.
    2017. Guido Cozzi, 2004. "Rat Race, Redistribution, and Growth," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(4), pages 900-915, October.
    2018. Michael William Ashby & Oliver Bruce Linton, 2024. "Do Consumption-Based Asset Pricing Models Explain the Dynamics of Stock Market Returns?," JRFM, MDPI, vol. 17(2), pages 1-42, February.
    2019. Lago-Balsalobre, Rubén & Rojo-Suárez, Javier & Alonso-Conde, Ana B., 2023. "Cross-sectional implications of dynamic asset pricing with stochastic volatility and ambiguity aversion," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    2020. Christian Pierdzioch, 2007. "Households' Preferences and Exchange Rate Overshooting," International Economic Journal, Taylor & Francis Journals, vol. 21(2), pages 297-316.
    2021. Satadru Hore, 2015. "Equilibrium Predictability, Term Structure of Equity Premia, and Other Return Characteristics," Review of Finance, European Finance Association, vol. 19(1), pages 423-466.
    2022. Chen, Zilin & Da, Zhi & Huang, Dashan & Wang, Liyao, 2023. "Presidential economic approval rating and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 147(1), pages 106-131.
    2023. Dinesh Gajurel & Akhila Chawla, 2022. "The oil price crisis and contagion effects on the Canadian economy," Applied Economics, Taylor & Francis Journals, vol. 54(13), pages 1527-1543, March.
    2024. Darrat, Ali F. & Li, Bin & Park, Jung Chul, 2011. "Consumption-based CAPM models: International evidence," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2148-2157, August.
    2025. Mr. Nicolas E Magud & Ms. Evridiki Tsounta, 2012. "To Cut or Not to Cut? That is the (Central Bank’s) Question In Search of the Neutral Interest Rate in Latin America," IMF Working Papers 2012/243, International Monetary Fund.
    2026. Chabi-Yo, Fousseni & Loudis, Johnathan, 2020. "The conditional expected market return," Journal of Financial Economics, Elsevier, vol. 137(3), pages 752-786.
    2027. Gozluklu, Arie & Morin, Annaïg, 2019. "Stock vs. Bond yields and demographic fluctuations," Journal of Banking & Finance, Elsevier, vol. 109(C).
    2028. Mathieu Gatumel & Florian Ielpo, 2014. "Commodity Markets through the business cycle," Post-Print hal-01302479, HAL.
    2029. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Documents de travail du Centre d'Economie de la Sorbonne 14031, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    2030. Ravn, Morten O. & Schmitt-Grohé, Stephanie & Uribe, Martín, 2012. "Consumption, government spending, and the real exchange rate," Journal of Monetary Economics, Elsevier, vol. 59(3), pages 215-234.
    2031. Vanden, Joel M., 2005. "Equilibrium analysis of volatility clustering," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 374-417, June.
    2032. Golec, Pascal & Perotti, Enrico, 2017. "Safe assets: a review," Working Paper Series 2035, European Central Bank.
    2033. Julian Thimme, 2017. "Intertemporal Substitution In Consumption: A Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 226-257, February.
    2034. Joscha Beckmann & Rainer Schüssler, 2014. "Forecasting Equity Premia using Bayesian Dynamic Model Averaging," CQE Working Papers 2914, Center for Quantitative Economics (CQE), University of Muenster.
    2035. Parastoo Mousavi, 2021. "Debt-by-Price Ratio, End-of-Year Economic Growth, and Long-Term Prediction of Stock Returns," Mathematics, MDPI, vol. 9(13), pages 1-18, July.
    2036. Qingsong Yao, 2023. "Stochastic Learning of Semiparametric Monotone Index Models with Large Sample Size," Papers 2309.06693, arXiv.org, revised Oct 2023.
    2037. Mr. Martin D Evans, 2012. "Exchange-Rate Dark Matter," IMF Working Papers 2012/066, International Monetary Fund.

  41. John H. Cochrane, 1992. "A Cross-Sectional Test of a Production-Based Asset Pricing Model," NBER Working Papers 4025, National Bureau of Economic Research, Inc.

    Cited by:

    1. Reffett, Kevin L., 1995. "Arbitrage pricing and the stochastic inflation tax in a multisector monetary economy," Journal of Economic Dynamics and Control, Elsevier, vol. 19(3), pages 569-597, April.
    2. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing Specification Errors in Stochastic Discount Factor Models," NBER Technical Working Papers 0153, National Bureau of Economic Research, Inc.
    3. John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
    4. Hammouda, Amira & Saeed, Asif & Vidal, Marta & Vidal-García, Javier, 2023. "On the short-term persistence of mutual fund performance in Europe," Research in International Business and Finance, Elsevier, vol. 65(C).
    5. Caporin, Massimiliano & Lisi, Francesco, 2013. "A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 236-249.
    6. Fletcher, Jonathan, 2014. "Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 30-46.
    7. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis.
    8. Luis Ferruz & Fernando Muñoz & Maria Vargas, 2010. "Does the size of a fund family matter when choosing an investment strategy? Evidence from spain," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 315-334, October.
    9. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis.
    10. Avanidhar Subrahmanyam & Sheridan Titman, 2013. "Financial Market Shocks and the Macroeconomy," NBER Working Papers 19383, National Bureau of Economic Research, Inc.
    11. Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002. "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers 8791, National Bureau of Economic Research, Inc.
    12. Wayne E. Ferson & Andrew F. Siegel, 2006. "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers 12098, National Bureau of Economic Research, Inc.
    13. Bakshi, Gurdip S. & Chen, Zhiwu & Naka, Atsuyuki, 1995. "Production-based asset pricing in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 217-240, July.
    14. Couch, Robert & Wu, Wei, 2012. "Private investment and public equity returns," Journal of Economics and Business, Elsevier, vol. 64(2), pages 160-184.
    15. Wayne E. Ferson & Andrew Siegel, 2002. "Stochastic Discount Factor Bounds with Conditioning Information," NBER Working Papers 8789, National Bureau of Economic Research, Inc.
    16. Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," NBER Working Papers 5830, National Bureau of Economic Research, Inc.
    17. Zhangpeng Gao & Shahidur Rahman, 2006. "A New Direction of Fund Rating Based on the Finite Normal Mixture Model," Economic Growth Centre Working Paper Series 0603, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    18. Asada, Toichiro & Semmler, Willi, 1995. "Growth and finance: An intertemporal model," Journal of Macroeconomics, Elsevier, vol. 17(4), pages 623-649.
    19. Naranjo, Andy & Protopapadakis, Aris, 1997. "Financial market integration tests: an investigation using US equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(2), pages 93-135, July.
    20. Hori, Keiichi, 1997. "Japanese stock returns and investment: A test of production-based asset pricing model," Japan and the World Economy, Elsevier, vol. 9(1), pages 37-56, March.
    21. Vidal-García, Javier, 2013. "The persistence of European mutual fund performance," Research in International Business and Finance, Elsevier, vol. 28(C), pages 45-67.
    22. Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," The Journal of Business, University of Chicago Press, vol. 68(3), pages 309-349, July.

  42. John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Working Papers 4088, National Bureau of Economic Research, Inc.

    Cited by:

    1. Heaton, John & Lucas, Deborah, 1995. "The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 42(1), pages 1-32, June.
    2. Alvis, Camilo & Castrillón, Cristian, 2011. "Tamano óptimo del gasto público colombiano: una aproximación desde la teoría del crecimiento endógeno," Borradores Departamento de Economía 8986, Universidad de Antioquia, CIE.
    3. Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, University Library of Munich, Germany, revised 16 Nov 2001.
    4. Raymond Kan & Cesare Robotti, 2016. "The Exact Distribution of the Hansen–Jagannathan Bound," Management Science, INFORMS, vol. 62(7), pages 1915-1943, July.
    5. Jonathan A. Parker, 2001. "The Consumption Risk of the Stock Market," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(2), pages 279-348.
    6. Egarch Oknan Bello & Óscar Gámez, 2007. "Inflación e incertidumbre inflacionaria en Nicaragua: una aplicación usando un modelo," Monetaria, CEMLA, vol. 0(3), pages 243-263, julio-sep.
    7. Backus, David & Chernov, Mikhail & Martin, Ian, 2009. "Disasters implied by equity index options," CEPR Discussion Papers 7416, C.E.P.R. Discussion Papers.
    8. Aiyagari, S.R. & Gertler, M., 1998. ""Overreaction" of Asset Prices in General Equilibrium," Working Papers 98-25, C.V. Starr Center for Applied Economics, New York University.
    9. Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006. "Risk, Uncertainty and Asset Prices," NBER Working Papers 12248, National Bureau of Economic Research, Inc.
    10. Lemmen, J.J.G. & Eijffinger, S.C.W., 1995. "Financial integration in Europe : Evidence from Euler equation tests," Discussion Paper 1995-32, Tilburg University, Center for Economic Research.
    11. Olkhov, Victor, 2021. "Three Remarks On Asset Pricing," MPRA Paper 109238, University Library of Munich, Germany.
    12. Lars E.O. Svensson, 1993. "Term, Inflation, and Foreign Exchange Risk Premia: A Unified Treatment," NBER Working Papers 4544, National Bureau of Economic Research, Inc.
    13. Gabor Pinter, 2018. "Macroeconomic Shocks and Risk Premia," Discussion Papers 1812, Centre for Macroeconomics (CFM).
    14. Boldrin, Michele & Christiano, Lawrence J. & Fisher, Jonas D.M., 1997. "Habit Persistence And Asset Returns In An Exchange Economy," Macroeconomic Dynamics, Cambridge University Press, vol. 1(2), pages 312-332, June.
    15. Hansen, Lars Peter & Heaton, John & Luttmer, Erzo G J, 1995. "Econometric Evaluation of Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 8(2), pages 237-274.
    16. Jones, Charles M. & Lamont, Owen & Lumsdaine, Robin L., 1998. "Macroeconomic news and bond market volatility," Journal of Financial Economics, Elsevier, vol. 47(3), pages 315-337, March.
    17. Dimitris Papanikolaou, 2008. "Investment-Specific Technological Change and Asset Prices," 2008 Meeting Papers 637, Society for Economic Dynamics.
    18. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
    19. 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.
    20. Michel Normandin, 1999. "The Integration of Financial Markets and the Conduct of Monetary Policies: The Case of Canada and the United States," Cahiers de recherche CREFE / CREFE Working Papers 67, CREFE, Université du Québec à Montréal.
    21. Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
    22. Rui Albuquerque & Martin Eichenbaum & Dimitris Papanikolaou & Sergio Rebelo, 2015. "Long-run Bulls and Bears," NBER Working Papers 20858, National Bureau of Economic Research, Inc.
    23. Fernando Alvarez & Urban J. Jermann, 1999. "Quantitative Asset Pricing Implications of Endogenous Solvency Constraints," NBER Working Papers 6953, National Bureau of Economic Research, Inc.
    24. George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, August.
    25. Anderson, Heather M, 1997. "Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 465-484, November.
    26. Lawrence J. Christiano & Joshua M. Davis, 2006. "Two flaws in business cycle dating," Working Papers (Old Series) 0612, Federal Reserve Bank of Cleveland.
    27. Jaccard Ivan, 2011. "Asset Pricing and Housing Supply in a Production Economy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-40, October.
    28. Olkhov, Victor, 2019. "New Essentials of Economic Theory," MPRA Paper 95065, University Library of Munich, Germany.
    29. Beaudry, Paul & Guay, Alain, 1996. "What do interest rates reveal about the functioning of real business cycle models?," Journal of Economic Dynamics and Control, Elsevier, vol. 20(9-10), pages 1661-1682.
    30. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
    31. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
    32. Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
    33. Boldrin, M. & Christiano, L.J. & Fisher, J.D.M., 1995. "Asset Pricing Lessons for Modeling Business Cycles," University of Western Ontario, Departmental Research Report Series 9513, University of Western Ontario, Department of Economics.
    34. Fisher, J.D.M. & Christiano, L.J., 1995. "Tobin's q and Asset Returns: Implications for Business Cyle Analysis," University of Western Ontario, Departmental Research Report Series 9515, University of Western Ontario, Department of Economics.
    35. Robert R. Bliss & Nikolaos Panigirtzoglou, 2001. "Recovering risk aversion from options," Working Paper Series WP-01-15, Federal Reserve Bank of Chicago.
    36. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing Specification Errors in Stochastic Discount Factor Models," NBER Technical Working Papers 0153, National Bureau of Economic Research, Inc.
    37. Steffen Brenner, 2015. "The Risk Preferences of U.S. Executives," Management Science, INFORMS, vol. 61(6), pages 1344-1361, June.
    38. Felix Kubler & Paul S. Willen, 2006. "Collateralized borrowing and life-cycle portfolio choice," Public Policy Discussion Paper 06-4, Federal Reserve Bank of Boston.
    39. Bekaert, Geert & Liu, Jun, 2001. "Conditioning Information and Variance on Pricing Kernals," University of California at Los Angeles, Anderson Graduate School of Management qt9m7392rq, Anderson Graduate School of Management, UCLA.
    40. Christopher Heiberger & Daniel Fehrle, 2020. "The return on everything and the business cycle in production economies," Discussion Paper Series 338, Universitaet Augsburg, Institute for Economics.
    41. Castelnuovo, Efrem & Nisticò, Salvatore, 2010. "Stock market conditions and monetary policy in an DSGE model for the US," Bank of Finland Research Discussion Papers 11/2010, Bank of Finland.
    42. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1059-1087.
    43. Shi, Zhan, 2019. "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, vol. 134(3), pages 617-646.
    44. Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 5951, C.E.P.R. Discussion Papers.
    45. Olkhov, Victor, 2019. "New Essentials of Economic Theory I. Assumptions, Economic Space and Variables," MPRA Paper 93085, University Library of Munich, Germany.
    46. Viceira, Luis & Campbell, John, 2001. "Who Should Buy Long-Term Bonds?," Scholarly Articles 3128709, Harvard University Department of Economics.
    47. Fernando Alvarez & Urban J Jermann, 2010. "Asset Pricing When Risk Sharing is Limited by Default," Levine's Working Paper Archive 1898, David K. Levine.
    48. Robert E. Lucas Jr., 2003. "Macroeconomic Priorities," American Economic Review, American Economic Association, vol. 93(1), pages 1-14, March.
    49. Elyès Jouini, 2003. "Market imperfections, equilibrium and arbitrage," Finance 0312005, University Library of Munich, Germany.
    50. Ulrich, Maxim, 2013. "Inflation ambiguity and the term structure of U.S. Government bonds," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 295-309.
    51. Bruce Niendorf & Thomas Ottaway, 2002. "Wealth effects of time variation in investor risk preferences," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 26(1), pages 77-87, March.
    52. Bekaert, G.R.J. & Hodrick, R. & Marshall, D., 1997. "The implications of first-order risk aversion for asset market risk premiums," Discussion Paper 1997-07, Tilburg University, Center for Economic Research.
    53. Krueger, Dirk & Lustig, Hanno, 2006. "The Irrelevance of Market Incompleteness for the Price of Aggregate Risk," CEPR Discussion Papers 5936, C.E.P.R. Discussion Papers.
    54. Olkhov, Victor, 2022. "Economic Policy - the Forth Dimension of the Economic Theory," MPRA Paper 112685, University Library of Munich, Germany.
    55. Lars Peter Hansen & Thomas J Sargent, 2014. "Robust Permanent Income and Pricing," World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 3, pages 33-81, World Scientific Publishing Co. Pte. Ltd..
    56. Timothy Cogley, 1995. "Inflation uncertainty and excess returns on stocks and banks," Economic Review, Federal Reserve Bank of San Francisco, pages 21-29.
    57. Emil Iantchev, 2013. "Asset-Pricing Implications of Biologically Based Non-Expected Utility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(3), pages 497-510, July.
    58. Michal Czerwonko & Stylianos Perrakis, 2016. "Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics II: Economic Implications," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-28, December.
    59. Lettau, M. & Uhlig, H.F.H.V.S., 1995. "Can Habit Formation be Reconciled with Business Cycle Facts?," Other publications TiSEM b152dad0-97de-48c9-bde6-6, Tilburg University, School of Economics and Management.
    60. Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 1999. "Habit persistence, asset returns and the business cycles," Working Paper Series WP-99-14, Federal Reserve Bank of Chicago.
    61. Lars Peter Hansen, 2014. "Nobel Lecture: Uncertainty Outside and Inside Economic Models," Journal of Political Economy, University of Chicago Press, vol. 122(5), pages 945-987.
    62. Constantinides, George M & Duffie, Darrell, 1996. "Asset Pricing with Heterogeneous Consumers," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 219-240, April.
    63. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
    64. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51.
    65. Fabio Canova & Gianni de Nicolo, 1997. "Stock returns, term structure, inflation and real activity: An international perspective," Economics Working Papers 203, Department of Economics and Business, Universitat Pompeu Fabra.
    66. Timothy Cogley, 1998. "Idiosyncratic risk and the equity premium: evidence from the Consumer Expenditure Survey," Working Papers in Applied Economic Theory 98-07, Federal Reserve Bank of San Francisco.
    67. Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 115382, University Library of Munich, Germany, revised 16 Nov 2022.
    68. Milad Nozari, 2021. "Information content of the risk-free rate for the pricing kernel bound," Journal of Asset Management, Palgrave Macmillan, vol. 22(4), pages 267-276, July.
    69. Fernando Alvarez & Urban J. Jermann, 2001. "The Size of the Permanent Component of Asset Pricing Kernels," NBER Working Papers 8360, National Bureau of Economic Research, Inc.
    70. Juha Seppala, 2000. "Asset Prices And Business Cycles Under Limited Commitment," Computing in Economics and Finance 2000 319, Society for Computational Economics.
    71. Olkhov, Victor, 2019. "Methods of Economic Theory: Variables, Transactions and Expectations as Functions of Risks," MPRA Paper 95628, University Library of Munich, Germany.
    72. Anisha Ghosh & George Constantinides, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," FMG Discussion Papers dp609, Financial Markets Group.
    73. Christopher J. Neely, 1995. "Testing asset pricing models with Euler equations: it's worse than you think," Working Papers 1995-018, Federal Reserve Bank of St. Louis.
    74. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012. "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, vol. 105(1), pages 191-208.
    75. de Groot, Oliver & Richter, Alexander W. & Throckmorton, Nathaniel, 2020. "Valuation Risk Revalued," CEPR Discussion Papers 14588, C.E.P.R. Discussion Papers.
    76. Chen, Hung-Ju, 2011. "Social status and long-run effects of monetary policy in a two-sector monetary economy of endogenous growth," Mathematical Social Sciences, Elsevier, vol. 61(1), pages 71-79, January.
    77. Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," CRSP working papers 505, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    78. Yongok Choi & Giacomo Rondina & Todd B. Walker, 2023. "Information Aggregation Bias and Samuelson's Dictum," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(5), pages 1119-1145, August.
    79. Munir A. Jalil B. & Martha Misas A., 2007. "Evaluación de pronósticos del tipo de cambio utilizando redes neuronales y funciones de pérdida asimétricas," Monetaria, CEMLA, vol. 0(3), pages 219-241, julio-sep.
    80. Qiang Zhang, 2004. "Accounting for Human Capital and Weak Identification in Evaluating the Esptein-Zin-Weil Non-Expected Utility Model of Asset Pricing," CIRJE F-Series CIRJE-F-289, CIRJE, Faculty of Economics, University of Tokyo.
    81. Lars Lochstoer & Harjoat S. Bhamra, 2009. "Return Predictability and Labor Market Frictions in a Real Business Cycle Model," 2009 Meeting Papers 1257, Society for Economic Dynamics.
    82. Ralph S.J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "The Cross-Section and Time-Series of Stock and Bond Returns," NBER Working Papers 15688, National Bureau of Economic Research, Inc.
    83. Liu, Ludan, 2008. "It takes a model to beat a model: Volatility bounds," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 80-110, January.
    84. Parantap Basu & Elie Appelbaum, 2004. "A New Methodology For Studying The Equity Premium," Royal Economic Society Annual Conference 2004 72, Royal Economic Society.
    85. Christopher Otrok & B. Ravikumar & Charles H. Whiteman, 2002. "Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte Carlo investigation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(2), pages 149-174.
    86. Larry G. Epstein & Angelo Melino, 1993. "A Revealed Preference Analysis of Asset Pricing Under Recursive Utility," NBER Working Papers 4524, National Bureau of Economic Research, Inc.
    87. Mauricio Larraín, 2007. "Inflation Compensation and Inflation Expectations in Chile," Working Papers Central Bank of Chile 421, Central Bank of Chile.
    88. Lettau, Martin & Uhlig, Harald, 1997. "Preferences, Consumption Smoothing, and Risk Premia," CEPR Discussion Papers 1678, C.E.P.R. Discussion Papers.
    89. Andrew Atkeson & Christopher Phelan, 1994. "Reconsidering the Costs of Business Cycles with Incomplete Markets," NBER Chapters, in: NBER Macroeconomics Annual 1994, Volume 9, pages 187-218, National Bureau of Economic Research, Inc.
    90. Hamed Ghanbari & Michael Oancea & Stylianos Perrakis, 2021. "Shedding light on a dark matter: Jump diffusion and option‐implied investor preferences," European Financial Management, European Financial Management Association, vol. 27(2), pages 244-286, March.
    91. Ait-Sahalia, Yacine & Wang, Yubo & Yared, Francis, 2001. "Do option markets correctly price the probabilities of movement of the underlying asset?," Journal of Econometrics, Elsevier, vol. 102(1), pages 67-110, May.
    92. Cuthbertson, Keith & Hyde, Stuart, 2002. "Excess volatility and efficiency in French and German stock markets," Economic Modelling, Elsevier, vol. 19(3), pages 399-418, May.
    93. Ivan Jaccard, 2014. "Asset Returns and Labor Supply in a Production Economy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(5), pages 889-919, August.
    94. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    95. Seppala, Juha, 2004. "The term structure of real interest rates: theory and evidence from UK index-linked bonds," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1509-1549, October.
    96. Massimo Marinacci, 2015. "Model Uncertainty," Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1022-1100, December.
    97. Wessel Marquering & Marno Verbeek, 1998. "An Empirical Analysis of Intertemporal Asset Pricing Models with Transaction Costs and Habit Persistence," Working Papers of Department of Economics, Leuven ces9824, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
    98. Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005 49, Money Macro and Finance Research Group.
    99. Pedro Elosegui & Guillermo Escudé & Lorena Garegnani & Juan Martín Sotes Paladino, 2007. "Un modelo económico pequeño para Argentina," Monetaria, CEMLA, vol. 0(3), pages 265-303, julio-sep.
    100. Seppälä, Juha, 2000. "The term structure of real interest rates: Theory and evidence form UK index-linked bonds," Bank of Finland Research Discussion Papers 22/2000, Bank of Finland.
    101. Joshua Rosenberg, 2000. "Asset Pricing Puzzles: Evidence from Options Markets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-025, New York University, Leonard N. Stern School of Business-.
    102. Victor Olkhov, 2022. "Why Economic Theories and Policies Fail? Unnoticed Variables and Overlooked Economics," Papers 2208.07839, arXiv.org.
    103. Erica X. N. Li & Haitao Li & Shujing Wang & Shujing Wang, 2019. "Macroeconomic Risks and Asset Pricing: Evidence from a Dynamic Stochastic General Equilibrium Model," Management Science, INFORMS, vol. 65(8), pages 3585-3604, August.
    104. 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.
    105. Rodríguez López, Rosa, 1996. "Modelos intertemporales de valoración de activos: análisis empírico para el caso español," DEE - Documentos de Trabajo. Economía de la Empresa. DB 6415, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    106. Ayelet Balsam & Shmuel Kandel & Ori Levy, "undated". "Ex-Ante Real Rates and Inflation Risk Premiums: A Consumption-Based Approach," Rodney L. White Center for Financial Research Working Papers 22-98, Wharton School Rodney L. White Center for Financial Research.
    107. Perron, Pierre & Wada, Tatsuma, 2009. "Let's take a break: Trends and cycles in US real GDP," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.
    108. Viceira, Luis & Chacko, George, 2005. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," CEPR Discussion Papers 4913, C.E.P.R. Discussion Papers.
    109. Bansal, Ravi & Coleman, Wilbur John, II, 1996. "A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Journal of Political Economy, University of Chicago Press, vol. 104(6), pages 1135-1171, December.
    110. Cogley, Timothy & Sargent, Thomas J., 2008. "The market price of risk and the equity premium: A legacy of the Great Depression?," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 454-476, April.
    111. Geert Bekaert & Eric Engstrom, 2009. "Inflation and the Stock Market:Understanding the "Fed Model"," NBER Working Papers 15024, National Bureau of Economic Research, Inc.
    112. 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.
    113. Lawrence J. Christiano & Joshua M. Davis, 2006. "Two Flaws In Business Cycle Accounting," NBER Working Papers 12647, National Bureau of Economic Research, Inc.
    114. Rui Albuquerque & Martin S. Eichenbaum & Sergio Rebelo, 2012. "Valuation Risk and Asset Pricing," NBER Working Papers 18617, National Bureau of Economic Research, Inc.
    115. Chen, Jiaqi & Sherif, Mohamed, 2016. "Illiquidity premium and expected stock returns in the UK: A new approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 52-66.
    116. Milos Bozovic, 2015. "Equity Premium in Serbia: A Different Kind of Puzzle?," MIC 2015: Managing Sustainable Growth; Proceedings of the Joint International Conference, Portorož, Slovenia, 28–30 May 2015,, University of Primorska, Faculty of Management Koper.
    117. Glaeser, E. L., 1998. "Should transfer payments be indexed to local price levels?," Regional Science and Urban Economics, Elsevier, vol. 28(1), pages 1-20, January.
    118. Wang, Qin & Ren, Yu & Zou, Yiheng, 2016. "Uninsured expense shocks and equity premia," Economic Modelling, Elsevier, vol. 58(C), pages 64-74.
    119. Adem Atmaz & Suleyman Basak, 2022. "Stock Market and No‐Dividend Stocks," Journal of Finance, American Finance Association, vol. 77(1), pages 545-599, February.
    120. Tom Engsted, 2009. "Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak," CREATES Research Papers 2009-17, Department of Economics and Business Economics, Aarhus University.
    121. Gordon, Stephen & Samson, Lucie & Carmichael, Benoit, 1995. "Finite-sample inferences about mean-standard deviation bounds for stochastic discount factors," Economics Letters, Elsevier, vol. 49(3), pages 295-300, September.
    122. David K. Backus & Stanley E. Zin, 1994. "Reverse Engineering the Yield Curve," NBER Working Papers 4676, National Bureau of Economic Research, Inc.
    123. Salyer, Kevin D., 1998. "Crash states and the equity premium: Solving one puzzle raises another," Journal of Economic Dynamics and Control, Elsevier, vol. 22(6), pages 955-965, June.
    124. Marchese, Carla & Privileggi, Fabio, 1999. "Taxpayers Attitudes Toward Risk and Amnesty Participation: Economic Analysis and Evidence for the Italian Case," POLIS Working Papers 6, Institute of Public Policy and Public Choice - POLIS.
    125. Luca De Gennaro Aquino & Xuedong He & Moris Simon Strub & Yuting Yang, 2024. "Reference-dependent asset pricing with a stochastic consumption-dividend ratio," Papers 2401.12856, arXiv.org.
    126. Krueger, Dirk & Lustig, Hanno, 2010. "When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?," Journal of Economic Theory, Elsevier, vol. 145(1), pages 1-41, January.
    127. Bansal, Ravi & Gallant, A. Ronald & Hussey, Robert & Tauchen, George, 1995. "Nonparametric estimation of structural models for high-frequency currency market data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 251-287.
    128. Olkhov, Victor, 2019. "New essentials of economic theory II. Economic transactions, expectations and asset pricing," MPRA Paper 93428, University Library of Munich, Germany.
    129. Georg Kaltenbrunner & Lars Lochstoer, 2007. "Long-Run Risk through Consumption Smoothing," 2007 Meeting Papers 25, Society for Economic Dynamics.
    130. Tim W. Cogley & Thomas J. Sargent, 2005. "The Market Price of Risk and the Equity Premium," Working Papers 55, University of California, Davis, Department of Economics.
    131. Bakshi, Gurdip S. & Naka, Atsuyuki, 1997. "An empirical investigation of asset pricing models using Japanese stock market data," Journal of International Money and Finance, Elsevier, vol. 16(1), pages 81-112, February.
    132. Jacobs, Kris, 2000. "Estimating Nonseparable Preference Specifications for Asset Market Participants," Econometric Society World Congress 2000 Contributed Papers 1472, Econometric Society.
    133. Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Demand Disagreement," 2018 Meeting Papers 607, Society for Economic Dynamics.
    134. Jaccard, Ivan, 2018. "Stochastic discounting and the transmission of money supply shocks," Working Paper Series 2174, European Central Bank.
    135. Martin Lettau, 2001. "Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?," Staff Reports 130, Federal Reserve Bank of New York.
    136. Taiji Harashima, 2005. "An Estimate of the Elasticity of Intertemporal Substitution in a Production Economy," Macroeconomics 0508030, University Library of Munich, Germany.
    137. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
    138. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
    139. Berkowitz, Jeremy, 2001. "Generalized spectral estimation of the consumption-based asset pricing model," Journal of Econometrics, Elsevier, vol. 104(2), pages 269-288, September.
    140. Wayne E. Ferson & Andrew Siegel, 2002. "Stochastic Discount Factor Bounds with Conditioning Information," NBER Working Papers 8789, National Bureau of Economic Research, Inc.
    141. Grishchenko, Olesya V., 2010. "Internal vs. external habit formation: The relative importance for asset pricing," Journal of Economics and Business, Elsevier, vol. 62(3), pages 176-194, May.
    142. Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023. "Pricing Currency Risks," Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
    143. Victor Olkhov, 2019. "Financial Variables, Market Transactions, and Expectations as Functions of Risk," IJFS, MDPI, vol. 7(4), pages 1-27, November.
    144. Yulei Luo, 2006. "Rational Inattention, Portfolio Choice, and the Equity Premium," Computing in Economics and Finance 2006 56, Society for Computational Economics.
    145. Kirby, Chris, 1998. "The Restrictions on Predictability Implied by Rational Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 11(2), pages 343-382.
    146. Kasa, Kenneth, 1997. "Consumption-based versus production-based models of international equity markets," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 653-680, September.
    147. George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
    148. Joshua V. Rosenberg & Robert F. Engle, 1997. "Option Hedging Using Empirical Pricing Kernels," NBER Working Papers 6222, National Bureau of Economic Research, Inc.
    149. Asada, Toichiro & Semmler, Willi, 1995. "Growth and finance: An intertemporal model," Journal of Macroeconomics, Elsevier, vol. 17(4), pages 623-649.
    150. Minford, Patrick & Lungu, Laurian, 2005. "Explaining The Equity Risk Premium," CEPR Discussion Papers 5017, C.E.P.R. Discussion Papers.
    151. Robert B. Barsky & Miles S. Kimball & F. Thomas Juster & Matthew D. Shapiro, 1995. "Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Survey," NBER Working Papers 5213, National Bureau of Economic Research, Inc.
    152. Olkhov, Victor, 2023. "Economic Theory as Successive Approximations of Statistical Moments," MPRA Paper 118722, University Library of Munich, Germany.
    153. Joe Akira Yoshino & Edson Bastos e Santos, 2009. "Revisiting the interest rate puzzle," Applied Economics Letters, Taylor & Francis Journals, vol. 16(13), pages 1333-1340.
    154. Pierluigi Balduzzi & Cesare Robotti, 2001. "Minimum-variance kernels, economic risk premia, and tests of multi-beta models," FRB Atlanta Working Paper 2001-24, Federal Reserve Bank of Atlanta.
    155. Marika Santoro & Chao Wei, 2011. "The Welfare Cost of Capital Taxation: An Asset Market Approach (Working Paper 2011-03)," Working Papers 41152, Congressional Budget Office.
    156. Enrique Sentana, 1993. "The econometrics of the stock market II: asset pricing," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 421-444, September.
    157. Raghu Suryanarayanan, 2006. "Implications of Anticipated Regret and Endogenous Beliefs for Equilibrium Asset Prices: A Theoretical Framework," CSEF Working Papers 162, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    158. Pakos, Michal, 2004. "Asset Pricing with Durable Goods and Nonhomothetic Preferences," MPRA Paper 26167, University Library of Munich, Germany.
    159. Fernando Alvarez & Urban J. Jermann, 2005. "Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth," Econometrica, Econometric Society, vol. 73(6), pages 1977-2016, November.
    160. Michel Normandin, 2004. "Canadian and U.S. financial markets: testing the international integration hypothesis under time-varying conditional volatility," Canadian Journal of Economics, Canadian Economics Association, vol. 37(4), pages 1021-1041, November.
    161. Alsheikh, Muna Ibrahim, 2020. "Beliefs-dependent utilities do influence firm-specific wealth (executives’ inside equity holdings)," Journal of Economics and Business, Elsevier, vol. 109(C).
    162. Berrada, Tony & Detemple, Jérôme & Rindisbacher, Marcel, 2018. "Asset pricing with beliefs-dependent risk aversion and learning," Journal of Financial Economics, Elsevier, vol. 128(3), pages 504-534.
    163. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
    164. Santoro, Marika & Wei, Chao, 2013. "The marginal welfare cost of capital taxation: Discounting matters," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 897-909.
    165. Favero, Carlo A. & Tamoni, Andrea & Ortu, Fulvio & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
    166. Hanno Lustig, "undated". "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn)," UCLA Economics Online Papers 380, UCLA Department of Economics.
    167. Douch, Mohamed & Bouaddi, Mohammed, 2010. "EQUITY Premium Puzzle in a Data-Rich Environment," MPRA Paper 29440, University Library of Munich, Germany.
    168. Casey B. Mulligan, 2004. "Robust Aggregate Implications of Stochastic Discount Factor Volatility," NBER Working Papers 10210, National Bureau of Economic Research, Inc.
    169. 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.
    170. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2004. "Estimating Nonlinear Dynamic Equilibrium economies: A Likelihood Approach," PIER Working Paper Archive 04-001, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    171. Anella Munro, 2016. "Bond premia, monetary policy and exchange rate dynamics," Reserve Bank of New Zealand Discussion Paper Series DP2016/11, Reserve Bank of New Zealand.
    172. Michel Normandin, 2004. "Canadian and U.S. financial markets: testing the international integration hypothesis under time‐varying conditional volatility," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 37(4), pages 1021-1041, November.
    173. Laurini, Márcio P. & Moura, Marcelo, 2007. "Constrained Smoothing Splines for the Term Structure of Interest Rates," Insper Working Papers wpe_100, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    174. 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.
    175. Joshua Rosenberg, 1999. "Empirical Tests of Interest Rate Model Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-015, New York University, Leonard N. Stern School of Business-.
    176. Stuart Hyde & Mohamed Sherif, 2004. "Don't break the habit: structural stability tests of consumption models in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 49, Money Macro and Finance Research Group.
    177. Otrok, Christopher & Ravikumar, B & Whiteman, Charles, 2001. "Stochastic Discount Factor Models and the Equity Premium Puzzle," MPRA Paper 22938, University Library of Munich, Germany, revised Nov 2004.

  43. Cochrane, J.H. & Ickes, B.W., 1991. "Inflation Stabilization in Reforming Socialist Economies : the Myth of the Monetary Overhang," Papers 8-91-2, Pennsylvania State - Department of Economics.

    Cited by:

    1. Filippov, Mikhail G, 2002. "Russian Voting and the Initial Economic Shock of Hyperinflation," Public Choice, Springer, vol. 111(1-2), pages 73-104, March.
    2. Erwin Nijsse & Elmer Sterken,, 1996. "Shortages, interest rates, and money demand in Poland, 1969-1995," Working Papers 25, Centre for Economic Research, University of Groningen and University of Twente.
    3. Diehl, Markus, 1993. "Stabilization without crisis: The case of Vietnam," Kiel Working Papers 578, Kiel Institute for the World Economy (IfW Kiel).

  44. John H. Cochrane, 1991. "Volatility Tests and Efficient Markets: A Review Essay," NBER Working Papers 3591, National Bureau of Economic Research, Inc.

    Cited by:

    1. Weinbaum, David, 2010. "Preference heterogeneity and asset prices: An exact solution," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2238-2246, September.
    2. H. Henry Cao & Martin D. D. Evans & Richard K. Lyons, 2017. "Inventory Information," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 9, pages 363-413, World Scientific Publishing Co. Pte. Ltd..
    3. Ariane Szafarz, 2015. "Market Efficiency and Crises: Don’t Throw the Baby out with the Bathwater," ULB Institutional Repository 2013/239874, ULB -- Universite Libre de Bruxelles.
    4. Chung, Heetaik & Lee, Bong-Soo, 1998. "Fundamental and nonfundamental components in stock prices of Pacific-Rim countries," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 321-346, August.
    5. Martin Lettau & Sydney C. Ludvigson, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, Federal Reserve Bank of New York.
    6. Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2014. "Dividend Predictability Around the World," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1255-1277, December.
    7. Yashiv, E., 1999. "Hiring as Investment Behavior," Papers 35-99, Tel Aviv.
    8. John H. Cochrane, 1997. "Where is the market going? Uncertain facts and novel theories," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 21(Nov), pages 3-37.
    9. Eugene Fama & F. & Kenneth R. French, "undated". "The Equity Premium."," CRSP working papers 522, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    10. Lettau, Martin & Ludvigson, Sydney, 2001. "Measuring and Modelling Variation in the Risk-Return Trade-off," CEPR Discussion Papers 3105, C.E.P.R. Discussion Papers.
    11. Coleman, Les, 2014. "Why finance theory fails to survive contact with the real world: A fund manager perspective," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 25(3), pages 226-236.
    12. John H. Cochrane, 1999. "New Facts in Finance," NBER Working Papers 7169, National Bureau of Economic Research, Inc.
    13. 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.
    14. Wyart, Matthieu & Bouchaud, Jean-Philippe, 2007. "Self-referential behaviour, overreaction and conventions in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 63(1), pages 1-24, May.
    15. Parthajit Kayal & Sayanti Mondal, 2020. "Speed of Price Adjustment in Indian Stock Market: A Paradox," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 453-476, December.
    16. Lucy F. Ackert & William C. Hunter, 2000. "An empirical examination of the price-dividend relation with dividend management," Working Paper Series WP-00-22, Federal Reserve Bank of Chicago.
    17. Garrett H. TeSelle, 1998. "Bubbles or noise? Reconciling the results of broad-dividend variance-bounds tests," Finance and Economics Discussion Series 1998-42, Board of Governors of the Federal Reserve System (U.S.).
    18. Jan J J Groen & Ravi Balakrishnan, 2005. "Asset price based estimates of sterling exchange rate risk premia," Bank of England working papers 250, Bank of England.
    19. John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
    20. Leonardo Becchetti & Roberto Rocci & Giovanni Trovato, 2004. "Industry and Time Specific Deviations from Fundamental Values in a Random Coefficient Model," CEIS Research Paper 52, Tor Vergata University, CEIS.
    21. Bruce N. Lehmann, 1991. "Asset Pricing and Intrinsic Values: A Review Essay," NBER Working Papers 3873, National Bureau of Economic Research, Inc.
    22. Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
    23. Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers 98s-20, CIRANO.
    24. Yacine Aït-Sahalia, "undated". "Dynamic Equilibrium and Volatility in Financial Asset Markets," CRSP working papers 331, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    25. Haberer, Markus, 2004. "Might a Securities Transactions Tax Mitigate Excess Volatility? Some Evidence From the Literature," CoFE Discussion Papers 04/06, University of Konstanz, Center of Finance and Econometrics (CoFE).
    26. Ian Tonks & Andy Snell & George Bulkley, 1996. "Excessive Dispersion of US Stock Prices: A Regression Test of Cross-Sectional Volatility," FMG Discussion Papers dp246, Financial Markets Group.
    27. Snell, Andy & Tonks, Ian & Bulkley, George, 1996. "Excessive stock price dispersion: a regression test of cross-sectional volatility," LSE Research Online Documents on Economics 119165, London School of Economics and Political Science, LSE Library.
    28. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Fractional cointegration and tests of present value models," Review of Financial Economics, Elsevier, vol. 13(3), pages 245-258.
    29. Tro Kortian, 1995. "Modern Approaches to Asset Price Formation: A Survey of Recent Theoretical Literature," RBA Research Discussion Papers rdp9501, Reserve Bank of Australia.
    30. Tuomo Vuolteenaho, 2001. "What Drives Firm-Level Stock Returns?," NBER Working Papers 8240, National Bureau of Economic Research, Inc.
    31. Min Hwang & John M. Quigley, 2006. "Economic Fundamentals In Local Housing Markets: Evidence From U.S. Metropolitan Regions," Journal of Regional Science, Wiley Blackwell, vol. 46(3), pages 425-453, August.
    32. Allen, D.E & Yang, W, 2004. "Do UK stock prices deviate from fundamentals?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(3), pages 373-383.
    33. Yilmaz, Kamil, 2003. "Martingale Property of Exchange Rates and Central Bank Interventions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 383-395, July.
    34. Mr. Ralph Chami & Mr. Thomas F. Cosimano & Ms. Celine Rochon & Julieta Yung, 2020. "Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment," IMF Working Papers 2020/053, International Monetary Fund.
    35. Elyès Jouini & Clotilde Napp, 2010. "Unbiased Disagreement in Financial Markets, Waves of Pessimism and the Risk-Return Trade-off," Review of Finance, European Finance Association, vol. 15(3), pages 575-601.
    36. Giovanni Ferri & Doris Neuberger, 2014. "The Banking Regulatory Bubble and How to Get out of It," Rivista di Politica Economica, SIPI Spa, issue 2, pages 39-69, April-Jun.
    37. Nathan S. Balke & Mark E. Wohar, 2000. "Low frequency movements in stock prices: a state space decomposition," Working Papers 0001, Federal Reserve Bank of Dallas.
    38. John H. Cochrane, 2008. "The Dog That Did Not Bark: A Defense of Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1533-1575, July.
    39. Tuomo Vuolteenaho, 2002. "What Drives Firm‐Level Stock Returns?," Journal of Finance, American Finance Association, vol. 57(1), pages 233-264, February.
    40. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney.
    41. Roelof Salomons, 2008. "A Theoretical And Practical Perspective On The Equity Risk Premium," Journal of Economic Surveys, Wiley Blackwell, vol. 22(2), pages 299-329, April.
    42. Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014. "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices," SIRE Discussion Papers 2015-79, Scottish Institute for Research in Economics (SIRE).
    43. Gutierrez, Maria-Jose & Vazquez, Jesus, 2004. "Switching equilibria: the present value model for stock prices revisited," Journal of Economic Dynamics and Control, Elsevier, vol. 28(11), pages 2297-2325, October.
    44. Emanuele De Meo, 2013. "Are Commodity Prices Driven by Fundamentals?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 42(1), pages 19-46, February.
    45. Chen, Jiun-Lin (Alex) & Hwang, Hyoseok (David), 2019. "Business cycle, expected return and momentum payoffs," Finance Research Letters, Elsevier, vol. 29(C), pages 83-89.
    46. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," NBER Working Papers 11803, National Bureau of Economic Research, Inc.
    47. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2012_047.
    48. Eduardo Walker, 1998. "Mercado Accionario y Crecimiento Económico en Chile," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(104), pages 49-72.
    49. Gebhardt, Georg & Höffler, Felix, 2008. "How to Determine whether Regional Markets are Integrated? Theory and Evidence from European Electricity Markets," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 236, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
    50. Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2003. "The Price is (Almost) Right," NBER Working Papers 10131, National Bureau of Economic Research, Inc.
    51. Honohan, Patrick & Conroy, Charles, 1994. "Irish Interest Rate Fluctuations in The European Monetary System," Research Series, Economic and Social Research Institute (ESRI), number GRS165, August.
    52. John H. Cochrane, 1992. "A Cross-Sectional Test of a Production-Based Asset Pricing Model," NBER Working Papers 4025, National Bureau of Economic Research, Inc.
    53. Paul H. Kupiec, 1995. "A Securities Transactions Tax And Capital Market Efficiency," Contemporary Economic Policy, Western Economic Association International, vol. 13(1), pages 101-112, January.
    54. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
    55. John H. Cochrane, 1994. "Shocks," NBER Working Papers 4698, National Bureau of Economic Research, Inc.
    56. Mohammad Joarder & Monir Ahmed & Tahsina Haque & Syed Hasanuzzaman, 2014. "An empirical testing of informational efficiency in Bangladesh capital market," Economic Change and Restructuring, Springer, vol. 47(1), pages 63-87, February.
    57. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2011. "The dynamic behaviour of asset prices in disequilibrium: a survey," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 101-139.
    58. Iwanicz-Drozdowska Małgorzata & Rogowicz Karol & Smaga Paweł, 2023. "Market-moving events and their role in portfolio optimization of generations X, Y, and Z," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 59(4), pages 371-397, December.
    59. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
    60. Wayne E. Ferson & Andrea Heuson & Tie Su, 2005. "Weak and Semi-Strong Form Stock Return Predictability Revisited," NBER Working Papers 11021, National Bureau of Economic Research, Inc.
    61. John H. Cochrane, 2017. "Macro-Finance," Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
    62. John Y. Campbell, 1993. "Why Long Horizons: A Study of Power Against Persistent Alternatives," NBER Technical Working Papers 0142, National Bureau of Economic Research, Inc.
    63. Eugene N. White, 2004. "Bubbles and Busts: The 1990s in the Mirror of the 1920s," FRU Working Papers 2004/09, University of Copenhagen. Department of Economics. Finance Research Unit.
    64. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    65. Daria Gavrilova, 2023. "Effects Of Index Additions On Stock Price Informativeness," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 31, pages 39-64, June.
    66. Ariane Szafarz, 2010. "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?," DULBEA Working Papers 10-01.RS., ULB -- Universite Libre de Bruxelles.
    67. Kin-Boon Tang & Shao-Jye Wong & Shih-Kuei Lin & Szu-Lang Liao, 2020. "Excess volatility and market efficiency in government bond markets: the ASEAN-5 context," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 154-165, March.
    68. Phillips, Peter C.B. & Lee, Ji Hyung, 2013. "Predictive regression under various degrees of persistence and robust long-horizon regression," Journal of Econometrics, Elsevier, vol. 177(2), pages 250-264.
    69. Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein, 2012. "Endogenous Dividend Dynamics and the Term Structure of Dividend Strips," NBER Working Papers 18450, National Bureau of Economic Research, Inc.
    70. William Butos & Roger Koppl, 1993. "Hayekian expectations: Theory and empirical applications," Constitutional Political Economy, Springer, vol. 4(3), pages 303-329, September.
    71. David Gruen, 1995. "Financial Market Volatility and the World-wide Fall in Inflation," RBA Research Discussion Papers rdp9513, Reserve Bank of Australia.
    72. Leonardo Bartolini & Gordon M. Bodnar, 1996. "Are exchange rates excessively volatile? And what does \\"excessively volatile\\" mean, anyway?," Research Paper 9601, Federal Reserve Bank of New York.
    73. Stefano d’Addona & Christos Giannikos, 2014. "Asset pricing and the role of macroeconomic volatility," Annals of Finance, Springer, vol. 10(2), pages 197-215, May.
    74. Brennan, Michael J. & Xia, Yihong, 2005. "tay's as good as cay," Finance Research Letters, Elsevier, vol. 2(1), pages 1-14, March.
    75. Wayne E. Ferson & Andrea Heuson & Tie Su, 2005. "Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited," Management Science, INFORMS, vol. 51(10), pages 1582-1592, October.
    76. Taipalus, Katja, 2006. "Bubbles in the Finnish and US equities markets," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2006_035.
    77. Berardi, Michele, 2021. "Uncertainty, sentiments and time-varying risk premia," MPRA Paper 106922, University Library of Munich, Germany.
    78. Simon H. Kwan, 2013. "The price of stock and bond risk in recoveries," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue aug19.
    79. Esther Jeffers & Damien Moyé, 2004. "Dow Jones, CAC 40, SBF 120 : comment expliquer que le CAC 40 est le plus volatil ?," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 203-218.
    80. Nathan S. Balke & Mark E. Wohar, 2006. "What Drives Stock Prices? Identifying the Determinants of Stock Price Movements," Southern Economic Journal, John Wiley & Sons, vol. 73(1), pages 55-78, July.
    81. Hiremath, Gourishankar S. & Narayan, Seema, 2016. "Testing the adaptive market hypothesis and its determinants for the Indian stock markets," Finance Research Letters, Elsevier, vol. 19(C), pages 173-180.
    82. Binswanger, Mathias, 2004. "How important are fundamentals?--Evidence from a structural VAR model for the stock markets in the US, Japan and Europe," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 185-201, April.
    83. Wang, Yuming & Ma, Jinpeng, 2014. "Excess volatility and the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 1-16.
    84. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
    85. Schotman, Peter C., 2001. "When units roots matter: excess volatility and excess smoothness of long-term interest rates," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 669-694, December.
    86. Georg Gebhardt and Felix Hoffler, 2013. "How Competitive is Cross-border Trade of Electricity? Theory and Evidence from European Electricity Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
    87. Shamsuddin, Abul F. M. & Hillier, John R., 2004. "Fundamental determinants of the Australian price-earnings multiple," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 565-576, November.

  45. Cocherane, J. & Ickes, B.W., 1990. "Stopping Inflation in Reforming Socialist Economies: Some Pleasant Socialist Arithmetics," Papers 12-90-1, Pennsylvania State - Department of Economics.

    Cited by:

    1. Bertocchi, Graziella & Spagat, Michael, 1997. "Structural uncertainty and subsidy removal for economies in transition," European Economic Review, Elsevier, vol. 41(9), pages 1709-1733, December.

  46. John H. Cochrane, 1990. "Univariate vs. Multivariate Forecasts of GNP Growth and Stock Returns: Evidence and Implications for the Persistence of Shocks, Detrending Methods," NBER Working Papers 3427, National Bureau of Economic Research, Inc.

    Cited by:

    1. Robert F. Engle & Joao Victor Issler, 1993. "Estimating Sectoral Cycles Using Cointegration and Common Features," NBER Working Papers 4529, National Bureau of Economic Research, Inc.
    2. Jinzhu Chen & Prakash Kannan & Prakash Loungani & Bharat Trehan, 2012. "New evidence on cyclical and structural sources of unemployment," Proceedings, Federal Reserve Bank of San Francisco, issue March, pages 1-23.
    3. Bharat Trehan, 1991. "Using consumption to forecast income," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jun7.
    4. Camilo Granados & Daniel Parra-Amado, 2023. "Estimating the Output Gap After COVID: How to Address Unprecedented Macroeconomic Variations," Borradores de Economia 1249, Banco de la Republica de Colombia.
    5. Richard Clarida & Jordi Gali, 1994. "Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks?," NBER Working Papers 4658, National Bureau of Economic Research, Inc.
    6. Hugo Oliveros & Carlos Huertas, 2002. "Desequilibrios Nominales y Reales del Tipo de Cambio en Colombia," Borradores de Economia 220, Banco de la Republica de Colombia.
    7. Dean Corbea & Sam Ouliaris & Peter C.B. Phillips, 1991. "A Reexamination of the Consumption Function Using Frequency Domain Regressors," Cowles Foundation Discussion Papers 997, Cowles Foundation for Research in Economics, Yale University.
    8. Ramey, Valerie A., 1992. "The source of fluctuations in money : Evidence from trade credit," Journal of Monetary Economics, Elsevier, vol. 30(2), pages 171-193, November.
    9. Henin Pierre-yves & Jobert Thomas, 1991. "An okun's law approach to unemployment persistence," CEPREMAP Working Papers (Couverture Orange) 9108, CEPREMAP.
    10. Nir Jaimovich, 2004. "Firm Dynamics, Markup Variations, and the Business Cycle," Discussion Papers 07-013, Stanford Institute for Economic Policy Research, revised Mar 2007.
    11. Norman J. Morin, 2006. "Likelihood ratio tests on cointegrating vectors, disequilibrium adjustment vectors, and their orthogonal complements," Finance and Economics Discussion Series 2006-21, Board of Governors of the Federal Reserve System (U.S.).

  47. John H. Cochrane, 1989. "Explaining the Variance of Price Dividend Ratios," NBER Working Papers 3157, National Bureau of Economic Research, Inc.

    Cited by:

    1. 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).
    2. Paulo Maio, 2014. "Another Look at the Stock Return Response to Monetary Policy Actions," Review of Finance, European Finance Association, vol. 18(1), pages 321-371.
    3. Owen Lamont, "undated". "Earnings and Expected Returns," CRSP working papers 345, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    4. Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016. "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 31-38.
    5. Kothari, S.P. & Lewellen, Jonathan & Warner, Jerold B., 2006. "Stock returns, aggregate earnings surprises, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 79(3), pages 537-568, March.
    6. Eran Yashiv, 2016. "Aggregate Hiring and the Value of Jobs Along the Business Cycle," Discussion Papers 1637, Centre for Macroeconomics (CFM).
    7. Refet Gurkaynak, 2005. "Econometric Tests of Asset Price Bubbles: Taking Stock," Finance 0504008, University Library of Munich, Germany.
    8. Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2011. "A Theory of Asset Prices Based on Heterogeneous Information," Cowles Foundation Discussion Papers 1827, Cowles Foundation for Research in Economics, Yale University.
    9. Londoño Yarce, Juan Miguel & Regúlez Castillo, Marta & Vázquez Pérez, Jesús, 2014. "An Alternative View of the US Price-Dividend Ratio Dynamics," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
    10. Kanniainen, Juho & Piché, Robert, 2013. "Stock price dynamics and option valuations under volatility feedback effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 722-740.
    11. Chung, Heetaik & Lee, Bong-Soo, 1998. "Fundamental and nonfundamental components in stock prices of Pacific-Rim countries," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 321-346, August.
    12. Martin Lettau & Sydney C. Ludvigson, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, Federal Reserve Bank of New York.
    13. Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2014. "Dividend Predictability Around the World," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1255-1277, December.
    14. Yashiv, E., 1999. "Hiring as Investment Behavior," Papers 35-99, Tel Aviv.
    15. Yuming Li & Jing Yang, 2018. "House Price Dynamics and Excess Risk," International Real Estate Review, Global Social Science Institute, vol. 21(2), pages 251-274.
    16. 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.
    17. Kai Li & Chenjie Xu, 2023. "Asset pricing with a financial sector," Financial Management, Financial Management Association International, vol. 52(1), pages 67-95, March.
    18. John Krainer & Chishen Wei, 2004. "House prices and fundamental value," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct1.
    19. Botshekan, Mahmoud & Kraeussl, Roman & Lucas, Andre, 2012. "Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(6), pages 1279-1301, December.
    20. Yin, Libo & Nie, Jing, 2021. "Adjusted dividend-price ratios and stock return predictability: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 73(C).
    21. Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
    22. Timmermann, Allan & Pettenuzzo, Davide & Sabbatucci, Riccardo, 2019. "Cash Flow News and Stock Price Dynamics," CEPR Discussion Papers 14117, C.E.P.R. Discussion Papers.
    23. Lettau, Martin & Wachter, Jessica, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium," CEPR Discussion Papers 4921, C.E.P.R. Discussion Papers.
    24. Guo, Hui, 2004. "Limited Stock Market Participation and Asset Prices in a Dynamic Economy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(3), pages 495-516, September.
    25. Yan Li & Liyan Yang, 2013. "Asset-Pricing Implications of Dividend Volatility," Management Science, INFORMS, vol. 59(9), pages 2036-2055, September.
    26. Scott R. Baker & Nicholas Bloom & Steven J. Davis & Kyle J. Kost, 2019. "Policy News and Stock Market Volatility," NBER Working Papers 25720, National Bureau of Economic Research, Inc.
    27. Mohsen Jafarian & Fauzias Mat Nor & Izani Ibrahim, 2018. "The Relative Importance of Cash Flow News and Discount Rate News at Driving Stock Price Change," Capital Markets Review, Malaysian Finance Association, vol. 26(1), pages 56-72.
    28. Safdar, Irfan, 2018. "The information content of aggregate profitability," The British Accounting Review, Elsevier, vol. 50(5), pages 497-515.
    29. Berneburg, Marian, 2006. "Excess Volatility in European Equity Style Indices - New Evidence," IWH Discussion Papers 16/2006, Halle Institute for Economic Research (IWH).
    30. Berneburg, Marian, 2007. "Systematic Mispricing in European Equity Prices?," IWH Discussion Papers 6/2007, Halle Institute for Economic Research (IWH).
    31. Rambaccussing, Dooruj, 2010. "A real-time trading rule," MPRA Paper 27148, University Library of Munich, Germany.
    32. Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
    33. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
    34. Virtanen, Timo & Tölö, Eero & Virén, Matti & Taipalus, Katja, 2016. "Use of unit root methods in early warning of financial crises," Bank of Finland Research Discussion Papers 27/2016, Bank of Finland.
    35. Krivenko, Pavel, 2023. "Asset prices in a labor search model with confidence shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    36. Acker, Daniella & Duck, Nigel W., 2013. "Inflation illusion and the US dividend yield: Some further evidence," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 235-254.
    37. Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 5951, C.E.P.R. Discussion Papers.
    38. Londono, Juan M. & Regúlez, Marta & Vázquez, Jesús, 2015. "An alternative view of the US price–dividend ratio dynamics," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 291-307.
    39. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.
    40. David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Working Papers 16-08, New York University, Leonard N. Stern School of Business, Department of Economics.
    41. Smith, David C., 1999. "Finite sample properties of tests of the Epstein-Zin asset pricing model," Journal of Econometrics, Elsevier, vol. 93(1), pages 113-148, November.
    42. Peng Chen & Shu Wu, 2013. "On international stock market co-movements and macroeconomic risks," Applied Economics Letters, Taylor & Francis Journals, vol. 20(10), pages 978-982, July.
    43. Lin, Hai & Wang, Junbo & Wu, Chunchi, 2014. "Predictions of corporate bond excess returns," Journal of Financial Markets, Elsevier, vol. 21(C), pages 123-152.
    44. Timmermann, Allan, 1995. "Cointegration Tests of Present Value Models with a Time-Varying Discount Factor," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(1), pages 17-31, Jan.-Marc.
    45. John H. Cochrane, 2010. "Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic," NBER Working Papers 16087, National Bureau of Economic Research, Inc.
    46. Yashiv, Eran, 2015. "Countercyclical Recruiting Rates and the Value of Jobs," IZA Discussion Papers 9364, Institute of Labor Economics (IZA).
    47. Chryssi Giannitsarou & Andrew Scott, 2008. "Inflation Implications of Rising Government Debt," NBER Chapters, in: NBER International Seminar on Macroeconomics 2006, pages 393-442, National Bureau of Economic Research, Inc.
    48. Tuomo Vuolteenaho, 2001. "What Drives Firm-Level Stock Returns?," NBER Working Papers 8240, National Bureau of Economic Research, Inc.
    49. Roni Michaely & Stefano Rossi & Michael Weber & Michael Weber, 2017. "The Information Content of Dividends: Safer Profits, Not Higher Profits," CESifo Working Paper Series 6751, CESifo.
    50. Lansing, Kevin J. & LeRoy, Stephen F., 2014. "Risk aversion, investor information and stock market volatility," European Economic Review, Elsevier, vol. 70(C), pages 88-107.
    51. Peter C. B. Phillips & Shuping Shi & Jun Yu, 2015. "Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(4), pages 1043-1078, November.
    52. Jessica Wachter, 2008. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," NBER Working Papers 14386, National Bureau of Economic Research, Inc.
    53. Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December.
    54. Benjamin Golez & Peter Koudijs, 2014. "Four Centuries of Return Predictability," NBER Working Papers 20814, National Bureau of Economic Research, Inc.
    55. Matthew O. Jackson & James Peck, 1993. "Costly Information Acquisition," Discussion Papers 1087, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    56. Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2018. "High-frequency Cash Flow Dynamics," Working Papers 120, Brandeis University, Department of Economics and International Business School.
    57. Andrew Y. Chen, 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
    58. Daniel Mantilla-García & Vijay Vaidyanathan, 2017. "Predicting stock returns in the presence of uncertain structural changes and sample noise," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 357-391, August.
    59. Nathan S. Balke & Mark E. Wohar, 2000. "Low frequency movements in stock prices: a state space decomposition," Working Papers 0001, Federal Reserve Bank of Dallas.
    60. John H. Cochrane, 2008. "The Dog That Did Not Bark: A Defense of Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1533-1575, July.
    61. Andreas Neuhierl & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," NBER Working Papers 22831, National Bureau of Economic Research, Inc.
    62. John H. Cochrane, 1998. "A Frictionless View of U.S. Inflation," CRSP working papers 479, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    63. Zhu, Min & Chen, Rui & Du, Ke & Wang, You-Gan, 2018. "Dividend growth and equity premium predictability," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 125-137.
    64. Richard G. Newell & Kerry L. Papps & James N. Sanchirico, 2007. "Asset Pricing in Created Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 89(2), pages 259-272.
    65. Ravi Bansal & Varoujan Khatchatrian & Amir Yaron, 2004. "Interpretable Asset Markets?," 2004 Meeting Papers 136b, Society for Economic Dynamics.
    66. Fernando Alvarez & Urban J. Jermann, 2001. "The Size of the Permanent Component of Asset Pricing Kernels," NBER Working Papers 8360, National Bureau of Economic Research, Inc.
    67. Thomadakis, Apostolos, 2016. "Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence," MPRA Paper 71589, University Library of Munich, Germany.
    68. Neuhierl, Andreas & Weber, Michael, 2019. "Monetary policy communication, policy slope, and the stock market," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 140-155.
    69. Chen, Jiun-Lin (Alex) & Hwang, Hyoseok (David), 2019. "Business cycle, expected return and momentum payoffs," Finance Research Letters, Elsevier, vol. 29(C), pages 83-89.
    70. Pedersen, Lasse Heje & Asness, Clifford S. & Liew, John M. & Thapar, Ashwin K, 2018. "Deep Value," CEPR Discussion Papers 12685, C.E.P.R. Discussion Papers.
    71. Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
    72. Borja Larrain & Motohiro Yogo, 2005. "Does firm value move too much to be justified by subsequent changes in cash flow?," Working Papers 05-18, Federal Reserve Bank of Boston.
    73. Newell, Richard G. & Papps, Kerry L. & Sanchirico, James N., 2005. "Asset Pricing in Created Markets for Fishing Quotas," Discussion Papers 10639, Resources for the Future.
    74. Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2009. "Testing for periodically collapsing rational speculative bubbles in US REITs," ICMA Centre Discussion Papers in Finance icma-dp2009-11, Henley Business School, University of Reading.
    75. Ma, Jun & Wohar, Mark E., 2014. "Determining what drives stock returns: Proper inference is crucial: Evidence from the UK," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 371-390.
    76. Robin Greenwood & Andrei Shleifer, 2014. "Expectations of Returns and Expected Returns," The Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 714-746.
    77. Christian Gouriéroux & Joann Jasiak & Alain Monfort, 2020. "Stationary Bubble Equilibria in Rational Expectation Models," Post-Print hal-03330912, HAL.
    78. Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2003. "The Price is (Almost) Right," NBER Working Papers 10131, National Bureau of Economic Research, Inc.
    79. Mark W. Watson, 1991. "Measures of Fit for Calibrated Models," NBER Technical Working Papers 0102, National Bureau of Economic Research, Inc.
    80. Christopher L. Foote & Kristopher Gerardi & Paul S. Willen, 2010. "Reasonable people did disagree : optimism and pessimism about the U.S. housing market before the crash," Public Policy Discussion Paper 10-5, Federal Reserve Bank of Boston.
    81. Esteban Gómez & Sandra Rozo, 2008. "Beyond bubbles: the role of asset prices in early-warning indicators," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 26(56), pages 114-148, June.
    82. Michael Fung, 2013. "A trade-off between non-fundamental risk and incentives," Review of Quantitative Finance and Accounting, Springer, vol. 41(1), pages 29-51, July.
    83. Esteban Gómez & Sandra Rozo, 2007. "Beyond Bubbles: The role of asset prices in early-warning indicators," Borradores de Economia 457, Banco de la Republica de Colombia.
    84. Ilaria Piatti & Fabio Trojani, 2020. "Dividend Growth Predictability and the Price–Dividend Ratio," Management Science, INFORMS, vol. 66(1), pages 130-158, January.
    85. Iraola, Miguel A. & Santos, Manuel S., 2017. "Asset price volatility, price markups, and macroeconomic fluctuations," Journal of Monetary Economics, Elsevier, vol. 90(C), pages 84-98.
    86. Ko, Jun-Hyung, 2011. "Productivity shocks and housing market inflations in new Keynesian models," MPRA Paper 33848, University Library of Munich, Germany.
    87. Alberto Madrid & Luis A. Hierro, 2015. "Burbujas especulativas: el estado de una cuestión poco estudiada," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 38(108), pages 123-138, Septiembr.
    88. Chen, Sichong, 2012. "The predictability of aggregate Japanese stock returns: Implications of dividend yield," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 284-304.
    89. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
    90. Beckers, Benjamin, 2015. "The real-time predictive content of asset price bubbles for macro forecasts," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112852, Verein für Socialpolitik / German Economic Association.
    91. Virtanen, Timo & Tölö, Eero & Virén, Matti & Taipalus, Katja, 2017. "Use of unit root methods in early warning of financial crises," ESRB Working Paper Series 45, European Systemic Risk Board.
    92. Hamidi Sahneh, Mehdi, 2017. "News, Noise, and Tests of Present Value Models," MPRA Paper 82715, University Library of Munich, Germany.
    93. Hauser, Shmuel & Kedar-Levy, Haim, 2018. "Liquidity might come at cost: The role of heterogeneous preferences," Journal of Financial Markets, Elsevier, vol. 39(C), pages 1-23.
    94. Miguel A. Iraola & Manuel S. Santos, 2009. "Long Term Asset Price Volatility and Macroeconomic Fluctuations," Working Papers 2010-1, University of Miami, Department of Economics.
    95. John H. Cochrane, 1991. "Volatility Tests and Efficient Markets: A Review Essay," NBER Working Papers 3591, National Bureau of Economic Research, Inc.
    96. John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
    97. Golez, Benjamin & Koudijs, Peter, 2018. "Four centuries of return predictability," Journal of Financial Economics, Elsevier, vol. 127(2), pages 248-263.
    98. Jessica A. Wachter & Missaka Warusawitharana, 2006. "Predictable returns and asset allocation: Should a skeptical investor time the market?," 2006 Meeting Papers 22, Society for Economic Dynamics.
    99. Panagiotis Petris & George Dotsis & Panayotis Alexakis, 2022. "Bubble tests in the London housing market: A borough level analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1044-1063, January.
    100. Chunsheng Zhou, "undated". "Forecasting Long- and Short-Horizon Stock Returns in a Unified Framework," Finance and Economics Discussion Series 1996-04, Board of Governors of the Federal Reserve System (U.S.), revised 04 Dec 2019.
    101. Matthew O. Jackson & James Peck, 1997. "Asymmetric Information in a Competitive Market Game: Reexamining the Implications of Rational Expectations," Microeconomics 9711004, University Library of Munich, Germany.
    102. Philip Inyeob Ji & Glenn Otto, 2015. "Explosive Behaviour in Australian Housing Markets: Rational Bubbles or Not?," Discussion Papers 2015-27, School of Economics, The University of New South Wales.
    103. Yashiv, Eran, 2016. "Aggregate hiring and the value of jobs along the business cycle," LSE Research Online Documents on Economics 86175, London School of Economics and Political Science, LSE Library.
    104. Geert Bekaert & Eric Engstrom, 2009. "Inflation and the Stock Market:Understanding the "Fed Model"," NBER Working Papers 15024, National Bureau of Economic Research, Inc.
    105. Peña, Juan Ignacio & Rodríguez, Rosa, 2006. "On the economic link between asset prices and real activity," DEE - Working Papers. Business Economics. WB wb063209, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    106. Engsted, Tom, 2006. "Explosive bubbles in the cointegrated VAR model," Finance Research Letters, Elsevier, vol. 3(2), pages 154-162, June.
    107. John H. Cochrane, 1989. "Using Production Based Asset Pricing to Explain the Behavior of Stock Returns Over the Business Cycle," NBER Working Papers 3212, National Bureau of Economic Research, Inc.
    108. Rey, Hélène & Gourinchas, Pierre-Olivier & Sauzet, Maxime, 2019. "The International Monetary and Financial System," CEPR Discussion Papers 13714, C.E.P.R. Discussion Papers.
    109. Rojo Suárez, Javier & Alonso Conde, Ana Belén & Ferrero Pozo, Ricardo, 2020. "European equity markets: Who is the truly representative investor?," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 325-346.
    110. Shiller, Robert J., 2013. "Speculative Asset Prices," Nobel Prize in Economics documents 2013-6, Nobel Prize Committee.
    111. Deev, Oleg & Kajurova, Veronika & Stavarek, Daniel, 2013. "Testing rational speculative bubbles in Central European stock markets," MPRA Paper 46582, University Library of Munich, Germany.
    112. Chunsheng Zhou, 1996. "Stock market fluctuations and the term structure," Finance and Economics Discussion Series 96-3, Board of Governors of the Federal Reserve System (U.S.).
    113. Lettau, Martin & Ludvigson, Sydney, 2001. "Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption," CEPR Discussion Papers 3104, C.E.P.R. Discussion Papers.
    114. Nathan S. Balke & Mark E. Wohar, 2009. "Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 35-75.
    115. Chen, Long, 2009. "On the reversal of return and dividend growth predictability: A tale of two periods," Journal of Financial Economics, Elsevier, vol. 92(1), pages 128-151, April.
    116. Christophe, Faugere, 2003. "A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination," MPRA Paper 15579, University Library of Munich, Germany, revised 04 Jun 2009.
    117. Virtanen, Timo & Tölö, Eero & Virén, Matti & Taipalus, Katja, 2018. "Can bubble theory foresee banking crises?," Journal of Financial Stability, Elsevier, vol. 36(C), pages 66-81.
    118. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
    119. Lansing, Kevin J., 2016. "On variance bounds for asset price changes," Journal of Financial Markets, Elsevier, vol. 28(C), pages 132-148.
    120. Kim, Jan R. & Lim, Gieyoung, 2016. "Fundamentals and rational bubbles in the Korean housing market: A modified present-value approach," Economic Modelling, Elsevier, vol. 59(C), pages 174-181.
    121. Vassilis Polimenis & Ioannis Neokosmidis, 2019. "Non-stationary dividend-price ratios," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 552-567, December.
    122. Kelly, Bryan & Pruitt, Seth, 2015. "The three-pass regression filter: A new approach to forecasting using many predictors," Journal of Econometrics, Elsevier, vol. 186(2), pages 294-316.
    123. Ruey-Shii Chen & Tai-Wei Zhang, 2018. "Dividend cuts and predictability," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(2), pages 249-267, April.
    124. Glenn Otto & Nigel Stapledon, 2017. "How Predictable? Rent Growth and Returns in Sydney and Melbourne Housing Markets," Discussion Papers 2017-01, School of Economics, The University of New South Wales.
    125. Stefano Cassella & Huseyin Gulen, 2018. "Extrapolation Bias and the Predictability of Stock Returns by Price-Scaled Variables," The Review of Financial Studies, Society for Financial Studies, vol. 31(11), pages 4345-4397.
    126. Berg, Tobias, 2010. "The term structure of risk premia: new evidence from the financial crisis," Working Paper Series 1165, European Central Bank.
    127. Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2011. "A Theory of Asset Pricing Based on Heterogeneous Information," NBER Working Papers 17548, National Bureau of Economic Research, Inc.
    128. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2016. "Asset prices with non-permanent shocks to consumption," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 152-178.
    129. Simon H. Kwan, 2013. "The price of stock and bond risk in recoveries," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue aug19.
    130. Juho Kanniainen & Robert Pich'e, 2012. "Stock Price Dynamics and Option Valuations under Volatility Feedback Effect," Papers 1209.4718, arXiv.org.
    131. Amadeu DaSilva & Mira Farka, 2018. "Asset pricing puzzles in an OLG economy with generalized preference," European Financial Management, European Financial Management Association, vol. 24(3), pages 331-361, June.
    132. Vijay Kumar Vishwakarma & Ohannes George Paskelian, 2012. "Bubble In The Indian Real Estate Markets: Identification Using Regime-Switching Methodology," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(3), pages 27-40.
    133. Alex Hsu & Francisco Palomino & Liang Qian, 2023. "Gone with the Vol: A Decline in Asset Return Predictability During the Great Moderation," Management Science, INFORMS, vol. 69(5), pages 3025-3047, May.
    134. Michael Scholz & Jens Perch Nielsen & Stefan Sperlich, 2012. "Nonparametric prediction of stock returns guided by prior knowledge," Graz Economics Papers 2012-02, University of Graz, Department of Economics.
    135. Geert Bekaert & Steven R. Grenadier, 1999. "Stock and Bond Pricing in an Affine Economy," NBER Working Papers 7346, National Bureau of Economic Research, Inc.
    136. Juho Kanniainen, 2009. "Can properly discounted projects follow geometric Brownian motion?," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(3), pages 435-450, December.
    137. Moutzouris, Ioannis C. & Nomikos, Nikos K., 2019. "Earnings yield and predictability in the dry bulk shipping industry," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 125(C), pages 140-159.
    138. Joe, Denis Yongmin & Oh, Frederick Dongchuhl & Park, Cheolbeom, 2018. "Control-ownership disparity and stock market Predictability: Evidence from Korean chaebols," Finance Research Letters, Elsevier, vol. 27(C), pages 6-11.
    139. Long Chen & Zhi Da & Richard Priestley, 2012. "Dividend Smoothing and Predictability," Management Science, INFORMS, vol. 58(10), pages 1834-1853, October.
    140. Conrad, Christian & Glas, Alexander, 2018. "‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios," Working Papers 0655, University of Heidelberg, Department of Economics.
    141. Turtle, H.J. & Wang, Kainan, 2016. "The benefits of improved covariance estimation," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 233-246.
    142. R. Glen Donaldson & Mark Kamstra, "undated". "Forecasting Fundamental Asset Return Distributions," Computing in Economics and Finance 1997 176, Society for Computational Economics.

  48. John H. Cochrane, 1988. "A Test of Consumption Insurance," NBER Working Papers 2642, National Bureau of Economic Research, Inc.

    Cited by:

    1. Altonji, Joseph G & Hayashi, Fumio & Kotlikoff, Laurence J, 1992. "Is the Extended Family Altruistically Linked? Direct Tests Using Micro Data," American Economic Review, American Economic Association, vol. 82(5), pages 1177-1198, December.
    2. Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva, 2007. "Similarities and convergence in G-7 cycles," Journal of Monetary Economics, Elsevier, vol. 54(3), pages 850-878, April.
    3. Joseph Altonji & Fumio Hayashi & Laurence J. Kotlikoff, 1991. "Risk-sharing, altruism, and the factor structure of consumption," Discussion Paper / Institute for Empirical Macroeconomics 48, Federal Reserve Bank of Minneapolis.

  49. John H. Cochrane, 1988. "Production Based Asset Pricing," NBER Working Papers 2776, National Bureau of Economic Research, Inc.

    Cited by:

    1. Casey B. Mulligan, 2002. "Capital, Interest, and Aggregate Intertemporal Substitution," NBER Working Papers 9373, National Bureau of Economic Research, Inc.
    2. Pierre-Olivier Gourinchas & Hélène Rey, 2007. "International Financial Adjustment," Journal of Political Economy, University of Chicago Press, vol. 115(4), pages 665-703, August.
    3. Urban Jermann, 2013. "A Production-Based Model for the Term Structure," NBER Working Papers 18774, National Bureau of Economic Research, Inc.
    4. Thomas D. Tallarini & Harold H. Zhang, 2005. "External habit and the cyclicality of expected stock returns," Finance and Economics Discussion Series 2005-27, Board of Governors of the Federal Reserve System (U.S.).
    5. Marcelo Bianconi, 2003. "Private Information, Growth and Asset Prices with Stochastic Disturbances," Discussion Papers Series, Department of Economics, Tufts University 0301, Department of Economics, Tufts University.
    6. Madsen, Jakob B., 2009. "Taxes and the fundamental value of houses," Regional Science and Urban Economics, Elsevier, vol. 39(3), pages 365-376, May.
    7. Ellen R. McGrattan & Edward C. Prescott, 2001. "Taxes, regulations, and asset prices," Working Papers 610, Federal Reserve Bank of Minneapolis.
    8. Jagannathan, Ravi & Kubota, Keiichi & Takehara, Hitoshi, 1998. "Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market," The Journal of Business, University of Chicago Press, vol. 71(3), pages 319-347, July.
    9. Ellen R. McGrattan & Edward C. Prescott, 2001. "Is the Stock Market Overvalued?," NBER Working Papers 8077, National Bureau of Economic Research, Inc.
    10. Ron Alquist & Menzie D. Chinn, 2008. "Conventional and unconventional approaches to exchange rate modelling and assessment," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 2-13.
    11. Rui Albuquerque & Neng Wang, 2007. "Agency Conflicts, Investment, and Asset Pricing," NBER Working Papers 13251, National Bureau of Economic Research, Inc.
    12. Urban Jermann, 2006. "The Equity Premium Implied by Production," NBER Working Papers 12487, National Bureau of Economic Research, Inc.
    13. Yaron, Amir & Gomes, Joao & Zhang, Lu, 2003. "Asset Prices and Business Cycles with Costly External Finance," CEPR Discussion Papers 3927, C.E.P.R. Discussion Papers.
    14. Joao Gomes & Leonid Kogan & Lu Zhang, 2003. "Equilibrium Cross Section of Returns," Journal of Political Economy, University of Chicago Press, vol. 111(4), pages 693-732, August.
    15. Robert E. Hall, 2001. "The Stock Market and Capital Accumulation," American Economic Review, American Economic Association, vol. 91(5), pages 1185-1202, December.
    16. Simon Price, 2004. "UK investment and the return to equity: Q redux," Money Macro and Finance (MMF) Research Group Conference 2004 87, Money Macro and Finance Research Group.
    17. Vassalou, Maria & Li, Qing & Xing, Yuhang, 2001. "An Investment-Growth Asset Pricing Model," CEPR Discussion Papers 3058, C.E.P.R. Discussion Papers.
    18. Claudio Campanale & Gian Luca Clementi & Rui Castro, 2008. "Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences," Working Papers. Serie AD 2008-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    19. Hui Guo, 2002. "Stock market returns, volatility, and future output," Review, Federal Reserve Bank of St. Louis, vol. 84(Sep), pages 75-86.
    20. Piazzesi, Monika & Schneider, Martin & Tuzel, Selale, 2007. "Housing, consumption and asset pricing," Journal of Financial Economics, Elsevier, vol. 83(3), pages 531-569, March.
    21. Indrajit Mitra & Yu Xu, 2020. "Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates," FRB Atlanta Working Paper 2020-20, Federal Reserve Bank of Atlanta.
    22. Ralph Chami & Thomas F. Cosimano & Connel Fullenkamp, 2001. "Capital Trading, Stock Trading, and the Inflation Tax on Equity," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(3), pages 575-606, July.
    23. Menzie D. Chinn & Michael LeBlanc & Olivier Coibion, 2005. "The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline," NBER Working Papers 11033, National Bureau of Economic Research, Inc.
    24. Christopher Polk & Paola Sapienza, 2004. "The Real Effects of Investor Sentiment," NBER Working Papers 10563, National Bureau of Economic Research, Inc.
    25. Belo, Frederico, 2010. "Production-based measures of risk for asset pricing," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 146-163, March.
    26. John H. Cochrane, 1989. "Using Production Based Asset Pricing to Explain the Behavior of Stock Returns Over the Business Cycle," NBER Working Papers 3212, National Bureau of Economic Research, Inc.
    27. Warwick J McKibbin & Peter J Wilcoxen, 1997. "Macroeconomic Volatility In General Equilibrium," Departmental Working Papers 1998-07, The Australian National University, Arndt-Corden Department of Economics, revised Jun 1998.
    28. Simon Price & Christoph Schleicher, 2006. "Returns to equity, investment and Q: evidence from the United Kingdom," Bank of England working papers 310, Bank of England.
    29. Christian Pedersen & Stephen Satchell, 2003. "Can NN-algorithms and macroeconomic data improve OLS industry returns forecasts?," The European Journal of Finance, Taylor & Francis Journals, vol. 9(3), pages 273-289.
    30. Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society.
    31. Nektarios Aslanidis & Denise Osborn & Marianne Sensier, 2003. "Explaining movements in UK stock prices:," Working Papers 0302, University of Crete, Department of Economics.
    32. Francois Gourio, 2005. "Operating Leverage, Stock Market Cyclicality, and the Cross-Section of Returns," 2005 Meeting Papers 66, Society for Economic Dynamics.

  50. John H. Cochrane, 1988. "The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives," NBER Working Papers 2730, National Bureau of Economic Research, Inc.

    Cited by:

    1. Ralph S. J. Koijen & Stijn Van Nieuwerburgh & Motohiro Yogo, 2014. "Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice," Staff Report 499, Federal Reserve Bank of Minneapolis.
    2. Monica Paiella, 2006. "The Foregone Gains of Incomplete Portfolios," CSEF Working Papers 156, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    3. Florin Bilbiie, 2008. "Limited Asset Market Participation, Monetary Policy and (Inverted) Aggregate Demand Logic," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00622865, HAL.
    4. Dobkin, Carlos & Puller, Steven L., 2007. "The effects of government transfers on monthly cycles in drug abuse, hospitalization and mortality," Journal of Public Economics, Elsevier, vol. 91(11-12), pages 2137-2157, December.
    5. Krebs, Tom & Krishna, Pravin & Maloney, William F., 2013. "Income Mobility and Welfare," Working Papers 13-02, University of Mannheim, Department of Economics.
    6. Melvin Stephens, Jr. & Takashi Unayama, 2010. "The Consumption Response to Seasonal Income: Evidence from Japanese Public Pension Benefits," NBER Working Papers 16342, National Bureau of Economic Research, Inc.
    7. Huang, Chao-Hsi & Lin, Kenneth S., 1993. "Deficits, government expenditures, and tax smoothing in the United States: 1929-1988," Journal of Monetary Economics, Elsevier, vol. 31(3), pages 317-339, June.
    8. Hatzinikolaou, Dimitris, 1999. "Modelling consumption: permanent-income or rule-of-thumb behaviour?," Economic Modelling, Elsevier, vol. 16(2), pages 293-306, April.
    9. Thomas Meissner & Davud Rostam-Afschar, 2014. "Do Tax Cuts Increase Consumption? An Experimental Test of Ricardian Equivalence," SFB 649 Discussion Papers SFB649DP2014-062, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    10. Michael Boutros, 2022. "Windfall Income Shocks with Finite Planning Horizons," Staff Working Papers 22-40, Bank of Canada.
    11. Jesse M. Shapiro, 2003. "Is there a Daily Discount Rate? Evidence from the Food Stamp Nutrition Cycle," Microeconomics 0304005, University Library of Munich, Germany, revised 04 Sep 2003.
    12. Arna Vardardottir & Michaela Pagel, 2016. "The Liquid Hand-to-Mouth: Evidence from a Personal Finance Management Software," 2016 Meeting Papers 789, Society for Economic Dynamics.
    13. Laurence Ball, 2000. "Near-Rationality and Inflation in Two Monetary Regimes," Economics Working Paper Archive 435, The Johns Hopkins University,Department of Economics.
    14. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
    15. Orazio P. Attanasio & Guglielmo Weber, 2010. "Consumption and Saving: Models of Intertemporal Allocation and Their Implications for Public Policy," NBER Working Papers 15756, National Bureau of Economic Research, Inc.
    16. Adam, K., 2000. "Adaptive Learning and the Cyclical Behavior of Output and Inflation," Economics Working Papers eco2000/25, European University Institute.
    17. Bahram Adrangi & Kambiz Raffiee, 1997. "Optimization Analysis of the U.S. Aggregate Consumption: A Goodness-of-Fit Approach," The American Economist, Sage Publications, vol. 41(2), pages 62-69, October.
    18. Feigenbaum, James, 2005. "Second-, third-, and higher-order consumption functions: a precautionary tale," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1385-1425, August.
    19. Yulei Luo, 2024. "Consumption Dynamics under Information Processing Constraints," CEMA Working Papers 622, China Economics and Management Academy, Central University of Finance and Economics.
    20. Hassan, Tarek & Mertens, Thomas M., 2014. "The Social Cost of Near-Rational Investment," CEPR Discussion Papers 10007, C.E.P.R. Discussion Papers.
    21. Luo, Yulei & Young, Eric R., 2016. "Induced uncertainty, market price of risk, and the dynamics of consumption and wealth," Journal of Economic Theory, Elsevier, vol. 163(C), pages 1-41.
    22. Alexander L. Brown & Colin F. Camerer & Zhikang Eric Chua, 2006. "Learning and Visceral Temptation in Dynamic Savings Experiments," Levine's Bibliography 321307000000000048, UCLA Department of Economics.
    23. Klaus Adam, 2003. "Learning to Forecast and Cyclical Behavior of Output and Inflation," Computing in Economics and Finance 2003 297, Society for Computational Economics.
    24. Leyla Jianyu Han & Kenneth Kasa, 2019. "Ambiguity and Information Processing in a Model of Intermediary Asset Pricing," Discussion Papers dp19-04, Department of Economics, Simon Fraser University.
    25. Alfonso A. Irarrazabal & Lin Ma & Juan Carlos Parra-Alvarez, 2020. "Optimal Asset Allocation for Commodity Sovereign Wealth Funds," CREATES Research Papers 2020-10, Department of Economics and Business Economics, Aarhus University.
    26. Gruen, D.W.R. & Gizycki, M.C., 1993. "Explaining Forward Discount Bias: Is It Anchoring?," Papers 164, Princeton, Woodrow Wilson School - Public and International Affairs.
    27. Martin Browning & Thomas F. Crossley, 2001. "The Life-Cycle Model of Consumption and Saving," Journal of Economic Perspectives, American Economic Association, vol. 15(3), pages 3-22, Summer.
    28. Greg Kaplan & Giovanni L. Violante, 2011. "A Model of the Consumption Response to Fiscal Stimulus Payments," NBER Working Papers 17338, National Bureau of Economic Research, Inc.
    29. Ricardo J. Caballero, 1992. "Near-Rationality, Heterogeneity and Aggregate Consumption," NBER Working Papers 4035, National Bureau of Economic Research, Inc.
    30. LeBaron, Blake & Arthur, W. Brian & Palmer, Richard, 1999. "Time series properties of an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1487-1516, September.
    31. Ran Abramitzky & Liran Einav & Shimon Kolkowitz & Roy Mill, 2012. "On The Optimality Of Line Call Challenges In Professional Tennis," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(3), pages 939-964, August.
    32. Martin Eichenbaum, 2011. "Comment on "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing"," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 49-60, National Bureau of Economic Research, Inc.
    33. Violante, Giovanni & Kaplan, Greg & Weidner, Justin, 2014. "The Wealthy Hand-to-Mouth," CEPR Discussion Papers 9954, C.E.P.R. Discussion Papers.
    34. Basak, Suleyman & Yan, Hongjun, 2009. "Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion," CEPR Discussion Papers 7398, C.E.P.R. Discussion Papers.
    35. Ian Dew-Becker & Charles G. Nathanson, 2017. "Directed Attention and Nonparametric Learning," NBER Working Papers 23917, National Bureau of Economic Research, Inc.
    36. Erzo G. J. Luttmer, 1999. "What Level of Fixed Costs Can Reconcile Consumption and Stock Returns?," Journal of Political Economy, University of Chicago Press, vol. 107(5), pages 969-997, October.
    37. M. Dolores Collado & Martín Browning, 1999. "-The Response Of Expenditures To Anticipated Income Changes: Panel Data Estimates," Working Papers. Serie AD 1999-19, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    38. Per Krusell & Anthony A. Smith, Jr., "undated". "Income and Wealth Heterogeneity in the Macroeconomy," GSIA Working Papers 1997-37, Carnegie Mellon University, Tepper School of Business.
    39. Reiter, Michael, 1999. "Ricardian equivalence with uninformed consumers?," European Journal of Political Economy, Elsevier, vol. 15(4), pages 747-758, November.
    40. Maćkowiak, Bartosz & Wiederholt, Mirko, 2011. "Business cycle dynamics under rational inattention," Working Paper Series 1331, European Central Bank.
    41. Arna Olafsson & Michaela Pagel, 2018. "The Liquid Hand-to-Mouth: Evidence from Personal Finance Management Software," The Review of Financial Studies, Society for Financial Studies, vol. 31(11), pages 4398-4446.
    42. Melvin Stephens Jr., 2003. ""3rd of tha Month": Do Social Security Recipients Smooth Consumption Between Checks?," American Economic Review, American Economic Association, vol. 93(1), pages 406-422, March.
    43. Bhalotra, Sonia, 1998. "Investigating rationality in wage-setting," LSE Research Online Documents on Economics 6682, London School of Economics and Political Science, LSE Library.
    44. Constantinos Kardaras & Hyeng Keun Koo & Johannes Ruf, 2022. "Estimation of growth in fund models," Papers 2208.02573, arXiv.org.
    45. Rodepeter, Ralf & Winter, Joachim, 1999. "Rules of thumb in life-cycle savings models," Papers 99-81, Sonderforschungsbreich 504.
    46. Katsunori Watanabe & Takayuki Watanabe & Tsutomu Watanabe, 1999. "Tax Policy and Consumer Spending: Evidence from Japanese Fiscal Experiments," NBER Working Papers 7252, National Bureau of Economic Research, Inc.
    47. Xavier Gabaix, 2016. "Behavioral Macroeconomics Via Sparse Dynamic Programming," NBER Working Papers 21848, National Bureau of Economic Research, Inc.
    48. Laurens Cherchye & Thomas Demuynck & Bram De Rock & Mariia Kovaleva & Geoffrey Minne & Maite De Sola Perea & Frederic Vermeulen, 2023. "Poor and Wealthy Hand-to-mouth Households in Belgium," Working Papers ECARES 2023-05, ULB -- Universite Libre de Bruxelles.
    49. Gabe de Bondt, 1999. "Credit channels and consumption in Europe: empirical evidence," BIS Working Papers 69, Bank for International Settlements.
    50. Stijn Van Nieuwerburgh & Motohiro Yogo & Ralph S.J. Koijen, 2009. "Optimal Health and Longevity Insurance," 2009 Meeting Papers 185, Society for Economic Dynamics.
    51. Greg Kaplan & Giovanni L. Violante, 2014. "A Tale of Two Stimulus Payments: 2001 versus 2008," American Economic Review, American Economic Association, vol. 104(5), pages 116-121, May.
    52. Mollerstrom, Johanna Britta & Laibson, David I. & Chauvin, Kyle, 2011. "Asset Bubbles and the Cost of Economic Fluctuations," Scholarly Articles 9938146, Harvard University Department of Economics.
    53. Emilio Fernandez-Corugedo, 2004. "Consumption Theory," Handbooks, Centre for Central Banking Studies, Bank of England, number 23, April.
    54. Stephen G. Cecchetti & Pok-Sang Lam & Nelson Mark, 1998. "Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?," Working Papers 98-04, Ohio State University, Department of Economics.
    55. John H. Cochrane, 1992. "A Cross-Sectional Test of a Production-Based Asset Pricing Model," NBER Working Papers 4025, National Bureau of Economic Research, Inc.
    56. Ogaki, M. & Park, Y.Y., 1989. "A Cointegration Approach To Estimating Preference Parameters," RCER Working Papers 209, University of Rochester - Center for Economic Research (RCER).
    57. Martin Eichenbaum, 2012. "Comment," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 49-60.
    58. Pischke, J., 1992. "Individual Income, Incomplete Information, and Aggregate Consumption," Discussion Paper 1992-38, Tilburg University, Center for Economic Research.
    59. Raj Chetty, 2009. "Bounds on Elasticities with Optimization Frictions: A Synthesis of Micro and Macro Evidence on Labor Supply," NBER Working Papers 15616, National Bureau of Economic Research, Inc.
    60. Jules Binsbergen & Michael Brandt, 2007. "Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 355-367, May.
    61. Florin Bilbiie, 2005. "Limited Asset Markets Participation, Monetary Policy and (Inverted) Keynesian Logic," Economics Papers 2005-W09, Economics Group, Nuffield College, University of Oxford.
    62. 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.
    63. Andersson, Fredrik W., 2011. "The lambda model and "rule of thumb" consumers: An estimation problem in existing studies," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 40(4), pages 381-384, August.
    64. Nicola Fuchs-Schuendeln & Tarek Alexander Hassan, 2015. "Natural Experiments in Macroeconomics," NBER Working Papers 21228, National Bureau of Economic Research, Inc.
    65. Brandt, M.W.Michael W. & Zeng, Qi & Zhang, Lu, 2004. "Equilibrium stock return dynamics under alternative rules of learning about hidden states," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 1925-1954, September.
    66. Howitt, Peter & Özak, Ömer, 2014. "Adaptive consumption behavior," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 37-61.
    67. Kenneth J. Singleton, 2014. "Investor Flows and the 2008 Boom/Bust in Oil Prices," Management Science, INFORMS, vol. 60(2), pages 300-318, February.
    68. Per Krusell & Anthony A. Smith, Jr., 1999. "On the Welfare Effects of Eliminating Business Cycles," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 2(1), pages 245-272, January.
    69. Cavalcanti, Carlos B., 1993. "Intertemporal Substitution in Consumption: An American Investigation for Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 13(2), November.
    70. Finocchiaro, Daria, 2011. "Inattention, wealth inequality and equilibrium asset prices," Journal of Monetary Economics, Elsevier, vol. 58(2), pages 146-155, March.
    71. S. Rao Aiyagari, 1994. "Macroeconomics with frictions," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 18(Sum), pages 24-40.
    72. Yulei Luo & Eric R. Young, 2010. "Risk-Sensitive Consumption and Savings under Rational Inattention," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(4), pages 281-325, October.
    73. Daria Pignalosa, 2021. "The Euler Equation Approach: Critical Implications of Recent Developments in the Theory of Intertemporal Choice," Bulletin of Political Economy, Bulletin of Political Economy, vol. 15(1), pages 1-43, June.
    74. John H. Cochrane, 1989. "Using Production Based Asset Pricing to Explain the Behavior of Stock Returns Over the Business Cycle," NBER Working Papers 3212, National Bureau of Economic Research, Inc.
    75. Ricardo Reis, 2004. "Inattentive Consumers," NBER Working Papers 10883, National Bureau of Economic Research, Inc.
    76. Neil R. Ericsson & John S. Irons, 1995. "The Lucas critique in practice: theory without measurement," International Finance Discussion Papers 506, Board of Governors of the Federal Reserve System (U.S.).
    77. Tutino, Antonella, 2008. "The rigidity of choice: lifetime savings under information-processing constraints," MPRA Paper 16744, University Library of Munich, Germany, revised 24 Jul 2009.
    78. David Demery & Nigel W. Duck, 2000. "Incomplete information and the time series behaviour of consumption," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(4), pages 355-366.
    79. Antonella Tutino, 2008. "The rigidity of choice: Lifecycle savings with information-processing limits," Finance and Economics Discussion Series 2008-62, Board of Governors of the Federal Reserve System (U.S.).
    80. David Gruen, 1997. "Ignorance and Ricardian Equivalence," The Economic Record, The Economic Society of Australia, vol. 73(220), pages 35-44, March.
    81. Emilio Fernandez-Corugedo & Simon Price, 2002. "Financial liberalisation and consumers' expenditure: 'FLIB' re-examined," Bank of England working papers 157, Bank of England.
    82. Iacono, Roberto, 2017. "A comparison of fiscal rules for resource-rich economies," Economic Analysis and Policy, Elsevier, vol. 55(C), pages 179-193.
    83. Chen Lian, 2021. "Mistakes in Future Consumption, High MPCs Now," NBER Working Papers 29517, National Bureau of Economic Research, Inc.
    84. Lorenz Kueng, 2015. "Explaining Consumption Excess Sensitivity with Near-Rationality: Evidence from Large Predetermined Payments," NBER Working Papers 21772, National Bureau of Economic Research, Inc.
    85. Cole, Harold L. & Obstfeld, Maurice, 1991. "Commodity trade and international risk sharing : How much do financial markets matter?," Journal of Monetary Economics, Elsevier, vol. 28(1), pages 3-24, August.
    86. Charles S. Tapiero, 2015. "A financial CCAPM and economic inequalities," Quantitative Finance, Taylor & Francis Journals, vol. 15(3), pages 521-534, March.
    87. John H. Cochrane, 1988. "Production Based Asset Pricing," NBER Working Papers 2776, National Bureau of Economic Research, Inc.
    88. Sonia Bhalotra, 2006. "Near rationality in wage setting," Applied Economics, Taylor & Francis Journals, vol. 38(21), pages 2513-2521.
    89. Sebastian Gechert & Jan Siebert, 2019. "Preferences over wealth," IMK Working Paper 200-2019, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    90. Deniz Aydin, 2022. "Consumption Response to Credit Expansions: Evidence from Experimental Assignment of 45,307 Credit Lines," American Economic Review, American Economic Association, vol. 112(1), pages 1-40, January.
    91. Cochrane, John H, 1996. "A Cross-Sectional Test of an Investment-Based Asset Pricing Model," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 572-621, June.
    92. Yulei Luo, 2005. "Consumption Dynamics under Information Processing Constraints," Macroeconomics 0505011, University Library of Munich, Germany, revised 04 Jun 2005.
    93. Sheng-Cheng Hu, 1996. "Myopia and Social Security Financing," Public Finance Review, , vol. 24(3), pages 319-348, July.
    94. Lawrence J. Christiano, 1989. "Understanding Japan's saving rate: the reconstruction hypothesis," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 13(Spr), pages 10-25.
    95. Julia Campos & Neil R. Ericsson, 1999. "Contructive data mining: modeling consumers' expenditure in Venezuela," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 226-240.
    96. John Conlisk, 1996. "Why Bounded Rationality?," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 669-700, June.
    97. Fei Cong & Cornelis W. Oosterlee, 2017. "Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 433-458, March.
    98. J r my Boccanfuso, 2022. "Consumption Response Heterogeneity and Dynamics with an Inattention Region," Working Papers wp1172, Dipartimento Scienze Economiche, Universita' di Bologna.
    99. Watanabe, Katsunori & Watanabe, Takayuki & Watanabe, Tsutomu, 2001. "Tax policy and consumer spending: evidence from Japanese fiscal experiments," Journal of International Economics, Elsevier, vol. 53(2), pages 261-281, April.
    100. Gechert, Sebastian & Siebert, Jan, 2022. "Preferences over wealth: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 1297-1317.
    101. Chakrabarti, Rajesh, 2000. "Just another day in the inter-bank foreign exchange market," Journal of Financial Economics, Elsevier, vol. 56(1), pages 29-64, April.
    102. Yulei Luo, 2005. "Consumption Dynamics, Asset Pricing, and Welfare Effects under Information Processing Constraints," 2005 Meeting Papers 345, Society for Economic Dynamics.
    103. Glaeser, Edward L. & Paulson, Anna L., 1997. "A reconsideration of the (in)sensitivity of tests of the intertemporal allocation of consumption to near rational alternatives," Journal of Economic Dynamics and Control, Elsevier, vol. 21(7), pages 1173-1180, June.
    104. 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.
    105. Ryan Banerjee & Nicoletta Batini, 2003. "UK Consumers’ Habits," Discussion Papers 13, Monetary Policy Committee Unit, Bank of England.
    106. Graciela L. Kaminsky & Alfredo Pereira, 1994. "The debt crisis: lessons of the 1980's for the 1990's," International Finance Discussion Papers 481, Board of Governors of the Federal Reserve System (U.S.).
    107. Krusell, Per & Smith, Anthony Jr., 1996. "Rules of thumb in macroeconomic equilibrium A quantitative analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 20(4), pages 527-558, April.
    108. Aram Balagyozyan & Christos Giannikos, 2018. "Ambiguity and the Excess Consumption Growth Puzzle," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 17(1), pages 5-15, June.
    109. Ericsson Neil R., 2016. "Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 377-398, September.

Articles

  1. John Cochrane, 2024. "Expectations and the Neutrality of Interest Rates," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 53, pages 194-223, July.
    See citations under working paper version above.
  2. John Cochrane, 2022. "A fiscal theory of monetary policy with partially repaid long-term debt," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 45, pages 1-21, July.
    See citations under working paper version above.
  3. John Cochrane, 2022. "The fiscal root of inflation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 45, pages 22-40, July.
    See citations under working paper version above.
  4. John H. Cochrane, 2020. "Strategic Review and Beyond: Rethinking Monetary Policy and Independence," Review, Federal Reserve Bank of St. Louis, vol. 102(2), pages 99-119, May.

    Cited by:

    1. Francisco Louçã & Alexandre Abreu & Gonçalo Pessa Costa, 2021. "Disarray at the headquarters: Economists and Central bankers tested by the subprime and the COVID recessions [Forward guidance without common knowledge]," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 30(2), pages 273-296.

  5. John H. Cochrane, 2014. "Challenges for Cost-Benefit Analysis of Financial Regulation," The Journal of Legal Studies, University of Chicago Press, vol. 43(S2), pages 63-105.

    Cited by:

    1. Michael Ewens & Kairong Xiao & Ting Xu, 2021. "Regulatory Costs of Being Public: Evidence from Bunching Estimation," NBER Working Papers 29143, National Bureau of Economic Research, Inc.
    2. Eduardo Dávila, 2020. "Optimal Financial Transaction Taxes," NBER Working Papers 27826, National Bureau of Economic Research, Inc.
    3. Thomas L. Hogan, 2021. "A Review of the Regulatory Impact Analysis of Risk-Based Capital and Related Liquidity Rules," JRFM, MDPI, vol. 14(1), pages 1-29, January.
    4. Francesco Trebbi & Kairong Xiao, 2015. "Regulation and Market Liquidity," NBER Working Papers 21739, National Bureau of Economic Research, Inc.
    5. Christian Leuz, 2018. "Evidence-Based Policymaking: Promise, Challenges and Opportunities for Accounting and Financial Markets Research," NBER Working Papers 24535, National Bureau of Economic Research, Inc.
    6. Hans Genberg & Michael Zamorski, 2015. "Implementing Macroprudential Policies: Challenges, Pitfalls and Way Forward," Working Papers wp09, South East Asian Central Banks (SEACEN) Research and Training Centre.
    7. Miller, Steph & Barth, James, 2017. "Benefits and Costs of a Higher Bank Leverage Ratio," Working Papers 07847, George Mason University, Mercatus Center.
    8. Eric A. Posner & E. Glen Weyl, 2014. "Benefit-Cost Paradigms in Financial Regulation," The Journal of Legal Studies, University of Chicago Press, vol. 43(S2), pages 1-34.
    9. Katharina Hombach & Thorsten Sellhorn, 2019. "Shaping Corporate Actions Through Targeted Transparency Regulation: A Framework and Review of Extant Evidence," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 71(2), pages 137-168, May.
    10. Ingo Fender & Ulf Lewrick, 2016. "Adding it all up: the macroeconomic impact of Basel II and outstanding reform issues," BIS Working Papers 591, Bank for International Settlements.
    11. Berggren, Niclas & Bjørnskov, Christian, 2018. "Regulation and Government Debt," Working Paper Series 1239, Research Institute of Industrial Economics.
    12. Gadi Barlevy, 2015. "Bubbles and Fools," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q II.
    13. Buch, Claudia M. & Vogel, Edgar & Weigert, Benjamin, 2018. "Evaluating macroprudential policies," ESRB Working Paper Series 76, European Systemic Risk Board.
    14. Ellig, Jerry, 2016. "Improvements in SEC Economic Analysis since Business Roundtable: A Structured Assessment," Working Papers 07002, George Mason University, Mercatus Center.
    15. Laux, Christian, 2016. "The economic consequences of extending the use of fair value accounting in regulatory capital calculations: A discussion," Journal of Accounting and Economics, Elsevier, vol. 62(2), pages 204-208.
    16. Meraj Allahrakha & Jill Cetina & Benjamin Munyan & Sumudu Watugala, 2019. "The Effects of the Volcker Rule on Corporate Bond Trading: Evidence from the Underwriting Exemption," Working Papers 19-02, Office of Financial Research, US Department of the Treasury.

  6. John H. Cochrane, 2014. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," Journal of Finance, American Finance Association, vol. 69(1), pages 1-49, February.
    See citations under working paper version above.
  7. Cochrane, John H., 2014. "Monetary policy with interest on reserves," Journal of Economic Dynamics and Control, Elsevier, vol. 49(C), pages 74-108.
    See citations under working paper version above.
  8. Martin N. Baily & John Y. Campbell & John H. Cochrane & Douglas W. Diamond & Darrell Duffie & Kenneth R. French & Anil K. Kashyap & Frederic S. Mishkin & Raghuram Rajan & David S. Scharfstein & Robert, 2013. "Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group," Journal of Applied Corporate Finance, Morgan Stanley, vol. 25(4), pages 37-40, December.

    Cited by:

    1. Hilscher, Jens & Raviv, Alon, 2014. "Bank stability and market discipline: The effect of contingent capital on risk taking and default probability," Journal of Corporate Finance, Elsevier, vol. 29(C), pages 542-560.
    2. Guglielmo Maria Caporale & Woo-Young Kang, 2019. "On the preferences of CoCo bond buyers and sellers," CESifo Working Paper Series 7551, CESifo.
    3. Viral V. Acharya & Hamid Mehran & Rangarajan K. Sundaram, 2016. "Cash holdings and bank compensation," Economic Policy Review, Federal Reserve Bank of New York, issue Aug, pages 77-83.
    4. Joseph P. Hughes, 2017. "Capital Regulation: Less Really Can Be More When Incentives Are Socially Aligned," Departmental Working Papers 201704, Rutgers University, Department of Economics.
    5. Philippe Oster, 2020. "Contingent Convertible bond literature review: making everything and nothing possible?," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(4), pages 343-381, December.

  9. John H. Cochrane, 2013. "Finance: Function Matters, Not Size," Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 29-50, Spring.
    See citations under working paper version above.
  10. Cochrane, John H., 2012. "Continuous-Time Linear Models," Foundations and Trends(R) in Finance, now publishers, vol. 6(3), pages 165-219, November.
    See citations under working paper version above.
  11. Cochrane, John H., 2011. "Understanding policy in the great recession: Some unpleasant fiscal arithmetic," European Economic Review, Elsevier, vol. 55(1), pages 2-30, January.
    See citations under working paper version above.
  12. John H. Cochrane, 2011. "HOW DID PAUL KRUGMAN GET IT SO WRONG?-super-1," Economic Affairs, Wiley Blackwell, vol. 31(2), pages 36-40, June.

    Cited by:

    1. Renhe Liu & Eddie Chi-man Hui & Jiaqi Lv & Yi Chen, 2017. "What Drives Housing Markets: Fundamentals or Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 55(4), pages 395-415, November.
    2. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    3. Arne Heise, 2014. "The Future of Economics in a Lakatos–Bourdieu Framework," International Journal of Political Economy, Taylor & Francis Journals, vol. 43(3), pages 70-93, July.
    4. Leland Bybee & Bryan T. Kelly & Asaf Manela & Dacheng Xiu, 2020. "The Structure of Economic News," NBER Working Papers 26648, National Bureau of Economic Research, Inc.
    5. Paolo Gelain & Kevin J. Lansing, 2013. "House prices, expectations, and time-varying fundamentals," Working Paper 2013/05, Norges Bank.
    6. Peter Spiegler & William Milberg, 2011. "Methodenstreit 2011? Historical perspective on the contemporary debate over how to reform economics," Working Papers 1106, New School for Social Research, Department of Economics.
    7. David C. Ling & Joseph T.L. Ooi & Thao T.T. Le, 2015. "Explaining House Price Dynamics: Isolating the Role of Nonfundamentals," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(S1), pages 87-125, March.
    8. van Dalen, Hendrik Peter, 2019. "Do the Values of Economists Matter in the Art and Science of Economics?," Other publications TiSEM bda08972-cae2-4c5b-be28-c, Tilburg University, School of Economics and Management.
    9. Benjamin Beckers & Kerstin Bernoth, 2016. "Monetary Policy and Mispricing in Stock Markets," Discussion Papers of DIW Berlin 1605, DIW Berlin, German Institute for Economic Research.
    10. Marchionne, Francesco & Pisicoli, Beniamino & Fratianni, Michele, 2022. "Regulation, financial crises, and liberalization traps," Journal of Financial Stability, Elsevier, vol. 63(C).
    11. Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    12. Beckers, Benjamin & Bernoth, Kerstin, 2016. "Monetary Policy and Asset Mispricing," VfS Annual Conference 2016 (Augsburg): Demographic Change 145684, Verein für Socialpolitik / German Economic Association.
    13. Hager, Sandy Brian, 2013. "Public Debt, Ownership and Power: The Political Economy of Distribution and Redistribution," EconStor Theses, ZBW - Leibniz Information Centre for Economics, number 157991, March.
    14. Heise, Arne, 2018. "Reclaiming the university: Transforming economics as a discipline," ZÖSS-Discussion Papers 67, University of Hamburg, Centre for Economic and Sociological Studies (CESS/ZÖSS).
    15. Joanna Dzionek-Kozlowska, 2014. "Economics in Times of Crisis. In Search of a New Paradigm," Lodz Economics Working Papers 5/2014, University of Lodz, Faculty of Economics and Sociology.
    16. Rambaccussing, Dooruj, 2015. "Modelling Housing Prices using a Present Value State Space Model," SIRE Discussion Papers 2015-80, Scottish Institute for Research in Economics (SIRE).
    17. Niemeier, Hans-Martin, 2021. "Is economics good for aviation policy? Some problems in bridging the gap between theory and policy," Journal of Air Transport Management, Elsevier, vol. 96(C).
    18. Santiago J. Gangotena, 2017. "Dynamic coordinating non-equilibrium," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, vol. 30(1), pages 51-82, March.

  13. John H. Cochrane, 2011. "Determinacy and Identification with Taylor Rules," Journal of Political Economy, University of Chicago Press, vol. 119(3), pages 565-615.
    See citations under working paper version above.
  14. John H. Cochrane, 2011. "Presidential Address: Discount Rates," Journal of Finance, American Finance Association, vol. 66(4), pages 1047-1108, August.

    Cited by:

    1. Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2018. "A Measure of Risk Appetite for the Macroeconomy," NBER Working Papers 24529, National Bureau of Economic Research, Inc.
    2. Jäckel, Christoph, 2013. "Model uncertainty and expected return proxies," MPRA Paper 51978, University Library of Munich, Germany.
    3. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression-based estimation of dynamic asset pricing models," Journal of Financial Economics, Elsevier, vol. 118(2), pages 211-244.
    4. López Gaviria, José Ignacio, 2019. "Predictibilidad del mercado accionario colombiano," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 91, pages 117-150, July.
    5. Angus Moore, 2016. "Measuring Economic Uncertainty and Its Effects," RBA Research Discussion Papers rdp2016-01, Reserve Bank of Australia.
    6. Butt, Hilal Anwar & Virk, Nader Shahzad, 2019. "Market downturns, zero investment strategies and systematic liquidity risk," Finance Research Letters, Elsevier, vol. 28(C), pages 246-253.
    7. Paulo Maio, 2014. "Another Look at the Stock Return Response to Monetary Policy Actions," Review of Finance, European Finance Association, vol. 18(1), pages 321-371.
    8. Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020. "Taming the Factor Zoo: A Test of New Factors," CEPR Discussion Papers 14266, C.E.P.R. Discussion Papers.
    9. Paul Schneider & Christian Wagner & Josef Zechner, 2019. "Low Risk Anomalies?," Swiss Finance Institute Research Paper Series 19-50, Swiss Finance Institute.
    10. Frank, Murray Z. & Nezafat, Mahdi, 2019. "Testing the credit-market-timing hypothesis using counterfactual issuing dates," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 187-207.
    11. Verena Monschang & Bernd Wilfling, 2019. "Sup-ADF-style bubble-detection methods under test," CQE Working Papers 7819, Center for Quantitative Economics (CQE), University of Muenster.
    12. Mike Qinghao Mao & K. C. John Wei, 2016. "Cash-Flow News and the Investment Effect in the Cross Section of Stock Returns," Management Science, INFORMS, vol. 62(9), pages 2504-2519, September.
    13. Mittnik, Stefan & Semmler, Willi, 2013. "The real consequences of financial stress," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1479-1499.
    14. Penasse, J.N.G. & Renneboog, L.D.R., 2014. "Bubbles and Trading Frenzies : Evidence from the Art Market," Other publications TiSEM 386dd5e7-e672-4d9d-829c-6, Tilburg University, School of Economics and Management.
    15. Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016. "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 31-38.
    16. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    17. Andrew Coleman, 2019. "Liquidity, the government balance sheet, and the public sector discount rate," Working Papers 19_13, Motu Economic and Public Policy Research.
    18. Markus Leippold & Hanlin Yang, 2023. "Mixed‐frequency predictive regressions with parameter learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 1955-1972, December.
    19. Amstad, Marlene & Packer, Frank & Shek, Jimmy, 2020. "Does sovereign risk in local and foreign currency differ?," Journal of International Money and Finance, Elsevier, vol. 101(C).
    20. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
    21. Andrey Lebedev & Alexey Cherepovitsyn, 2024. "Waste Management during the Production Drilling Stage in the Oil and Gas Sector: A Feasibility Study," Resources, MDPI, vol. 13(2), pages 1-30, February.
    22. Robert E. Hall, 2016. "Macroeconomics of Persistent Slumps," NBER Working Papers 22230, National Bureau of Economic Research, Inc.
    23. Muhammad Kashif & Thomas Leirvik, 2022. "The MAX Effect in an Oil Exporting Country: The Case of Norway," JRFM, MDPI, vol. 15(4), pages 1-16, March.
    24. Jean-Philippe Bouchaud & Philipp Krueger & Augustin Landier & David Thesmar, 2016. "Sticky Expectations and the Profitability Anomaly," Swiss Finance Institute Research Paper Series 16-60, Swiss Finance Institute.
    25. Baltzer, Markus & Koehl, Alexandra & Reitz, Stefan, 2019. "Procyclical leverage in Europe and its role in asset pricing," Discussion Papers 10/2019, Deutsche Bundesbank.
    26. Qihui Chen & Nikolai Roussanov & Xiaoliang Wang, 2021. "Semiparametric Conditional Factor Models: Estimation and Inference," Papers 2112.07121, arXiv.org, revised Sep 2023.
    27. Yang, Jian & Tong, Meng & Yu, Ziliang, 2021. "Housing market spillovers through the lens of transaction volume: A new spillover index approach," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 351-378.
    28. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    29. Mateus, Irina B. & Mateus, Cesario & Todorovic, Natasa, 2019. "Review of new trends in the literature on factor models and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 344-354.
    30. Giovanni Calice & Levent Kutlu & Ming Zeng, 2021. "Understanding US firm efficiency and its asset pricing implications," Empirical Economics, Springer, vol. 60(2), pages 803-827, February.
    31. Fausch, Jürg & Sigonius, Markus, 2018. "The impact of ECB monetary policy surprises on the German stock market," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 46-63.
    32. Jérémy Leymarie & Christophe Hurlin & Antoine Patin, 2018. "Loss Functions for LGD Models Comparison," Post-Print hal-01923050, HAL.
    33. Jeffrey L. Callen, 2016. "Accounting Valuation and Cost of Equity Capital Dynamics," Abacus, Accounting Foundation, University of Sydney, vol. 52(1), pages 5-25, March.
    34. Jiahan Li & Ilias Tsiakas, 2016. "Equity Premium Prediction: The Role of Economic and Statistical Constraints," Working Paper series 16-25, Rimini Centre for Economic Analysis.
    35. Robert E. Hall, 2015. "Quantifying the Lasting Harm to the US Economy from the Financial Crisis," NBER Macroeconomics Annual, University of Chicago Press, vol. 29(1), pages 71-128.
    36. Lutzenberger, Fabian T., 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, vol. 23(3), pages 120-130.
    37. John H. Cochrane, 2014. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," Journal of Finance, American Finance Association, vol. 69(1), pages 1-49, February.
    38. Francesco Bianchi & Cosmin L. Ilut & Martin Schneider, 2018. "Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(2), pages 810-854.
    39. de Oliveira Souza, Thiago, 2016. "The size premium and intertemporal risk," Discussion Papers on Economics 3/2016, University of Southern Denmark, Department of Economics.
    40. Claudio E. Serur & Julián R. Siri & Juan A. Serur & José P. Dapena, 2019. "Unraveling the value premium: a reward for risk or mispricing?," CEMA Working Papers: Serie Documentos de Trabajo. 704, Universidad del CEMA.
    41. Brian H. Boyer & Taylor D. Nadauld & Keith P. Vorkink & Michael S. Weisbach, 2023. "Discount‐Rate Risk in Private Equity: Evidence from Secondary Market Transactions," Journal of Finance, American Finance Association, vol. 78(2), pages 835-885, April.
    42. ÅžimÅŸek, Alp & Caballero, Ricardo, 2022. "Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect," CEPR Discussion Papers 15163, C.E.P.R. Discussion Papers.
    43. Gueorgui I. Kolev, 2013. "Two gold return puzzles," Economics Bulletin, AccessEcon, vol. 33(3), pages 1762-1770.
    44. Dr. Thomas Nitschka, 2014. "The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?," Working Papers 2014-01, Swiss National Bank.
    45. Kewei Hou & Chen Xue & Lu Zhang, 2012. "Digesting Anomalies: An Investment Approach," NBER Working Papers 18435, National Bureau of Economic Research, Inc.
    46. Shahram Amini & Vijay Singal, 2020. "Are earnings predictable?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(3), pages 528-562, July.
    47. Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2015. "Convective Risk Flows in Commodity Futures Markets," Review of Finance, European Finance Association, vol. 19(5), pages 1733-1781.
    48. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
    49. Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, "undated". "X-CAPM: An Extrapolative Capital Asset Pricing Model," Working Paper 86521, Harvard University OpenScholar.
    50. Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.
    51. Lawrenz, Jochen & Zorn, Josef, 2018. "Decomposing the predictive power of local and global financial valuation ratios," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 137-149.
    52. Engsted, Tom & Pedersen, Thomas Q., 2015. "Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 257-275.
    53. Javier Rojo-Suárez & Ana Belén Alonso-Conde, 2020. "Impact of consumer confidence on the expected returns of the Tokyo Stock Exchange: A comparative analysis of consumption and production-based asset pricing models," PLOS ONE, Public Library of Science, vol. 15(11), pages 1-31, November.
    54. He, Mengxi & Zhang, Yaojie, 2022. "Climate policy uncertainty and the stock return predictability of the oil industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    55. Doron Avramov & Si Cheng & Lior Metzker & Stefan Voigt, 2023. "Integrating Factor Models," Journal of Finance, American Finance Association, vol. 78(3), pages 1593-1646, June.
    56. Moskowitz, Tobias J & Pedersen, Lasse Heje & Koijen, Ralph & Vrugt, Evert B., 2013. "Carry," CEPR Discussion Papers 9771, C.E.P.R. Discussion Papers.
      • Koijen, Ralph S.J. & Moskowitz, Tobias J. & Pedersen, Lasse Heje & Vrugt, Evert B., 2018. "Carry," Journal of Financial Economics, Elsevier, vol. 127(2), pages 197-225.
      • Ralph S.J. Koijen & Tobias J. Moskowitz & Lasse Heje Pedersen & Evert B. Vrugt, 2013. "Carry," NBER Working Papers 19325, National Bureau of Economic Research, Inc.
    57. Adrian, Tobias & Liang, Nellie, 2016. "Monetary Policy, Financial Conditions, and Financial Stability," CEPR Discussion Papers 11394, C.E.P.R. Discussion Papers.
    58. Jian Chen & Fuwei Jiang & Guoshi Tong, 2017. "Economic policy uncertainty in China and stock market expected returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(5), pages 1265-1286, December.
    59. Campbell, John Y. & Giglio, Stefano & Polk, Christopher, 2013. "Hard Times," Scholarly Articles 12172786, Harvard University Department of Economics.
    60. Yang, Shuai & Yuan, Jun & Nian, Victor & Li, Lu & Li, Hailong, 2022. "Economics of marinised offshore charging stations for electrifying the maritime sector," Applied Energy, Elsevier, vol. 322(C).
    61. Julian Kozlowski & Laura Veldkamp & Venky Venkateswaran, 2015. "The Tail that Wags the Economy: Beliefs and Persistent Stagnation," NBER Working Papers 21719, National Bureau of Economic Research, Inc.
    62. Zechner, Josef & Chaderina, Maria & Weiss, Patrick, 2020. "The Maturity Premium," CEPR Discussion Papers 14570, C.E.P.R. Discussion Papers.
    63. Makoto Shimizu, 2020. "The Present-Value Model of the Exchange Rate with a Persistently Time-Varying Risk Premium: Evidence from the Dollar-Yen Rate," Open Economies Review, Springer, vol. 31(5), pages 1037-1059, November.
    64. Huei-Wen Teng & Yu-Hsien Li, 2023. "Can deep neural networks outperform Fama-MacBeth regression and other supervised learning approaches in stock returns prediction with asset-pricing factors?," Digital Finance, Springer, vol. 5(1), pages 149-182, March.
    65. Susanto Basu & Giacomo Candian & Ryan Chahrour & Rosen Valchev, 2021. "Risky Business Cycles," NBER Working Papers 28693, National Bureau of Economic Research, Inc.
    66. Lajili Jarjir, Souad & Nasreddine, Aya & Desban, Marc, 2022. "Corporate social responsibility as a common risk factor," Global Finance Journal, Elsevier, vol. 52(C).
    67. John H Cochrane, 2022. "Portfolios for Long-Term Investors [Rare disasters and asset markets in the twentieth century]," Review of Finance, European Finance Association, vol. 26(1), pages 1-42.
    68. Cenedese, Gino & Mallucci, Enrico, 2015. "What moves international stock and bond markets?," LSE Research Online Documents on Economics 86296, London School of Economics and Political Science, LSE Library.
    69. Pierluigi Balduzzi & Emanuele Brancati & Fabio Schiantarelli, 2013. "Financial Markets, Banks' Cost of Funding, and Firms' Decisions: Lessons from Two Crises," Boston College Working Papers in Economics 824, Boston College Department of Economics, revised 12 Aug 2016.
    70. Ma, Feng & Wang, Ruoxin & Lu, Xinjie & Wahab, M.I.M., 2021. "A comprehensive look at stock return predictability by oil prices using economic constraint approaches," International Review of Financial Analysis, Elsevier, vol. 78(C).
    71. Wolfgang Schadner, 2021. "Feasible Implied Correlation Matrices from Factor Structures," Papers 2107.00427, arXiv.org.
    72. Evan Anderson & Ai-ru (Meg) Cheng, 2022. "Portfolio Choices with Many Big Models," Management Science, INFORMS, vol. 68(1), pages 690-715, January.
    73. Walkshäusl, Christian, 2016. "Mispricing and the five-factor model," Economics Letters, Elsevier, vol. 147(C), pages 99-102.
    74. Sebastian Di Tella, 2018. "A Neoclassical Theory of Liquidity Traps," 2018 Meeting Papers 96, Society for Economic Dynamics.
    75. Miss Estelle X Liu & Mr. Todd D. Mattina & Mr. Tigran Poghosyan, 2015. "Correcting “Beyond the Cycle": Accounting for Asset Prices in Structural Fiscal Balances," IMF Working Papers 2015/109, International Monetary Fund.
    76. Lu, Xinjie & Ma, Feng & Wang, Tianyang & Wen, Fenghua, 2023. "International stock market volatility: A data-rich environment based on oil shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 184-215.
    77. Gostlow, Glen, 2020. "The materiality and measurement of physical climate risk: evidence from Form 8-K," LSE Research Online Documents on Economics 107045, London School of Economics and Political Science, LSE Library.
    78. Wang, Wenzhao & Su, Chen & Duxbury, Darren, 2021. "Investor sentiment and stock returns: Global evidence," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 365-391.
    79. Oleg Rytchkov & Xun Zhong, 2020. "Information Aggregation and P-Hacking," Management Science, INFORMS, vol. 66(4), pages 1605-1626, April.
    80. Robin Greenwood & Samuel G. Hanson, 2015. "Waves in Ship Prices and Investment," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 130(1), pages 55-109.
    81. Charles F. Manski, 2018. "Survey Measurement of Probabilistic Macroeconomic Expectations: Progress and Promise," NBER Macroeconomics Annual, University of Chicago Press, vol. 32(1), pages 411-471.
    82. Hanson, Samuel G. & Shleifer, Andrei & Stein, Jeremy C. & Vishny, Robert W., 2015. "Banks as patient fixed-income investors," Journal of Financial Economics, Elsevier, vol. 117(3), pages 449-469.
    83. Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016. "Explosive bubbles in house prices? Evidence from the OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 14-25.
    84. Joel M. David & Ina Simonovska, 2015. "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Working Papers 21480, National Bureau of Economic Research, Inc.
    85. Mohsen Jafarian & Fauzias Mat Nor & Izani Ibrahim, 2018. "The Relative Importance of Cash Flow News and Discount Rate News at Driving Stock Price Change," Capital Markets Review, Malaysian Finance Association, vol. 26(1), pages 56-72.
    86. Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
    87. Andrew Y. Chen & Tom Zimmermann, 2018. "Publication Bias and the Cross-Section of Stock Returns," Finance and Economics Discussion Series 2018-033, Board of Governors of the Federal Reserve System (U.S.).
    88. Srivastava, Pranjal & Jacob, Joshy, 2022. "Risk information - normal markets and the COVID-19 pandemic period," IIMA Working Papers WP 2022-10-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
    89. François-Éric Racicot & William F Rentz & David Tessier & Raymond Théoret, 2019. "The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test," PLOS ONE, Public Library of Science, vol. 14(9), pages 1-26, September.
    90. Zheng Liu & Pengfei Wang & Tao Zha, 2019. "A Theory of Housing Demand Shocks," FRB Atlanta Working Paper 2019-4, Federal Reserve Bank of Atlanta.
    91. Lin, Qi, 2018. "Technical analysis and stock return predictability: An aligned approach," Journal of Financial Markets, Elsevier, vol. 38(C), pages 103-123.
    92. ÅžimÅŸek, Alp & Caballero, Ricardo, 2019. "Prudential Monetary Policy," CEPR Discussion Papers 13832, C.E.P.R. Discussion Papers.
    93. Ioannis C. Moutzouris & Nikos K. Nomikos, 2019. "The formation of forward freight agreement rates in dry bulk shipping: Spot rates, risk premia, and heterogeneous expectations," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(8), pages 1008-1031, August.
    94. Ivan Jaccard & Gauthier Vermandel & Ghassane Benmir, 2022. "Green asset pricing," Working Papers hal-03510811, HAL.
    95. Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," NBER Working Papers 25122, National Bureau of Economic Research, Inc.
    96. Demetrescu, Matei & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023. "Transformed regression-based long-horizon predictability tests," Journal of Econometrics, Elsevier, vol. 237(2).
    97. Liu, Chenxi & Kang, Mengyao, 2024. "Is the cash-returns relationship risk induced?," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    98. Franke, Benedikt & Müller, Sebastian & Müller, Sonja, 2017. "The q-factors and expected bond returns," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 19-35.
    99. Matthijs Lof, 2015. "Rational Speculators, Contrarians, and Excess Volatility," Management Science, INFORMS, vol. 61(8), pages 1889-1901, August.
    100. Guofu Zhou, 2018. "Measuring Investor Sentiment," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 239-259, November.
    101. Ke-Li Xu & Junjie Guo, 2021. "A New Test for Multiple Predictive Regression," CAEPR Working Papers 2022-001 Classification-C, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    102. Jacob Boudoukh & Ronen Israel & Matthew P. Richardson, 2020. "Biases in Long-Horizon Predictive Regressions," NBER Working Papers 27410, National Bureau of Economic Research, Inc.
    103. Leonid Kogan & Dimitris Papanikolaou, 2012. "A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks," NBER Working Papers 17975, National Bureau of Economic Research, Inc.
    104. ÅžimÅŸek, Alp, 2021. "The Macroeconomics of Financial Speculation," CEPR Discussion Papers 15733, C.E.P.R. Discussion Papers.
    105. Hoang, Khoa & Cannavan, Damien & Huang, Ronghong & Peng, Xiaowen, 2021. "Predicting stock returns with implied cost of capital: A partial least squares approach," Journal of Financial Markets, Elsevier, vol. 53(C).
    106. Cortez, Maria Céu & Andrade, Nuno & Silva, Florinda, 2022. "The environmental and financial performance of green energy investments: European evidence," Ecological Economics, Elsevier, vol. 197(C).
    107. Marie Briere & Ariane Szafarz, 2015. "Factor-Based v. Industry-Based Asset Allocation: The Contest," Working Papers CEB 15-035, ULB -- Universite Libre de Bruxelles.
    108. Ho, Tuan & Nguyen, Yen & Parikh, Bhavik & Vo, Dinh-Tri, 2020. "Does foreign exchange risk matter to equity research analysts when forecasting stock prices? Evidence from U.S. firms," International Review of Financial Analysis, Elsevier, vol. 72(C).
    109. de Oliveira Souza, Thiago, 2019. "Macro-finance and factor timing: Time-varying factor risk and price of risk premiums," Discussion Papers on Economics 7/2019, University of Southern Denmark, Department of Economics.
    110. Javier Rojo‐Suárez & Ana Belén Alonso‐Conde & Ricardo Ferrero‐Pozo, 2022. "Liquidity, time‐varying betas and anomalies: Is the high trading activity enhancing the validity of the CAPM in the UK equity market?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 45-60, January.
    111. Miguel Leon-Ledesma & Katsuyuki Shibayama, 2023. "(Endogenous) Growth Slowdowns," Studies in Economics 2303, School of Economics, University of Kent.
    112. Franc{c}ois Legendre & Djibril Togola, 2015. "Explicit solution to dynamic portfolio choice problem : The continuous-time detour," Papers 1504.03079, arXiv.org.
    113. de Oliveira Souza, Thiago, 2014. "Discount rates, market frictions, and the mystery of the size premium," Discussion Papers on Economics 15/2014, University of Southern Denmark, Department of Economics.
    114. Chen, Jian & Tang, Guohao & Yao, Jiaquan & Zhou, Guofu, 2023. "Employee sentiment and stock returns," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
    115. Souza, Thiago de Oliveira, 2020. "Dollar carry timing," Discussion Papers on Economics 10/2020, University of Southern Denmark, Department of Economics.
    116. Kostakis, Alexandros & Magdalinos, Tassos & Stamatogiannis, Michalis P., 2023. "Taking stock of long-horizon predictability tests: Are factor returns predictable?," Journal of Econometrics, Elsevier, vol. 237(2).
    117. Song, Ziyu & Yu, Changrui, 2022. "Investor sentiment indices based on k-step PLS algorithm: A group of powerful predictors of stock market returns," International Review of Financial Analysis, Elsevier, vol. 83(C).
    118. Vitor Azevedo & Christopher Hoegner, 2023. "Enhancing stock market anomalies with machine learning," Review of Quantitative Finance and Accounting, Springer, vol. 60(1), pages 195-230, January.
    119. Hommes, Cars & in ’t Veld, Daan, 2017. "Booms, busts and behavioural heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 101-124.
    120. Bakalli, Gaetan & Guerrier, Stéphane & Scaillet, Olivier, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Journal of Econometrics, Elsevier, vol. 237(2).
    121. Danny Yagan, 2014. "Riding the Bubble? Chasing Returns into Illiquid Assets," NBER Working Papers 20360, National Bureau of Economic Research, Inc.
    122. Joe Cho Yiu NG & Charles Ka Yui LEUNG & Suikang CHEN, 2022. "Corporate Real Estate Holding and Stock Returns: International Evidence from Listed Companies," ISER Discussion Paper 1158, Institute of Social and Economic Research, Osaka University.
    123. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
    124. Jank, Stephan, 2015. "Specialized human capital, unemployment risk, and the value premium," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113214, Verein für Socialpolitik / German Economic Association.
    125. Maio, Paulo & Xu, Danielle, 2020. "Cash-flow or return predictability at long horizons? The case of earnings yield," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 172-192.
    126. Clifford S. Asness & Andrea Frazzini & Lasse Heje Pedersen, 2019. "Quality minus junk," Review of Accounting Studies, Springer, vol. 24(1), pages 34-112, March.
    127. Thomas Nitschka, 2013. "The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization," Review of Financial Economics, John Wiley & Sons, vol. 22(3), pages 118-124, September.
    128. Peng Chen & Shu Wu, 2013. "On international stock market co-movements and macroeconomic risks," Applied Economics Letters, Taylor & Francis Journals, vol. 20(10), pages 978-982, July.
    129. Dahlquist, Magnus & Pénasse, Julien, 2022. "The missing risk premium in exchange rates," Journal of Financial Economics, Elsevier, vol. 143(2), pages 697-715.
    130. Roger E.A. Farmer & Carine Nourry & Alain Venditti, 2013. "The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World," AMSE Working Papers 1311, Aix-Marseille School of Economics, France, revised 26 Feb 2013.
    131. Ma, Feng & Lu, Fei & Tao, Ying, 2022. "Geopolitical risk and excess stock returns predictability: New evidence from a century of data," Finance Research Letters, Elsevier, vol. 50(C).
    132. Juan M. Morelli, 2021. "Limited Participation in Equity Markets and Business Cycles," Finance and Economics Discussion Series 2021-026, Board of Governors of the Federal Reserve System (U.S.).
    133. Chava, Sudheer & Gallmeyer, Michael & Park, Heungju, 2015. "Credit conditions and stock return predictability," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 117-132.
    134. Tim Bollerslev & Lai Xu & Hao Zhou, 2012. "Stock Return and Cash Flow Predictability: The Role of Volatility Risk," CREATES Research Papers 2012-51, Department of Economics and Business Economics, Aarhus University.
    135. Atanasov, Victoria & Nitschka, Thomas, 2014. "Currency excess returns and global downside market risk," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.
    136. Giglio, Stefano & Ströbel, Johannes & Maggiori, Matteo, 2014. "No-Bubble Condition: Model-Free Tests in Housing Markets," CEPR Discussion Papers 9978, C.E.P.R. Discussion Papers.
    137. Bo Li & Sabri Boubaker & Zhenya Liu & Waël Louhichi & Yao Yao, 2023. "Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 527-559, August.
    138. Anna Kovner & Peter Van Tassel, 2022. "Evaluating Regulatory Reform: Banks' Cost of Capital and Lending," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(5), pages 1313-1367, August.
    139. Pontus Rendahl & Renato Faccini, 2016. "Unemployment Insurance and Unemployment Volatility," 2016 Meeting Papers 910, Society for Economic Dynamics.
    140. Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "Estimation of large dimensional conditional factor models in finance," Working Papers unige:125031, University of Geneva, Geneva School of Economics and Management.
    141. Lettau, Martin & Pelger, Markus, 2018. "Factors that Fit the Time Series and Cross-Section of Stock Returns," CEPR Discussion Papers 13049, C.E.P.R. Discussion Papers.
    142. Usman Ali & David Hirshleifer, 2018. "Shared Analyst Coverage: Unifying Momentum Spillover Effects," NBER Working Papers 25201, National Bureau of Economic Research, Inc.
    143. Korniotis, George & Bhambhwani, Siddharth & Delikouras, Stefanos, 2019. "Blockchain Characteristics and the Cross-Section of Cryptocurrency Returns," CEPR Discussion Papers 13724, C.E.P.R. Discussion Papers.
    144. Gregory Nazaire & Maria Pacurar & Oumar Sy, 2020. "Betas versus characteristics: A practical perspective," European Financial Management, European Financial Management Association, vol. 26(5), pages 1385-1413, November.
    145. Elizabeth Watson, 2012. "Asset returns and the investment choices of New Zealanders," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 75, pages 26-34, September.
    146. Jank, Stephan, 2012. "Mutual fund flows, expected returns, and the real economy," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3060-3070.
    147. Reis, Pedro Manuel Nogueira & Pinho, Carlos, 2020. "A new European investor sentiment index (EURsent) and its return and volatility predictability," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    148. Jianjun Miao & Pengfei Wang & Tao Zha, 2020. "Discount Shock, Price-Rent Dynamics, and the Business Cycle," FRB Atlanta Working Paper 2020-7, Federal Reserve Bank of Atlanta.
    149. Yun, Jaeho, 2020. "A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX," Economics Letters, Elsevier, vol. 186(C).
    150. Renato Salvatore Camodeca & Christian Prinoth & Umberto Sagliaschi, 2020. "The Small-Sized Premium: Is It Really Relevant? Evidence from the European Equity Market," Accounting and Finance Research, Sciedu Press, vol. 9(3), pages 1-85, August.
    151. Weilun Zhou & Jiti Gao & David Harris & Hsein Kew, 2019. "Semiparametric Single-index Predictive Regression," Monash Econometrics and Business Statistics Working Papers 25/19, Monash University, Department of Econometrics and Business Statistics.
    152. Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," CEPR Discussion Papers 9484, C.E.P.R. Discussion Papers.
    153. Li, Zhao-Chen & Xie, Chi & Zeng, Zhi-Jian & Wang, Gang-Jin & Zhang, Ting, 2023. "Forecasting global stock market volatilities in an uncertain world," International Review of Financial Analysis, Elsevier, vol. 85(C).
    154. Sujata Behera, 2020. "Does the EVA valuation model explain the market value of equity better under changing required return than constant required return?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-23, December.
    155. Flint O'Neil, 2020. "Existence and Uniqueness of Recursive Utility Models in $L_p$," Papers 2005.07067, arXiv.org.
    156. Goulding, Christian L. & Harvey, Campbell R. & Mazzoleni, Michele G., 2023. "Momentum turning points," Journal of Financial Economics, Elsevier, vol. 149(3), pages 378-406.
    157. J. David Lopez-Salido & Francisco Vazquez-Grande & Pierlauro Lopez, 2015. "Macro-Finance Separation by Force of Habit," 2015 Meeting Papers 980, Society for Economic Dynamics.
    158. Söhnke M. Bartram & Harald Lohre & Peter F. Pope & Ananthalakshmi Ranganathan, 2021. "Navigating the factor zoo around the world: an institutional investor perspective," Journal of Business Economics, Springer, vol. 91(5), pages 655-703, July.
    159. Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
    160. Kai Du & Xin Daniel Jiang, 2020. "Connections between the Market Pricing of Accruals Quality and Accounting‐Based Anomalies," Contemporary Accounting Research, John Wiley & Sons, vol. 37(4), pages 2087-2119, December.
    161. Mingwei Sun & Paskalis Glabadanidis, 2022. "Can technical indicators predict the Chinese equity risk premium?," International Review of Finance, International Review of Finance Ltd., vol. 22(1), pages 114-142, March.
    162. John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2023. "Commodity futures return predictability and intertemporal asset pricing," Post-Print hal-04192933, HAL.
    163. Joseph Gerakos & Juhani T. Linnainmaa & Adair Morse, 2016. "Asset Managers: Institutional Performance and Smart Betas," NBER Working Papers 22982, National Bureau of Economic Research, Inc.
    164. Ian Martin & Stefan Nagel, 2019. "Market Efficiency in the Age of Big Data," CESifo Working Paper Series 8015, CESifo.
    165. Peter Koudijs & Hans-Joachim Voth, 2016. "Leverage and Beliefs: Personal Experience and Risk-Taking in Margin Lending," American Economic Review, American Economic Association, vol. 106(11), pages 3367-3400, November.
    166. Baltas, Nick & Karyampas, Dimitrios, 2018. "Forecasting the equity risk premium: The importance of regime-dependent evaluation," Journal of Financial Markets, Elsevier, vol. 38(C), pages 83-102.
    167. Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2018. "High-frequency Cash Flow Dynamics," Working Papers 120, Brandeis University, Department of Economics and International Business School.
    168. Mr. Ralph Chami & Mr. Thomas F. Cosimano & Ms. Celine Rochon & Julieta Yung, 2020. "Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment," IMF Working Papers 2020/053, International Monetary Fund.
    169. Mark L. Egan & Alexander MacKay & Hanbin Yang, 2020. "Recovering Investor Expectations from Demand for Index Funds," NBER Working Papers 26608, National Bureau of Economic Research, Inc.
    170. Cheng, Tingting & Jiang, Shan & Zhao, Albert Bo & Jia, Zhimin, 2023. "Complete subset averaging methods in corporate bond return prediction," Finance Research Letters, Elsevier, vol. 54(C).
    171. Borja Amor-Tapia & Maria T. Tascon, 2016. "Separating Winners from Losers: Composite Indicators Based on Fundamentals in the European Context," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(1), pages 70-94, February.
    172. Nneji, Ogonna, 2015. "Liquidity shocks and stock bubbles," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 132-146.
    173. Charles W. Calomiris & Harry Mamaysky, 2019. "Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes," NBER Working Papers 25714, National Bureau of Economic Research, Inc.
    174. Sobhesh Kumar Agarwalla & Joshy Jacob & Jayanth R. Varma, 2017. "Size, Value, and Momentum in Indian Equities," Vikalpa: The Journal for Decision Makers, , vol. 42(4), pages 211-219, December.
    175. Andrew Y. Chen, 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
    176. Laine, Olli-Matti, 2020. "Monetary policy and stock market valuation," Bank of Finland Research Discussion Papers 16/2020, Bank of Finland.
    177. Chou, Yu-Hsi, 2018. "Understanding the sources of the exchange rate disconnect puzzle: A variance decomposition approach," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 267-287.
    178. Yoshiro Miwa, 2012. "How Strongly Do "Financing Constraints" Affect Firm Behavior?: Japanese Corporate Investment since the Mid-1980s," CIRJE F-Series CIRJE-F-862, CIRJE, Faculty of Economics, University of Tokyo.
    179. Wang, Peijie & Brand, Steven, 2015. "A new approach to estimating value–income ratios with income growth and time-varying yields," European Journal of Operational Research, Elsevier, vol. 242(1), pages 182-187.
    180. Monika Piazzesi & Martin Schneider, 2016. "Housing and Macroeconomics," NBER Working Papers 22354, National Bureau of Economic Research, Inc.
    181. Marlène Isoré & Urszula Szczerbowicz, 2015. "Disaster Risk and Preference Shifts in a New Keynesian Model," Working Papers 2015-16, CEPII research center.
    182. David G. McMillan, 2017. "Stock return predictability: the role of inflation and threshold dynamics," International Review of Applied Economics, Taylor & Francis Journals, vol. 31(3), pages 357-375, May.
    183. Kai Li & Fang Yang & Hengjie Ai, 2015. "Financial Intermediation and Capital Reallocation," 2015 Meeting Papers 429, Society for Economic Dynamics.
    184. Artur Doshchyn, 2023. "Sinking Ships: Illiquidity and the Predictability of Returns on Real Assets in Recessions," Economics Series Working Papers 1028, University of Oxford, Department of Economics.
    185. Monika Piazzesi, 2015. "Comment on "Expectations and Investment"," NBER Chapters, in: NBER Macroeconomics Annual 2015, Volume 30, pages 435-442, National Bureau of Economic Research, Inc.
    186. Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014. "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices," SIRE Discussion Papers 2015-79, Scottish Institute for Research in Economics (SIRE).
    187. John R. Graham, 2022. "Presidential Address: Corporate Finance and Reality," Journal of Finance, American Finance Association, vol. 77(4), pages 1975-2049, August.
    188. Naji Massad & Jørgen Vitting Andersen, 2019. "Defining an intrinsic "stickiness" parameter of stock price returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02385901, HAL.
    189. Glaeser, Edward L. & Nathanson, Charles G., 2015. "An Extrapolative Model of House Price Dynamics," Working Paper Series rwp15-012, Harvard University, John F. Kennedy School of Government.
    190. Wei Liu & James W. Kolari, 2022. "Multifactor Market Indexes," JRFM, MDPI, vol. 15(4), pages 1-26, March.
    191. Lilian de Castro Medeiros & Aureliano Angel Bressan, 2015. "Value Premium and Country Risk as Dimensions to Estimate Conditional Returns: a Study of the Brazilian Market," Brazilian Business Review, Fucape Business School, vol. 12(3), pages 67-90, May.
    192. Yin, Libo & Wei, Ya, 2020. "Aggregate profit instability and time variations in momentum returns: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
    193. Hall, Jamie & Pitt, Michael K. & Kohn, Robert, 2014. "Bayesian inference for nonlinear structural time series models," Journal of Econometrics, Elsevier, vol. 179(2), pages 99-111.
    194. Constantinos Kardaras & Hyeng Keun Koo & Johannes Ruf, 2022. "Estimation of growth in fund models," Papers 2208.02573, arXiv.org.
    195. Beck, Elliot & De Nard, Gianluca & Wolf, Michael, 2023. "Improved inference in financial factor models," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 364-379.
    196. Bustamante, Maria Cecilia & Zucchi, Francesca, 2023. "Innovation, industry equilibrium, and discount rates," Working Paper Series 2835, European Central Bank.
    197. de Oliveira Souza, Thiago, 2019. "Predictability concentrates in bad times. And so does disagreement," Discussion Papers on Economics 8/2019, University of Southern Denmark, Department of Economics.
    198. Pedersen, Lasse Heje & Asness, Clifford S. & Liew, John M. & Thapar, Ashwin K, 2018. "Deep Value," CEPR Discussion Papers 12685, C.E.P.R. Discussion Papers.
    199. Solène Collot & Tobias Hemauer, 2021. "A literature review of new methods in empirical asset pricing: omitted-variable and errors-in-variable bias," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(1), pages 77-100, March.
    200. Koijen, Ralph & Gormsen, Niels Joachim, 2020. "Coronavirus: Impact on Stock Prices and Growth Expectations," CEPR Discussion Papers 14875, C.E.P.R. Discussion Papers.
    201. Jose Maria Barrero & Nicholas Bloom & Steven J. Davis, 2020. "COVID-19 Is Also a Reallocation Shock," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 51(2 (Summer), pages 329-383.
    202. Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
    203. Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
    204. Rojo-Suárez, Javier & Alonso-Conde, Ana B. & Lago-Balsalobre, Rubén, 2024. "Industry bubbles and unexpected consumption shocks: A cross-sectional explanation of stock returns under recursive preferences," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1156-1169.
    205. Mingyang Li & Linlin Niu & Andrew Pua, 2020. "Market Pricing of Fundamentals at the Shanghai Stock Exchange: Evidence from a Dividend Discount Model with Adaptive Expectations," Working Papers 2020-12-30, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    206. Jorge Armando Bedoya-Cadavid & Ángela María Lanzas-Duque & Harold Salazar, 2023. "WACC for Electric Power Transmission System Operators: The Case of Colombia," Energies, MDPI, vol. 16(2), pages 1-13, January.
    207. Michal Andrle, 2019. "The Present Value of Corporate Profits: A Forecasters' Survey Perspective," IMF Working Papers 2019/012, International Monetary Fund.
    208. Gonçalves, Andrei S., 2021. "The short duration premium," Journal of Financial Economics, Elsevier, vol. 141(3), pages 919-945.
    209. Fabian Lutzenberger & Benedikt Gleich & Herbert G. Mayer & Christian Stepanek & Andreas W. Rathgeber, 2017. "Metals: resources or financial assets? A multivariate cross-sectional analysis," Empirical Economics, Springer, vol. 53(3), pages 927-958, November.
    210. Narayan, Paresh Kumar, 2019. "Can stale oil price news predict stock returns?," Energy Economics, Elsevier, vol. 83(C), pages 430-444.
    211. Claudio Boido & Antonio Fasano, 2023. "Mean-variance investing with factor tilting," Risk Management, Palgrave Macmillan, vol. 25(2), pages 1-24, June.
    212. Schuster, Philipp & Uhrig-Homburg, Marliese, 2012. "The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds," Working Paper Series in Economics 45, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    213. Rossi, Stefano & Weber, Michael & Michaely, Roni, 2019. "Signaling Safety," CEPR Discussion Papers 14174, C.E.P.R. Discussion Papers.
    214. Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "A diagnostic criterion for approximate factor structure," Papers 1612.04990, arXiv.org, revised Aug 2017.
    215. Patrick J. Kehoe & Pierlauro Lopez & Virgiliu Midrigan & Elena Pastorino, 2019. "Asset Prices and Unemployment Fluctuations," NBER Working Papers 26580, National Bureau of Economic Research, Inc.
    216. Fernanda Gonçalves & Giuliano Ferreira & Alex Ferreira & Pedro Scatimburgo, 2022. "Currency returns and systematic risk," Manchester School, University of Manchester, vol. 90(6), pages 609-647, December.
    217. Iryna Yanenkova & Yuliia Nehoda & Svetlana Drobyazko & Andrii Zavhorodnii & Lyudmyla Berezovska, 2021. "Modeling of Bank Credit Risk Management Using the Cost Risk Model," JRFM, MDPI, vol. 14(5), pages 1-15, May.
    218. Marcelo Ochoa & Matthias Paustian & Laura Wilcox, 2022. "Do Sustainable Investment Strategies Hedge Climate Change Risks? Evidence from Germany's Carbon Tax," Finance and Economics Discussion Series 2022-073, Board of Governors of the Federal Reserve System (U.S.).
    219. Robin Greenwood & Andrei Shleifer, 2014. "Expectations of Returns and Expected Returns," The Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 714-746.
    220. Atif Ellahie, 2021. "Earnings beta," Review of Accounting Studies, Springer, vol. 26(1), pages 81-122, March.
    221. Corry Bedwell & Ryan Guttridge, 2019. "Modern Asset Theory: A Framework for Successful Active Management," Papers 1903.09683, arXiv.org.
    222. Hoang, Khoa & Huang, Ronghong & Truong, Helen, 2023. "Resurrecting the market factor: A case of data mining across international markets," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    223. Rojo-Suárez, Javier & Alonso-Conde, Ana B., 2023. "Short-run and long-run effects of ESG policies on value creation and the cost of equity of firms," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 599-616.
    224. Hammami, Yacine & Zhu, Jie, 2020. "Understanding time-varying short-horizon predictability✰," Finance Research Letters, Elsevier, vol. 32(C).
    225. Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    226. Yoshiro Miwa, 2012. "How Strongly Do "Financing Constraints" Affect Firm Behavior?: Japanese Corporate Investment since the Mid-1980s," CARF F-Series CARF-F-291, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    227. Andrew Paskaramoorthy & Terence van Zyl & Tim Gebbie, 2020. "A Framework for Online Investment Algorithms," Papers 2003.13360, arXiv.org.
    228. Jeremy C. Stein, 2014. "Incorporating Financial Stability Considerations into a Monetary Policy Framework : a speech at the International Research Forum on Monetary Policy, Washington, D.C., March 21, 2014," Speech 796, Board of Governors of the Federal Reserve System (U.S.).
    229. Angela Besana & Annamaria Esposito, 2017. "Memory, Marketing and Economic Performances in Usa Symphony Orchestras and Opera Houses," European Journal of Economics and Business Studies Articles, Revistia Research and Publishing, vol. 3, September.
    230. Hung, Chiayu & Lai, Hung-Neng, 2022. "Information asymmetry and the profitability of technical analysis," Journal of Banking & Finance, Elsevier, vol. 134(C).
    231. Cederburg, Scott & O’Doherty, Michael S., 2015. "Asset-pricing anomalies at the firm level," Journal of Econometrics, Elsevier, vol. 186(1), pages 113-128.
    232. ÅžimÅŸek, Alp & Caballero, Ricardo, 2019. "A Risk-centric Model of Demand Recessions and Speculation," CEPR Discussion Papers 13815, C.E.P.R. Discussion Papers.
    233. Javier Estrada, 2023. "Multifactor funds: an early (bearish) assessment," Journal of Asset Management, Palgrave Macmillan, vol. 24(4), pages 299-311, July.
    234. David Orrell, 2017. "A Quantum Theory of Money and Value, Part 2: The Uncertainty Principle," Economic Thought, World Economics Association, vol. 6(2), pages 14-26, September.
    235. Gabriel Zsurkis, 2022. "Determinants of cost of equity for listed euro area banks," Working Papers w202209, Banco de Portugal, Economics and Research Department.
    236. Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Matthew OBrien & Andrei Shleifer, 2023. "Long-Term Expectations and Aggregate Fluctuations," NBER Chapters, in: NBER Macroeconomics Annual 2023, volume 38, pages 311-347, National Bureau of Economic Research, Inc.
    237. Abad, David & Nieto, Belén & Pascual, Roberto & Rubio, Gonzalo, 2023. "Market-wide illiquidity and the distribution of non-parametric stochastic discount factors," International Review of Financial Analysis, Elsevier, vol. 87(C).
    238. Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2020. "Dissecting Characteristics Nonparametrically," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2326-2377.
    239. Emanuel Kopp & Peter D. Williams, 2018. "A Macroeconomic Approach to the Term Premium," IMF Working Papers 2018/140, International Monetary Fund.
    240. Shimizu, Makoto, 2017. "Effect of net foreign assets on persistency of time-varying risk premium: Evidence from the Dollar-Yen exchange rate," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 255-265.
    241. Cao, Ji & Rieger, Marc Oliver & Zhao, Lei, 2023. "Safety first, loss probability, and the cross section of expected stock returns," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 345-369.
    242. Roman Frydman & Soeren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2019. "The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes," Discussion Papers 19-02, University of Copenhagen. Department of Economics.
    243. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
    244. Misha van Beek, 2020. "Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation," Papers 2004.09042, arXiv.org.
    245. Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2016. "Predictability Hidden by Anomalous Observations," Papers 1612.05072, arXiv.org.
    246. Snorre Lindset & Egil Matsen, 2018. "Institutional spending policies: implications for future asset values and spending," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(1), pages 53-76, February.
    247. van Binsbergen, Jules H. & Boons, Martijn & Opp, Christian C. & Tamoni, Andrea, 2023. "Dynamic asset (mis)pricing: Build-up versus resolution anomalies," Journal of Financial Economics, Elsevier, vol. 147(2), pages 406-431.
    248. Carter Davis, 2023. "The Elasticity of Quantitative Investment," Papers 2303.14533, arXiv.org.
    249. Jin, Lawrence J. & Sui, Pengfei, 2022. "Asset pricing with return extrapolation," Journal of Financial Economics, Elsevier, vol. 145(2), pages 273-295.
    250. Hongye Guo & Jessica A. Wachter, 2019. ""Superstitious" Investors," NBER Working Papers 25603, National Bureau of Economic Research, Inc.
    251. De Nard, Gianluca & Zhao, Zhao, 2022. "A large-dimensional test for cross-sectional anomalies:Efficient sorting revisited," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 654-676.
    252. John B. Donaldson & Rajnish Mehra, 2021. "Average crossing time: An alternative characterization of mean aversion and reversion," Quantitative Economics, Econometric Society, vol. 12(3), pages 903-944, July.
    253. Jank, Stephan & Smajlbegovic, Esad, 2015. "Dissecting short-sale performance: Evidence from large position disclosures," CFR Working Papers 15-15, University of Cologne, Centre for Financial Research (CFR).
    254. Chen, Sichong, 2012. "The predictability of aggregate Japanese stock returns: Implications of dividend yield," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 284-304.
    255. Zhu, Haibin & Bai, Lu & He, Lidan & Liu, Zhi, 2023. "Forecasting realized volatility with machine learning: Panel data perspective," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 251-271.
    256. Andras Fulop & Jun Yu, 2017. "Bayesian Analysis of Bubbles in Asset Prices," Econometrics, MDPI, vol. 5(4), pages 1-23, October.
    257. Julian Kozlowski & Laura Veldkamp & Venky Venkateswaran, 2018. "The Tail that Keeps the Riskless Rate Low," 2018 Meeting Papers 1111, Society for Economic Dynamics.
    258. Samuel Manser, 2023. "Factors in Swiss franc corporate bond returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 277-296, September.
    259. Samuel YM Ze‐To, 2022. "Fundamental index aligned and excess market return predictability," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 592-614, April.
    260. Krainer, Robert E., 2014. "Monetary policy and bank lending in the Euro area: Is there a stock market channel or an interest rate channel?," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 283-298.
    261. David T. Robinson & Berk A. Sensoy, 2011. "Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity," NBER Working Papers 17428, National Bureau of Economic Research, Inc.
    262. McMillan, David G., 2014. "Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 90-101.
    263. John H. Cochrane, 2013. "Finance: Function Matters, Not Size," Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 29-50, Spring.
    264. George P. Gao & Xiaomeng Lu & Zhaogang Song, 2019. "Tail Risk Concerns Everywhere," Management Science, INFORMS, vol. 65(7), pages 3111-3130, July.
    265. Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta, 2021. "A robust approach for outlier imputation: Singular Spectrum Decomposition," Working Papers 202164, University of Pretoria, Department of Economics.
    266. Valentin Haddad & Serhiy Kozak & Shrihari Santosh & Stijn Van Nieuwerburgh, 2020. "Factor Timing," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 1980-2018.
    267. Yung, Julieta, 2021. "Can interest rate factors explain exchange rate fluctuations?," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 34-56.
    268. Li, Bo & Liu, Zhenya & Teka, Hanen & Wang, Shixuan, 2023. "The evolvement of momentum effects in China: Evidence from functional data analysis," Research in International Business and Finance, Elsevier, vol. 64(C).
    269. Zhang, Han & Guo, Bin & Liu, Lanbiao, 2022. "The time-varying bond risk premia in China," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 51-76.
    270. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Tran, Vuong Thao, 2018. "Can economic policy uncertainty predict stock returns? Global evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 134-150.
    271. Georges Prat, 2010. "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," EconomiX Working Papers 2010-22, University of Paris Nanterre, EconomiX.
    272. Herculano, Miguel C. & Lütkebohmert, Eva, 2023. "Investor sentiment and global economic conditions," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 134-152.
    273. Narayan, Paresh Kumar & Narayan, Seema & Phan, Dinh Hoang Bach, 2022. "Terrorism and international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    274. Shikong (Scott) Luo & Jun Ma, 2024. "International Housing Markets and the U.S. Subprime Crisis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(2-3), pages 647-669, March.
    275. Wang, Jianqiu & Wu, Ke & Tong, Guoshi & Chen, Dongxu, 2023. "Nonlinearity in the cross-section of stock returns: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 174-205.
    276. Bank, Matthias & Insam, Franz, 2021. "Corporate aging and changes in the pricing of stock characteristics," Finance Research Letters, Elsevier, vol. 42(C).
    277. Favero, Carlo A. & Melone, Alessandro, 2020. "Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models," CEPR Discussion Papers 14417, C.E.P.R. Discussion Papers.
    278. Mangee, Nicholas, 2024. "Stock price swings and fundamentals: The role of Knightian uncertainty," International Review of Financial Analysis, Elsevier, vol. 91(C).
    279. Th'eo Roncalli & Th'eo Le Guenedal & Fr'ed'eric Lepetit & Thierry Roncalli & Takaya Sekine, 2020. "Measuring and Managing Carbon Risk in Investment Portfolios," Papers 2008.13198, arXiv.org.
    280. Fallahgoul, Hasan & Franstianto, Vincentius & Lin, Xin, 2024. "Asset pricing with neural networks: Significance tests," Journal of Econometrics, Elsevier, vol. 238(1).
    281. Naji Massad & Jørgen Vitting Andersen, 2020. "Defining an intrinsic "stickiness" parameter of stock price returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03483251, HAL.
    282. Jiang, Fuwei & Lee, Joshua & Martin, Xiumin & Zhou, Guofu, 2019. "Manager sentiment and stock returns," Journal of Financial Economics, Elsevier, vol. 132(1), pages 126-149.
    283. Juan Antonio Rodríguez‐Sanz & Eleuterio Vallelado & Miguel Fernández‐Martín, 2024. "Risk analysis of Spanish companies," Global Policy, London School of Economics and Political Science, vol. 15(S1), pages 76-91, March.
    284. Hamidi Sahneh, Mehdi, 2017. "News, Noise, and Tests of Present Value Models," MPRA Paper 82715, University Library of Munich, Germany.
    285. Rahul Roy & Santhakumar Shijin, 2018. "A six-factor asset pricing model," Post-Print hal-01878923, HAL.
    286. Michael Ludwig & Herbert G. Mayer & Andreas W. Rathgeber & Christina Spriegel & Florian Vogg, 2017. "A truly market-value weighted commodity index," Journal of Asset Management, Palgrave Macmillan, vol. 18(3), pages 222-242, May.
    287. Valentin Haddad & Erik Loualiche & Matthew Plosser, 2016. "Buyout Activity: The Impact of Aggregate Discount Rates," NBER Working Papers 22414, National Bureau of Economic Research, Inc.
    288. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "International Tail Risk and World Fear," Hannover Economic Papers (HEP) dp-620, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    289. Naji Massad & J{o}rgen Vitting Andersen, 2020. "Defining an intrinsic stickiness parameter of stock price returns," Papers 2005.02351, arXiv.org.
    290. David E. Allen & Michael McAleer, 2019. "Drawbacks in the 3-factor approach of Fama and French," Documentos de Trabajo del ICAE 2019-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    291. Ulrike Malmendier & Demian Pouzo & Victoria Vanasco, 2018. "Investor Experiences and Financial Market Dynamics," NBER Working Papers 24697, National Bureau of Economic Research, Inc.
    292. Ni, Xuanming & Zheng, Tiantian & Zhao, Huimin & Zhu, Shushang, 2023. "High-dimensional portfolio optimization based on tree-structured factor model," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).
    293. Li, Jiangyuan & Yang, Jinqiang & Zou, Zhentao, 2019. "Compensation and risk: A perspective on the Lake Wobegon effect," Journal of Banking & Finance, Elsevier, vol. 108(C).
    294. Ma, Feng & Lu, Xinjie & Liu, Jia & Huang, Dengshi, 2022. "Macroeconomic attention and stock market return predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    295. Ifrim, Adrian, 2023. "Sentimental Discount Rate Shocks," EconStor Preprints 268363, ZBW - Leibniz Information Centre for Economics.
    296. Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
    297. Carlo A. Favero & Alessandro Melone, 2019. "Asset Pricing vs Asset Expected Returning in Factor Models," Working Papers 651, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    298. Eugene F. Fama, 2014. "Two Pillars of Asset Pricing," American Economic Review, American Economic Association, vol. 104(6), pages 1467-1485, June.
    299. Golez, Benjamin & Koudijs, Peter, 2018. "Four centuries of return predictability," Journal of Financial Economics, Elsevier, vol. 127(2), pages 248-263.
    300. John H. Cochrane, 2017. "Macro-Finance," Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
    301. Alexandre Belloni & Mingli Chen & Oscar Hernan Madrid Padilla & Zixuan & Wang, 2019. "High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing," Papers 1912.02151, arXiv.org, revised Aug 2022.
    302. de Oliveira Souza, Thiago, 2019. "A critique of momentum anomalies," Discussion Papers on Economics 5/2019, University of Southern Denmark, Department of Economics.
    303. Gârleanu, Nicolae & Pedersen, Lasse Heje, 2016. "Dynamic portfolio choice with frictions," Journal of Economic Theory, Elsevier, vol. 165(C), pages 487-516.
    304. Glenn Pettengill & George Chang, 2019. "Validating empirically identified risk factors," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 162-179, January.
    305. Holger Breinlich, 2011. "Heterogeneous Firm-Level Responses to Trade Liberalisation: A Test Using Stock Price Reactions," CEP Discussion Papers dp1085, Centre for Economic Performance, LSE.
    306. Roger E.A. Farmer, 2019. "The Indeterminacy School in Macroeconomics," NBER Working Papers 25879, National Bureau of Economic Research, Inc.
    307. Honghai Yu & Xianfeng Hao & Liangyu Wu & Yuqi Zhao & Yudong Wang, 2023. "Eye in outer space: satellite imageries of container ports can predict world stock returns," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-16, December.
    308. Lawrenz, Jochen & Zorn, Josef, 2017. "Predicting international stock returns with conditional price-to-fundamental ratios," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 159-184.
    309. Lin, Qi & Lin, Xi, 2021. "Cash conversion cycle and aggregate stock returns," Journal of Financial Markets, Elsevier, vol. 52(C).
    310. Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Andrei Shleifer, 2020. "Belief Overreaction and Stock Market Puzzles," NBER Working Papers 27283, National Bureau of Economic Research, Inc.
    311. Nieto, Belén & Rubio, Gonzalo, 2022. "The risk aversion and uncertainty channels between finance and macroeconomics," Finance Research Letters, Elsevier, vol. 45(C).
    312. Elizabeth Watson, 2012. "Risk, return, and beyond: A conceptual analysis of some factors influencing New Zealanders’ investment decisions," Reserve Bank of New Zealand Analytical Notes series AN2012/07, Reserve Bank of New Zealand.
    313. Benjamin A. Jansen, 2020. "Cash Flow Growth and Stock Return," Working Papers 202004, Middle Tennessee State University, Department of Economics and Finance.
    314. Daniele Valenti & Matteo Manera & Alessandro Sbuelz, 2018. "Interpreting the Oil Risk Premium: do Oil Price Shocks Matter?," Working Papers 2018.03, Fondazione Eni Enrico Mattei.
    315. Shimizu, Hidehiko & Shiohama, Takayuki, 2020. "Constructing inverse factor volatility portfolios: A risk-based asset allocation for factor investing," International Review of Financial Analysis, Elsevier, vol. 68(C).
    316. Roman Frydman & Soren Johansen & Anders Rahbek & Morten Tabor, 2019. "The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes," Working Papers Series 92, Institute for New Economic Thinking.
    317. Cosmin L. Ilut & Hikaru Saijo, 2016. "Learning, Confidence, and Business Cycles," NBER Working Papers 22958, National Bureau of Economic Research, Inc.
    318. Tobias Adrian & Richard K. Crump & Erik Vogt, 2019. "Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds," Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
    319. Julien Albertini & Arthur Poirier, 2014. "Discount Factor Shocks and Labor Market Dynamics," SFB 649 Discussion Papers SFB649DP2014-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    320. Joseph Gerakos & Juhani T. Linnainmaa & Adair Morse, 2021. "Asset Managers: Institutional Performance and Factor Exposures," Journal of Finance, American Finance Association, vol. 76(4), pages 2035-2075, August.
    321. Eduard Krkoska & Klaus Reiner Schenk-Hoppé, 2019. "Herding in Smart-Beta Investment Products," JRFM, MDPI, vol. 12(1), pages 1-14, March.
    322. Ricardo De La O & Sean Myers, 2021. "Subjective Cash Flow and Discount Rate Expectations," Journal of Finance, American Finance Association, vol. 76(3), pages 1339-1387, June.
    323. Wolfgang Drobetz & Rebekka Haller & Christian Jasperneite & Tizian Otto, 2019. "Predictability and the cross section of expected returns: evidence from the European stock market," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 508-533, December.
    324. Pablo Solórzano-Taborga & Ana Belén Alonso-Conde & Javier Rojo-Suárez, 2020. "Data Envelopment Analysis and Multifactor Asset Pricing Models," IJFS, MDPI, vol. 8(2), pages 1-18, April.
    325. Lyle, Matthew R. & Wang, Charles C.Y., 2015. "The cross section of expected holding period returns and their dynamics: A present value approach," Journal of Financial Economics, Elsevier, vol. 116(3), pages 505-525.
    326. Deshui Yu & Yayi Yan, 2023. "Joint dynamics of stock returns and cash flows: A time‐varying present‐value framework," Financial Management, Financial Management Association International, vol. 52(3), pages 513-541, September.
    327. Woutersen, Tiemen, 2022. "Discounting Trillions of Dollars in Pension Obligations: A Better Alternative to Using the Expected Return or Risk-Free Rate," Studies in Applied Economics 204, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
    328. Lof, Matthijs, 2013. "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper 59064, University Library of Munich, Germany.
    329. Jaewoo Kim & Sean McGuire & Steven Savoy & Ryan Wilson, 2022. "Expected economic growth and investment in corporate tax planning," Review of Accounting Studies, Springer, vol. 27(2), pages 745-778, June.
    330. Barras, Laurent, 2019. "A large-scale approach for evaluating asset pricing models," Journal of Financial Economics, Elsevier, vol. 134(3), pages 549-569.
    331. Naji Massad & Jørgen Vitting Andersen, 2019. "Defining an intrinsic "stickiness" parameter of stock price returns," Post-Print halshs-02385901, HAL.
    332. ÅžimÅŸek, Alp & Chodorow-Reich, Gabriel & Nenov, Plamen T., 2019. "Stock Market Wealth and the Real Economy: A Local Labor Market Approach," CEPR Discussion Papers 13856, C.E.P.R. Discussion Papers.
    333. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
    334. Saito Shizuki & Fukui Yoshitaka, 2019. "Whither the Concept of Income?," Accounting, Economics, and Law: A Convivium, De Gruyter, vol. 9(1), pages 1-16, March.
    335. Máté Fain & Helena Naffa, 2019. "Performance Measurement of Active Investment Strategies Using Pure Factor Portfolios," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 18(2), pages 52-86.
    336. Sharma, Susan Sunila & Narayan, Paresh Kumar, 2022. "Technology shocks and stock returns: A long-term perspective," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 67-83.
    337. Frank Kleibergen & Zhaoguo Zhan, 2022. "Misspecification and Weak Identification in Asset Pricing," Papers 2206.13600, arXiv.org.
    338. Allen, D.E. & McAleer, M.J., 2019. "Drawbacks in the 3-Factor Approach of Fama and French (2018)," Econometric Institute Research Papers EI2019-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    339. McMillan, David G., 2013. "Consumption and stock prices: Evidence from a small international panel," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 76-88.
    340. Apergis, Nicholas, 2019. "The impact of fracking activities on Oklahoma's housing prices: A panel cointegration analysis," Energy Policy, Elsevier, vol. 128(C), pages 94-101.
    341. Hahn, Jaehoon & Yoon, Heebin, 2016. "Determinants of the cross-sectional stock returns in Korea: evaluating recent empirical evidence," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 88-106.
    342. Ilias Tsiakas & Jiahan Li & Haibin Zhang, 2020. "Equity Premium Prediction and the State of the Economy," Working Paper series 20-16, Rimini Centre for Economic Analysis.
    343. Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George, 2014. "Are there common factors in individual commodity futures returns?," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 346-363.
    344. Xiaoquan Jiang & Iván M. Rodríguez & Qianying Zhang, 2023. "Macroeconomic fundamentals and cryptocurrency prices: A common trend approach," Financial Management, Financial Management Association International, vol. 52(1), pages 181-198, March.
    345. Kelly, Bryan T. & Pruitt, Seth & Su, Yinan, 2019. "Characteristics are covariances: A unified model of risk and return," Journal of Financial Economics, Elsevier, vol. 134(3), pages 501-524.
    346. Nitschka, Thomas, 2014. "Developed markets’ business cycle dynamics and time-variation in emerging markets’ asset returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 76-82.
    347. Lee, Hyun-Tak & Lee, Bong-Soo & Jang, Bong-Gyu, 2022. "Stock prices, changes in liquidity, and liquidity premia," Finance Research Letters, Elsevier, vol. 48(C).
    348. Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2023. "Beta-Sorted Portfolios," Staff Reports 1068, Federal Reserve Bank of New York.
    349. Inhwa Kim & Keith J. Gamble, 2022. "Too much or too little information: how unknown uncertainty fuels time inconsistency," SN Business & Economics, Springer, vol. 2(2), pages 1-33, February.
    350. Yoshio Nozawa, 2014. "What Drives the Cross-Section of Credit Spreads?: A Variance Decomposition Approach," Finance and Economics Discussion Series 2014-62, Board of Governors of the Federal Reserve System (U.S.).
    351. Vitor Azevedo & Georg Sebastian Kaiser & Sebastian Mueller, 2023. "Stock market anomalies and machine learning across the globe," Journal of Asset Management, Palgrave Macmillan, vol. 24(5), pages 419-441, September.
    352. Lu Zhang & Howard Kung & Hang Bai, 2013. ""Shooting" the CAPM," 2013 Meeting Papers 905, Society for Economic Dynamics.
    353. Roman Frydman & Joshua R. Stillwagon, 2016. "Stock-Market Expectations: Econometric Evidence that both REH and Behavioral Insights Matter," Working Papers Series 44, Institute for New Economic Thinking.
    354. Rojo Suárez, Javier & Alonso Conde, Ana Belén & Ferrero Pozo, Ricardo, 2020. "European equity markets: Who is the truly representative investor?," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 325-346.
    355. Hiroatsu Tanaka, 2022. "Equilibrium Yield Curves with Imperfect Information," Finance and Economics Discussion Series 2022-086, Board of Governors of the Federal Reserve System (U.S.).
    356. Caio Vigo Pereira, 2020. "Portfolio Efficiency with High-Dimensional Data as Conditioning Information," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202015, University of Kansas, Department of Economics, revised Sep 2020.
    357. Niels Joachim Gormsen & Eben Lazarus, 2023. "Duration‐Driven Returns," Journal of Finance, American Finance Association, vol. 78(3), pages 1393-1447, June.
    358. Bagnara, Matteo & Goodarzi, Milad, 2023. "Clustering-based sector investing," SAFE Working Paper Series 397, Leibniz Institute for Financial Research SAFE.
    359. Rojo-Suárez, Javier & Alonso-Conde, Ana B., 2024. "Have shifts in investor tastes led the market portfolio to capture ESG preferences?," International Review of Financial Analysis, Elsevier, vol. 91(C).
    360. Ruan, Qingsong & Wang, Zilin & Zhou, Yaping & Lv, Dayong, 2020. "A new investor sentiment indicator (ISI) based on artificial intelligence: A powerful return predictor in China," Economic Modelling, Elsevier, vol. 88(C), pages 47-58.
    361. Kraft, Holger & Schwartz, Eduardo S. & Weiss, Farina, 2017. "Growth options and firm valuation," SAFE Working Paper Series 6, Leibniz Institute for Financial Research SAFE, revised 2017.
    362. Friberg, Richard & Huse, Cristian, 2012. "How to use demand systems to evaluate risky projects, with an application to automobile production," MPRA Paper 48906, University Library of Munich, Germany.
    363. Sebastian Di Tella & Robert E. Hall, 2020. "Risk Premium Shocks Can Create Inefficient Recessions," NBER Working Papers 26721, National Bureau of Economic Research, Inc.
    364. Duc Huynh, Toan Luu & Burggraf, Tobias & Wang, Mei, 2020. "Gold, platinum, and expected Bitcoin returns," Journal of Multinational Financial Management, Elsevier, vol. 56(C).
    365. Stephen H. Penman & Nir Yehuda, 2019. "A Matter of Principle: Accounting Reports Convey Both Cash-Flow News and Discount-Rate News," Management Science, INFORMS, vol. 65(12), pages 5584-5602, December.
    366. Christiane Baumeister, 2021. "Measuring Market Expectations," Working Papers 202163, University of Pretoria, Department of Economics.
    367. Hoechle, Daniel & Schmid, Markus & Zimmermann, Heinz, 2017. "Does Unobservable Heterogeneity Matter for Portfolio-Based Asset Pricing Tests?," Working Papers on Finance 1717, University of St. Gallen, School of Finance, revised Mar 2020.
    368. Dison, Will & Theodoridis, Konstantinos, 2017. "Do macro shocks matter for equities?," Bank of England working papers 692, Bank of England.
    369. Allen, David, 2022. "Asset Pricing Tests, Endogeneity issues and Fama-French factors," MPRA Paper 113610, University Library of Munich, Germany.
    370. Cavusoglu, Nevin & Goldberg, Michael D. & Stillwagon, Josh, 2021. "Currency returns and downside risk: Debt, volatility, and the gap from benchmark values," Journal of Macroeconomics, Elsevier, vol. 68(C).
    371. Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw, 2014. "On the Fundamental Relation Between Equity Returns and Interest Rates," NBER Working Papers 20187, National Bureau of Economic Research, Inc.
    372. Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019. "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 43-58.
    373. Rojo-Suárez, Javier & Alonso-Conde, Ana B. & Gonzalez-Ruiz, Juan David, 2024. "Does sustainability improve financial performance? An analysis of Latin American oil and gas firms," Resources Policy, Elsevier, vol. 88(C).
    374. Benjamin Keefer, 2016. "Sensitization and Extraordinary Persistence," Working Papers 2016-01, Carleton College, Department of Economics.
    375. Auh, Jun Kyung & Cho, Wonho, 2023. "Factor-based portfolio optimization," Economics Letters, Elsevier, vol. 228(C).
    376. Indrajit Mitra & Taeuk Seo & Yu Xu, 2021. "High Discounts and Low Fundamental Surplus: An Equivalence Result for Unemployment Fluctuations," FRB Atlanta Working Paper 2021-22, Federal Reserve Bank of Atlanta.
    377. Shaun Bond & Chen Xue, 2017. "The Cross Section of Expected Real Estate Returns: Insights from Investment-Based Asset Pricing," The Journal of Real Estate Finance and Economics, Springer, vol. 54(3), pages 403-428, April.
    378. Choi, Jaehyung, 2012. "Spontaneous symmetry breaking of arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3206-3218.
    379. Constantin Charles & Cary D. Frydman & Mete Kilic, 2022. "Insensitive Investors," CESifo Working Paper Series 10067, CESifo.
    380. Jun Yuan & Qi Xu & Ying Wang, 2023. "Probability weighting in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(4), pages 516-548, April.
    381. Lenzu, Simone & Manaresi, Francesco, 2018. "Do Marginal Products Differ from User Costs? Micro-Level Evidence from Italian Firms," Working Papers 276, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
    382. Stein, Tobias, 2024. "Forecasting the equity premium with frequency-decomposed technical indicators," International Journal of Forecasting, Elsevier, vol. 40(1), pages 6-28.
    383. Sang Il Lee & Seong Joon Yoo, 2019. "Multimodal Deep Learning for Finance: Integrating and Forecasting International Stock Markets," Papers 1903.06478, arXiv.org, revised Sep 2019.
    384. David G. McMillan, 2016. "Stock return predictability and market integration: The role of global and local information," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1178363-117, December.
    385. Pierlauro Lopez, 2016. "Welfare Implications of the Term Structure of Returns: Should Central Banks Fill Gaps or Remove Volatility?," 2016 Meeting Papers 742, Society for Economic Dynamics.
    386. Sie Ting Lau & Lilian Ng & Bohui Zhang, 2012. "Information Environment and Equity Risk Premium Volatility Around the World," Management Science, INFORMS, vol. 58(7), pages 1322-1340, July.
    387. José Ignacio López-Gaviria, 2019. "Colombia’s stock market predictability," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 91, pages 117-150, Julio - D.
    388. David Edmund Allen & Elisa Luciano, 2019. "Risk Analysis and Portfolio Modelling," JRFM, MDPI, vol. 12(4), pages 1-4, September.
    389. Liu, Yangyi & Luo, Ronghua & Zhao, Senyang, 2023. "Improving factor momentum: Statistical significance matters," Economics Letters, Elsevier, vol. 233(C).
    390. Andrew Detzel & Philipp Schaberl & Jack Strauss, 2018. "There are two very different accruals anomalies," European Financial Management, European Financial Management Association, vol. 24(4), pages 581-609, September.
    391. Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2015. "Risk Factors, Copula Dependence and Risk Sensitivity of a Large Portfolio," Documents de recherche 15-03, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    392. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017. "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series 166, Leibniz Institute for Financial Research SAFE.
    393. Kozak, Serhiy & Nagel, Stefan & Santosh, Shrihari, 2020. "Shrinking the cross-section," Journal of Financial Economics, Elsevier, vol. 135(2), pages 271-292.
    394. Samih Antoine Azar, 2018. "The Pure Expectations Theory and Quarterly Interest Rate Premiums," Accounting and Finance Research, Sciedu Press, vol. 7(1), pages 161-161, February.
    395. Gabriele D'Acunto & Paolo Bajardi & Francesco Bonchi & Gianmarco De Francisci Morales, 2021. "The Evolving Causal Structure of Equity Risk Factors," Papers 2111.05072, arXiv.org.
    396. Sina Ehsani & Juhani T. Linnainmaa, 2022. "Factor Momentum and the Momentum Factor," Journal of Finance, American Finance Association, vol. 77(3), pages 1877-1919, June.
    397. Willi Semmler & Stefan Mittnik, 2012. "Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR," EcoMod2012 4122, EcoMod.
    398. Dominique Pépin & Stephen M. Miller, 2020. "The Time-Varying Nature of Risk Aversion: Evidence from 60 Years of U.S. Stock Market Data," Working papers 2020-09, University of Connecticut, Department of Economics.
    399. Farina Weiss, 2021. "A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 93(1), pages 33-81, February.
    400. Ana Belén Alonso-Conde & Javier Rojo-Suárez, 2020. "Nuclear Hazard and Asset Prices: Implications of Nuclear Disasters in the Cross-Sectional Behavior of Stock Returns," Sustainability, MDPI, vol. 12(22), pages 1-24, November.
    401. Sun, Yang & Zhang, Xuan & Zhang, Zhekai, 2022. "The reduced-rank beta in linear stochastic discount factor models," International Review of Financial Analysis, Elsevier, vol. 84(C).
    402. Jaccard, Ivan, 2018. "Stochastic discounting and the transmission of money supply shocks," Working Paper Series 2174, European Central Bank.
    403. Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2019. "Financial Market Risk Perceptions and the Macroeconomy," NBER Working Papers 26290, National Bureau of Economic Research, Inc.
    404. Khoa Hoang & Robert Faff, 2021. "Is the ex‐ante equity risk premium always positive? Evidence from a new conditional expectations model," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(1), pages 95-124, March.
    405. Jeremy C. Stein, 2014. "Banks as Patient Debt Investors : A speech at the American Economic Association/American Finance Association Joint Luncheon, Philadelphia, Pennsylvania, January 3, 2014," Speech 791, Board of Governors of the Federal Reserve System (U.S.).
    406. Keloharju, Matti & Linnainmaa, Juhani T. & Nyberg, Peter, 2021. "Long-term discount rates do not vary across firms," Journal of Financial Economics, Elsevier, vol. 141(3), pages 946-967.
    407. Tong Fang & Zhi Su & Libo Yin, 2021. "Does the green inspiration effect matter for stock returns? Evidence from the Chinese stock market," Empirical Economics, Springer, vol. 60(5), pages 2155-2176, May.
    408. Huang, Lin & Wang, Zijun, 2014. "Is the investment factor a proxy for time-varying investment opportunities? The US and international evidence," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 219-232.
    409. Azza Bejaoui & Wajdi Frikha & Ahmed Jeribi, 2023. "On the dynamic connectedness between the G7 stock market indices and different asset classes: Fresh insights from the COVID-19 pandemic and Russia–Ukraine war," SN Business & Economics, Springer, vol. 3(11), pages 1-21, November.
    410. Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014. "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model," MPRA Paper 58554, University Library of Munich, Germany.
    411. Nevin Cavusoglu & Michael D. Goldberg & Joshua Stillwagon, 2019. "New Evidence on the Portfolio Balance Approach to Currency Returns," Working Papers Series 89, Institute for New Economic Thinking.
    412. Fabian T. Lutzenberger, 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, John Wiley & Sons, vol. 23(3), pages 120-130, September.
    413. Mr. Sohrab Rafiq, 2015. "How Important are Debt and Growth Expectations for Interest Rates?," IMF Working Papers 2015/094, International Monetary Fund.
    414. Vassilis Polimenis & Ioannis Neokosmidis, 2019. "Non-stationary dividend-price ratios," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 552-567, December.
    415. Juhani T. Linnainmaa & Michael R. Roberts, 2016. "The History of the Cross Section of Stock Returns," NBER Working Papers 22894, National Bureau of Economic Research, Inc.
    416. Patton, Andrew J. & Weller, Brian M., 2020. "What you see is not what you get: The costs of trading market anomalies," Journal of Financial Economics, Elsevier, vol. 137(2), pages 515-549.
    417. Kelly, Bryan & Pruitt, Seth, 2015. "The three-pass regression filter: A new approach to forecasting using many predictors," Journal of Econometrics, Elsevier, vol. 186(2), pages 294-316.
    418. Ray Ball & Xi Li & Lakshmanan Shivakumar, 2015. "Contractibility and Transparency of Financial Statement Information Prepared Under IFRS: Evidence from Debt Contracts Around IFRS Adoption," Journal of Accounting Research, Wiley Blackwell, vol. 53(5), pages 915-963, December.
    419. Konan Chan & Mei‐Xuan Li & Chu‐Bin Lin & Yanzhi Wang, 2022. "Organization capital effect in stock returns—The role of R&D," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 49(7-8), pages 1237-1263, July.
    420. Hurlin, Christophe & Leymarie, Jérémy & Patin, Antoine, 2018. "Loss functions for Loss Given Default model comparison," European Journal of Operational Research, Elsevier, vol. 268(1), pages 348-360.
    421. Jhe Yun, 2013. "Evaluating Predictors within a Present-Value Framework," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1-49.
    422. Eduard Baitinger, 2021. "Forecasting asset returns with network‐based metrics: A statistical and economic analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1342-1375, November.
    423. Fang, Tong & Su, Zhi & Yin, Libo, 2020. "Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility," International Review of Financial Analysis, Elsevier, vol. 71(C).
    424. Gianluca De Nard & Simon Hediger & Markus Leippold, 2022. "Subsampled factor models for asset pricing: The rise of Vasa," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1217-1247, September.
    425. Tania Morris & Jules Comeau, 2020. "Portfolio creation using artificial neural networks and classification probabilities: a Canadian study," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 133-163, June.
    426. Rahul Roy & Santhakumar Shijin, 2018. "A six-factor asset pricing model," Papers 1810.07790, arXiv.org.
    427. Dou, Winston Wei & Ji, Yan & Wu, Wei, 2021. "Competition, profitability, and discount rates," Journal of Financial Economics, Elsevier, vol. 140(2), pages 582-620.
    428. Antonio Salvi & Emanuele Teti & Anastasia Giakoumelou, 2021. "The Relationship between LBOs, IPOs and Market Risk Premium: An Empirical Analysis of the European Market," International Journal of Business and Management, Canadian Center of Science and Education, vol. 14(7), pages 160-160, July.
    429. David, Joel M. & Schmid, Lukas & Zeke, David, 2022. "Risk-adjusted capital allocation and misallocation," Journal of Financial Economics, Elsevier, vol. 145(3), pages 684-705.
    430. Galina An & Charles Becker & Enoch Cheng, 2021. "Bubbling Away: Forecasting Real Estate Prices, Rents, and Bubbles in a Transition Economy," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 63(2), pages 263-317, June.
    431. Møller, Stig V. & Sander, Magnus, 2017. "Dividends, earnings, and predictability," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 153-163.
    432. Naji Massad & Jørgen Vitting Andersen, 2020. "Defining an intrinsic "stickiness" parameter of stock price returns," Post-Print halshs-03483251, HAL.
    433. Lux, Thomas, 2020. "Can heterogeneous agent models explain the alleged mispricing of the S&P 500?," Economics Working Papers 2020-03, Christian-Albrechts-University of Kiel, Department of Economics.
    434. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 328-383, Elsevier.
    435. Mark H.A. Davis & Sébastien Lleo, 2021. "Risk‐sensitive benchmarked asset management with expert forecasts," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1162-1189, October.
    436. Holger Kraft & Eduardo Schwartz & Farina Weiss, 2018. "Growth options and firm valuation," European Financial Management, European Financial Management Association, vol. 24(2), pages 209-238, March.
    437. Tobias Wiest, 2023. "Momentum: what do we know 30 years after Jegadeesh and Titman’s seminal paper?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 95-114, March.
    438. Massad, Naji & Andersen, Jørgen Vitting, 2020. "Defining an intrinsic “stickiness” parameter of stock price returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 547(C).
    439. Hall, Jamie, 2012. "Consumption dynamics in general equilibrium," MPRA Paper 43933, University Library of Munich, Germany.
    440. P. Zhukov E. & П. Жуков Е., 2018. "Разве стоимость компании действительно зависит от средневзвешенной стоимости капитала и свободного денежного потока? Свидетельства иррациональности в нефтегазовом секторе // Does Enterprise Value Real," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 6(1), pages 17-28.
    441. Joao Sousa Andrade & Irina Syssoyeva-Masson, 2016. "Investigating the presence of long memory in debt series and its relation with growth," EcoMod2016 9627, EcoMod.
    442. Miguel Cantillo Simon & Nick Wonder, 2019. "An analysis of asset pricing models using out of sample data from the NYSE: 1900-1925," Working Papers 201904, Universidad de Costa Rica, revised Jul 2019.
    443. Barroso, Pedro & Boons, Martijn & Karehnke, Paul, 2021. "Time-varying state variable risk premia in the ICAPM," Journal of Financial Economics, Elsevier, vol. 139(2), pages 428-451.
    444. Kolari, James W. & Huang, Jianhua Z. & Butt, Hilal Anwar & Liao, Huiling, 2022. "International tests of the ZCAPM asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    445. Chao Hu & Jianping Tao & Donghao Zhang & Damian Adams, 2021. "Price Signal of Tilled Land in Rural China: An Empirically Oriented Transaction Costs Study Based on Contract Theory," Land, MDPI, vol. 10(8), pages 1-20, August.
    446. Cujean, Julien & Andrei, Daniel & Wilson, Mungo, 2018. "The Lost Capital Asset Pricing Model," CEPR Discussion Papers 12607, C.E.P.R. Discussion Papers.
    447. Mesly, Olivier & Chkir, Imed & Racicot, François-Éric, 2019. "Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?," Economic Modelling, Elsevier, vol. 78(C), pages 11-31.
    448. Lan, Chunhua & Doan, Bao, 2022. "Stock price movements: Evidence from global equity markets," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 123-143.
    449. Qihui Chen, 2022. "A Unified Framework for Estimation of High-dimensional Conditional Factor Models," Papers 2209.00391, arXiv.org.
    450. Brückbauer, Frank, 2022. "Do financial market experts know their theory? New evidence from survey data," ZEW Discussion Papers 20-092, ZEW - Leibniz Centre for European Economic Research, revised 2022.
    451. Bradley Jones, 2014. "Identifying Speculative Bubbles: A Two-Pillar Surveillance Framework," IMF Working Papers 2014/208, International Monetary Fund.
    452. Stefano Herzel & Marco Nicolosi, 2019. "Optimal strategies with option compensation under mean reverting returns or volatilities," Computational Management Science, Springer, vol. 16(1), pages 47-69, February.
    453. Agarwal, Vikas & Green, Tracy Clifton & Ren, Honglin, 2017. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," CFR Working Papers 15-08, University of Cologne, Centre for Financial Research (CFR), revised 2017.
    454. Yu, Deshui & Huang, Difang, 2023. "Cross-sectional uncertainty and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 321-340.
    455. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
    456. Jeffrey L. Callen & Matthew R. Lyle, 2020. "The term structure of implied costs of equity capital," Review of Accounting Studies, Springer, vol. 25(1), pages 342-404, March.
    457. Zhou, Weilun & Gao, Jiti & Harris, David & Kew, Hsein, 2024. "Semi-parametric single-index predictive regression models with cointegrated regressors," Journal of Econometrics, Elsevier, vol. 238(1).
    458. Zhengqiang Feng & Siman Xie, 2021. "The DuPont financial indicators and the short‐term market performance of Chinese cross‐border M&As: The moderating role of payment method," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4262-4276, July.
    459. McMillan, David G., 2019. "Stock return predictability: Using the cyclical component of the price ratio," Research in International Business and Finance, Elsevier, vol. 48(C), pages 228-242.
    460. Loïc Maréchal, 2023. "A tale of two premiums revisited," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(5), pages 580-614, May.
    461. Li, Zhiyong & Rao, Xiao, 2023. "Exploring the zoo of predictors for mutual fund performance in China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    462. Esfandiar Maasoumi & Jianqiu Wang & Zhuo Wang & Ke Wu, 2024. "Identifying factors via automatic debiased machine learning," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(3), pages 438-461, April.
    463. Rubio, Gonzalo & Serrano, Pedro & Vaello-Sebastià, Antoni, 2023. "The international integration of the term structure of expected market risk premia," Finance Research Letters, Elsevier, vol. 58(PD).
    464. Roger E A Farmer, 2019. "The Indeterminacy Agenda in Macroeconomics," National Institute of Economic and Social Research (NIESR) Discussion Papers 507, National Institute of Economic and Social Research.
    465. Beqiraj, Elton & Patella, Valeria & Tancioni, Massimiliano, 2021. "Fiscal stance and the sovereign risk pass-through," Economic Modelling, Elsevier, vol. 102(C).
    466. Wolfgang Drobetz & Tizian Otto, 2021. "Empirical asset pricing via machine learning: evidence from the European stock market," Journal of Asset Management, Palgrave Macmillan, vol. 22(7), pages 507-538, December.
    467. Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, C.E.P.R. Discussion Papers.
    468. Kruschwitz, Lutz & Löffler, Andreas, 2020. "A stochastic Gordon-Shapiro formula with excess volatility," arqus Discussion Papers in Quantitative Tax Research 257, arqus - Arbeitskreis Quantitative Steuerlehre.
    469. Agarwal, Vikas & Green, T. Clifton & Ren, Honglin, 2018. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," Journal of Financial Economics, Elsevier, vol. 127(3), pages 417-434.
    470. Atanasov, Victoria, 2018. "World output gap and global stock returns," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 181-197.
    471. Dmitry Kuvshinov & Kaspar Zimmermann, 2018. "The Big Bang: Stock Market Capitalization in the Long Run," Working Papers 0136, European Historical Economics Society (EHES).
    472. De Nard, Gianluca & Zhao, Zhao, 2023. "Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 23-35.
    473. Samuel M. Hartzmark & David H. Solomon, 2020. "Reconsidering Returns," NBER Working Papers 27380, National Bureau of Economic Research, Inc.
    474. Liu, Hongqi & Peng, Cameron & Xiong, Wei A. & Xiong, Wei, 2020. "Resolving the excessive trading puzzle: an integrated approach based on surveys and transactions," LSE Research Online Documents on Economics 118870, London School of Economics and Political Science, LSE Library.
    475. Maio, Paulo & Zeng, Ming, 2023. "On the driving forces of real exchange rates: Is the Japanese Yen different?," Journal of Empirical Finance, Elsevier, vol. 74(C).
    476. Lof, Matthijs, 2012. "Heterogeneity in stock prices: A STAR model with multivariate transition function," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1845-1854.
    477. Ji Cao & Marc Oliver Rieger & Lei Zhao, 2019. "Safety First, Loss Probability, and the Cross Section of Expected Stock Returns," Working Paper Series 2019-02, University of Trier, Research Group Quantitative Finance and Risk Analysis.
    478. Cho, Thummim, 2018. "Turning alphas into betas: arbitrage and the cross-section of risk," LSE Research Online Documents on Economics 118915, London School of Economics and Political Science, LSE Library.
    479. Kuvshinov, Dmitry & Zimmermann, Kaspar, 2018. "The Big Bang: Stock Market Capitalization in the Long Run," MPRA Paper 88581, University Library of Munich, Germany.
    480. Kuvshinov, Dmitry & Zimmermann, Kaspar, 2018. "The big bang: Stock market capitalization in the long run," IBF Paper Series 02-18, IBF – Institut für Bank- und Finanzgeschichte / Institute for Banking and Financial History, Frankfurt am Main.
    481. Michael W. McCracken & Giorgio Valente, 2012. "Asymptotic Inference for Performance Fees and the Predictability of Asset Returns," Working Papers 2012-049, Federal Reserve Bank of St. Louis.
    482. Holger Kraft & Eduardo S. Schwartz & Farina Weiss, 2013. "Growth Options and Firm Valuation," NBER Working Papers 18836, National Bureau of Economic Research, Inc.
    483. Walkshäusl, Christian, 2014. "The MAX effect: European evidence," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 1-10.
    484. Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
    485. Lenhard, Gregor, 2024. "Learning from the Past: The Role of Personal Experiences in Artificial Stock Markets," Working papers 2024/01, Faculty of Business and Economics - University of Basel.
    486. Robert E. Hall, 2013. "The routes into and out of the zero lower bound," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 1-35.
    487. Focarelli, Dario, 2017. "Why Insurance Regulation is Crucial for Long-term Investment and Economic Growth," LEAP Working Papers 2017/1, Luiss Institute for European Analysis and Policy.
    488. de Oliveira Souza, Thiago, 2018. "Red tape asset pricing," Discussion Papers on Economics 8/2018, University of Southern Denmark, Department of Economics.
    489. Borup, Daniel, 2019. "Asset pricing model uncertainty," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 166-189.
    490. Hanauer, Matthias X. & Jansen, Maarten & Swinkels, Laurens & Zhou, Weili, 2024. "Factor models for Chinese A-shares," International Review of Financial Analysis, Elsevier, vol. 91(C).
    491. Chevillon, Guillaume & Mavroeidis, Sophocles, 2018. "Perpetual learning and apparent long memory," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 343-365.
    492. Müller, Janis & Posch, Peter N., 2019. "Consumption volatility ambiguity and risk premium’s time-variation," Finance Research Letters, Elsevier, vol. 29(C), pages 336-339.
    493. Virk, Nader Shahzad & Butt, Hilal Anwar, 2022. "Asset pricing anomalies: Liquidity risk hedgers or liquidity risk spreaders?," International Review of Financial Analysis, Elsevier, vol. 81(C).
    494. Geertsema, Paul & Lu, Helen, 2020. "The correlation structure of anomaly strategies," Journal of Banking & Finance, Elsevier, vol. 119(C).
    495. Hongqi Liu & Cameron Peng & Wei A. Xiong & Wei Xiong, 2020. "Taming the Bias Zoo," NBER Working Papers 26911, National Bureau of Economic Research, Inc.
    496. McMillan, David G., 2019. "Predicting firm level stock returns: Implications for asset pricing and economic links," The British Accounting Review, Elsevier, vol. 51(4), pages 333-351.
    497. Yu, Deshui & Huang, Difang & Chen, Li, 2023. "Stock return predictability and cyclical movements in valuation ratios," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 36-53.
    498. Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng, 2012. "Estimating the cost of capital with basis assets," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3071-3079.
    499. Han, Jinhui & Li, Xiaolong & Ma, Guiyuan & Kennedy, Adrian Patrick, 2023. "Strategic trading with information acquisition and long-memory stochastic liquidity," European Journal of Operational Research, Elsevier, vol. 308(1), pages 480-495.
    500. Matti Keloharju & Juhani T. Linnainmaa & Peter Nyberg, 2019. "Long-Term Discount Rates Do Not Vary Across Firms," NBER Working Papers 25579, National Bureau of Economic Research, Inc.
    501. Tyler Muir, 2017. "Financial Crises and Risk Premia," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(2), pages 765-809.
    502. Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2022. "Boom-bust cycles and asset market participation waves: Momentum, value, risk and herding," BERG Working Paper Series 177, Bamberg University, Bamberg Economic Research Group.
    503. Eisenkopf, Jana & Juranek, Steffen & Walz, Uwe, 2021. "Responsible investment and stock market shocks: Short-term insurance and persistent outperformance post-crisis?," SAFE Working Paper Series 329, Leibniz Institute for Financial Research SAFE.
    504. Frydman, Roman & Stillwagon, Joshua R., 2018. "Fundamental factors and extrapolation in stock-market expectations: The central role of structural change," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 189-198.
    505. Shimon Kogan & Vitaly Meursault, 2021. "Corporate Disclosure: Facts or Opinions?," Working Papers 21-40, Federal Reserve Bank of Philadelphia.
    506. Peter Van Tassel, 2016. "Merger options and risk arbitrage," Staff Reports 761, Federal Reserve Bank of New York.
    507. Alex Hsu & Francisco Palomino & Liang Qian, 2023. "Gone with the Vol: A Decline in Asset Return Predictability During the Great Moderation," Management Science, INFORMS, vol. 69(5), pages 3025-3047, May.
    508. Jukka Ilomäki & Hannu Laurila, 2018. "The Noise Trader Effect In A Walrasian Financial Market," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 405-419, December.
    509. Ilut, Cosmin & Saijo, Hikaru, 2021. "Learning, confidence, and business cycles," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 354-376.
    510. Jonathan Willis & Russell Cooper, 2015. "Discounting: Investment Sensitivity and Aggregate Implications," 2015 Meeting Papers 607, Society for Economic Dynamics.
    511. Adil Rengim Cetingoz & Olivier Gu'eant, 2023. "Asset and Factor Risk Budgeting: A Balanced Approach," Papers 2312.11132, arXiv.org, revised May 2024.
    512. Lambert, Marie & Fays, Boris & Hübner, Georges, 2020. "Factoring characteristics into returns: A clinical study on the SMB and HML portfolio construction methods," Journal of Banking & Finance, Elsevier, vol. 114(C).
    513. Li, Yulin & Wald, John K. & Wang, Zijun, 2020. "Sovereign bonds, coskewness, and monetary policy regimes," Journal of Financial Stability, Elsevier, vol. 50(C).
    514. Mao, Mike Qinghao & Wei, K.C. John, 2014. "Price and earnings momentum: An explanation using return decomposition," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 332-351.
    515. Piccotti, Louis R., 2017. "Financial contagion risk and the stochastic discount factor," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 230-248.
    516. Hammami, Yacine & Lindahl, Anna, 2013. "Estimating and testing beta pricing models on industries," Journal of Economics and Business, Elsevier, vol. 69(C), pages 45-63.
    517. Robert E. Hall, 2017. "High Discounts and High Unemployment," American Economic Review, American Economic Association, vol. 107(2), pages 305-330, February.
    518. Zhifeng Dai & Huiting Zhou, 2020. "Prediction of Stock Returns: Sum-of-the-Parts Method and Economic Constraint Method," Sustainability, MDPI, vol. 12(2), pages 1-13, January.
    519. Qi, Yue & Liao, Kezhi & Liu, Tongyang & Zhang, Yu, 2022. "Originating multiple-objective portfolio selection by counter-COVID measures and analytically instigating robust optimization by mean-parameterized nondominated paths," Operations Research Perspectives, Elsevier, vol. 9(C).
    520. Stacey Beaumont & Raluca Ratiu & David Reeb & Glenn Boyle & Philip Brown & Alexander Szimayer & Raymond Silva Rosa & David Hillier & Patrick McColgan & Athanasios Tsekeris & Bryan Howieson & Zoltan Ma, 2016. "Comments on Shan and Walter: ‘Towards a Set of Design Principles for Executive Compensation Contracts’," Abacus, Accounting Foundation, University of Sydney, vol. 52(4), pages 685-771, December.
    521. Hammami, Yacine & Jilani, Faouzi & Oueslati, Abdelmonem, 2013. "Mutual fund performance in Tunisia: A multivariate GARCH approach," Research in International Business and Finance, Elsevier, vol. 29(C), pages 35-51.
    522. Zongwu Cai & Pixiong Chen, 2022. "New Online Investor Sentiment and Asset Returns," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202216, University of Kansas, Department of Economics, revised Nov 2022.
    523. Schuster, Philipp & Uhrig-Homburg, Marliese, 2015. "Limits to arbitrage and the term structure of bond illiquidity premiums," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 143-159.
    524. Ward, Colin, 2020. "Is the IT revolution over? An asset pricing view," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 283-316.
    525. Bank, Matthias & Insam, Franz, 2019. "Risk premium contributions of the Fama and French mimicking factors," Finance Research Letters, Elsevier, vol. 29(C), pages 347-356.
    526. Bogousslavsky, Vincent, 2021. "The cross-section of intraday and overnight returns," Journal of Financial Economics, Elsevier, vol. 141(1), pages 172-194.
    527. Shaif Jarallah & Wali Ullah, 2014. "Evolving corporate governance and the dividends behaviour regime in Japan," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 61(3), pages 279-303, September.
    528. DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J. & Uppal, Raman, 2017. "A Portfolio Perspective on the Multitude of Firm Characteristics," CEPR Discussion Papers 12417, C.E.P.R. Discussion Papers.
    529. Moutzouris, Ioannis C. & Nomikos, Nikos K., 2019. "Earnings yield and predictability in the dry bulk shipping industry," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 125(C), pages 140-159.
    530. Joe Cho Yiu Ng & Charles Ka Yui Leung & Suikang Chen, 2024. "Corporate Real Estate Holding and Stock Returns: Testing Alternative Theories with International Listed Firms," The Journal of Real Estate Finance and Economics, Springer, vol. 68(1), pages 74-102, January.
    531. Boons, M.F., 2014. "Sorting out commodity and macroeconomic risk in expected stock returns," Other publications TiSEM 1ebdac58-bf37-499d-8835-1, Tilburg University, School of Economics and Management.
    532. Rapach, David E. & Ringgenberg, Matthew C. & Zhou, Guofu, 2016. "Short interest and aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 121(1), pages 46-65.
    533. James W. Kolari & Jianhua Z. Huang & Wei Liu & Huiling Liao, 2022. "Further Tests of the ZCAPM Asset Pricing Model," JRFM, MDPI, vol. 15(3), pages 1-23, March.
    534. Arash, Aloosh, 2011. "Variance Risk Premium Differentials and Foreign Exchange Returns," MPRA Paper 40829, University Library of Munich, Germany, revised 18 Aug 2012.
    535. Niels Joachim Gormsen, 2021. "Time Variation of the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(4), pages 1959-1999, August.
    536. Tian Ma & Cunfei Liao & Fuwei Jiang, 2023. "Timing the factor zoo via deep learning: Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(1), pages 485-505, March.
    537. Andrew Y. Chen, 2014. "Habit, Production, and the Cross-Section of Stock Returns," Finance and Economics Discussion Series 2014-103, Board of Governors of the Federal Reserve System (U.S.).
    538. Erik Gilje & Robert Ready & Nikolai Roussanov, 2016. "Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution," NBER Working Papers 22914, National Bureau of Economic Research, Inc.
    539. Obaid, Khaled & Pukthuanthong, Kuntara, 2022. "A picture is worth a thousand words: Measuring investor sentiment by combining machine learning and photos from news," Journal of Financial Economics, Elsevier, vol. 144(1), pages 273-297.
    540. Racicot, François-Éric & Théoret, Raymond, 2016. "Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 41-61.
    541. Zhang, Han & Fan, Xiaoyun & Guo, Bin & Zhang, Wei, 2019. "Reexamining time-varying bond risk premia in the post-financial crisis era," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
    542. Frederico Belo & Chen Xue & Lu Zhang, 2013. "A Supply Approach to Valuation," The Review of Financial Studies, Society for Financial Studies, vol. 26(12), pages 3029-3067.
    543. Skočir, Matevž & Lončarski, Igor, 2018. "Multi-factor asset pricing models: Factor construction choices and the revisit of pricing factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 65-80.
    544. Guanhao Feng & Jingyu He, 2019. "Factor Investing: A Bayesian Hierarchical Approach," Papers 1902.01015, arXiv.org, revised Sep 2020.
    545. Simlai, Prodosh E., 2016. "Time-varying risk, mispricing attributes, and the accrual premium," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 150-161.
    546. B. De Backer, 2018. "Does financial market volatility influence the real economy?," Economic Review, National Bank of Belgium, issue iv, pages 107-124, december.
    547. Julien Pénasse, 2022. "Understanding Alpha Decay," Management Science, INFORMS, vol. 68(5), pages 3966-3973, May.

  15. Kenneth French & Martin Baily & John Campbell & John Cochrane & Douglas Diamond & Darrell Duffie & Anil Kashyap & Frederic Mishkin & Raghuram Rajan & David Scharfstein & Robert Shiller & Hyun Song Shi, 2010. "The Squam Lake Report: Fixing the Financial System," Journal of Applied Corporate Finance, Morgan Stanley, vol. 22(3), pages 8-21, June.
    • Kenneth R. French & Martin N. Baily & John Y. Campbell & John H. Cochrane & Douglas W. Diamond & Darrell Duffie & Anil K Kashyap & Frederic S. Mishkin & Raghuram G. Rajan & David S. Scharfstein & Robe, 2010. "The Squam Lake Report: Fixing the Financial System," Economics Books, Princeton University Press, edition 1, number 9261.

    Cited by:

    1. Kui-Wai Li, 2013. "The US monetary performance prior to the 2008 crisis," Applied Economics, Taylor & Francis Journals, vol. 45(24), pages 3450-3461, August.
    2. Mark J. Flannery, 2016. "Stabilizing Large Financial Institutions with Contingent Capital Certificates," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-26, June.
    3. Admati, Anat R. & DeMarzo, Peter M. & Hellwig, Martin F. & Pfleiderer, Paul, 2013. "The Leverage Ratchet Effect," Research Papers 3029, Stanford University, Graduate School of Business.
    4. Carlos León & Clara Machado & Andrés Murcia, 2013. "Macro-prudential assessment of Colombian financial institutions’ systemic importance," Borradores de Economia 11105, Banco de la Republica.
    5. Leonard I. Nakamura, 2012. "Durable financial regulation: monitoring financial instruments as a counterpart to regulating financial institutions," Working Papers 13-02, Federal Reserve Bank of Philadelphia.
    6. Mishkin, Frederic S., 2017. "Rethinking monetary policy after the crisis," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 252-274.
    7. Frederic S. Mishkin, 2010. "Over The Cliff: From the Subprime to the Global Financial Crisis," NBER Working Papers 16609, National Bureau of Economic Research, Inc.
    8. Chakravarty, Surajeet & Choo, Lawrence & Fonseca, Miguel A. & Kaplan, Todd R., 2020. "Should regulators always be transparent? A bank run experiment," MPRA Paper 99948, University Library of Munich, Germany.
    9. Anil K. Kashyap & Dimitrios P. Tsomocos & Alexandros P. Vardoulakis, 2014. "How does macroprudential regulation change bank credit supply?," NBER Working Papers 20165, National Bureau of Economic Research, Inc.
    10. Chen, Yi & Du, Kai, 2020. "The role of information disclosure in financial intermediation with investment risk," Journal of Financial Stability, Elsevier, vol. 46(C).
    11. Takeo Hoshi, 2011. "Financial Regulation: Lessons from the Recent Financial Crises," Journal of Economic Literature, American Economic Association, vol. 49(1), pages 120-128, March.
    12. Drobyshevsky, S. & Trunin, P., 2014. "The Evolution of Theory and Practice of Monetary Policy as a Result of the Global Economic Crisis," Journal of the New Economic Association, New Economic Association, vol. 24(4), pages 141-158.
    13. Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2010. "Neglected Risks, Financial Innovation, and Financial Fragility," Working Papers 502, Barcelona School of Economics.
    14. Boubaker, Sabri & Liu, Zhenya & Zhai, Ling, 2021. "Big data, news diversity and financial market crash," Technological Forecasting and Social Change, Elsevier, vol. 168(C).
    15. Aizenman, Joshua & Pinto, Brian & Sushko, Vladyslav, 2012. "Financial Sector Ups and Downs and the Real Sector: Up by the Stairs and Down by the Parachute," Santa Cruz Department of Economics, Working Paper Series qt81p0j667, Department of Economics, UC Santa Cruz.
    16. Martin Hellwig, 2021. "‘Capitalism: what has gone wrong?’: Who went wrong? Capitalism? The market economy? Governments? ‘Neoliberal’ economics? [‘It Takes a Village to Maintain a Dangerous Financial System’, ch. 13]," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 37(4), pages 664-677.
    17. Huang, Guan-Ying & Huang, Henry Hongren & Lee, Chun I, 2020. "Taming the dark side of asset liquidity: The role of short-term debt," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 539-562.
    18. Holmén, Martin & Kirchler, Michael & Kleinlercher, Daniel, 2012. "Do Option-like Incentives Induce Overvaluation? Evidence from Experimental Asset Markets," Working Papers in Economics 540, University of Gothenburg, Department of Economics, revised 21 Nov 2012.
    19. Dieter Gramlich & Mikhail V. Oet & Stephen J. Ong, 2013. "Policy in adaptive financial markets—the use of systemic risk early warning tools," Working Papers (Old Series) 1309, Federal Reserve Bank of Cleveland.
    20. Gaetano Antinolfi & Francesca Carapella & Charles M. Kahn & Antoine Martin & David C. Mills & Ed Nosal, 2012. "Repos, fire sales, and bankruptcy policy," Working Paper Series WP-2012-15, Federal Reserve Bank of Chicago.
    21. Joshua Aizenman & Brian Pinto & Vladyslav Sushko, 2013. "Financial sector ups and downs and the real sector in the open economy: Up by the stairs, down by the parachute," BIS Working Papers 411, Bank for International Settlements.
    22. Hilscher, Jens & Raviv, Alon, 2014. "Bank stability and market discipline: The effect of contingent capital on risk taking and default probability," Journal of Corporate Finance, Elsevier, vol. 29(C), pages 542-560.
    23. Jacques Pézier, 2011. "Rationalization of Investment Preference Criteria," ICMA Centre Discussion Papers in Finance icma-dp2011-12, Henley Business School, University of Reading.
    24. Nicholas Turner & Eric Zwick & David Berger, 2016. "Stimulating Housing Markets," 2016 Meeting Papers 227, Society for Economic Dynamics.
    25. Thomas Willett, 2010. "Some lessons for economists from the financial crisis," Indian Growth and Development Review, Emerald Group Publishing Limited, vol. 3(2), pages 186-208, September.
    26. Leonard I. Nakamura, 2013. "What you don’t know can hurt you: keeping track of risks in the financial system," Business Review, Federal Reserve Bank of Philadelphia, issue Q1, pages 21-29.
    27. Meixing Dai & François Barry, 2013. "La dimension macro-prudentielle de la régulation financière introduite par Bâle III," Post-Print hal-04080461, HAL.
    28. Choi, Jin Wook, 2013. "The 2007–2010 U.S. financial crisis: Its origins, progressions, and solutions," The Journal of Economic Asymmetries, Elsevier, vol. 10(2), pages 65-77.
    29. Thomas Puschmann & Christian Hugo Hoffmann & Valentyn Khmarskyi, 2020. "How Green FinTech Can Alleviate the Impact of Climate Change—The Case of Switzerland," Sustainability, MDPI, vol. 12(24), pages 1-30, December.
    30. Fredric Mishkin, 2011. "How Should Central Banks Respond to Asset-Price Bubbles? The 'Lean' versus 'Clean' Debate After the GFC," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 59-70, June.
    31. Tatiana Damjanovic & Vladislav Damjanovic & Charles Nolan, 2012. "Universal banking, competition and risk in a macro model," Discussion Papers 1201, University of Exeter, Department of Economics.
    32. Suarez, Javier & Mendicino, Caterina & Nikolov, Kalin, 2017. "Equity versus Bail-in Debt in Banking: An Agency Perspective," CEPR Discussion Papers 12104, C.E.P.R. Discussion Papers.
    33. Rainer Masera, 2011. "Taking the moral hazard out of banking: the next fundamental step in financial reform," PSL Quarterly Review, Economia civile, vol. 64(257), pages 105-142.
    34. Daniel Garcia-Macia & Alonso Villacorta, 2023. "Macroprudential Policy with Liquidity Panics," The Review of Financial Studies, Society for Financial Studies, vol. 36(5), pages 2046-2090.
    35. Alessandro Fedele & Luca Panaccione, 2020. "Moral hazard and compensation packages: does reshuffling matter?," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(1), pages 223-241, July.
    36. Ana KUNDID NOVOKMET & Antonia MARINOVIĆ, 2016. "Solvency And Liquidity Level Trade-Off: Does It Exist In Croatian Banking Sector?," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 63(3), pages 429-440, November.
    37. Füllbrunn, Sascha & Luhan, Wolfgang J., 2020. "Responsibility and limited liability in decision making for others – An experimental consideration," Journal of Economic Psychology, Elsevier, vol. 77(C).
    38. Andrei Shleifer & Robert W. Vishny, 2010. "Fire Sales in Finance and Macroeconomics," NBER Working Papers 16642, National Bureau of Economic Research, Inc.
    39. Laeven, Luc & Ratnovski, Lev & Tong, Hui, 2016. "Bank size, capital, and systemic risk: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 69(S1), pages 25-34.
    40. Samano, Daniel, 2011. "In the quest of macroprudential policy tools," MPRA Paper 30738, University Library of Munich, Germany.
    41. Bo, Wang & Suli, Zheng, 2020. "Heterogeneous fragility, systematic panic and optimal transparency," Economics Letters, Elsevier, vol. 191(C).
    42. van Wijnbergen, Sweder & Kiewiet, Gera & van Lelyveld, Iman Paul Pieter, 2017. "Contingent Convertibles: Can the Market handle them?," CEPR Discussion Papers 12359, C.E.P.R. Discussion Papers.
    43. Annalisa Fabretti & Tommy Gärling & Stefano Herzel & Martin Holmen, 2017. "Convex incentives in financial markets: an agent-based analysis," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 375-395, November.
    44. Carlos León, 2012. "Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints," Borradores de Economia 10075, Banco de la Republica.
    45. Bernd Rudolph, 2013. "Contingent Convertibles (CoCo-Bonds) als Bail-in-Instrumente für Banken," Schmalenbach Journal of Business Research, Springer, vol. 65(67), pages 97-122, January.
    46. Li, Kui-Wai, 2011. "A study on the volatility forecast of the US housing market in the 2008 crisis," MPRA Paper 41033, University Library of Munich, Germany.
    47. Merrill, Craig B. & Nadauld, Taylor D. & Stulz, René M. & Sherlun, Shane M., 2021. "Were there fire sales in the RMBS market?," Journal of Monetary Economics, Elsevier, vol. 122(C), pages 17-37.
    48. Constanza Martínez & Carlos León, 2014. "The Cost of Collateralized Borrowing in the Colombian Money Market: Does Connectedness Matter?," Borradores de Economia 11123, Banco de la Republica.
    49. Bhagat, Sanjai & Bolton, Brian & Lu, Jun, 2015. "Size, leverage, and risk-taking of financial institutions," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 520-537.
    50. Tim Congdon, 2018. "Sir Charles Bean On The Uk'S Decade Of Super†Low Interest Rates: Comment," Economic Affairs, Wiley Blackwell, vol. 38(2), pages 257-264, June.
    51. Trigilia, Giulio, 2016. "Optimal Leverage and Strategic Disclosure," CRETA Online Discussion Paper Series 18, Centre for Research in Economic Theory and its Applications CRETA.
    52. Laurence J. Kotlikoff, 2018. "The Big Con – Reassessing the "Great" Recession and its "Fix"," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-311, Boston University - Department of Economics.
    53. Martin Keller-Ressel & Stephanie Nargang, 2020. "The hyperbolic geometry of financial networks," Papers 2005.00399, arXiv.org, revised May 2020.
    54. Tatiana Damjanovic & Vladislav Damjanovic & Charles Nolan, 2013. "Universal vs separated banking with deposit insurance in a macro model," Discussion Papers 1308, University of Exeter, Department of Economics.
    55. Asako Chiba, 2020. "The effects of stringent capital requirements on large financial institutions," Journal of Regulatory Economics, Springer, vol. 57(3), pages 231-257, June.
    56. Silva, Paulo Pereira da & Vieira, Carlos & Vieira, Isabel, 2015. "The determinants of CDS open interest dynamics," Journal of Financial Stability, Elsevier, vol. 21(C), pages 95-109.
    57. Kleinlercher, Daniel & Huber, Jürgen & Kirchler, Michael, 2014. "The impact of different incentive schemes on asset prices," European Economic Review, Elsevier, vol. 68(C), pages 137-150.
    58. Kundid Novokmet Ana & Marinović Antonia, 2016. "Solvency and Liquidity Level Trade-off: Does it Exist in Croatian Banking Sector?," Scientific Annals of Economics and Business, Sciendo, vol. 63(3), pages 429-440, November.
    59. Farmer, J. Doyne & Kleinnijenhuis, Alissa & Goodhart, Charles, 2021. "Systemic implications of the bail-in design," INET Oxford Working Papers 2021-21, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
    60. Anat R. Admati, 2014. "The Compelling Case for Stronger and More Effective Leverage Regulation in Banking," The Journal of Legal Studies, University of Chicago Press, vol. 43(S2), pages 35-61.
    61. Aslan, Hadiye & Kumar, Praveen, 2018. "The real effects of forced sales of corporate bonds," Journal of Monetary Economics, Elsevier, vol. 95(C), pages 1-17.
    62. D. M. Nachane, 2016. "Global Crisis, Regulatory Reform and International Policy Coordination," South Asian Journal of Macroeconomics and Public Finance, , vol. 5(1), pages 63-95, June.
    63. Anat R. Admati & Peter M. DeMarzo & Martin F. Hellwig & Paul Pfleiderer, 2010. "Fallacies, Irrelevant Facts, and Myths in the Discussion of Capital Regulation: Why Bank Equity is Not Expensive," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2010_42, Max Planck Institute for Research on Collective Goods.
    64. Lu, Jing & Hu, Xiaohong, 2014. "Novel three-bank model for measuring the systemic importance of commercial banks," Economic Modelling, Elsevier, vol. 43(C), pages 238-246.
    65. Jungherr, Joachim, 2018. "Bank opacity and financial crises," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 157-176.
    66. Ben Maatoug, Abderrazek & Ben Ayed, Wassim & Ftiti, Zied, 2019. "Are MENA banks’ capital buffers countercyclical? Evidence from the Islamic and conventional banking systems," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 109-118.
    67. Freddy Cepeda L. & Fabio Ortega C., 2015. "A dynamic approach to intraday liquidity needs," Borradores de Economia 877, Banco de la Republica de Colombia.
    68. Carlos León & Clara Machado & Andrés Murcia, 2016. "Assessing Systemic Importance With a Fuzzy Logic Inference System," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 23(1-2), pages 121-153, January.
    69. Gupta, Anshul & Akuzawa, Toshinao & Nishiyama, Yoshihiko, 2013. "Quantitative evaluation of contingent capital and its applications," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 457-486.
    70. Carlos León, 2012. "Estimating financial institutions’ intraday liquidity risk: a Monte Carlo simulation approach," Borradores de Economia 703, Banco de la Republica de Colombia.
    71. Dijk, Oege & Holmen, Martin & Kirchler, Michael, 2014. "Rank matters–The impact of social competition on portfolio choice," European Economic Review, Elsevier, vol. 66(C), pages 97-110.
    72. Lei Zhao, 2018. "Market†based estimates of implicit government guarantees in European financial institutions," European Financial Management, European Financial Management Association, vol. 24(1), pages 79-112, January.
    73. Thomas D. Willett, 2012. "The role of defective mental models in generating the global financial crisis," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 4(1), pages 41-57, April.
    74. , 2016. "Funding Illiquidity," Working Papers on Finance 1601, University of St. Gallen, School of Finance, revised Sep 2019.
    75. Jozsef Mezei & Peter Sarlin, 2014. "Aggregation operators for the measurement of systemic risk," Papers 1412.5452, arXiv.org, revised Dec 2014.
    76. Andrew W. Lo, 2012. "Reading about the Financial Crisis: A Twenty-One-Book Review," Journal of Economic Literature, American Economic Association, vol. 50(1), pages 151-178, March.
    77. Samuel G. Hanson & Anil K. Kashyap & Jeremy C. Stein, 2011. "A Macroprudential Approach to Financial Regulation," Journal of Economic Perspectives, American Economic Association, vol. 25(1), pages 3-28, Winter.
    78. Benjamin Hippert & André Uhde & Sascha Tobias Wengerek, 2019. "Determinants of CDS trading on major banks," Working Papers Dissertations 51, Paderborn University, Faculty of Business Administration and Economics.
    79. Brown, James R. & Martinsson, Gustav & Thomann, Christian, 2021. "Government lending in a crisis," Journal of Corporate Finance, Elsevier, vol. 71(C).
    80. Jansson, Walter, 2021. "Revisiting Subprime Pricing Irrationality During the Global Financial Crisis," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 3(2), pages 1-40, April.
    81. Braouezec, Yann & Wagalath, Lakshithe, 2019. "Strategic fire-sales and price-mediated contagion in the banking system," European Journal of Operational Research, Elsevier, vol. 274(3), pages 1180-1197.
    82. Liao, Shuyu & Sojli, Elvira & Tham, Wing Wah, 2015. "Managing systemic risk in The Netherlands," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 231-245.
    83. Gete, Pedro & Gómez, Juan-Pedro, 2015. "Compensation contracts and fire sales," Journal of Financial Stability, Elsevier, vol. 18(C), pages 154-171.
    84. Frederic S. Mishkin, 2011. "Monetary Policy Strategy: Lessons from the Crisis," NBER Working Papers 16755, National Bureau of Economic Research, Inc.
    85. Paul Pfleiderer, 2014. "Camaleones: el mal uso de modelos teóricos en finanzas y economía," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 16(31), pages 23-30, July-Dece.
    86. Marine Charlotte André & Meixing Dai, 2019. "Politique macro-prudentielle dans la zone euro," Bulletin de l'Observatoire des politiques économiques en Europe, Observatoire des Politiques Économiques en Europe (OPEE), vol. 40(1), pages 37-44, July.
    87. Laurence J. Kotlikoff, 2018. "The Big Con – Reassessing the "Great" Recession and its "Fix"," NBER Working Papers 25213, National Bureau of Economic Research, Inc.
    88. Seyyed Mostafa Mousavi & Robert Mackay & Alistair Tucker, 2016. "Contagion and Stability in Financial Networks," Papers 1603.04099, arXiv.org.
    89. Meixing Dai, 2015. "Les marchés financiers et la politique monétaire de la BCE," Bulletin de l'Observatoire des politiques économiques en Europe, Observatoire des Politiques Économiques en Europe (OPEE), vol. 1, pages 83-119, janvier.
    90. Joshua Aizenman & Brian Pinto & Vladyslav Sushko, 2011. "Financial Sector Ups and Downs and the Real Sector: Up by the stairs, down by the parachute," NBER Working Papers 17530, National Bureau of Economic Research, Inc.
    91. Mohamad Adam & Taufik & Muhammad Aditya Erfiyan Prathama, 2015. "Bank liquidity-stress testing and Basel III implementation in Indonesia," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 7(1), pages 12-23, April.
    92. Li Ping & Liu Jie, 2014. "Design and Pricing of Chinese Contingent Convertible Bonds," Journal of Systems Science and Information, De Gruyter, vol. 2(5), pages 428-436, October.
    93. Alessandro Fedele & Luca Panaccione, 2015. "Pay package reshuffling and managerial incentives: A principal-agent analysis," BEMPS - Bozen Economics & Management Paper Series BEMPS28, Faculty of Economics and Management at the Free University of Bozen.
    94. Jessica A. Wachter & Michael Jacob Kahana, 2019. "A Retrieved-Context Theory Of Financial Decisions," NBER Working Papers 26200, National Bureau of Economic Research, Inc.
    95. Carlos Léon, 2012. "Estimating financial institutions´ intraday liquidity risk: a Monte Carlo simulation approach," Borradores de Economia 9441, Banco de la Republica.
    96. Aizenman, Joshua & Pinto, Brian & Sushko, Vladyslav, 2011. "Financial sector ups and downs and the real sector : big hindrance, little help," Policy Research Working Paper Series 5860, The World Bank.
    97. Woon Sau Leung & Nicholas Taylor, 2013. "Testing for contagion: the impact of US structured markets on international financial markets," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 11, pages 256-284, Edward Elgar Publishing.
    98. Trigilia, Giulio, 2016. "Optimal Leverage and Strategic Disclosure," Economic Research Papers 269584, University of Warwick - Department of Economics.
    99. V. V. Chari & Patrick J. Kehoe, 2016. "Bailouts, Time Inconsistency, and Optimal Regulation: A Macroeconomic View," American Economic Review, American Economic Association, vol. 106(9), pages 2458-2493, September.
    100. Chia-Chien Chang & Min-Teh Yu, 2018. "Bank Contingent Capital: Valuation and the Role of Market Discipline," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(1), pages 49-80, August.
    101. Paulo Pereira da Silva & Carlos Vieira & Isabel Vieira, 2018. "Central clearing and CDS market quality," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 731-753, June.
    102. Trigilia, Giulio, 2016. "Optimal Leverage and Strategic Disclosure," The Warwick Economics Research Paper Series (TWERPS) 1111, University of Warwick, Department of Economics.
    103. Hesse, Henning, 2018. "Incentive effects from write-down CoCo bonds: An empirical analysis," SAFE Working Paper Series 212, Leibniz Institute for Financial Research SAFE.
    104. Anwer S. Ahmed & Brant E. Christensen & Adam J. Olson & Christopher G. Yust, 2019. "Déjà Vu: The Effect of Executives and Directors with Prior Banking Crisis Experience on Bank Outcomes around the Global Financial Crisis," Contemporary Accounting Research, John Wiley & Sons, vol. 36(2), pages 958-998, June.
    105. Anat R. Admati & Peter M. DeMarzo & Martin F. Hellwig & Paul Pfleiderer, 2013. "Fallacies, Irrelevant Facts, and Myths in the Discussion of Capital Regulation: Why Bank Equity is Not Socially Expensive," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2013_23, Max Planck Institute for Research on Collective Goods.

  16. Cochrane, John H., 2009. "Can learnability save new-Keynesian models?," Journal of Monetary Economics, Elsevier, vol. 56(8), pages 1109-1113, November.
    See citations under working paper version above.
  17. John H. Cochrane, 2008. "The Dog That Did Not Bark: A Defense of Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1533-1575, July.
    See citations under working paper version above.
  18. John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2008. "Two Trees," The Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 347-385, January.
    See citations under working paper version above.
  19. John H. Cochrane, 2007. "Commentary on \\"Macroeconomic implications of changes in the term premium\\"," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 271-282.

    Cited by:

    1. Gab-Je Jo, 2024. "Analysis of Long-Term Bond Yields Using Deviations from Covered Interest Rate Parity," JRFM, MDPI, vol. 17(3), pages 1-15, March.
    2. Michael D. Bauer, 2018. "Restrictions on Risk Prices in Dynamic Term Structure Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(2), pages 196-211, April.
    3. Carlos E. Zarazaga, 2010. "The difficult art of eliciting long-run inflation expectations from government bond prices," Staff Papers, Federal Reserve Bank of Dallas, issue Mar.
    4. Eric T. Swanson, 2007. "What we do and don't know about the term premium," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jul20.
    5. Reyna Cerecero Mario & Salazar Cavazos Diana & Salgado Banda Héctor, 2008. "The Yield Curve and its Relation with Economic Activity: The Mexican Case," Working Papers 2008-15, Banco de México.

  20. Brandt, Michael W. & Cochrane, John H. & Santa-Clara, Pedro, 2006. "International risk sharing is better than you think, or exchange rates are too smooth," Journal of Monetary Economics, Elsevier, vol. 53(4), pages 671-698, May.

    Cited by:

    1. Yuming Li & Maosen Zhong, 2009. "International asset returns and exchange rates," The European Journal of Finance, Taylor & Francis Journals, vol. 15(3), pages 263-285.
    2. Martin Bodenstein, 2006. "International Asset Markets and Real Exchange Rate Volatility," International Finance Discussion Papers 884, Board of Governors of the Federal Reserve System (U.S.).
    3. Gavazzoni, Federico & Santacreu, Ana Maria, 2020. "International R&D spillovers and asset prices," Journal of Financial Economics, Elsevier, vol. 136(2), pages 330-354.
    4. Giancarlo Corsetti & Luca Dedola & Francesca Viani, 2012. "Traded and Nontraded Goods Prices, and International Risk Sharing: An Empirical Investigation," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 8(1), pages 403-466.
    5. De Santis, Roberto A. & Sarno, Lucio, 2008. "Assessing the benefits of international portfolio diversification in bonds and stocks," Working Paper Series 883, European Central Bank.
    6. Hakon Tretvoll, 2018. "Real Exchange Variability in a Two-Country Business Cycle Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 27, pages 123-145, January.
    7. Karen K. Lewis, 2011. "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
    8. Chu, Shiou-Yen, 2015. "Funding liquidity constraints and the forward premium anomaly in a DSGE model," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 76-89.
    9. Ibrahim Ayoade Adekunle & Sheriffdeen Adewale Tella & Oluwaseyi Adedayo Adelowokan, 2021. "Macroeconomic policy volatility and household consumption in Africa," SN Business & Economics, Springer, vol. 1(3), pages 1-22, March.
    10. Matteo Maggiori, 2013. "The U.S. Dollar Safety Premium," 2013 Meeting Papers 75, Society for Economic Dynamics.
    11. Moore, Michael J. & Roche, Maurice J., 2010. "Solving exchange rate puzzles with neither sticky prices nor trade costs," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1151-1170, October.
    12. Costa, Carlos Eugênio da & Issler, João Victor & Matos, Paulo Rogério Faustino, 2009. "The forward- and the equity-premium puzzles: two symptoms of the same illness?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 697, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    13. Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.
    14. Mo, Henry & Wu, Liuren, 2007. "International capital asset pricing: Evidence from options," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 465-498, September.
    15. Gurdip Bakshi & Xiaohui Gao & George Panayotov, 2021. "A Theory of Dissimilarity Between Stochastic Discount Factors," Management Science, INFORMS, vol. 67(7), pages 4602-4622, July.
    16. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2018. "Common information in carry trade risk factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 37-47.
    17. Jonathan Heathcote & Fabrizio Perri, 2016. "On the Desirability of Capital Controls," NBER Working Papers 21898, National Bureau of Economic Research, Inc.
    18. Clancy, Daragh & Ricci, Lorenzo, 2022. "Economic sentiments and international risk sharing," International Economics, Elsevier, vol. 169(C), pages 208-229.
    19. Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2014. "International correlation risk," LSE Research Online Documents on Economics 60955, London School of Economics and Political Science, LSE Library.
    20. Pavlova, Anna & Rigobon, Roberto, 2004. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    21. Basu, Parantap & Semenov, Andrei & Wada, Kenji, 2011. "Uninsurable risk and financial market puzzles," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1055-1089, October.
    22. Hoffmann, Mathias, 2008. "International financial markets' influence on the welfare performance of alternative exchange rate regimes," Discussion Paper Series 1: Economic Studies 2008,27, Deutsche Bundesbank.
    23. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2011. "Risk, Monetary Policy and the Exchange Rate," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 247-309, National Bureau of Economic Research, Inc.
    24. Martin Melecky, 2008. "A Structural Investigation of Third‐Currency Shocks to Bilateral Exchange Rates," International Finance, Wiley Blackwell, vol. 11(1), pages 19-48, May.
    25. Simona E. Cociuba & Ananth Ramanarayanan, 2011. "International Risk Sharing with Endogenously Segmented Asset Markets," 2011 Meeting Papers 853, Society for Economic Dynamics.
    26. Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian, 2015. "Why do term structures in different currencies co-move?," Journal of Financial Economics, Elsevier, vol. 115(1), pages 58-83.
    27. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    28. Wenxin Du & Carolin E. Pflueger & Jesse Schreger, 2016. "Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy," NBER Working Papers 22592, National Bureau of Economic Research, Inc.
    29. Charles Engel & John H. Rogers, 2008. "Expected consumption growth from cross-country surveys: implications for assessing international capital markets," International Finance Discussion Papers 949, Board of Governors of the Federal Reserve System (U.S.).
    30. Pistaferri, Luigi & Kocherlakota, Narayana, 2007. "Household Heterogeneity and Real Exchange Rates," CEPR Discussion Papers 6192, C.E.P.R. Discussion Papers.
    31. Fernandes, Marcelo & Vieira Filho, Jose Gil, 2020. "The efficiency of risk sharing between UK and US: Robust estimation and calibration under market incompleteness," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 39(2), March.
    32. Lustig, Hanno & Stathopoulos, Andreas & Verdelhan, Adrien, 2017. "The Term Structure of Currency Carry Trade Risk Premia," Research Papers repec:ecl:stabus:3411, Stanford University, Graduate School of Business.
    33. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2007. "If exchange rates are random walks then almost everything we say about monetary policy is wrong," Working Papers 650, Federal Reserve Bank of Minneapolis.
    34. Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2017. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," 2017 Meeting Papers 1633, Society for Economic Dynamics.
    35. Giuseppe Cavaliere & Luca Fanelli & Attilio Gardini, 2008. "International dynamic risk sharing," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 1-16.
    36. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series WP2006-042, Boston University - Department of Economics.
    37. 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.
    38. Andreas Stathopoulos, 2012. "Portfolio Home Bias and External Habit Formation," 2012 Meeting Papers 502, Society for Economic Dynamics.
    39. Alessandro Ferrari & Anna Rogantini Picco, 2016. "International Risk Sharing in the EMU," Working Papers 17, European Stability Mechanism.
    40. Charles Engel, 2015. "Exchange Rates, Interest Rates, and the Risk Premium," NBER Working Papers 21042, National Bureau of Economic Research, Inc.
    41. Chien, YiLi & Lustig, Hanno & Naknoi, Kanda, 2020. "Why are exchange rates so smooth? A household finance explanation," Journal of Monetary Economics, Elsevier, vol. 112(C), pages 129-144.
    42. Charles Engel, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Working Papers 272011, Hong Kong Institute for Monetary Research.
    43. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 283-300.
    44. Jonathan Heathcote & Fabrizio Perri, 2013. "Assessing International Efficiency," NBER Working Papers 18956, National Bureau of Economic Research, Inc.
    45. Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2012. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," NBER Working Papers 18128, National Bureau of Economic Research, Inc.
    46. Mariano M. Croce & Riccardo Colacito, 2010. "International Asset Pricing with Risk-Sensitive Rare Events," 2010 Meeting Papers 176, Society for Economic Dynamics.
    47. Evžen Koèenda & Tigran Poghosyan, 2010. "Exchange Rate Risk in Central European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(1), pages 22-39, February.
    48. Mr. Phurichai Rungcharoenkitkul, 2011. "Risk Sharing and Financial Contagion in Asia: An Asset Price Perspective," IMF Working Papers 2011/242, International Monetary Fund.
    49. Chernov, Mikhail & Creal, Drew, 2022. "International yield curves and currency puzzles," CEPR Discussion Papers 13252, C.E.P.R. Discussion Papers.
    50. Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2013. "International correlation risk," LSE Research Online Documents on Economics 43087, London School of Economics and Political Science, LSE Library.
    51. Gurdip Bakshi & Mario Cerrato & John Crosby, 2016. "Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies," Working Papers 2017_01, Business School - Economics, University of Glasgow.
    52. Mr. Marco Terrones & Mr. Ayhan Kose & Mr. Eswar S Prasad, 2007. "How Does Financial Globalization Affect Risk Sharing? Patterns and Channels," IMF Working Papers 2007/238, International Monetary Fund.
    53. Jiang, Zhengyang & Krishnamurthy, Arvind & Lustig, Hanno, 2018. "Foreign Safe Asset Demand and the Dollar Exchange Rate," Research Papers 3621, Stanford University, Graduate School of Business.
    54. Emmanuel Farhi & Xavier Gabaix, "undated". "Rare Disasters and Exchange Rates," Working Paper 71001, Harvard University OpenScholar.
    55. Maurer, Thomas & Tran, Ngoc-Khanh, 2021. "Entangled risks in incomplete FX markets," Journal of Financial Economics, Elsevier, vol. 142(1), pages 146-165.
    56. Zhang, Shaojun, 2016. "Limited Risk Sharing and International Equity Returns," Working Paper Series 2016-25, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    57. Curatola, Giuliano & Dergunov, Ilya, 2023. "International capital markets with interdependent preferences: Theory and empirical evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 403-421.
    58. Wang, Xi & Yang, Jiao-Hui & Wang, Kai-Li & Fawson, Christopher, 2017. "Dynamic information spillovers in intraregionally-focused spot and forward currency markets," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 78-110.
    59. Yin, Weiwei & Li, Junye, 2014. "Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 46-64.
    60. Carlos Enrique Carrasco-Gutierrez & Wagner Piazza Gaglianone, 2012. "Evaluating Asset Pricing Models in a Simulated Multifactor Approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(4), pages 425-460.
    61. Hanno Lustig & Adrien Verdelhan, 2019. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," American Economic Review, American Economic Association, vol. 109(6), pages 2208-2244, June.
    62. Huang, Lin & Wu, Jia & Zhang, Rui, 2014. "Exchange risk and asset returns: A theoretical and empirical study of an open economy asset pricing model," Emerging Markets Review, Elsevier, vol. 21(C), pages 96-116.
    63. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010. "Countercyclical Currency Risk Premia," NBER Working Papers 16427, National Bureau of Economic Research, Inc.
    64. Yu, Changhua, 2015. "Evaluating international financial integration in a center-periphery economy," Journal of International Economics, Elsevier, vol. 95(1), pages 129-144.
    65. David K. Backus & Federico Gavazzoni & Christopher Telmer & Stanley E. Zin, 2010. "Monetary Policy and the Uncovered Interest Parity Puzzle," NBER Working Papers 16218, National Bureau of Economic Research, Inc.
    66. Yu, Jianfeng, 2013. "A sentiment-based explanation of the forward premium puzzle," Journal of Monetary Economics, Elsevier, vol. 60(4), pages 474-491.
    67. A Craig Burnside & Jeremy J Graveline, 2020. "On the Asset Market View of Exchange Rates," The Review of Financial Studies, Society for Financial Studies, vol. 33(1), pages 239-260.
    68. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
    69. Brendan Epstein & Rahul Mukherjee & Shanthi Ramnath, 2014. "Taxes and International Risk Sharing," International Finance Discussion Papers 1110, Board of Governors of the Federal Reserve System (U.S.).
    70. 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.
    71. Pietro Cova & Mr. Alessandro Rebucci & Mr. Akito Matsumoto & Massimiliano Pisani, 2008. "New Shocks, Exchange Rates and Equity Prices," IMF Working Papers 2008/284, International Monetary Fund.
    72. Bakshi, Gurdip & Carr, Peter & Wu, Liuren, 2008. "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies," Journal of Financial Economics, Elsevier, vol. 87(1), pages 132-156, January.
    73. Basu, Parantap & Wada, Kenji, 2006. "Is low international risk sharing consistent with a high equity premium? A reconciliation of two puzzles," Economics Letters, Elsevier, vol. 93(3), pages 436-442, December.
    74. Sercu, Piet & Vandebroek, Martina & Wu, Xueping, 2008. "Is the forward bias economically small? Evidence from European rates," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1284-1302, December.
    75. Ana Maria Santacreu & Federico Gavazzoni, 2014. "International Comovement through Endogenous Long Run Risk," 2014 Meeting Papers 993, Society for Economic Dynamics.
    76. Michael B. Devereux & Gregor W. Smith & James Yetman, 2009. "Consumption and Real Exchange Rates in Professional Forecasts," NBER Working Papers 14795, National Bureau of Economic Research, Inc.
    77. Fousseni Chabi-Yo & Jun Yang, 2007. "A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate," Staff Working Papers 07-21, Bank of Canada.
    78. Borja Larrain, 2005. "The stock market and cross country differences in relative prices," Working Papers 05-6, Federal Reserve Bank of Boston.
    79. Gerdie Everaert & Lorenzo Pozzi, 2022. "Encompassing measures of international consumption risk sharing and their link with trade and financial globalization," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 433-449, March.
    80. Hassan, Ramin & Loualiche, Erik & Pecora, Alexandre R. & Ward, Colin, 2023. "International trade and the risk in bilateral exchange rates," Journal of Financial Economics, Elsevier, vol. 150(2).
    81. da Costa, Carlos E. & Issler, João V. & Matos, Paulo F., 2015. "A Note On The Forward And The Equity Premium Puzzles: Two Symptoms Of The Same Illness?," Macroeconomic Dynamics, Cambridge University Press, vol. 19(2), pages 446-464, March.
    82. Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013. "International risk cycles," Journal of International Economics, Elsevier, vol. 89(2), pages 471-484.
    83. Oleg Itskhoki, 2021. "The Story of the Real Exchange Rate," Annual Review of Economics, Annual Reviews, vol. 13(1), pages 423-455, August.
    84. Thomas A. Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2019. "Pricing Risks Across Currency Denominations," Management Science, INFORMS, vol. 65(11), pages 5308-5336, November.
    85. Balvers, Ronald J. & Klein, Alina F., 2014. "Currency risk premia and uncovered interest parity in the International CAPM," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 214-230.
    86. Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan, 2019. "The Term Structure of Currency Carry Trade Risk Premia," American Economic Review, American Economic Association, vol. 109(12), pages 4142-4177, December.
    87. M. Hadzi-Vaskov & C.J.M. Kool, 2007. "Stochastic Discount Factor Approach to International Risk-Sharing: Evidence from Fixed Exchange Rate Episodes," Working Papers 07-33, Utrecht School of Economics.
    88. Jairo A. Rendon, 2019. "Global And Regional Risks In Currency Returns," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-25, December.
    89. Daragh Clancy & Lorenzo Ricci, 2019. "Loss aversion, economic sentiments and international consumption smoothing," Working Papers 35, European Stability Mechanism.
    90. Korsaye, Sofonias Alemu & Trojani, Fabio & Vedolin, Andrea, 2023. "The global factor structure of exchange rates," Journal of Financial Economics, Elsevier, vol. 148(1), pages 21-46.
    91. Fousseni Chabi-Yo & Riccardo Colacito, 2019. "The Term Structures of Coentropy in International Financial Markets," Management Science, INFORMS, vol. 65(8), pages 3541-3558, August.
    92. Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Computing in Economics and Finance 2006 217, Society for Computational Economics.
    93. Hanno Lustig & Robert J. Richmond, 2017. "Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates," NBER Working Papers 23773, National Bureau of Economic Research, Inc.
    94. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
    95. Arash Aloosh & Geert Bekaert, 2019. "Currency Factors," NBER Working Papers 25449, National Bureau of Economic Research, Inc.
    96. Jianfeng Yu, 2011. "A sentiment-based explanation of the forward premium puzzle," Globalization Institute Working Papers 90, Federal Reserve Bank of Dallas.
    97. Chang, Sanders S., 2013. "Can cross-country portfolio rebalancing give rise to forward bias in FX markets?," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1079-1096.
    98. Parantap Basu & Andrei Semenovz & Kenji Wadax, 2007. "Uninsurable Risk and Financial Market Puzzles," CDMA Conference Paper Series 0701, Centre for Dynamic Macroeconomic Analysis.
    99. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2009. "Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 76(3), pages 851-878.
    100. Chan R. Mang, 2014. "Uncertain Risk and Return in Bond Markets, I," 2014 Papers pma1706, Job Market Papers.
    101. Fang, Xiang & Liu, Yang, 2021. "Volatility, intermediaries, and exchange rates," Journal of Financial Economics, Elsevier, vol. 141(1), pages 217-233.
    102. Kraft, Holger & Meyer-Wehmann, André & Seifried, Frank Thomas, 2022. "Endogenous habits and equilibrium asset prices," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 279-300.
    103. Thomas Nitschka, 2009. "Momentum in stock market returns, risk premia on foreign currencies and international financial integration," IEW - Working Papers 405, Institute for Empirical Research in Economics - University of Zurich.
    104. Adrien Verdelhan & Hanno Lustig, 2016. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," 2016 Meeting Papers 1183, Society for Economic Dynamics.
    105. Paulo Rogério Faustino Matos, 2019. "The role of household debt and delinquency decisions in consumption-based asset pricing," Annals of Finance, Springer, vol. 15(2), pages 179-203, June.
    106. Karen K. Lewis & Edith X. Liu, 2012. "International Consumption Risk Is Shared After All: An Asset Return View," NBER Working Papers 17872, National Bureau of Economic Research, Inc.
    107. Metodij Hadzi-Vaskov & Clemens J.M. Kool, 2007. "Stochastic Discount Factor Approach to International Risk-Sharing: A Trilateral Framework," EcoMod2007 23900031, EcoMod.
    108. Lewis, Karen K. & Liu, Edith X., 2015. "Evaluating international consumption risk sharing gains: An asset return view," Journal of Monetary Economics, Elsevier, vol. 71(C), pages 84-98.
    109. George M. Korniotis & Alok Kumar, 2008. "Do behavioral biases adversely affect the macro-economy?," Finance and Economics Discussion Series 2008-49, Board of Governors of the Federal Reserve System (U.S.).
    110. Vasilyev, Dmitry (Васильев, Дмитрий) & Busygin, Vladimir (Бусыгин, Владимир) & Busygin, Sergei (Бусыгин, Сергей), 2016. "Testing and Interpreting Uncovered Interest Parity in Russia [Проверка И Интерпретация Выполнения Процентного Паритета В России]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 4, pages 35-55, August.
    111. M. Hadzi-Vaskov & C.J.M. Kool, 2007. "Stochastic Discount Factor Approach to International Risk-Sharing:A Robustness Check of the Bilateral Setting," Working Papers 07-34, Utrecht School of Economics.
    112. 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.
    113. Mathias Hoffmann & Thomas Nitschka, 2007. "The Consumption - Real Exchange Rate Anomaly: an Asset Pricing Perspective," IEW - Working Papers 331, Institute for Empirical Research in Economics - University of Zurich.
    114. Branger, Nicole & Herold, Michael & Muck, Matthias, 2021. "International stochastic discount factors and covariance risk," Journal of Banking & Finance, Elsevier, vol. 123(C).
    115. Carlos Enrique Carrasco Gutierrez & Wagner Piazza Gaglianone, 2008. "Evaluating Asset Pricing Models in a Fama-French Framework," Working Papers Series 175, Central Bank of Brazil, Research Department.
    116. Mirela Sandulescu & Fabio Trojani & Andrea Vedolin, 2021. "Model‐Free International Stochastic Discount Factors," Journal of Finance, American Finance Association, vol. 76(2), pages 935-976, April.
    117. Asdrubali, Pierfederico & Kim, Soyoung & Pericoli, Filippo & Poncela, Pilar, 2018. "New Risk Sharing Channels in OECD Countries: a Heterogeneous Panel VAR," Working Papers 2018-13, Joint Research Centre, European Commission.
    118. Lee, Eunhee, 2019. "Asset prices with stochastic volatilities and a UIP puzzle," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 41-61.
    119. Hornstein, Abigail S. & Naknoi, Kanda, 2023. "FDI commitments increase when uncertainty is resolved: Evidence from Asia," Journal of Asian Economics, Elsevier, vol. 87(C).
    120. Orlov, Vitaly, 2016. "Currency momentum, carry trade, and market illiquidity," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 1-11.
    121. Vedolin, Andrea & Korsaye, Sofonias Alemu & Trojani, Fabio, 2020. "The Global Factor Structure of Exchange Rates," CEPR Discussion Papers 15337, C.E.P.R. Discussion Papers.
    122. Chang, Yanqin, 2007. "high level of international risk sharing when the productivity growth contains long run risk," MPRA Paper 4476, University Library of Munich, Germany.
    123. Kanda Naknoi & Hanno Lustig & YiLi Chien, 2017. "Why Are Exchange Rates So Smooth? A Heterogeneous Portfolio Explanation," 2017 Meeting Papers 214, Society for Economic Dynamics.
    124. Gurdip Bakashi & Mario Cerrato & John Crosby, 2015. "Risk Sharing in International Economies and Market Incompleteness," Working Papers 2015_23, Business School - Economics, University of Glasgow.
    125. Kim, H. Youn, 2014. "International financial integration and risk sharing among countries: A production-based approach," Journal of the Japanese and International Economies, Elsevier, vol. 31(C), pages 16-35.
    126. Anella Munro, 2016. "Bond premia, monetary policy and exchange rate dynamics," Reserve Bank of New Zealand Discussion Paper Series DP2016/11, Reserve Bank of New Zealand.
    127. Ferreira, Alex & Matos, Paulo, 2020. "Precautionary risks for an open economy," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 154-167.
    128. Croce, Mariano & Gavazzoni, Federico & Colacito, Ric & Ready, Robert, 2018. "Currency Risk Factors in a Recursive Multicountry Economy," CEPR Discussion Papers 12610, C.E.P.R. Discussion Papers.
    129. EnDer Su, 2018. "Measuring contagion risk in high volatility state among Taiwanese major banks," Risk Management, Palgrave Macmillan, vol. 20(3), pages 185-241, August.
    130. Du, Du, 2013. "General equilibrium pricing of currency and currency options," Journal of Financial Economics, Elsevier, vol. 110(3), pages 730-751.
    131. Xinglin Yang, 2023. "Unspanned macro risks in VIX futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1305-1328, September.
    132. M. Hadzi-Vaskov, 2007. "Does the Nominal Exchange Rate Explain the Backus-Smith Puzzle? Evidence from the Eurozone," Working Papers 07-32, Utrecht School of Economics.

  21. Cochrane, John H., 2005. "Money as stock," Journal of Monetary Economics, Elsevier, vol. 52(3), pages 501-528, April.

    Cited by:

    1. Biswajit Maitra & Tafajul Hossain, 2020. "Inflation in India: causes and anti-inflationary policy perception," International Journal of Economic Policy Studies, Springer, vol. 14(2), pages 363-387, August.
    2. Ekundayo P. Mesagan & Ismaila A. Yusuf, 2019. "Economic Stabilisation and Performance in West Africa: The Role of Fiscal and Monetary Policy," Working Papers 19/097, European Xtramile Centre of African Studies (EXCAS).
    3. Troy Davig & Eric Leeper, 2009. "Monetary-Fiscal Policy Interactions And Fiscal Stimulus," CAEPR Working Papers 2009-010, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    4. Patrick Bolton & Haizhou Huang, 2017. "The Capital Structure of Nations," NBER Working Papers 23612, National Bureau of Economic Research, Inc.
    5. Jalali Naini, Ahmad Reza & Naderian, Mohammad Amin, 2017. "Oil Price Cycles, Fiscal Dominance and Counter-cyclical Monetary Policy in Iran," MPRA Paper 84480, University Library of Munich, Germany.
    6. Harashima, Taiji, 2007. "Hyperinflation, disinflation, deflation, etc.: A unified and micro-founded explanation for inflation," MPRA Paper 3836, University Library of Munich, Germany.
    7. Abhay Abhyankar & Angelica Gonzalez, 2007. "What Drives Corporate Bond Market Betas?," Edinburgh School of Economics Discussion Paper Series 157, Edinburgh School of Economics, University of Edinburgh.
    8. Takaaki Ohnishi & Takayuki Mizuno & Tsutomu Watanabe, 2019. "House Price Dispersion in Boom-Bust Cycles: Evidence from Tokyo," Working Papers on Central Bank Communication 008, University of Tokyo, Graduate School of Economics.
    9. Oscar Bajo-Rubio & Carmen Díaz-Roldán & Vicente Esteve, 2010. "Government deficit sustainability, and monetary versus fiscal dominance: The case of Spain, 1850-2000," Working Papers 10-04, Asociación Española de Economía y Finanzas Internacionales.
    10. Eric M. Leeper, 2010. "Monetary science, fiscal alchemy," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 361-434.
    11. Cochrane, John H., 2017. "The new-Keynesian liquidity trap," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 47-63.
    12. Giovanni Calice & Ming Zeng, 2021. "The term structure of sovereign credit default swap and the cross‐section of exchange rate predictability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 445-458, January.
    13. Howard Kung & Gonzalo Morales & Francesco Bianchi, 2015. "Monetary/Fiscal Policy Mix and Asset Prices," 2015 Meeting Papers 1224, Society for Economic Dynamics.
    14. Marco Bassetto, 2000. "A Game-Theoretic View of the Fiscal Theory of the Price Level," Econometric Society World Congress 2000 Contributed Papers 1492, Econometric Society.
    15. Apostolos Serletis & Libo Xu, "undated". "Financial Frictions and the Fiscal Theory of Price Level Determination," Working Papers 2016-42, Department of Economics, University of Calgary, revised 19 Oct 2016.
    16. Minford, Patrick & Ou, Zhirong & Fan, Jingwen, 2014. "The role of fiscal policy in Britain's Great Inflation," CEPR Discussion Papers 10240, C.E.P.R. Discussion Papers.
    17. Manish K. Singh & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2024. "Quantifying sovereign risk in the euro area," IREA Working Papers 202403, University of Barcelona, Research Institute of Applied Economics, revised Feb 2024.
    18. Harashima, Taiji, 2013. "The Phillips Curve and a Micro-foundation of Trend Inflation," MPRA Paper 51305, University Library of Munich, Germany.
    19. Gliksberg, Baruch, 2013. "Monetary policy and fiscal limits with no-default," European Economic Review, Elsevier, vol. 64(C), pages 285-304.
    20. Lin, Hsin-Yi & Chu, Hao-Pang, 2013. "Are fiscal deficits inflationary?," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 214-233.
    21. Emiliano Delfau, 2020. "Biopsia de un inversor (¿conservador?) de renta fija," CEMA Working Papers: Serie Documentos de Trabajo. 766, Universidad del CEMA.
    22. John H. Cochrane, 2010. "Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic," NBER Working Papers 16087, National Bureau of Economic Research, Inc.
    23. Betty C. Daniel, 2010. "Exchange Rate Crises and Fiscal Solvency," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(6), pages 1109-1135, September.
    24. Harashima, Taiji, 2008. "A Microfounded Mechanism of Observed Substantial Inflation Persistence," MPRA Paper 10668, University Library of Munich, Germany.
    25. Carlo Galli & Marco Bassetto, 2016. "Is Inflation Default? The Role of Information in Debt Crises," 2016 Meeting Papers 308, Society for Economic Dynamics.
    26. Reichlin, Pietro & Bloise, Gaetano, 2006. "Long-Term Public Debt and the Fiscal Theory of the Price Level," CEPR Discussion Papers 5479, C.E.P.R. Discussion Papers.
    27. Bilbiie, Florin, 2018. "Monetary Policy and Heterogeneity: An Analytical Framework," CEPR Discussion Papers 12601, C.E.P.R. Discussion Papers.
    28. Daniel, Betty C. & Shiamptanis, Christos, 2012. "Fiscal risk in a monetary union," European Economic Review, Elsevier, vol. 56(6), pages 1289-1309.
    29. George-Marios Angeletos & Chen Lian, 2021. "Determinacy without the Taylor Principle," NBER Working Papers 28881, National Bureau of Economic Research, Inc.
    30. Michael, Kumhof & Ricardo, Nunes & Irina, Yakadina, 2007. "Simple Monetary Rules under Fiscal Dominance," MPRA Paper 4462, University Library of Munich, Germany.
    31. David B. Gordon & Eric M. Leeper, 2006. "The Price Level, The Quantity Theory Of Money, And The Fiscal Theory Of The Price Level," Scottish Journal of Political Economy, Scottish Economic Society, vol. 53(1), pages 4-27, February.
    32. Oscar Bajo-Rubio & Carmen Díaz-Roldán & Vicente Esteve, 2007. "Deficit sustainability and inflation in EMU: An analysis from the fiscal theory of the price level," Working Papers 07-01, Asociación Española de Economía y Finanzas Internacionales.
    33. Harashima, Taiji, 2017. "Should a Government Fiscally Intervene in a Recession and, If So, How?," MPRA Paper 78053, University Library of Munich, Germany.
    34. Howard Kung & Gonzalo Morales & Alexandre Corhay, 2017. "Fiscal Discount Rates and Debt Maturity," 2017 Meeting Papers 840, Society for Economic Dynamics.
    35. Willem Buiter, 2004. "A Small Corner of Intertemporal Public Finance - New Developments in Monetary Economics: 2 Ghosts, 2 Eccentricities, A Fallacy, A Mirage and A Mythos," NBER Working Papers 10524, National Bureau of Economic Research, Inc.
    36. Roberto Robatto, 2019. "Online Appendix to "Systemic Banking Panics, Liquidity Risk, and Monetary Policy"," Online Appendices 18-235, Review of Economic Dynamics.
    37. Buiter, Willem, 2017. "The Fallacy of the Fiscal Theory of the Price Level - Once More," CEPR Discussion Papers 11941, C.E.P.R. Discussion Papers.
    38. McCallum, Bennett T., 2009. "Inflation determination with Taylor rules: Is new-Keynesian analysis critically flawed?," Journal of Monetary Economics, Elsevier, vol. 56(8), pages 1101-1108, November.
    39. Bennett T. McCallum & Edward Nelson, 2006. "Monetary and fiscal theories of the price level: the irreconcilable differences," Working Papers 2006-010, Federal Reserve Bank of St. Louis.
    40. Jean Barthélemy & Guillaume Plantin, 2018. "Fiscal and Monetary Regime: A Strategic Approach," Working Papers hal-03815028, HAL.
    41. Colin Rogers, 2011. "The Failure of Woodford's Model of the Channel System in the Cashless Economy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(2‐3), pages 553-563, March.
    42. Hui, Cho-Hoi & Lo, Chi-Fai & Chau, Po-Hon, 2018. "Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 109-128.
    43. Roger Farmer & Pawel Zabczyk, 2019. "The Fiscal Theory of the Price Level in Overlapping Generations Models," National Institute of Economic and Social Research (NIESR) Discussion Papers 498, National Institute of Economic and Social Research.
    44. Karnaukh, Nina, 2016. "Currency Strategies and Sovereign Ratings," Working Papers on Finance 1620, University of St. Gallen, School of Finance.
    45. Takaaki Ohnishi & Takayuki Mizuno & Tsutomu Watanabe, 2020. "House price dispersion in boom–bust cycles: evidence from Tokyo," The Japanese Economic Review, Springer, vol. 71(4), pages 511-539, October.
    46. Betty C. Daniel, 2010. "Exchange Rate Crises and Fiscal Solvency," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(6), pages 1109-1135, September.
    47. Harashima, Taiji, 2019. "A Theory of Inflation: The Law of Motion for Inflation under the MDC-based Procedure," MPRA Paper 94100, University Library of Munich, Germany.
    48. Rym Aloui & Michel Guillard, 2020. "The Fiscal Theory of the Price Level in a Non-Ricardian Economy," Post-Print halshs-03052061, HAL.
    49. Neziri, Hekuran, 2008. "Can Credit Default Swaps Predict Financial Crises: An Empirical Test on Emerging Markets," MPRA Paper 13096, University Library of Munich, Germany.
    50. David Miller, 2019. "A Monetary-Fiscal Theory of the Price Level," 2019 Meeting Papers 613, Society for Economic Dynamics.
    51. Cho-Hoi Hui & Chi-Fai Lo & Po-Hon Chau, 2016. "Exchange Rate Dynamics and US Dollar-denominated Sovereign Bond Prices in Emerging Markets," Working Papers 072016, Hong Kong Institute for Monetary Research.
    52. Marco Bassetto & Todd Messer, 2013. "Fiscal consequences of paying interest on reserves," Working Paper Series WP-2013-04, Federal Reserve Bank of Chicago.
    53. Fan, Jingwen & Minford, Patrick & Ou, Zhirong, 2013. "The Fiscal Theory of the Price Level - identification and testing for the UK in the 1970s," Cardiff Economics Working Papers E2013/12, Cardiff University, Cardiff Business School, Economics Section.
    54. Leeper, E.M. & Leith, C., 2016. "Understanding Inflation as a Joint Monetary–Fiscal Phenomenon," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2305-2415, Elsevier.
    55. Jean-Pascal Bénassy, 2009. "Interest rate rules and global determinacy: An alternative to the Taylor principle," Post-Print halshs-00754322, HAL.
    56. Hideki Konishi & Kozo Ueda, 2013. "Aging and Deflation from a Fiscal Perspective," IMES Discussion Paper Series 13-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
    57. Piergallini, Alessandro & Rodano, Giorgio, 2009. "Public Debt, Distortionary Taxation, and Monetary Policy," MPRA Paper 15348, University Library of Munich, Germany.
    58. Nandi, Aurodeep, 2019. "Fiscal deficit targeting alongside flexible inflation targeting: India’s fiscal policy transmission," Journal of Asian Economics, Elsevier, vol. 63(C), pages 1-18.
    59. Buiter, Willem H. & Sibert, Anne C., 2018. "The fallacy of the fiscal theory of the price level: One last time," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 12, pages 1-56.
    60. Cochrane, John H., 2014. "Monetary policy with interest on reserves," Journal of Economic Dynamics and Control, Elsevier, vol. 49(C), pages 74-108.
    61. John H. Cochrane, 2017. "Michelson-Morley, Fisher, and Occam: The Radical Implications of Stable Quiet Inflation at the Zero Bound," NBER Chapters, in: NBER Macroeconomics Annual 2017, volume 32, pages 113-226, National Bureau of Economic Research, Inc.
    62. Hess T. Chung & Troy Davig & Eric M. Leeper, 2005. "Monetary and fiscal policy switching," Research Working Paper RWP 05-12, Federal Reserve Bank of Kansas City.
    63. Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2018. "“Incorporating creditors' seniority into contingent claim models:Application to peripheral euro area countries”," IREA Working Papers 201803, University of Barcelona, Research Institute of Applied Economics, revised Feb 2018.
    64. Bolton, Patrick & Huang, Haizhou, 2017. "The Capital Structure of Nations," CEPR Discussion Papers 12157, C.E.P.R. Discussion Papers.
    65. Gonzalez-Astudillo, Manuel, 2013. "Monetary-Fiscal Policy Interactions: Interdependent Policy Rule Coefficients," MPRA Paper 50040, University Library of Munich, Germany.
    66. Marco Bassetto & Wei Cui, 2018. "The Fiscal Theory of the Price Level in an Environment of Low Interest Rates," 2018 Meeting Papers 574, Society for Economic Dynamics.
    67. Marco Bassetto & Wei Cui, 2017. "The Fiscal Theory of the Price Level in a World of Low Interest Rates," Working Paper Series WP-2017-25, Federal Reserve Bank of Chicago.
    68. Canzoneri, Matthew & Cumby, Robert & Diba, Behzad, 2010. "The Interaction Between Monetary and Fiscal Policy," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 17, pages 935-999, Elsevier.
    69. Ricardo Lagos & Shengxing Zhang, 2020. "The Limits of onetary Economics: On Money as a Latent Medium of Exchange," NBER Working Papers 26756, National Bureau of Economic Research, Inc.
    70. Ricardo Lagos & Shengxing Zhang, 2022. "The Limits of ONETARY ECONOMICS: On Money as a Constraint on Market Power," Econometrica, Econometric Society, vol. 90(3), pages 1177-1204, May.
    71. Takaaki Ohnishi & Takayuki Mizuno & Tsutomu Watanabe, 2019. "House Price Dispersion in Boom-Bust Cycles: Evidence from Tokyo," CARF F-Series CARF-F-461, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    72. Troy Davig & Eric M. Leeper, 2009. "Expectations And Fiscal Stimulus," CAEPR Working Papers 2009-006, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    73. Trust Madhovi, 2020. "The Impact of Social Accountability Mechanisms on Fiscal Management Challenges Facing Goromonzi Rural District Council, Zimbabwe," Journal of Public Administration and Governance, Macrothink Institute, vol. 10(2), pages 141160-1411, December.
    74. Buiter, Willem, 2017. "The Good and the Bad Fiscal Theory of the Price Level," CEPR Discussion Papers 11975, C.E.P.R. Discussion Papers.
    75. M. Marzo, 2001. "Monetary and Fiscal Policy Interactions: the Impact on the Term Structure of Interest Rates," Working Papers 409, Dipartimento Scienze Economiche, Universita' di Bologna.
    76. Patrick Bolton & Haizhou Huang, 2018. "The Capital Structure of Nations [Welfare analysis of currency regimes with defaultable debts]," Review of Finance, European Finance Association, vol. 22(1), pages 45-82.
    77. Hannes Malmberg & Erik Öberg, 2021. "Price‐Level Determination When Tax Payments Are Required in Money," Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(2), pages 621-644, April.
    78. David S. Miller, 2021. "A Monetary-Fiscal Theory of Sudden Inflations and Currency Crises," Finance and Economics Discussion Series 2021-057, Board of Governors of the Federal Reserve System (U.S.).
    79. Sasakura, Kazuyuki, 2021. "A macroeconomic theory of price determination," Structural Change and Economic Dynamics, Elsevier, vol. 59(C), pages 214-227.
    80. Kocherlakota, N., 2012. "Central bank independence and sovereign default," Financial Stability Review, Banque de France, issue 16, pages 151-154, April.
    81. Mr. Roger Farmer & Pawel Zabczyk, 2019. "A Requiem for the Fiscal Theory of the Price Level," IMF Working Papers 2019/219, International Monetary Fund.
    82. Roger E.A. Farmer & Pawel Zabczyk, 2019. "Monetary and Fiscal Policy When People Have Finite Lives," NBER Working Papers 25445, National Bureau of Economic Research, Inc.
    83. Rym Aloui & Michel Guillard, 2009. "A Simple “Public Debt-Deflation” Theory: Leeper revisited," Documents de recherche 09-11, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    84. Berentsen, Aleksander & Waller, Christopher, 2018. "Liquidity premiums on government debt and the fiscal theory of the price level," Journal of Economic Dynamics and Control, Elsevier, vol. 89(C), pages 173-182.
    85. Mathieu Boullot, 2017. "Secular Stagnation, Liquidity Trap and Rational Asset Price Bubbles," Working Papers halshs-01295012, HAL.
    86. Roberto Robatto, 2018. "Flight to Liquidity and Systemic Bank Runs," 2018 Meeting Papers 276, Society for Economic Dynamics.
    87. Vintilă Georgeta & Păunescu Radu Alin, 2015. "Econometric Tests of the CAPM Model for a Portfolio Composed of Companies Listed on Nasdaq and Dow Jones Components," Scientific Annals of Economics and Business, Sciendo, vol. 62(3), pages 453-480, November.
    88. Guo, Yibei & Dong, Baomin, 2020. "Where is the beef? The costs of American aid and wartime China's hyperinflation," China Economic Review, Elsevier, vol. 61(C).
    89. Ni, Yinan & Barth, James R. & Sun, Yanfei, 2022. "On the dynamic capital structure of nations: Theory and empirics," Research in International Business and Finance, Elsevier, vol. 62(C).
    90. Hekuran NEZIRI, 2009. "Can Credit Default Swaps Predict Financial Crises? Empirical Study On Emerging Markets," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 4(1(7)_ Spr).
    91. Joshua R. Hendrickson, 2017. "Jürg Niehans and the Cashless Economy," The American Economist, Sage Publications, vol. 62(2), pages 149-164, October.
    92. Max Gillman & Charles Nolan, 2008. "The Optimum Quantity of Money with Gold Reserves," CDMA Conference Paper Series 0804, Centre for Dynamic Macroeconomic Analysis.
    93. Beck-Friis, Peder & Willems, Tim, 2017. "Dissecting fiscal multipliers under the fiscal theory of the price level," European Economic Review, Elsevier, vol. 95(C), pages 62-83.
    94. Boons, M.F., 2014. "Sorting out commodity and macroeconomic risk in expected stock returns," Other publications TiSEM 1ebdac58-bf37-499d-8835-1, Tilburg University, School of Economics and Management.
    95. Óscar J. Arce, 2005. "Reflections on fiscalist divergent price-paths," Working Papers 0533, Banco de España.
    96. Piet-Hein Van Eeghen, 2011. "Rethinking equilibrium conditions in macromonetary theory: A conceptually rigorous approach," Working Papers 255, Economic Research Southern Africa.
    97. Armando Marozzi, 2021. "The ECB and the Cost of Independence. Unearthing a New Doom-Loop in the European Monetary Union," BAFFI CAREFIN Working Papers 21152, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    98. Liu, Zehao & He, Ping, 2022. "Real liquidity and banking," Journal of Financial Intermediation, Elsevier, vol. 49(C).
    99. Shobande Olatunji Abdul & Shodipe Oladimeji Tomiwa, 2019. "New Keynesian Liquidity Trap and Conventional Fiscal Stance: An Estimated DSGE Model," Economics and Business, Sciendo, vol. 33(1), pages 152-169, January.

  22. Cochrane, John H., 2005. "The risk and return of venture capital," Journal of Financial Economics, Elsevier, vol. 75(1), pages 3-52, January.
    See citations under working paper version above.
  23. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
    See citations under working paper version above.
  24. John H. Cochrane & Monika Piazzesi, 2005. "Bond Risk Premia," American Economic Review, American Economic Association, vol. 95(1), pages 138-160, March.
    See citations under working paper version above.
  25. Monika Piazzesi, 2002. "The Fed and Interest Rates - A High-Frequency Identification," American Economic Review, American Economic Association, vol. 92(2), pages 90-95, May.
    See citations under working paper version above.
  26. John H. Cochrane, 2001. "Review of Peter M. Garber, Famous First Bubbles: The Fundamentals of Early Manias," Journal of Political Economy, University of Chicago Press, vol. 109(5), pages 1150-1179, October.

    Cited by:

    1. Chen, Shyh-Wei & Hsu, Chi-Sheng & Xie, Zixong, 2016. "Are there periodically collapsing bubbles in the stock markets? New international evidence," Economic Modelling, Elsevier, vol. 52(PB), pages 442-451.
    2. Xie, Zixiong & Chen, Shyh-Wei, 2015. "Are there periodically collapsing bubbles in the REIT markets? New evidence from the US," Research in International Business and Finance, Elsevier, vol. 33(C), pages 17-31.

  27. Cochrane, John H, 2001. "Long-Term Debt and Optimal Policy in the Fiscal Theory of the Price Level," Econometrica, Econometric Society, vol. 69(1), pages 69-116, January.
    See citations under working paper version above.
  28. John H. Cochrane & Jesus Saa-Requejo, 2000. "Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets," Journal of Political Economy, University of Chicago Press, vol. 108(1), pages 79-119, February.
    See citations under working paper version above.
  29. John Y. Campbell & John H. Cochrane, 2000. "Explaining the Poor Performance of Consumption‐based Asset Pricing Models," Journal of Finance, American Finance Association, vol. 55(6), pages 2863-2878, December.
    See citations under working paper version above.
  30. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
    See citations under working paper version above.
  31. John Y. Campbell & John Cochrane, 1999. "Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April.
    See citations under working paper version above.
  32. John H. Cochrane, 1999. "Portfolio advice of a multifactor world," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 59-78.
    See citations under working paper version above.
  33. Cochrane, John H., 1998. "What do the VARs mean? Measuring the output effects of monetary policy," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 277-300, April.
    See citations under working paper version above.
  34. John H. Cochrane, 1997. "Where is the market going? Uncertain facts and novel theories," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 21(Nov), pages 3-37.
    See citations under working paper version above.
  35. Cochrane, John H, 1996. "A Cross-Sectional Test of an Investment-Based Asset Pricing Model," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 572-621, June.

    Cited by:

    1. Lin, Xiaoji & Wang, Chong & Wang, Neng & Yang, Jinqiang, 2018. "Investment, Tobin’s q, and interest rates," Journal of Financial Economics, Elsevier, vol. 130(3), pages 620-640.
    2. Auer, Benjamin R., 2013. "Can habit formation under complete market integration explain the cross-section of international equity risk premia?," Review of Financial Economics, Elsevier, vol. 22(2), pages 61-67.
    3. Xiaoji Lin, 2009. "Endogenous Technological Progress and the Cross Section of Stock Returns," FMG Discussion Papers dp634, Financial Markets Group.
    4. Frederico Belo & Chen Xue & Lu Zhang, 2010. "Cross-sectional Tobin's Q," NBER Working Papers 16336, National Bureau of Economic Research, Inc.
    5. Ehab Yamani & David Rakowski, 2018. "Cash Flow and Discount Rate Risk in the Investment Effect: A Downside Risk Approach," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 1-40, September.
    6. Hanno Lustig, 2004. "Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance," UCLA Economics Online Papers 300, UCLA Department of Economics.
    7. Croce, M.M. & Nguyen, Thien T. & Raymond, S. & Schmid, L., 2019. "Government debt and the returns to innovation," Journal of Financial Economics, Elsevier, vol. 132(3), pages 205-225.
    8. Bin Li & Benjamin Liu & Eduardo Roca, 2010. "An Empirical Investigation of Consumption CAPMs in the Australian Market," Discussion Papers in Finance finance:201011, Griffith University, Department of Accounting, Finance and Economics.
    9. Victoria Galsband, 2010. "The cross-section of equity returns and assets’ fundamental cash-flow risk," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(4), pages 327-351, December.
    10. Hirokazu Mizobata, 2014. "Differing factor adjustment costs across industries: Evidence from Japan," KIER Working Papers 885, Kyoto University, Institute of Economic Research.
    11. Mike Qinghao Mao & K. C. John Wei, 2016. "Cash-Flow News and the Investment Effect in the Cross Section of Stock Returns," Management Science, INFORMS, vol. 62(9), pages 2504-2519, September.
    12. Meng, Ginger & Hu, Gang & Bai, Jushan, 2007. "Olive: a simple method for estimating betas when factors are measured with error," MPRA Paper 33183, University Library of Munich, Germany.
    13. Astrid Eisenberg & Markus Rudolf, 2007. "Exchange Rates and the Conversion of Currency‐Specific Risk Premia," European Financial Management, European Financial Management Association, vol. 13(4), pages 672-701, September.
    14. Alessi, Lucia & Elisa, Ossola & Panzica, Roberto, 2021. "When do investors go green? Evidence from a time-varying asset-pricing model," Working Papers 2021-13, Joint Research Centre, European Commission.
    15. Hanno Lustig & Stijn Van Nieuwerburgh, 2003. "Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective," NBER Working Papers 9959, National Bureau of Economic Research, Inc.
    16. Jin Ginger Wu & Lu Zhang, 2010. "Does Risk Explain Anomalies? Evidence from Expected Return Estimates," NBER Working Papers 15950, National Bureau of Economic Research, Inc.
    17. Joao Gomes & Amir Yaron & Lu Zhang, 2002. "Asset Pricing Implications of Firms' Financing Constraints," NBER Working Papers 9365, National Bureau of Economic Research, Inc.
    18. Asgharian, Hossein, 2011. "A conditional asset-pricing model with the optimal orthogonal portfolio," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1027-1040, May.
    19. Kusnadi, Yuanto & Wei, K.C. John, 2017. "The equity-financing channel, the catering channel, and corporate investment: International evidence," Journal of Corporate Finance, Elsevier, vol. 47(C), pages 236-252.
    20. Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010. "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 175-194, May.
    21. Sung Gyun Mun & SooCheong (Shawn) Jang, 2022. "Explaining the asset growth anomaly in the restaurant industry: Motivations and consequences," Tourism Economics, , vol. 28(1), pages 62-82, February.
    22. Michael J. Cooper & Huseyin Gulen & Michael J. Schill, 2008. "Asset Growth and the Cross‐Section of Stock Returns," Journal of Finance, American Finance Association, vol. 63(4), pages 1609-1651, August.
    23. Matteo Maggiori, 2013. "The U.S. Dollar Safety Premium," 2013 Meeting Papers 75, Society for Economic Dynamics.
    24. Jun Li & Huijun Wang & Jianfeng Yu, 2021. "The expected investment growth premium," Financial Management, Financial Management Association International, vol. 50(4), pages 905-933, December.
    25. Dimitris Papanikolaou, 2008. "Investment-Specific Technological Change and Asset Prices," 2008 Meeting Papers 637, Society for Economic Dynamics.
    26. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
    27. Javier Rojo-Suárez & Ana Belén Alonso-Conde, 2020. "Impact of consumer confidence on the expected returns of the Tokyo Stock Exchange: A comparative analysis of consumption and production-based asset pricing models," PLOS ONE, Public Library of Science, vol. 15(11), pages 1-31, November.
    28. Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
    29. Anisha Ghosh & Christian Julliard & Alex P. Taylor, 2017. "What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 442-504.
    30. Robert G. Chambers & John Quiggin, "undated". "Narrowing the No-Arbitrage Bounds," Risk & Uncertainty Working Papers WPR03_3, Risk and Sustainable Management Group, University of Queensland.
    31. Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2013. "Do the production-based factors capture the time-varying patterns in stock returns?," Emerging Markets Review, Elsevier, vol. 15(C), pages 122-135.
    32. Carmich[ae]l, Benoit & Samson, Lucie, 2005. "Consumption growth as a risk factor? Evidence from Canadian financial markets," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 83-101, February.
    33. Inga Heiland, 2017. "Five Essays on International Trade, Factor Flows and the Gains from Globalization," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 74.
    34. Grammig, Joachim & Schrimpf, Andreas, 2009. "Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns," Review of Financial Economics, Elsevier, vol. 18(3), pages 113-123, August.
    35. Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2006. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," NBER Working Papers 12658, National Bureau of Economic Research, Inc.
    36. Thomas Philippon, 2009. "The Bond Market's q," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 124(3), pages 1011-1056.
    37. Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
    38. Jagannathan, Ravi & Kubota, Keiichi & Takehara, Hitoshi, 1998. "Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market," The Journal of Business, University of Chicago Press, vol. 71(3), pages 319-347, July.
    39. Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
    40. Fukuta, Yuichi & Yamane, Akiko, 2015. "Value premium and implied equity duration in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 102-121.
    41. John H. Cochrane, 1999. "New Facts in Finance," NBER Working Papers 7169, National Bureau of Economic Research, Inc.
    42. Paulo Maio, 2007. "ICAPM with time-varying risk aversion," Money Macro and Finance (MMF) Research Group Conference 2006 111, Money Macro and Finance Research Group.
    43. González-Sánchez, Mariano, 2022. "Factorial asset pricing models using statistical anomalies," Research in International Business and Finance, Elsevier, vol. 60(C).
    44. Ian Dew-Becker & Stefano Giglio, 2016. "Asset Pricing in the Frequency Domain: Theory and Empirics," The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2029-2068.
    45. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla & Masih, A. Mansur M., 2014. "Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model," MPRA Paper 56965, University Library of Munich, Germany.
    46. Nader Virk & Hilal Butt, 2016. "Specification errors of asset-pricing models for a market characterized by few large capitalization firms," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(1), pages 68-84, January.
    47. Narayan, Paresh Kumar & Narayan, Seema & Thuraisamy, Kannan Sivananthan, 2014. "Can institutions and macroeconomic factors predict stock returns in emerging markets?," Emerging Markets Review, Elsevier, vol. 19(C), pages 77-95.
    48. Ravi Jagannathan & Zhenyu Wang, 2002. "Empirical Evaluation of Asset‐Pricing Models: A Comparison of the SDF and Beta Methods," Journal of Finance, American Finance Association, vol. 57(5), pages 2337-2367, October.
    49. Auer Benjamin R., 2012. "Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren? / Can Time-varying Parameter Specification Based on Consumption Variables Rehabilitate CAPM, ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 232(5), pages 518-544, October.
    50. Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2010. "Macroeconomic risks and characteristic-based factor models," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1383-1399, June.
    51. Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
    52. Bustamante, Maria Cecilia, 2011. "Strategic investment, industry concentration and the cross section of returns," LSE Research Online Documents on Economics 37454, London School of Economics and Political Science, LSE Library.
    53. Alan de Genaro & Paula Astorino, 2022. "A Tutorial on the Generalized Method of Moments (GMM) in Finance," RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração, vol. 26(sup2022), pages 210287-2102.
    54. Li, Yan & Yang, Liyan, 2011. "Testing conditional factor models: A nonparametric approach," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 972-992.
    55. Thomas Nitschka, 2007. "Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies," IEW - Working Papers 340, Institute for Empirical Research in Economics - University of Zurich.
    56. Abdoh, Hussein & Varela, Oscar, 2021. "What lies behind the asset growth effect?," Global Finance Journal, Elsevier, vol. 48(C).
    57. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
    58. François-Éric Racicot & William F Rentz & David Tessier & Raymond Théoret, 2019. "The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test," PLOS ONE, Public Library of Science, vol. 14(9), pages 1-26, September.
    59. Miralles-Marcelo, José Luis & Miralles-Quirós, María del Mar & Miralles-Quirós, José Luis, 2012. "Asset pricing with idiosyncratic risk: The Spanish case," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 261-271.
    60. Campbell, John & Cochrane, John, 2000. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," Scholarly Articles 3163265, Harvard University Department of Economics.
    61. Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
    62. Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 969-1010, Elsevier.
    63. H. Youn Kim & Keith R. McLaren & K.K. Gary Wong, 2014. "Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis," Monash Econometrics and Business Statistics Working Papers 4/14, Monash University, Department of Econometrics and Business Statistics.
    64. Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
    65. Sousa, João & Sousa, Ricardo M., 2013. "Asset returns under model uncertainty: evidence from the euro area, the U.S. and the U.K," Working Paper Series 1575, European Central Bank.
    66. Pithak Srisuksai & Vimut Vanitcharearntham, 2016. "Asset Pricing with Idiosyncratic Shocks," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 23(1), pages 35-58, June.
    67. Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2017. "Ultimate consumption risk and investment-based stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 473-486.
    68. John H. Cochrane, 2001. "A Rehabilitation of Stochastic Discount Factor Methodology," NBER Working Papers 8533, National Bureau of Economic Research, Inc.
    69. Dovonon, Prosper & Taamouti, Abderrahim & Williams, Julian, 2022. "Testing the eigenvalue structure of spot and integrated covariance," Journal of Econometrics, Elsevier, vol. 229(2), pages 363-395.
    70. Zhenyu Wang & Xiaoyan Zhang, 2006. "Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims," Staff Reports 265, Federal Reserve Bank of New York.
    71. Jan J J Groen & Ravi Balakrishnan, 2005. "Asset price based estimates of sterling exchange rate risk premia," Bank of England working papers 250, Bank of England.
    72. Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 1999. "Testing Affine Term Structure Models in Case of Transaction Costs," Discussion Paper 1999-84, Tilburg University, Center for Economic Research.
    73. Roméo Tédongap, 2015. "Consumption Volatility and the Cross-Section of Stock Returns," Review of Finance, European Finance Association, vol. 19(1), pages 367-405.
    74. Nieto, Belén & Rodríguez López, Rosa, 2004. "Modelos de valoración de activos condicionales: un panorama comparativo con datos españoles," DEE - Documentos de Trabajo. Economía de la Empresa. DB db040202, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    75. Gurdip Bakshi & Xiaohui Gao & Alberto G. Rossi, 2019. "Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns," Management Science, INFORMS, vol. 65(2), pages 619-641, February.
    76. Srisuksai, Pithak & Vanitcharearntham, Vimut, . "Asset Pricing with Idiosyncratic Shocks," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 23(1).
    77. Bakalli, Gaetan & Guerrier, Stéphane & Scaillet, Olivier, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Journal of Econometrics, Elsevier, vol. 237(2).
    78. Dmitry Livdan & Horacio Sapriza & Lu Zhang, 2006. "Financially Constrained Stock Returns," NBER Working Papers 12555, National Bureau of Economic Research, Inc.
    79. Sönksen, Jantje & Grammig, Joachim, 2021. "Empirical asset pricing with multi-period disaster risk: A simulation-based approach," Journal of Econometrics, Elsevier, vol. 222(1), pages 805-832.
    80. Pierluigi Balduzzi & Cesare Robotti, 2005. "Asset-pricing models and economic risk premia: a decomposition," FRB Atlanta Working Paper 2005-13, Federal Reserve Bank of Atlanta.
    81. João Pedro Pereira & António Rua, 2018. "Asset Pricing with a Bank Risk Factor," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(5), pages 993-1032, August.
    82. Shi, Qi, 2020. "A much robust and updated evidences of the alternative real-estate based asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    83. Cao, Viet Nga & Gray, Philip & Zhong, Angel, 2019. "Investment-related anomalies in Australia: Evidence and explanations," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 97-109.
    84. Robert F. Dittmar, 2002. "Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns," Journal of Finance, American Finance Association, vol. 57(1), pages 369-403, February.
    85. Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "Estimation of large dimensional conditional factor models in finance," Working Papers unige:125031, University of Geneva, Geneva School of Economics and Management.
    86. Bandi, Federico M. & Perron, Benoît, 2008. "Long-run risk-return trade-offs," Journal of Econometrics, Elsevier, vol. 143(2), pages 349-374, April.
    87. Kim, Dongcheol & Kim, Tong Suk & Min, Byoung-Kyu, 2011. "Future labor income growth and the cross-section of equity returns," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 67-81, January.
    88. Asgharian, Hossein & Karlsson, Sonnie, 2006. "Evaluating a nonlinear asset pricing model on international data," Working Papers 2006:5, Lund University, Department of Economics.
    89. Raymond Kan & Cesare Robotti & Jay Shanken, 2009. "Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology," NBER Working Papers 15047, National Bureau of Economic Research, Inc.
    90. Lu Zhang, 2017. "The Investment CAPM," European Financial Management, European Financial Management Association, vol. 23(4), pages 545-603, September.
    91. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2009. "Cultural Biases in Economic Exchange?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 124(3), pages 1095-1131.
    92. Vassalou, Maria, 2003. "News related to future GDP growth as a risk factor in equity returns," Journal of Financial Economics, Elsevier, vol. 68(1), pages 47-73, April.
    93. Li, Dongmei & Zhang, Lu, 2010. "Does q-theory with investment frictions explain anomalies in the cross section of returns?," Journal of Financial Economics, Elsevier, vol. 98(2), pages 297-314, November.
    94. Frank Weikai Li, 2016. "Macro Disagreement and the Cross-Section of Stock Returns," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 6(1), pages 1-45.
    95. Ricardo M. Sousa, 2010. "The consumption-wealth ratio and asset returns: The Euro Area, the UK and the US," NIPE Working Papers 9/2010, NIPE - Universidade do Minho.
    96. Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, vol. 102(2), pages 363-389.
    97. Bin Li & Benjamin Liu & Eduardo Roca, 2011. "Stock returns and consumption factors in the Australian market: Cross-sectional tests," Australian Journal of Management, Australian School of Business, vol. 36(2), pages 247-266, August.
    98. Ossola, Elisa & Gagilardini, Patrick & Scaillet, Olivier, 2015. "Time-varying risk premium in large cross-sectional equity datasets," Working Papers unige:76321, University of Geneva, Geneva School of Economics and Management.
    99. Davis, E. Philip & Madsen, Jakob B., 2008. "Productivity and equity market fundamentals: 80 years of evidence for 11 OECD countries," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1261-1283, December.
    100. Sara Azher & Javed Iqbal, 2018. "Testing Conditional Asset Pricing in Pakistan: The Role of Value-at-risk and Illiquidity Factors," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 259-281, August.
    101. Woon Gyu Choi & Yi Wen, 2005. "Measuring interest rates as determined by thrift and productivity," Working Papers 2005-037, Federal Reserve Bank of St. Louis.
    102. Sapp, Stephen, 2004. "Are all Central Bank interventions created equal? An empirical investigation," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 443-474, March.
    103. Zhang, Xiaoyan, 2006. "Specification tests of international asset pricing models," Journal of International Money and Finance, Elsevier, vol. 25(2), pages 275-307, March.
    104. Susanne M. Schennach, 2007. "Point estimation with exponentially tilted empirical likelihood," Papers 0708.1874, arXiv.org.
    105. Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho, 2014. "The conditional equity premium, cross-sectional returns and stochastic volatility," Economic Modelling, Elsevier, vol. 38(C), pages 316-327.
    106. Gabor Pinter, 2016. "The Macroeconomic Shock with the Highest Price of Risk," Discussion Papers 1623, Centre for Macroeconomics (CFM), revised Apr 2017.
    107. Kan, Raymond & Zhang, Chu, 1999. "GMM tests of stochastic discount factor models with useless factors," Journal of Financial Economics, Elsevier, vol. 54(1), pages 103-127, October.
    108. Javid, Attiya Yasmin, 2008. "Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms," MPRA Paper 37561, University Library of Munich, Germany.
    109. Yuan Liao & Xiye Yang, 2017. "Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models," Papers 1711.04392, arXiv.org, revised Dec 2018.
    110. Papanastasopoulos, Georgios & Thomakos, Dimitrios & Wang, Tao, 2011. "Information in balance sheets for future stock returns: Evidence from net operating assets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 269-282.
    111. Joao Gomes & Leonid Kogan & Lu Zhang, 2003. "Equilibrium Cross Section of Returns," Journal of Political Economy, University of Chicago Press, vol. 111(4), pages 693-732, August.
    112. Byoung‐Kyu Min & Jangkoo Kang & Changjun Lee & Tai‐Yong Roh, 2020. "The q‐Factors and Macroeconomic Conditions: Asymmetric Effects of the Business Cycles on Long and Short Sides," International Review of Finance, International Review of Finance Ltd., vol. 20(4), pages 897-921, December.
    113. Kwon, Ji Ho, 2019. "Tail risk and the consumption CAPM," Finance Research Letters, Elsevier, vol. 30(C), pages 69-75.
    114. Xiaoji Lin & Fan Yang & Frederico Belo, 2014. "External Equity Financing Costs, Financial Flows, and Asset Prices," 2014 Meeting Papers 863, Society for Economic Dynamics.
    115. Zongwu Cai, 2013. "Functional Coefficient Models for Economic and Financial Data," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    116. Alessi, Lucia & Ossola, Elisa & Panzica, Roberto, 2023. "When do investors go green? Evidence from a time-varying asset-pricing model," International Review of Financial Analysis, Elsevier, vol. 90(C).
    117. Lorenzo Garlappi & Zhongzhi Song, 2017. "Can Investment Shocks Explain the Cross Section of Equity Returns?," Management Science, INFORMS, vol. 63(11), pages 3829-3848, November.
    118. Kim, Daehwan & Song, Chi-Young, 2014. "Country Fundamentals and Currency Excess Returns," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 18(2), pages 111-142, June.
    119. Yao, Tong & Yu, Tong & Zhang, Ting & Chen, Shaw, 2011. "Asset growth and stock returns: Evidence from Asian financial markets," Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 115-139, January.
    120. Leonid Kogan & Dimitris Papanikolaou, 2014. "Growth Opportunities, Technology Shocks, and Asset Prices," Journal of Finance, American Finance Association, vol. 69(2), pages 675-718, April.
    121. Jonas Gusset & Heinz Zimmermann, 2014. "Why not use SDF rather than beta models in performance measurement?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(4), pages 307-336, November.
    122. Lewellen, Jonathan, 2010. "Accounting anomalies and fundamental analysis: An alternative view," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 455-466, December.
    123. Griffin, Paul A. & Hong, Hyun A. & Ryou, Ji Woo, 2018. "Corporate innovative efficiency: Evidence of effects on credit ratings," Journal of Corporate Finance, Elsevier, vol. 51(C), pages 352-373.
    124. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2011. "Common Risk Factors in Currency Markets," The Review of Financial Studies, Society for Financial Studies, vol. 24(11), pages 3731-3777.
    125. Shi, Lei, 2016. "Consumption-based CAPM with belief heterogeneity," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 30-46.
    126. Anisha Ghosh & Christian Julliard, 2008. "Can Rare Events Explain the Equity Premium Puzzle?," 2008 Meeting Papers 1090, Society for Economic Dynamics.
    127. Jamali, Ibrahim & Yamani, Ehab & Smallwood, Aaron D., 2023. "An investment-based explanation of currency excess returns," Journal of International Money and Finance, Elsevier, vol. 133(C).
    128. Hsu, Yen-Ju & Wang, Yanzhi, 2023. "Technology spillover, corporate investment, and stock returns," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 238-250.
    129. Butler, Alexander W. & Cornaggia, Jess & Grullon, Gustavo & Weston, James P., 2011. "Corporate financing decisions, managerial market timing, and real investment," Journal of Financial Economics, Elsevier, vol. 101(3), pages 666-683, September.
    130. Abdoh, Hussein, 2019. "Product market competition and earnings exposure to productivity shocks," Economics Letters, Elsevier, vol. 174(C), pages 31-34.
    131. Yan Li & Liangjun Su & Yuewu Xu, 2015. "A Combined Approach to the Inference of Conditional Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 203-220, April.
    132. Chen, Shan & Liu, Xujun & Li, Tao, 2023. "Does the investment-profitability correlation affect the factor premiums? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    133. João Sousa & Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Eveidence from the euro area, the U.K and the U.S," NIPE Working Papers 21/2011, NIPE - Universidade do Minho.
    134. Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "A diagnostic criterion for approximate factor structure," Papers 1612.04990, arXiv.org, revised Aug 2017.
    135. Virginie Coudert & Mathieu Gex, 2007. "Does Risk Aversion Drive Financial Crises? Testing the Predictive Power of Empirical Indicators," Working Papers 2007-02, CEPII research center.
    136. Christian Hawkesby & Ian W Marsh & Ibrahim Stevens, 2005. "Comovements in the prices of securities issued by large complex financial institutions," Bank of England working papers 256, Bank of England.
    137. Patrick Gagliardini & Diego Ronchetti, 2020. "Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 333-394.
    138. Grammig, Joachim & Schaub, Eva-Maria, 2014. "Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing," CFR Working Papers 14-05, University of Cologne, Centre for Financial Research (CFR).
    139. Mortal, Sandra & Schill, Michael J., 2015. "The Post-Acquisition Returns of Stock Deals: Evidence of the Pervasiveness of the Asset Growth Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 50(3), pages 477-507, June.
    140. Saban Celik, 2012. "Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 141-178.
    141. Willi Semmler, 2011. "Asset Prices, Booms and Recessions," Springer Books, Springer, number 978-3-642-20680-1, October.
    142. Huang, Lin & Wu, Jia & Zhang, Rui, 2014. "Exchange risk and asset returns: A theoretical and empirical study of an open economy asset pricing model," Emerging Markets Review, Elsevier, vol. 21(C), pages 96-116.
    143. Fletcher, Jonathan, 2014. "Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 30-46.
    144. Stephen H. Penman & Francesco Reggiani & Scott A. Richardson & İrem Tuna, 2018. "A framework for identifying accounting characteristics for asset pricing models, with an evaluation of book‐to‐price," European Financial Management, European Financial Management Association, vol. 24(4), pages 488-520, September.
    145. Fletcher, Jonathan & Kihanda, Joseph, 2005. "An examination of alternative CAPM-based models in UK stock returns," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 2995-3014, December.
    146. Frederico Belo & Xiaoji Lin & Fan Yang, 2019. "External Equity Financing Shocks, Financial Flows, and Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 32(9), pages 3500-3543.
    147. 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.
    148. Sakemoto, Ryuta, 2023. "The long-run risk premium in the intertemporal CAPM: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    149. Yongmiao Hong & Tae-Hwy Lee & Yuying Sun & Shouyang Wang & Xinyu Zhang, 2017. "Time-varying Model Averaging," Working Papers 202001, University of California at Riverside, Department of Economics.
    150. Campbell, John Y., 2003. "Consumption-based asset pricing," Handbook of the Economics of Finance, 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.
    151. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
    152. Liu, Ludan, 2008. "It takes a model to beat a model: Volatility bounds," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 80-110, January.
    153. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2005. "Portfolio performance measurement using APM-free kernel models," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 623-659, March.
    154. Robert J. Hodrick & Xiaoyan Zhang, 2000. "Evaluating the Specification Errors of Asset Pricing Models," NBER Working Papers 7661, National Bureau of Economic Research, Inc.
    155. Erica X. N. Li & Dmitry Livdan & Lu Zhang, 2009. "Anomalies," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4301-4334, November.
    156. Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003. "Keeping up with the Joneses: An international asset pricing model," Economics Working Papers 694, Department of Economics and Business, Universitat Pompeu Fabra.
    157. Paulo Maio, 2013. "Intertemporal CAPM with Conditioning Variables," Management Science, INFORMS, vol. 59(1), pages 122-141, April.
    158. Long Chen & Lu Zhang, 2009. "The stock market and aggregate employment," NBER Working Papers 15219, National Bureau of Economic Research, Inc.
    159. Geoffrey Shuetrim, 1998. "Systematic Risk Characteristics of Corporate Equity," RBA Research Discussion Papers rdp9802, Reserve Bank of Australia.
    160. Jaime Casassus & Freddy Higuera, 2011. "Stock Return Predictability and Oil Prices," Documentos de Trabajo 406, Instituto de Economia. Pontificia Universidad Católica de Chile..
    161. Chung, Y. Peter & Hong, Hyun A. & Kim, S. Thomas, 2019. "What causes the asymmetric correlation in stock returns?," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 190-212.
    162. Olga Klinkowska & Angelica Gonzalez & Abhay Abhyankar, 2012. "Salvaging the C-CAPM: Currency Carry Trade Risk Premia and Conditioning Information," 2012 Meeting Papers 56, Society for Economic Dynamics.
    163. Missaka Warusawitharana, 2011. "The expected real return to equity," Finance and Economics Discussion Series 2011-14, Board of Governors of the Federal Reserve System (U.S.).
    164. Vassalou, Maria & Li, Qing & Xing, Yuhang, 2001. "An Investment-Growth Asset Pricing Model," CEPR Discussion Papers 3058, C.E.P.R. Discussion Papers.
    165. Altieri, Michela & Schnitzler, Jan, 2023. "Quarterly investment spikes, stock returns, and the investment factor," Journal of Financial Markets, Elsevier, vol. 66(C).
    166. Gao, Lin & Hitzemann, Steffen & Shaliastovich, Ivan & Xu, Lai, 2022. "Oil volatility risk," Journal of Financial Economics, Elsevier, vol. 144(2), pages 456-491.
    167. Raymond Kan & Guofu Zhou, 1999. "A Critique of the Stochastic Discount Factor Methodology," Journal of Finance, American Finance Association, vol. 54(4), pages 1221-1248, August.
    168. Ravi Jagannathan & Srikant Marakani & Hitoshi Takehara & Yong Wang, 2012. "Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns," Management Science, INFORMS, vol. 58(3), pages 507-522, March.
    169. Andrew Ang & Joseph Chen, 2005. "CAPM Over the Long Run: 1926-2001," NBER Working Papers 11903, National Bureau of Economic Research, Inc.
    170. Piazzesi, Monika & Schneider, Martin & Tuzel, Selale, 2007. "Housing, consumption and asset pricing," Journal of Financial Economics, Elsevier, vol. 83(3), pages 531-569, March.
    171. Li, Jay Y. & Mauer, David C., 2016. "Financing uncertain growth," Journal of Corporate Finance, Elsevier, vol. 41(C), pages 241-261.
    172. J. Davies & Jonathan Fletcher & Andrew Marshall, 2015. "Testing index-based models in U.K. stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 45(2), pages 337-362, August.
    173. Nijman, T.E. & de Roon, F.A., 2001. "Testing for mean-variance spanning : A survey," Other publications TiSEM 0159f80a-c61b-4519-b004-a, Tilburg University, School of Economics and Management.
    174. Abel, Ernest & Fletcher, Jonathan, 2004. "An empirical examination of UK emerging market unit trust performance," Emerging Markets Review, Elsevier, vol. 5(4), pages 389-408, December.
    175. Michael W Brandt & David A Chapman, 2018. "Linear Approximations and Tests of Conditional Pricing Models [A new approach to international arbitrage pricing]," Review of Finance, European Finance Association, vol. 22(2), pages 455-489.
    176. Massimiliano Croce, Mariano, 2014. "Long-run productivity risk: A new hope for production-based asset pricing?," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 13-31.
    177. Andrew Ang & Joseph Chen & Yuhang Xing, 2001. "Downside Risk and the Momentum Effect," NBER Working Papers 8643, National Bureau of Economic Research, Inc.
    178. Chuan ‘Chewie’ Ang, Tze & Lam, F.Y. Eric C. & Ma, Tai & Wang, Shujing & Wei, K.C. John, 2019. "What is the real relationship between cash holdings and stock returns?," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 513-528.
    179. Wessel Marquering & Marno Verbeek, 1998. "An Empirical Analysis of Intertemporal Asset Pricing Models with Transaction Costs and Habit Persistence," Working Papers of Department of Economics, Leuven ces9824, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
    180. Wonnho Choi, 2018. "Consumption-based capital asset pricing models: issues and controversies," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 181-205, January.
    181. Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc.
    182. Bakshi, Gurdip & Panayotov, George, 2013. "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, vol. 110(1), pages 139-163.
    183. Li, Jun & Wang, Huijun & Yu, Jianfeng, 2021. "Aggregate expected investment growth and stock market returns," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 618-638.
    184. Jin Ginger Wu & Lu Zhang & X. Frank Zhang, 2007. "Understanding the Accrual Anomaly," NBER Working Papers 13525, National Bureau of Economic Research, Inc.
    185. Peter S. SCHMIDT & Urs VON ARX & Andreas SCHRIMPF & Alexander F. WAGNER & Andreas ZIEGLER, 2015. "Size and Momentum Profitability in International Stock Markets," Swiss Finance Institute Research Paper Series 15-29, Swiss Finance Institute.
    186. Ball, Ray & Sadka, Gil, 2015. "Aggregate earnings and why they matter," Journal of Accounting Literature, Elsevier, vol. 34(C), pages 39-57.
    187. Cowan, Adrian M. & Joutz, Frederick L., 2006. "An unobserved component model of asset pricing across financial markets," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 86-107.
    188. John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
    189. Raymond Kan & Cesare Robotti, 2007. "Model comparison using the Hansen-Jagannathan distance," FRB Atlanta Working Paper 2007-04, Federal Reserve Bank of Atlanta.
    190. Eisfeldt, Andrea L. & Muir, Tyler, 2016. "Aggregate external financing and savings waves," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 116-133.
    191. Guo, Hui, 2006. "Time-varying risk premia and the cross section of stock returns," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2087-2107, July.
    192. Xiao, Yuchao & Faff, Robert & Gharghori, Philip & Min, Byoung-Kyu, 2013. "Pricing innovations in consumption growth: A re-evaluation of the recursive utility model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4465-4475.
    193. Chen, Zhuo & Liu, Jinyu & Lu, Andrea & Tao, Libin, 2024. "Carbon dioxide and asset pricing: Evidence from international stock markets," Journal of Empirical Finance, Elsevier, vol. 75(C).
    194. Huang, Dayong & Wang, Fang, 2009. "Cash, investments and asset returns," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2301-2311, December.
    195. Evgeny Lyandres & Le Sun & Lu Zhang, 2005. "Investment-Based Underperformance Following Seasoned Equity Offerings," NBER Working Papers 11459, National Bureau of Economic Research, Inc.
    196. Bessler, Wolfgang & Drobetz, Wolfgang & Zimmermann, Heinz, 2007. "Conditional Performance Evaluation for German Mutual Equity Funds," Working papers 2007/22, Faculty of Business and Economics - University of Basel.
    197. Alastair R. Hall & Atsushi Inoue, 2005. "The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models," Econometrics 0505002, University Library of Munich, Germany.
    198. Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers 11-2014, Singapore Management University, School of Economics.
    199. Francisco Palomino & Erica Li, 2010. "Monetary Policy Risk and the Cross-Section of Stock Returns," 2010 Meeting Papers 935, Society for Economic Dynamics.
    200. Andrew Ang & Jun Liu, 2003. "How to Discount Cashflows with Time-Varying Expected Returns," NBER Working Papers 10042, National Bureau of Economic Research, Inc.
    201. Michael W. Brandt & David A. Chapman, 2006. "Linear Approximations and Tests of Conditional Pricing Models," NBER Working Papers 12513, National Bureau of Economic Research, Inc.
    202. Pierlauro Lopez, 2017. "Online Appendix to "A New Keynesian Q Theory and the Link Between Inflation and the Stock Market"," Online Appendices 16-134, Review of Economic Dynamics.
    203. Vassalou, Maria, 2001. "News Related to Future GDP Growth as a Risk Factor in Equity Returns," CEPR Discussion Papers 3057, C.E.P.R. Discussion Papers.
    204. Renan O. Regis & Raydonal Ospina & Wilton Bernardino & Francisco Cribari-Neto, 2023. "Asset pricing in the Brazilian financial market: five-factor GAMLSS modeling," Empirical Economics, Springer, vol. 64(5), pages 2373-2409, May.
    205. Jiang, Fuwei & Jin, Fujing & Tang, Guohao, 2020. "Dissecting the effectiveness of firm financial strength in predicting Chinese stock market," Finance Research Letters, Elsevier, vol. 32(C).
    206. Sangwon Suh & Wonho Song & Bong-Soo Lee, 2014. "A new method for forming asset pricing factors from firm characteristics," Applied Economics, Taylor & Francis Journals, vol. 46(28), pages 3463-3482, October.
    207. Julliard, Christian, 2007. "Labor income risk and asset returns," LSE Research Online Documents on Economics 4811, London School of Economics and Political Science, LSE Library.
    208. Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2013. "Conditional alphas and realized betas," Textos para discussão 341, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    209. Christian Walkshäusl & Sebastian Lobe, 2014. "The Alternative Three†Factor Model: An Alternative beyond US Markets?," European Financial Management, European Financial Management Association, vol. 20(1), pages 33-70, January.
    210. Chen, Ming-Hsiang, 2003. "Risk and return: CAPM and CCAPM," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 369-393.
    211. Masud Alam, 2021. "Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return," Papers 2107.10455, arXiv.org.
    212. Grammig, Joachim & Schaub, Eva-Maria, 2014. "Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models," CFS Working Paper Series 479, Center for Financial Studies (CFS).
    213. Kang, Jangkoo & Kim, Tong Suk & Lee, Changjun & Min, Byoung-Kyu, 2011. "Macroeconomic risk and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3158-3173.
    214. Huntley Schaller, 2010. "Investment, Taxes and the Cost of Capital: An Euler Equation Specification Test," American Journal of Economics and Business Administration, Science Publications, vol. 2(3), pages 210-220, September.
    215. Pintor, Gabor, 2016. "The macroeconomic shock with the highest price of risk," LSE Research Online Documents on Economics 86225, London School of Economics and Political Science, LSE Library.
    216. Khan, Mozaffar, 2008. "Are accruals mispriced Evidence from tests of an Intertemporal Capital Asset Pricing Model," Journal of Accounting and Economics, Elsevier, vol. 45(1), pages 55-77, March.
    217. Lam, F.Y. Eric C. & Wei, K.C. John, 2011. "Limits-to-arbitrage, investment frictions, and the asset growth anomaly," Journal of Financial Economics, Elsevier, vol. 102(1), pages 127-149, October.
    218. Magdalena Morgese Borys, 2007. "Testing Multi-Factor Asset Pricing Models in the Visegrad Countries," CERGE-EI Working Papers wp323, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    219. Cook, David, 2009. "The puzzling dual of the uncovered interest parity puzzle evidence from Pacific Rim capital flows," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 449-456, June.
    220. Belo, Frederico, 2010. "Production-based measures of risk for asset pricing," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 146-163, March.
    221. Hahn, Jaehoon & Yoon, Heebin, 2016. "Determinants of the cross-sectional stock returns in Korea: evaluating recent empirical evidence," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 88-106.
    222. Jussi Keppo & Lones Smith & Dmitry Davydov, 2006. "Optimal Electoral Timing: Exercise Wisely and You May Live Longer," Cowles Foundation Discussion Papers 1565, Cowles Foundation for Research in Economics, Yale University.
    223. Fabian Irek & Thorsten Lehnert, 2013. "Do Fund Investors Know that Risk is Sometimes not Priced?," DEM Discussion Paper Series 13-1, Department of Economics at the University of Luxembourg.
    224. Warwick J McKibbin & Peter J Wilcoxen, 1997. "Macroeconomic Volatility In General Equilibrium," Departmental Working Papers 1998-07, The Australian National University, Arndt-Corden Department of Economics, revised Jun 1998.
    225. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, October.
    226. Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu, 2012. "Technological Growth and Asset Pricing," Journal of Finance, American Finance Association, vol. 67(4), pages 1265-1292, August.
    227. Ray Ball & Gil Sadka & Ayung Tseng, 2022. "Using accounting earnings and aggregate economic indicators to estimate firm-level systematic risk," Review of Accounting Studies, Springer, vol. 27(2), pages 607-646, June.
    228. Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2023. "Beta-Sorted Portfolios," Staff Reports 1068, Federal Reserve Bank of New York.
    229. Boucher, Christophe, 2006. "Stock prices-inflation puzzle and the predictability of stock market returns," Economics Letters, Elsevier, vol. 90(2), pages 205-212, February.
    230. Jeong-Joon Lee, 2006. "The Adjusted Solow Residual and Asset Returns (Subsequently published in "Eastern Economic Journal", 2007, 33,(2), pp. 231-255. )," CARF F-Series CARF-F-056, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    231. Miquel Faig, 1999. "Asset Pricing, Growth, And The Business Cycle With Irreversible Investment," Working Papers faig-98-02, University of Toronto, Department of Economics.
    232. Eisfeldt, Andrea L. & Rampini, Adriano A., 2007. "New or used? Investment with credit constraints," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2656-2681, November.
    233. Clark Lundberg, 2019. "Identifying horizon-based heterogeneity in the cross section of portfolio returns," Economics Bulletin, AccessEcon, vol. 39(2), pages 1163-1175.
    234. Victoria Atanasov, 2014. "Common Risk Factors in Equity Markets," Tinbergen Institute Discussion Papers 14-070/IV, Tinbergen Institute.
    235. Pasaribu, Rowland Bismark Fernando, 2009. "Kinerja Pasar dan Informasi Akuntansi sebagai Pembentuk Portfolio Saham [Market Performance and Accounting Information as the Reference of Stocks Portfolio Formation in Indonesia Stock Exchange]," MPRA Paper 36982, University Library of Munich, Germany.
    236. Jiang, Fuwei & Qi, Xinlin & Tang, Guohao, 2018. "Q-theory, mispricing, and profitability premium: Evidence from China," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 135-149.
    237. Francesco FRANZONI & Tobias ADRIAN, 2008. "Learning about Beta: Time-Varying Factor Loadings, Expected Returns,and the Conditional CAPM," Swiss Finance Institute Research Paper Series 08-36, Swiss Finance Institute.
    238. Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
    239. Szu-Yin Hung & John Glascock, 2008. "Momentum Profitability and Market Trend: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 37(1), pages 51-69, July.
    240. Ender Demir & Ka Wai Terence Fung & Zhou Lu, 2016. "Capital Asset Pricing Model and Stochastic Volatility: A Case Study of India," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(1), pages 52-65, January.
    241. Grammig, Joachim G. & Schrimpf, Andreas, 2006. "Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032, ZEW - Leibniz Centre for European Economic Research.
    242. Shaun Bond & Chen Xue, 2017. "The Cross Section of Expected Real Estate Returns: Insights from Investment-Based Asset Pricing," The Journal of Real Estate Finance and Economics, Springer, vol. 54(3), pages 403-428, April.
    243. Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho, 2013. "The Conditional CAPM, Cross-Section Returns and Stochastic Volatility," MPRA Paper 52469, University Library of Munich, Germany.
    244. Huang, Yuan & Lam, F.Y. Eric C. & Wei, K.C. John, 2014. "The q-theory explanation for the external financing effect: New evidence," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 69-81.
    245. Suzuki, Kazuyuki & Chida, Ryokichi, 2017. "Contribution of R&D capital to differences in Tobin's q among Japanese manufacturing firms: Evidence from an investment-based asset pricing model," Journal of the Japanese and International Economies, Elsevier, vol. 43(C), pages 38-58.
    246. Michael Nwogugu, 2020. "Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences," Papers 2005.01709, arXiv.org.
    247. Paulo Rogério Faustino Matos, 2019. "The role of household debt and delinquency decisions in consumption-based asset pricing," Annals of Finance, Springer, vol. 15(2), pages 179-203, June.
    248. Huang, Alan Guoming & Sun, Kevin Jialin, 2019. "Equity financing restrictions and the asset growth effect: International vs. Asian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    249. Cai, Zongwu & Hong, Yongmiao, 2003. "Nonparametric Methods in Continuous-Time Finance: A Selective Review," SFB 373 Discussion Papers 2003,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    250. Bansal, Ravi & Dahlquist, Magnus, 2002. "Expropriation Risk and Return in Global Equity Markets," SIFR Research Report Series 8, Institute for Financial Research.
    251. Ferson, Wayne & Mo, Haitao, 2016. "Performance measurement with selectivity, market and volatility timing," Journal of Financial Economics, Elsevier, vol. 121(1), pages 93-110.
    252. Peter Woehrmann & Willi Semmler & Martin Lettau, "undated". "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
    253. Hur, Jungshik & Singh, Vivek, 2019. "How do disposition effect and anchoring bias interact to impact momentum in stock returns?," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 238-256.
    254. Robert Chambers & John Quiggin, 2010. "Cost minimization and the stochastic discount factor," Annals of Operations Research, Springer, vol. 176(1), pages 349-368, April.
    255. Choy, Siu Kai & Lewis, Craig & Tan, Yongxian, 2023. "Can the changes in fundamentals explain the attenuation of anomalies?," Journal of Financial Economics, Elsevier, vol. 149(2), pages 142-160.
    256. Maria Ana Vitorino, 2014. "Understanding the Effect of Advertising on Stock Returns and Firm Value: Theory and Evidence from a Structural Model," Management Science, INFORMS, vol. 60(1), pages 227-245, January.
    257. Borup, Daniel & Schütte, Erik Christian Montes, 2022. "Asset pricing with data revisions," Journal of Financial Markets, Elsevier, vol. 59(PB).
    258. Jeong-Joon Lee, 2006. "The Adjusted Solow Residual and Asset Returns," CIRJE F-Series CIRJE-F-396, CIRJE, Faculty of Economics, University of Tokyo.
    259. Ana Belén Alonso-Conde & Javier Rojo-Suárez, 2020. "Nuclear Hazard and Asset Prices: Implications of Nuclear Disasters in the Cross-Sectional Behavior of Stock Returns," Sustainability, MDPI, vol. 12(22), pages 1-24, November.
    260. Head, Allen C. & Smith, Gregor W., 2003. "The CCAPM meets Euro-interest rate persistence, 1960-2000," Journal of International Economics, Elsevier, vol. 59(2), pages 349-366, March.
    261. Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2019. "Financial Market Risk Perceptions and the Macroeconomy," NBER Working Papers 26290, National Bureau of Economic Research, Inc.
    262. Huang, Lin & Wang, Zijun, 2014. "Is the investment factor a proxy for time-varying investment opportunities? The US and international evidence," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 219-232.
    263. Wilhelm, Jochen, 2000. "Das Gaußsche Zinsstrukturmodell: Eine Analyse auf der Basis von Wahrscheinlichkeitsverteilungen," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 6, University of Passau, Faculty of Business and Economics.
    264. Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021. "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
    265. Couch, Robert & Wu, Wei, 2012. "Private investment and public equity returns," Journal of Economics and Business, Elsevier, vol. 64(2), pages 160-184.
    266. Schrimpf, Andreas & Schröder, Michael & Stehle, Richard, 2006. "Evaluating conditional asset pricing models for the German stock market," ZEW Discussion Papers 06-043, ZEW - Leibniz Centre for European Economic Research.
    267. Massa, Massimo & O'Donovan, James & Zhang, Hong, 2022. "International asset pricing with strategic business groups1," Journal of Financial Economics, Elsevier, vol. 145(2), pages 339-361.
    268. Dong‐Hyun Ahn & H. Henry Cao & Stéphane Chrétien, 2009. "Portfolio Performance Measurement: a No Arbitrage Bounds Approach," European Financial Management, European Financial Management Association, vol. 15(2), pages 298-339, March.
    269. Cécile Carpentier & Jean-François L’Her & Jean-Marc Suret, 2013. "Private investment in small public entities," Small Business Economics, Springer, vol. 41(1), pages 149-168, June.
    270. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
    271. Galicia-Sanguino, Lucía & Rojo-Suárez, Javier & Alonso-Conde, Ana B. & López-Pérez, M. Victoria, 2021. "Trade integration and research and development investment as a proxy for idiosyncratic risk in the cross-section of stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    272. Belén Nieto & Rosa Rodriguez, 2005. "Modelos de valoración de activos condicionales: Un panorama comparativo," Investigaciones Economicas, Fundación SEPI, vol. 29(1), pages 33-71, January.
    273. Chen, Xiaohong & Fan, Yanqin, 1999. "Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series," Journal of Econometrics, Elsevier, vol. 91(2), pages 373-401, August.
    274. Kim Nummelin & Mika Vaihekoski, 2002. "World capital markets and Finnish stock returns," The European Journal of Finance, Taylor & Francis Journals, vol. 8(3), pages 322-343.
    275. Wang, Kevin Q., 2002. "Nonparametric tests of conditional mean-variance efficiency of a benchmark portfolio," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 133-169, March.
    276. Ang, Tze Chuan ‘Chewie’ & Lam, F.Y. Eric C. & Wei, K.C. John, 2020. "Mispricing firm-level productivity," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 139-163.
    277. Miguel Palacios, 2010. "Human Capital as an Asset Class: Implications from a General Equilibrium Model," Working Papers 2011-016, Human Capital and Economic Opportunity Working Group.
    278. Fabian Irek & Thorsten Lehnert, 2013. "Do Fund Investors Know that Risk is Sometimes not Priced?," LSF Research Working Paper Series 13-1, Luxembourg School of Finance, University of Luxembourg.
    279. Kodongo, Odongo & Ojah, Kalu, 2014. "The conditional pricing of currency and inflation risks in Africa's equity markets," MPRA Paper 56100, University Library of Munich, Germany.
    280. Keiichi Kubota & Kazuyuki Suda & Hitoshi Takehara, 2009. "Common Risk Factors Versus a Mispricing Factor of Tokyo Stock Exchange Firms: Inquiries into the Fundamental Value Derived from Analyst Earnings Forecasts," International Review of Finance, International Review of Finance Ltd., vol. 9(3), pages 269-294, September.
    281. Jing-zhi Huang & Zhaodong Zhong, 2013. "Time Variation in Diversification Benefits of Commodity, REITs, and TIPS," The Journal of Real Estate Finance and Economics, Springer, vol. 46(1), pages 152-192, January.
    282. Wang, Zhi, 2000. "Production-based asset pricing: a cross-industry study," ISU General Staff Papers 2000010108000013294, Iowa State University, Department of Economics.
    283. Kasa, Kenneth, 1997. "Consumption-based versus production-based models of international equity markets," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 653-680, September.
    284. Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society.
    285. Dahlquist, Magnus & Bansal, Ravi, 2001. "Sovereign Risk and Return in Global Equity Markets," CEPR Discussion Papers 3034, C.E.P.R. Discussion Papers.
    286. Byrne, Joseph P. & Sakemoto, Ryuta, 2021. "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    287. Li, Yuming & Zhong, Maosen, 2005. "Consumption habit and international stock returns," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 579-601, March.
    288. Jegadeesh, Narasimhan & Noh, Joonki & Pukthuanthong, Kuntara & Roll, Richard & Wang, Junbo, 2019. "Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation," Journal of Financial Economics, Elsevier, vol. 133(2), pages 273-298.
    289. Kim, Soon-Ho & Kim, Dongcheol & Shin, Hyun-Soo, 2012. "Evaluating asset pricing models in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 198-227.
    290. Johnson, Lorne D. & Sakoulis, Georgios, 2008. "Maximizing equity market sector predictability in a Bayesian time-varying parameter model," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3083-3106, February.
    291. Yuan Liao & Xiye Yang, 2017. "Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas," Departmental Working Papers 201711, Rutgers University, Department of Economics.
    292. Lorenzo Bretscher, 2023. "From Local to Global: Offshoring and Asset Prices," Management Science, INFORMS, vol. 69(3), pages 1420-1448, March.
    293. Grammig, Joachim & Jank, Stephan, 2013. "Creative destruction and asset prices," University of Tübingen Working Papers in Business and Economics 61, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
    294. Andrea L. Eisfeldt & Tyler Muir, 2014. "Aggregate External Financing and Savings Waves," NBER Working Papers 20442, National Bureau of Economic Research, Inc.
    295. Li, Qi, 1999. "Consistent model specification tests for time series econometric models," Journal of Econometrics, Elsevier, vol. 92(1), pages 101-147, September.
    296. Victoria Atanasov & Thomas Nitschka, 2013. "The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns," Tinbergen Institute Discussion Papers 13-180/IV/DSF66, Tinbergen Institute.
    297. Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-Based Asset Pricing with Rare Disaster Risk: A Simulated Method of Moments Approach," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100614, Verein für Socialpolitik / German Economic Association.
    298. Balakumar, Suganya & Dash, Saumya Ranjan & Maitra, Debasish & Kang, Sang Hoon, 2022. "Do oil price shocks have any implications for stock return momentum?," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 637-663.
    299. Kogan, Leonid, 2004. "Asset prices and real investment," Journal of Financial Economics, Elsevier, vol. 73(3), pages 411-431, September.
    300. H. Youn Kim, 2003. "Intertemporal production and asset pricing: a duality approach," Oxford Economic Papers, Oxford University Press, vol. 55(2), pages 344-379, April.
    301. Jose Tavares & Rossen Valkanov, 2001. "The neglected effect of fiscal policy on stock and bond returns," Nova SBE Working Paper Series wp413, Universidade Nova de Lisboa, Nova School of Business and Economics.
    302. Wayne E. Ferson, 2013. "Ruminations on Investment Performance Measurement," European Financial Management, European Financial Management Association, vol. 19(1), pages 4-13, January.
    303. Tolga Cenesizoglu & Jonathan J. Reeves, 2013. "CAPM, Components of Beta and the Cross Section of Expected Returns," CIRANO Working Papers 2013s-09, CIRANO.
    304. Andrei S. Gonçalves & Chen Xue & Lu Zhang, 2017. "Does the Investment Model Explain Value and Momentum Simultaneously?," NBER Working Papers 23910, National Bureau of Economic Research, Inc.
    305. Pakos, Michal, 2004. "Asset Pricing with Durable Goods and Nonhomothetic Preferences," MPRA Paper 26167, University Library of Munich, Germany.
    306. Akbari, Amir & Carrieri, Francesca, 2023. "Global risk and market conditions," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 51-70.
    307. Jonathan Brogaard & Andrew Detzel, 2015. "The Asset-Pricing Implications of Government Economic Policy Uncertainty," Management Science, INFORMS, vol. 61(1), pages 3-18, January.
    308. Warusawitharana, Missaka, 2013. "The expected real return to equity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1929-1946.
    309. DeRoon, Frans A. & Nijman, Theo E., 2001. "Testing for mean-variance spanning: a survey," Journal of Empirical Finance, Elsevier, vol. 8(2), pages 111-155, May.
    310. Toni M. Whited & Lu Zhang, 2006. "Testing the q-Theory of Anomalies," 2006 Meeting Papers 380, Society for Economic Dynamics.
    311. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
    312. Pian Chen & Aaron Smith, 2013. "The nonlinear multidimensional relationship between stock returns and the macroeconomy," Applied Economics, Taylor & Francis Journals, vol. 45(35), pages 4985-4999, December.
    313. Yi-Cheng Shih & Sheng-Syan Chen & Cheng-Few Lee & Po-Jung Chen, 2014. "The evolution of capital asset pricing models," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 415-448, April.
    314. Singh, Kewal & Singh, Anoop & Prakash, Puneet, 2022. "Estimating the cost of equity for the regulated energy and infrastructure sectors in India," Utilities Policy, Elsevier, vol. 74(C).
    315. Sydney Ludvigson, 2008. "The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(2), April.
    316. Jungshik Hur & Mahesh Pritamani & Vivek Sharma, 2010. "Momentum and the Disposition Effect: The Role of Individual Investors," Financial Management, Financial Management Association International, vol. 39(3), pages 1155-1176, September.
    317. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho.
    318. Maio, Paulo & Santa-Clara, Pedro, 2012. "Multifactor models and their consistency with the ICAPM," Journal of Financial Economics, Elsevier, vol. 106(3), pages 586-613.
    319. Lipson, Marc L. & Mortal, Sandra & Schill, Michael J., 2011. "On the Scope and Drivers of the Asset Growth Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(6), pages 1651-1682, December.
    320. Kodongo, Odongo & Ojah, Kalu, 2014. "Conditional pricing of currency risk in Africa's equity markets," Emerging Markets Review, Elsevier, vol. 21(C), pages 133-155.
    321. Grammig, Joachim & Schaub, Eva-Maria, 2014. "Give me strong moments and time - Combining GMM and SMM to estimate long-run risk asset pricing models," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100607, Verein für Socialpolitik / German Economic Association.
    322. Rocha Armada, Manuel J. & Sousa, Ricardo M. & Wohar, Mark E., 2015. "Consumption growth, preference for smoothing, changes in expectations and risk premium," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 80-97.
    323. Sarantis Tsiaplias, 2007. "The Macroeconomic Content of Equity Market Factors," Melbourne Institute Working Paper Series wp2007n23, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    324. Lin, Xiaoji & Zhang, Lu, 2011. "Covariances versus Characteristics in General Equilibrium," Working Paper Series 2011-15, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    325. Maio, Paulo & Silva, André C., 2020. "Asset pricing implications of money: New evidence," Journal of Banking & Finance, Elsevier, vol. 120(C).
    326. Krapl, Alain & Giaccotto, Carmelo, 2015. "Foreign exchange risk and the term-structure of industry costs of equity," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 71-88.
    327. Dat Thanh Tran & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2021. "Bilinear Input Normalization for Neural Networks in Financial Forecasting," Papers 2109.00983, arXiv.org.
    328. Hirshleifer, David & Hsu, Po-Hsuan & Li, Dongmei, 2013. "Innovative efficiency and stock returns," Journal of Financial Economics, Elsevier, vol. 107(3), pages 632-654.
    329. Amihud, Yakov & Noh, Joonki, 2021. "The pricing of the illiquidity factor’s conditional risk with time-varying premium," Journal of Financial Markets, Elsevier, vol. 56(C).
    330. Iqbal, Javed & Brooks, Robert & Galagedera, Don U.A., 2010. "Testing conditional asset pricing models: An emerging market perspective," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 897-918, September.
    331. Balvers, Ronald J. & Huang, Dayong, 2007. "Productivity-based asset pricing: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 86(2), pages 405-445, November.
    332. Andrew Detzel, 2017. "Monetary Policy Surprises, Investment Opportunities, And Asset Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(3), pages 315-348, September.
    333. Ludvigson, Sydney C., 2013. "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 799-906, Elsevier.
    334. Li Gu & Dayong Huang, 2013. "Consumption, Money, Intratemporal Substitution, And Cross-Sectional Asset Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(1), pages 115-146, January.
    335. Kim, H. Youn, 2014. "International financial integration and risk sharing among countries: A production-based approach," Journal of the Japanese and International Economies, Elsevier, vol. 31(C), pages 16-35.
    336. Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc.
    337. Hilliard, Jitka & Zhang, Haoran, 2015. "Size and price-to-book effects: Evidence from the Chinese stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 32(C), pages 40-55.
    338. Ward, Colin, 2020. "Is the IT revolution over? An asset pricing view," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 283-316.
    339. Min, Byoung-Kyu & Kim, Tong Suk, 2012. "Are good-news firms riskier than bad-news firms?," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1528-1535.
    340. Wang, Qiao & Balvers, Ronald, 2021. "Determinants and predictability of commodity producer returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
    341. Hang Bai & Erica X.N. Li & Chen Xue & Lu Zhang, 2019. "Does Costly Reversibility Matter for U.S. Public Firms?," NBER Working Papers 26372, National Bureau of Economic Research, Inc.
    342. Joshua H. Gallin, 1999. "Net migration and state labor market dynamics," Finance and Economics Discussion Series 1999-16, Board of Governors of the Federal Reserve System (U.S.).
    343. Jessica Leutert, 2018. "The Swiss franc safety premium," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-21, December.
    344. Wang, Zhenyu & Zhang, Xiaoyan, 2012. "Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 65-78.
    345. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
    346. Schmid, Lukas & Croce, Mariano & Raymond, Steve & Nguyen, Thiên Tung, 2018. "Government Debt and the Returns to Innovation," CEPR Discussion Papers 12617, C.E.P.R. Discussion Papers.
    347. Boons, M.F., 2014. "Sorting out commodity and macroeconomic risk in expected stock returns," Other publications TiSEM 1ebdac58-bf37-499d-8835-1, Tilburg University, School of Economics and Management.
    348. Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.
    349. Park, Dojoon & Kang, Yong Joo & Eom, Young Ho, 2024. "Asset pricing tests for pandemic risk," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1314-1334.
    350. Jang, Bosung & So, Inhwan & Tong, Eric, 2023. "US structural drivers of international portfolio returns," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    351. Mizobata, Hirokazu, 2016. "Differing factor adjustment costs across industries: Evidence from Japan," Economic Modelling, Elsevier, vol. 54(C), pages 382-391.
    352. Wolfgang Drobetz & Susanne Stürmer & Heinz Zimmermann, 2002. "Conditional Asset Pricing in Emerging Stock Markets," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(IV), pages 507-526, December.
    353. Andreas Reschreiter, 2004. "Risk factors of inflation-indexed and conventional government bonds and the APT," Money Macro and Finance (MMF) Research Group Conference 2003 79, Money Macro and Finance Research Group.
    354. Watanabe, Akiko & Xu, Yan & Yao, Tong & Yu, Tong, 2013. "The asset growth effect: Insights from international equity markets," Journal of Financial Economics, Elsevier, vol. 108(2), pages 529-563.
    355. Matos, Paulo & da Silva, Cristiano & dos Santos, Davi & Reinaldo, Luciana, 2021. "Credit, default, financial system and development," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 281-289.
    356. Atakan Yalçın & Nuri Ersşahin, 2011. "Does the Conditional CAPM Work? Evidence from the Istanbul Stock Exchange," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(4), pages 28-48, July.
    357. Balvers, Ronald J. & Huang, Dayong, 2009. "Evaluation of linear asset pricing models by implied portfolio performance," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1586-1596, September.
    358. Mirza Muhammad Naseer & Muhammad Asif Khan & József Popp & Judit Oláh, 2021. "Firm, Industry and Macroeconomics Dynamics of Stock Returns: A Case of Pakistan Non-Financial Sector," JRFM, MDPI, vol. 14(5), pages 1-18, April.
    359. Maria Cecillia Bustamante, 2011. "Strategic Investment, Industry Concentration and the Cross Section of Returns," FMG Discussion Papers dp681, Financial Markets Group.
    360. Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers 3145, C.E.P.R. Discussion Papers.
    361. Hsu, Po-Hsuan & Huang, Dayong, 2010. "Technology prospects and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 39-53, January.
    362. Christopher Malloy & Tobias Moskowitz, 2005. "Human Capital Risk, Stockholder Consumption, and Asset Returns," 2005 Meeting Papers 123, Society for Economic Dynamics.
    363. Frederico Belo & Chen Xue & Lu Zhang, 2013. "A Supply Approach to Valuation," The Review of Financial Studies, Society for Financial Studies, vol. 26(12), pages 3029-3067.
    364. Vanden, Joel M., 2005. "Equilibrium analysis of volatility clustering," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 374-417, June.
    365. Wu, Juan (Julie) & Zhang, Jianzhong (Andrew), 2019. "Short selling and market anomalies," Journal of Financial Markets, Elsevier, vol. 46(C).
    366. Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-based asset pricing with rare disaster risk," CFS Working Paper Series 480, Center for Financial Studies (CFS).

  36. Cochrane, John H, 1995. "Time-Consistent Health Insurance," Journal of Political Economy, University of Chicago Press, vol. 103(3), pages 445-473, June.

    Cited by:

    1. Ralph S. J. Koijen & Stijn Van Nieuwerburgh & Motohiro Yogo, 2014. "Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice," Staff Report 499, Federal Reserve Bank of Minneapolis.
    2. Baumann, Florian & Meier, Volker & Werding, Martin, 2008. "Transferable ageing provisions in individual health insurance contracts," Munich Reprints in Economics 20150, University of Munich, Department of Economics.
    3. Santos, Tano & Veronesi, Pietro, 2022. "Leverage," Journal of Financial Economics, Elsevier, vol. 145(2), pages 362-386.
    4. Renaud Bourlès, 2008. "Moral Hazard In Dynamic Insurance Classification Risk And Prepayment," Working Papers halshs-00340830, HAL.
    5. Iourii Manovskii & Bjoern Bruegemann, 2009. "Fragility: A Quantitative Analysis of the US Health Insurance System," 2009 Meeting Papers 1246, Society for Economic Dynamics.
    6. Francesca Barigozzi & Dominique Henriet, 2006. "Endogenous Information and Self-Insurance in Insurance Markets : a Welfare Analysis," Working Papers halshs-00411337, HAL.
    7. Rettenmaier, Andrew J. & Wang, Zijun, 2006. "Persistence in Medicare reimbursements and personal medical accounts," Journal of Health Economics, Elsevier, vol. 25(1), pages 39-57, January.
    8. Bardey, David & De Donder, Philippe, 2013. "Genetic testing with primary prevention and moral hazard," Journal of Health Economics, Elsevier, vol. 32(5), pages 768-779.
    9. Konrad, Kai A. & Thum, Marcel, 2012. "The role of economic policy in climate change adaptation," EIB Working Papers 2012/02, European Investment Bank (EIB).
    10. Soheil Ghili & Ben Handel & Igal Hendel & Michael D. Whinston, 2019. "Optimal Long-Term Health Insurance Contracts: Characterization, Computation, and Welfare Effects," Cowles Foundation Discussion Papers 2218R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2020.
    11. Wenan Fei & Claude Fluet & Harris Schlesinger, 2015. "Uncertain Bequest Needs and Long-Term Insurance Contracts," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 82(1), pages 125-148, March.
    12. Mayer, Chris & Piskorski, Tomasz & Tchistyi, Alexei, 2013. "The inefficiency of refinancing: Why prepayment penalties are good for risky borrowers," Journal of Financial Economics, Elsevier, vol. 107(3), pages 694-714.
    13. Pashchenko, Svetlana & Porapakkarm, Ponpoje, 2015. "Welfare costs of reclassification risk in the health insurance market," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 21-44.
    14. He, Daifeng, 2011. "Is there dynamic adverse selection in the life insurance market?," Economics Letters, Elsevier, vol. 112(1), pages 113-115, July.
    15. Martin Gaynor & Kate Ho & Robert Town, 2014. "The Industrial Organization of Health Care Markets," NBER Working Papers 19800, National Bureau of Economic Research, Inc.
    16. Fölster, Stefan, 1996. "Social Insurance Based on Personal Savings Accounts: A possible reform strategy for overburdened welfare states?," Working Paper Series 454, Research Institute of Industrial Economics.
    17. Christiansen, Marcus & Eling, Martin & Schmidt, Jan-Philipp & Zirkelbach, Lorenz, 2012. "Who is Changing Health Insurance Coverage? Empirical Evidence on Policyholder Dynamics," Working Papers on Finance 1223, University of St. Gallen, School of Finance.
    18. Phoebe Tian, 2024. "The Role of Long-Term Contracting in Business Lending," Staff Working Papers 24-2, Bank of Canada.
    19. van Kippersluis, Hans & Van Ourti, Tom & O'Donnell, Owen & van Doorslaer, Eddy, 2009. "Health and income across the life cycle and generations in Europe," Journal of Health Economics, Elsevier, vol. 28(4), pages 818-830, July.
    20. Volker Meier, 2003. "Portability of accrued reserves in private health insurance," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(24), pages 5-8, December.
    21. Ines Läufer, 2014. "Unvollständige Absicherung des Krankheitskostenrisikos in den USA: Erklärungsfaktoren der Attraktivität von Arbeitgeber-Gruppenversicherungen," Otto-Wolff-Institut Discussion Paper Series 01/2014, Otto-Wolff-Institut für Wirtschaftsordnung, Köln, Deutschland.
    22. Stéphane Jacobzone, 1997. "Systèmes mixtes d'assurance maladie, équité, gestion du risque et maîtrise des coûts," Économie et Prévision, Programme National Persée, vol. 129(3), pages 189-205.
    23. Michael Hoy & Afrasiab Mirza & Asha Sadanand, 2018. "Guaranteed Renewable Life Insurance Under Demand Uncertainty," CESifo Working Paper Series 7103, CESifo.
    24. Feldman, Roger & Dowd, Bryan, 2000. "Risk segmentation: goal or problem?," Journal of Health Economics, Elsevier, vol. 19(4), pages 499-512, July.
    25. Dominique Henriet, 2004. "Assurance maladie : intervention publique et rôle de la concurrence," Revue d'économie politique, Dalloz, vol. 114(5), pages 587-594.
    26. Friedrich Breyer, 2004. "How to Finance Social Health Insurance: Issues in the German Reform Debate," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 29(4), pages 679-688, October.
    27. Santosh Anagol & Shawn Cole & Shayak Sarkar, 2012. "Understanding the Advice of Commissions-Motivated Agents: Evidence from the Indian Life Insurance Market," Harvard Business School Working Papers 12-055, Harvard Business School, revised Oct 2015.
    28. Frech, Ted E & Smith, Michael P, 2015. "Anatomy of a Slow-Motion Health Insurance Death Spiral," University of California at Santa Barbara, Economics Working Paper Series qt0w64d54d, Department of Economics, UC Santa Barbara.
    29. Mark Pauly & Kai Menzel & Howard Kunreuther & Richard Hirth, 2011. "Guaranteed renewability uniquely prevents adverse selection in individual health insurance," Journal of Risk and Uncertainty, Springer, vol. 43(2), pages 127-139, October.
    30. Volker Meier & Martin Werding, 2007. "Risk-specific transferable ageing provisions in private health insurance," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 38.
    31. Wiseman, Thomas, 2018. "Competitive long-term health insurance," Journal of Health Economics, Elsevier, vol. 58(C), pages 144-150.
    32. Herring, Bradley & Pauly, Mark V., 2006. "Incentive-compatible guaranteed renewable health insurance premiums," Journal of Health Economics, Elsevier, vol. 25(3), pages 395-417, May.
    33. Bradley Herring & Mark Pauly, 2003. "Incentive-Compatible Guaranteed Renewable Health Insurance," NBER Working Papers 9888, National Bureau of Economic Research, Inc.
    34. Nell, Martin & Rosenbrock, Stephan, 2007. "Wettbewerb in kapitalgedeckten Krankenversicherungssystemen: Ein konsistenter Ansatz zur Übertragung von individuellen Alterungsrückstellungen in der Privaten Krankenversicherung," Working Papers on Risk and Insurance 19, University of Hamburg, Institute for Risk and Insurance.
    35. Martin Nell & Stephan Rosenbrock, 2008. "Wettbewerb in kapitalgedeckten Krankenversicherungssystemen: Ein risikogerechter Ansatz zur Übertragung von Alterungsrückstellungen in der Privaten Krankenversicherung," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 9(2), pages 173-195, May.
    36. Buchholz, Wolfgang & Wiegard, Wolfgang, 1997. "Zeit(in)konsistente Steuerpolitik," Tübinger Diskussionsbeiträge 115, University of Tübingen, School of Business and Economics.
    37. Pashchenko, Svetlana & Porapakkarm, Ponpoje, 2010. "Quantitative Analysis of Health Insurance Reform: Separating Community Rating from Income Redistribution," MPRA Paper 26158, University Library of Munich, Germany.
    38. Yasushi Iwamoto & Miki Kohara & Makoto Saito, 2009. "On the Consumption Insurance Effects of Long-term Care Insurance in Japan: Evidence from Micro-level Household Data," Global COE Hi-Stat Discussion Paper Series gd09-109, Institute of Economic Research, Hitotsubashi University.
    39. Sherry Glied, 2003. "Health Care Costs: On the Rise Again," Journal of Economic Perspectives, American Economic Association, vol. 17(2), pages 125-148, Spring.
    40. Cutler, David M. & Zeckhauser, Richard J., 2000. "The anatomy of health insurance," Handbook of Health Economics, in: A. J. Culyer & J. P. Newhouse (ed.), Handbook of Health Economics, edition 1, volume 1, chapter 11, pages 563-643, Elsevier.
    41. Ruo Jia & Zenan Wu, 2019. "Insurer commitment and dynamic pricing pattern," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 44(1), pages 87-135, March.
    42. Richard Peter & Andreas Richter & Petra Steinorth, 2016. "Yes, No, Perhaps? Premium Risk and Guaranteed Renewable Insurance Contracts With Heterogeneous Incomplete Private Information," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 363-385, June.
    43. Kifmann, Mathias, 1997. "To commit or not to commit: A health insurance monopoly with variable quality and uncertain types of individuals," Discussion Papers, Series I 288, University of Konstanz, Department of Economics.
    44. Marcelo Tokman R., 2000. "Age segmentation in the Chilean health system," Estudios de Economia, University of Chile, Department of Economics, vol. 27(1 Year 20), pages 5-32, June.
    45. Hanming Fang & Alessandro Gavazza, 2010. "Dynamic Inefficiencies in an Employment-Based Health Insurance System: Theory and Evidence," Working Papers 10-01, Duke University, Department of Economics.
    46. Kanika Kapur, 2003. "Labor Market Implications of State Small Group Health Insurance Reform," Public Finance Review, , vol. 31(6), pages 571-600, November.
    47. Breyer, Friedrich & Haufler, Andreas, 2000. "Health Care Reform: Separating Insurance from Income Redistribution," Munich Reprints in Economics 20114, University of Munich, Department of Economics.
    48. Francesca Barigozzi & Dominique Henriet, 2011. "Genetic Information: Comparing Alternative Regulatory Approaches When Prevention Matters," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 13(1), pages 23-46, February.
    49. Juan Pablo Atal & Hanming Fang & Martin Karlsson & Nicolas R. Ziebarth, 2020. "Long-Term Health Insurance: Theory Meets Evidence," CINCH Working Paper Series 2001, Universitaet Duisburg-Essen, Competent in Competition and Health.
    50. Wolfgang Buchholz & Birgit Edener & Markus Grabka & Klaus-Dirk Henke & Monika Huber & Hermann Ribhegge & Andreas Ryll & Hans-Jürgen Wagener & Gert G. Wagner, 2001. "Wettbewerb aller Krankenversicherungen kann Qualität verbessern und Kosten des Gesundheitswesens senken," Discussion Papers of DIW Berlin 247, DIW Berlin, German Institute for Economic Research.
    51. Hilary W. Hoynes & Erzo F. P. Luttmer, 2010. "The Insurance Value of State Tax-and-Transfer Programs," NBER Chapters, in: Fiscal Federalism, pages 1110-1128, National Bureau of Economic Research, Inc.
    52. Gabrielle Demange & Pierre-Yves Geoffard, 2004. "A quoi peut servir la concurrence en assurance santé ?," Revue d'économie politique, Dalloz, vol. 114(5), pages 595-611.
    53. Meier, Volker, 2005. "Efficient transfer of aging provisions in private health insurance," Munich Reprints in Economics 19184, University of Munich, Department of Economics.
    54. Christopher J. Mayer & Tomasz Piskorski & Alexei Tchistyi, 2010. "The Inefficiency of Refinancing: Why Prepayment Penalties Are Good for Risky Borrowers," NBER Working Papers 16586, National Bureau of Economic Research, Inc.
    55. Ralph Koijen & Stijn Van Nieuwerburgh, 2018. "Financing the War on Cancer," NBER Working Papers 24730, National Bureau of Economic Research, Inc.
    56. Kifmann, Mathias, 1997. "Die private Krankenversicherung in Chile: Vollversicherung oder Zusatzversicherung für ambulante Leistungen?," Discussion Papers, Series I 287, University of Konstanz, Department of Economics.
    57. Eling, Martin & Jia, Ruo & Yao, Yi, 2014. "Between-Group Adverse Selection: Evidence from Group Critical Illness Insurance," Working Papers on Finance 1403, University of St. Gallen, School of Finance, revised Oct 2014.
    58. Johannes Leinert & Gert G. Wagner, 2001. "Probleme einer steigenden Lebenserwartung in der privaten Rentenversicherung: Theorie und Empirie für Deutschland," Discussion Papers of DIW Berlin 258, DIW Berlin, German Institute for Economic Research.
    59. Juan Pablo Atal & Hanming Fang & Martin Karlsson & Nicolas R. Ziebarth, 2020. "German Long-Term Health Insurance: Theory Meets Evidence," NBER Working Papers 26870, National Bureau of Economic Research, Inc.
    60. Igal Hendel & Alessandro Lizzeri, 2000. "The Role of Commitment in Dynamic Contracts: Evidence from Life Insurance," NBER Working Papers 7470, National Bureau of Economic Research, Inc.
    61. Mathias Kifmann, 2005. "Health insurance in a democracy: Why is it public and why are premiums income related?," Public Choice, Springer, vol. 124(3), pages 283-308, September.
    62. Keith J. Crocker & John R. Moran, 2002. "Contracting with Limited Commitment: Evidence from Employment-Based Health Insurance Contracts," Center for Policy Research Working Papers 45, Center for Policy Research, Maxwell School, Syracuse University.
    63. Ines Läufer, 2014. "Das Krankenversicherungssystem in den USA: Bestimmungsparameter des Angebots und der Ausgestaltungformen von Arbeitgeber-Gruppenversicherungen," Otto-Wolff-Institut Discussion Paper Series 03/2014, Otto-Wolff-Institut für Wirtschaftsordnung, Köln, Deutschland.
    64. Hoynes, Hilary W. & Luttmer, Erzo F.P., 2012. "Reprint of: The insurance value of state tax-and-transfer programs," Journal of Public Economics, Elsevier, vol. 96(11), pages 1110-1128.
    65. Martin Dumav, 2013. "Health Insurance over the Life Cycle with Adverse Selection," 2013 Meeting Papers 1138, Society for Economic Dynamics.
    66. M. Bundorf & Jonathan Levin & Neale Mahoney, "undated". "Pricing and Welfare in Health Plan Choice," Discussion Papers 07-047, Stanford Institute for Economic Policy Research.
    67. Annette Hofmann & Mark Browne, 2013. "One-sided commitment in dynamic insurance contracts: Evidence from private health insurance in Germany," Journal of Risk and Uncertainty, Springer, vol. 46(1), pages 81-112, February.
    68. Bhattacharya Jayanta & Vogt William B., 2014. "Employment and Adverse Selection in Health Insurance," Forum for Health Economics & Policy, De Gruyter, vol. 17(1), pages 1-26, January.
    69. Michael Geruso & Timothy Layton, 2017. "Selection in Health Insurance Markets and Its Policy Remedies," NBER Working Papers 23876, National Bureau of Economic Research, Inc.
    70. Ronald Fischer & Alejandra Mizala & Pilar Romaguera, 1998. "Financiamiento de la Salud en la Tercera Edad en el Sistema Isapre," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(104), pages 73-95.
    71. Ponpoje Porapakkarm & Svetlana Pashchenko, 2011. "Front-loaded contracts in health insurance market: How valuable is guaranteed renewability?," 2011 Meeting Papers 1268, Society for Economic Dynamics.
    72. Amy Finkelstein & Kathleen McGarry & Amir Sufi, 2005. "Dynamic Inefficiencies in Insurance Markets: Evidence from long-term care insurance," NBER Working Papers 11039, National Bureau of Economic Research, Inc.
    73. Juan Pablo Atal, 2019. "Lock-in in Dynamic Health Insurance Contracts: Evidence from Chile," PIER Working Paper Archive 19-020, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    74. Karsten Jeske & Sagiri Kitao, 2007. "U.S. tax policy and health insurance demand: can a regressive policy improve welfare?," FRB Atlanta Working Paper 2007-13, Federal Reserve Bank of Atlanta.
    75. Fleitas, Sebastian & Gowrisankaran, Gautam & Lo Sasso, Anthony, 2020. "Reclassification Risk in the Small Group Health Insurance Market," CEPR Discussion Papers 14394, C.E.P.R. Discussion Papers.
    76. Ines Läufer, 2014. "Another perspective on the high uninsured-rate in the USA: Crowding out of long term health insurance by the institutional setting of the U.S. health insurance system," Otto-Wolff-Institut Discussion Paper Series 02/2014, Otto-Wolff-Institut für Wirtschaftsordnung, Köln, Deutschland.
    77. David M. Cutler & Richard J. Zeckhauser, 1997. "Reinsurance for Catastrophes and Cataclysms," NBER Working Papers 5913, National Bureau of Economic Research, Inc.
    78. Jayanta Bhattacharya & William B. Vogt, 2006. "Employment and Adverse Selection in Health Insurance," NBER Working Papers 12430, National Bureau of Economic Research, Inc.
    79. Koch, Thomas G., 2014. "One pool to insure them all? Age, risk and the price(s) of medical insurance," International Journal of Industrial Organization, Elsevier, vol. 35(C), pages 1-11.
    80. Ruo Jia & Zenan Wu, 2019. "Insurer commitment and dynamic pricing pattern," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 44(1), pages 87-135, March.
    81. Borys Grochulski, 2011. "Financial firm resolution policy as a time-consistency problem," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 97(2Q), pages 133-152.
    82. Owen (O.A.) O'Donnell, 2019. "Financial Protection Against Medical Expense," Tinbergen Institute Discussion Papers 19-010/V, Tinbergen Institute.
    83. Soheil Ghili & Ben Handel & Igal Hendel & Michael D. Whinston, 2019. "Optimal Long-Term Health Insurance Contracts: Characterization, Computation, and Welfare Effects," Cowles Foundation Discussion Papers 2218R2, Cowles Foundation for Research in Economics, Yale University, revised May 2021.
    84. Shang-Yin Yang & Chou-Wen Wang & Hong-Chih Huang, 2016. "The Valuation of Lifetime Health Insurance Policies with Limited Coverage," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(3), pages 777-800, September.
    85. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    86. Wasem, Jürgen & Buchner, Florian & Walendzik, Anke & Schröder, Michael, 2016. "Qualitative Analysen zur harmonisierten Berechnung einer Alterungsrückstellung und der verfassungskonformen Ausgestaltung ihrer Portabilität: Endbericht - Studie im Auftrag des Verbraucherzentrale Bun," IBES Diskussionsbeiträge 218, University of Duisburg-Essen, Institute of Business and Economic Studie (IBES).

  37. Cochrane, John H., 1994. "Shocks," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 41(1), pages 295-364, December.
    See citations under working paper version above.
  38. John H. Cochrane, 1994. "Permanent and Transitory Components of GNP and Stock Prices," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 109(1), pages 241-265.

    Cited by:

    1. Pan, Ming-Shiun, 2007. "Permanent and transitory components of earnings, dividends, and stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(4), pages 535-549, September.
    2. Michael D. Bordo & John V. Duca, 2023. "Broad Divisia Money and the Recovery of U.S. Nominal GDP from the COVID-19 Recession," Working Papers 319, Princeton University, Department of Economics, Center for Economic Policy Studies..
    3. John B. Carlson & Kevin H. Sargent, 1997. "The recent ascent of stock prices: can it be explained by earnings growth or other fundamentals?," Economic Review, Federal Reserve Bank of Cleveland, issue Q II, pages 2-12.
    4. Owen Lamont, "undated". "Earnings and Expected Returns," CRSP working papers 345, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    5. Güneş Kamber & James Morley & Benjamin Wong, 2017. "Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter," Reserve Bank of New Zealand Discussion Paper Series DP2017/01, Reserve Bank of New Zealand.
    6. Luca Benati & Thomas A. Lubik, 2021. "Searching for Hysteresis," Working Paper 21-03, Federal Reserve Bank of Richmond.
    7. Dupasquier, Chantal & Guay, Alain & St-Amant, Pierre, 1999. "A Survey of Alternative Methodologies for Estimating Potential Output and the Output Gap," Journal of Macroeconomics, Elsevier, vol. 21(3), pages 577-595, July.
    8. Cribari-Neto, Francisco, 1996. "On time series econometrics," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(Supplemen), pages 37-60.
    9. Patrick Fève & Alain Guay, 2010. "Identification of Technology Shocks in Structural Vars," Economic Journal, Royal Economic Society, vol. 120(549), pages 1284-1318, December.
    10. Michael T. Kiley, 2010. "Habit Persistence, Nonseparability between Consumption and Leisure, or Rule-of-Thumb Consumers: Which Accounts for the Predictability of Consumption Growth?," The Review of Economics and Statistics, MIT Press, vol. 92(3), pages 679-683, August.
    11. Martin Lettau & Sydney C. Ludvigson, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, Federal Reserve Bank of New York.
    12. Senyuz, Zeynep, 2009. "Factor Analysis of Permanent and Transitory Dynamics of the U.S. Economy and the Stock Market," MPRA Paper 26855, University Library of Munich, Germany, revised Mar 2010.
    13. Dahl, Roy Endre & Lorentzen, Sindre & Oglend, Atle & Osmundsen, Petter, 2016. "Pro-Cyclical Petroleum Investments and Cost Overruns in Norway by Roy Endré Dahl, Sindre Lorentzen, Atle Oglend, and Petter Osmundsen," UiS Working Papers in Economics and Finance 2016/7, University of Stavanger.
    14. Donald H. Dutkowsky & H. Sonmez Atesoglu, 2001. "The Demand For Money: A Structural Econometric Investigation," Southern Economic Journal, John Wiley & Sons, vol. 68(1), pages 92-106, July.
    15. Chen, Jie, 2006. "Housing Wealth and Aggregate Consumption in Sweden," Working Paper Series 2006:16, Uppsala University, Department of Economics.
    16. Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Discussion Papers in Economics at the University of Washington 0021, Department of Economics at the University of Washington.
    17. Anthony Garratt & Donald Robertson & Stephen Wright, 2005. "Permanent vs Transitory Components and Economic Fundamentals," Birkbeck Working Papers in Economics and Finance 0501, Birkbeck, Department of Economics, Mathematics & Statistics.
    18. Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2008. "Are output growth-rate distributions fat-tailed? some evidence from OECD countries," Post-Print hal-03417062, HAL.
    19. Ravaillon, Martin & Datt, Gaurav, 1994. "How important to India's poor is the urban - rural composition of growth?," Policy Research Working Paper Series 1399, The World Bank.
    20. Geetha Mayadunne & Merran Evans & Brett Inder, 1995. "An Empirical Investigation of Shock Persistence in Economic Time Series," The Economic Record, The Economic Society of Australia, vol. 71(2), pages 145-156, June.
    21. Morley, James C., 2002. "A state-space approach to calculating the Beveridge-Nelson decomposition," Economics Letters, Elsevier, vol. 75(1), pages 123-127, March.
    22. Svetlana Maslyuk & Russell Smyth, 2007. "Unit Root Properties of Crude Oil Spot and Futures Prices," Monash Economics Working Papers 40-07, Monash University, Department of Economics.
    23. Xiaohong Chen & Zhijie Xiao & Bo Wang, 2020. "Copula-Based Time Series With Filtered Nonstationarity," Cowles Foundation Discussion Papers 2242, Cowles Foundation for Research in Economics, Yale University.
    24. Uhlig, H.F.H.V.S., 2001. "Did the FED Surprise the Markets in 2001? A Case Study for Vars with Sign Restrictions," Discussion Paper 2001-88, Tilburg University, Center for Economic Research.
    25. Hanno Lustig & Stijn Van Nieuwerburgh, 2005. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," NBER Working Papers 11564, National Bureau of Economic Research, Inc.
    26. Eugene Fama & F. & Kenneth R. French, "undated". "The Equity Premium."," CRSP working papers 522, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    27. Kozicki, Sharon, 1999. "Multivariate detrending under common trend restrictions: Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 23(7), pages 997-1028, June.
    28. Richard G. Anderson & Michael Bordo & John V. Duca, 2016. "Money and Velocity During Financial Crises: From the Great Depression to the Great Recession," Economics Working Papers 16111, Hoover Institution, Stanford University.
    29. Döpke, Jörg & Chagny, Odile, 2001. "Measures of the Output Gap in the Euro-Zone: An Empirical Assessment of Selected Methods," Kiel Working Papers 1053, Kiel Institute for the World Economy (IfW Kiel).
    30. Myers, Robert J. & Johnson, Stanley R. & Helmar, Michael & Baumes, Harry, 2018. "Long-run and short-run relationships between oil prices, producer prices, and consumer prices: What can we learn from a permanent-transitory decomposition?," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 175-190.
    31. Paolo Guarda, 2002. "Potential output and the output gap in Luxembourg: some alternative methods," BCL working papers 4, Central Bank of Luxembourg.
    32. Martin Schmidt, 2003. "The relative adjustment of wages and prices: direct tests within a multiple-equation system," Applied Economics, Taylor & Francis Journals, vol. 35(8), pages 985-997.
    33. Smith, Simon C., 2017. "Equity premium estimates from economic fundamentals under structural breaks," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 49-61.
    34. M.S.Rafiq, 2006. "Great Ratios, Balanced Growth and Stochastic Trends: Evidence for the Euro Area," Discussion Paper Series 2006_20, Department of Economics, Loughborough University.
    35. Brady Ryan R & Stimel Derek S, 2011. "How the Housing and Financial Wealth Effects Have Changed over Time," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-45, August.
    36. Chang-Jin Kim & Charles R. Nelson & Jeremy M. Piger, 2003. "The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations," Working Papers 2001-016, Federal Reserve Bank of St. Louis.
    37. Uhlig, Harald, 2007. "Monetary policy in Europe vs the US: what explains the difference?," MPRA Paper 14119, University Library of Munich, Germany.
    38. Committee, Nobel Prize, 2003. "Time-series Econometrics: Cointegration and Autoregressive Conditional Heteroskedasticity," Nobel Prize in Economics documents 2003-1, Nobel Prize Committee.
    39. Yoshito Funashima, 2024. "How does economic policy uncertainty respond to permanent and transitory shocks?," Bulletin of Economic Research, Wiley Blackwell, vol. 76(1), pages 267-282, January.
    40. Whelan, Karl, 2006. "New Evidence on Balanced Growth, Stochastic Trends, and Economic Fluctuations," MPRA Paper 5910, University Library of Munich, Germany.
    41. Maslyuk, Svetlana & Smyth, Russell, 2009. "Non-linear unit root properties of crude oil production," Energy Economics, Elsevier, vol. 31(1), pages 109-118, January.
    42. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.
    43. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
    44. Andrew Mountford & Harald Uhlig, 2005. "What are the Effects of Fiscal Policy Shocks?," SFB 649 Discussion Papers SFB649DP2005-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    45. Don Harding, 2020. "Econometric Foundations of the Great Ratios of Economics," Centre of Policy Studies/IMPACT Centre Working Papers g-300, Victoria University, Centre of Policy Studies/IMPACT Centre.
    46. Issler, Joao Victor & Vahid, Farshid, 2001. "Common cycles and the importance of transitory shocks to macroeconomic aggregates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 449-475, June.
    47. Mr. Philip Barrett & Jonathan J. Adams, 2022. "Shocks to Inflation Expectations," IMF Working Papers 2022/072, International Monetary Fund.
    48. Stan Radchenko & Oleg Korenok, 2004. "The role of permanent and transitory components in business cycle volatility moderation," Econometric Society 2004 North American Summer Meetings 149, Econometric Society.
    49. Timothy Cogley & Desiree Schaan, 1995. "Using consumption to track movements in trend GDP," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue sep1.
    50. Haghani Rizi, Majid & Kishor, N. Kundan, 2017. "The Dynamic Relationship Among the Money Market Mutual Funds, the Commercial Paper Market and the Repo Market," MPRA Paper 83471, University Library of Munich, Germany.
    51. John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
    52. Eo, Yunjong & Morley, James C., 2008. "Likelihood-Based Confidence Sets for the Timing of Structural Breaks," MPRA Paper 10372, University Library of Munich, Germany.
    53. Manju Tripathi & Smita Kashiramka & P. K. Jain, 2018. "Equity Risk Premium in India: Comparative Estimates from Historical Returns, Dividend and Earnings Models," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1_suppl), pages 136-156, April.
    54. Michael Dueker & Andreas Fischer & Robert D. Dittmar, 2002. "Stochastic Capital Depreciation and the Comovement of Hours and Productivity," Working Papers 02.01, Swiss National Bank, Study Center Gerzensee.
    55. Christina D. Romer & David H. Romer, 1994. "What Ends Recessions?," NBER Working Papers 4765, National Bureau of Economic Research, Inc.
    56. Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2001. "Permanent and transitory components of business cycles: their relative importance and dynamic relationship," International Finance Discussion Papers 703, Board of Governors of the Federal Reserve System (U.S.).
    57. Timothy Cogley, 1997. "Evaluating non-structural measures of the business cycle," Economic Review, Federal Reserve Bank of San Francisco, pages 3-21.
    58. M.S.Rafiq, 2006. "Business Cycle Moderation - Good Policies or Good Luck: Evidence and Explanations for the Euro Area," Discussion Paper Series 2006_21, Department of Economics, Loughborough University.
    59. Samad Sarferaz & Florian Eckert, 2019. "Agnostische Schätzung und Zerlegung von Produktionslücken," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, vol. 13(4), pages 27-36, December.
    60. Camilo Granados & Daniel Parra-Amado, 2023. "Estimating the Output Gap After COVID: How to Address Unprecedented Macroeconomic Variations," Borradores de Economia 1249, Banco de la Republica de Colombia.
    61. Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2005. "The dynamic relationship between permanent and transitory components of U.S. business cycles," Working Papers 2001-017, Federal Reserve Bank of St. Louis.
    62. Dobrescu, Emilian, 2007. "Double Conditioned Potential Output," Working Papers of Institute for Economic Forecasting 070701, Institute for Economic Forecasting.
    63. Jank, Stephan, 2012. "Mutual fund flows, expected returns, and the real economy," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3060-3070.
    64. Forni, Mario & Debortoli, Davide & Gambetti, Luca & Sala, Luca, 2020. "Asymmetric Effects of Monetary Policy Easing and Tightening," CEPR Discussion Papers 15005, C.E.P.R. Discussion Papers.
    65. Michael D. Bordo & John V. Duca, 2023. "Money Matters: Broad Divisia Money and the Recovery of Nominal GDP from the COVID-19 Recession," NBER Working Papers 31304, National Bureau of Economic Research, Inc.
    66. Jagjit S. Chadha & Lucio Sarno & Giorgio Valente, 2004. "Monetary Policy Rules, Asset Prices, and Exchange Rates," IMF Staff Papers, Palgrave Macmillan, vol. 51(3), pages 529-552, November.
    67. Ribba, Antonio, 2003. "Permanent-transitory decompositions and traditional measures of core inflation," Economics Letters, Elsevier, vol. 81(1), pages 109-116, October.
    68. Francois De Paul Silatchom, 2017. "VECM and Variance Decomposition: An Application to the Consumption-Wealth Ratio," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(6), pages 188-199, June.
    69. Hyeon-seung Huh & David Kim, 2013. "Do SVAR Models Justify Discarding the Technology Shock-Driven Real Business Cycle Hypothesis?," Working papers 2013rwp-59, Yonsei University, Yonsei Economics Research Institute.
    70. Herrera Hernandez, Jorge, 2004. "Business cycles in Mexico and the United States: Do they share common movements?," Journal of Applied Economics, Universidad del CEMA, vol. 7(2), pages 1-21, November.
    71. Dobrescu, Emilian, 2006. "Macromodel of the Romanian market economy (version 2005)," MPRA Paper 35749, University Library of Munich, Germany.
    72. Paul Conway & David Frame, 2000. "A spectral analysis of New Zealand output gaps using Fourier and wavelet techniques," Reserve Bank of New Zealand Discussion Paper Series DP2000/06, Reserve Bank of New Zealand.
    73. Dean Croushore & Tom Stark, 2003. "A Real-Time Data Set for Macroeconomists: Does the Data Vintage Matter?," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 605-617, August.
    74. Whelan, Karl, 2003. "A Two-Sector Approach to Modeling U.S. NIPA Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(4), pages 627-656, August.
    75. Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2017. "Tracking the slowdown in long-run GDP growth," LSE Research Online Documents on Economics 81869, London School of Economics and Political Science, LSE Library.
    76. Mishra, Vinod & Sharma, Susan & Smyth, Russell, 2009. "Are fluctuations in energy consumption per capita transitory? Evidence from a panel of Pacific Island countries," Energy Policy, Elsevier, vol. 37(6), pages 2318-2326, June.
    77. Ang, Andrew & Piazzesi, Monika & Wei, Min, 2006. "What does the yield curve tell us about GDP growth?," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 359-403.
    78. Liam A. Gallagher & Mark P. Taylor, 2002. "Permanent and Temporary Components of Stock Prices: Evidence from Assessing Macroeconomic Shocks," Southern Economic Journal, John Wiley & Sons, vol. 69(2), pages 345-362, October.
    79. Katuala, Hénock M., 2021. "Frictions financières et Dynamique macroéconomique : Examen des régularités cycliques," Dynare Working Papers 66, CEPREMAP.
    80. Mathias Hoffmann & Wei Liao, 2011. "The Cross-Section of Country News, Decoupling Expectations, and Global Business Cycles," Working Papers 342011, Hong Kong Institute for Monetary Research.
    81. Jun Ma & Mark E. Wohar, 2013. "An Unobserved Components Model that Yields Business and Medium‐Run Cycles," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(7), pages 1351-1373, October.
    82. Michael T. Belongia & Peter N. Ireland, 2017. "The Demand for Divisia Money: Theory and Evidence," Boston College Working Papers in Economics 937, Boston College Department of Economics.
    83. Antonio Ribba, 2011. "On some neglected implications of the Fisher effect," Empirical Economics, Springer, vol. 40(2), pages 451-470, April.
    84. Spencer D. Krane, 2006. "How professional forecasters view shocks to GDP," Working Paper Series WP-06-19, Federal Reserve Bank of Chicago.
    85. Tokuo Iwaisako & Keiko Okada, 2010. "Understanding the Decline in Japan's Saving Rate in the New Millennium," Macroeconomics Working Papers 23113, East Asian Bureau of Economic Research.
    86. Charlotte Ostergaard & Bent E. Sorensen & Oved Yosha, 2000. "Consumption and aggregate constraints : evidence from U.S. states and Canadian provinces," Research Working Paper RWP 00-04, Federal Reserve Bank of Kansas City.
    87. Kumar Narayan, Paresh & Smyth, Russell, 2007. "Are shocks to energy consumption permanent or temporary? Evidence from 182 countries," Energy Policy, Elsevier, vol. 35(1), pages 333-341, January.
    88. Hamburg, Britta & Hoffmann, Mathias & Keller, Joachim, 2005. "Consumption, wealth and business cycles: why is Germany different?," Discussion Paper Series 1: Economic Studies 2005,16, Deutsche Bundesbank.
    89. Pierre St-Amant & Simon van Norden, 1997. "Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada," Technical Reports 79, Bank of Canada.
    90. Mario J. Crucini & Mototsugu Shintani, 2010. "Measuring business cycles by saving for a rainy day," Globalization Institute Working Papers 50, Federal Reserve Bank of Dallas.
    91. Argia M. Sbordone, 1993. "Cyclical productivity in a model of labor hoarding," Working Paper Series, Macroeconomic Issues 93-20, Federal Reserve Bank of Chicago.
    92. Stijn Van Nieuwerburgh & Hanno Lustig, 2007. "The Wealth-Consumption Ratio: A Litmus Test for Consumption-Based Asset Pricing Models," 2007 Meeting Papers 398, Society for Economic Dynamics.
    93. John H. Cochrane & Monika Piazzesi, 2002. "Bond Risk Premia," NBER Working Papers 9178, National Bureau of Economic Research, Inc.
    94. Murasawa, Yasutomo, 2019. "Bayesian multivariate Beveridge--Nelson decomposition of I(1) and I(2) series with cointegration," MPRA Paper 91979, University Library of Munich, Germany.
    95. Cargill, Thomas F. & Parker, Elliott, 2004. "Price deflation and consumption: central bank policy and Japan's economic and financial stagnation," Journal of Asian Economics, Elsevier, vol. 15(3), pages 493-506, June.
    96. Harald Uhlig, 2007. "Monetary Policy in Europe versus the United States: What Explains the Difference?," NBER Chapters, in: International Dimensions of Monetary Policy, pages 489-533, National Bureau of Economic Research, Inc.
    97. David Dupuis & David Tessier, 2004. "The U.S. Stock Market and Fundamentals: A Historical Decomposition," Money Macro and Finance (MMF) Research Group Conference 2004 73, Money Macro and Finance Research Group.
    98. Zivot, Eric, 2000. "The Power Of Single Equation Tests For Cointegration When The Cointegrating Vector Is Prespecified," Econometric Theory, Cambridge University Press, vol. 16(3), pages 407-439, June.
    99. Gallagher, Liam A. & Taylor, Mark P., 2000. "Measuring the temporary component of stock prices: robust multivariate analysis," Economics Letters, Elsevier, vol. 67(2), pages 193-200, May.
    100. Uhlig, H.F.H.V.S., 2001. "Did the FED Surprise the Markets in 2001? A Case Study for Vars with Sign Restrictions," Other publications TiSEM 83b97cda-fa7d-47db-8c40-d, Tilburg University, School of Economics and Management.
    101. Xiao, Zhijie, 2009. "Quantile cointegrating regression," Journal of Econometrics, Elsevier, vol. 150(2), pages 248-260, June.
    102. Oleg Korenok & Stanislav Radchenko, 2004. "Monetary Policy Effect on the Business Cycle Fluctuations: Output vs. Index Measures of the Cycle," Macroeconomics 0409015, University Library of Munich, Germany, revised 20 Sep 2004.
    103. Mario J. Crucini & Mototsugu Shintani, 2015. "Measuring international business cycles by saving for a rainy day," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 48(4), pages 1266-1290, November.
    104. Gabriel Rodríguez & Carlos Guevara, 2018. "The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach," Documentos de Trabajo / Working Papers 2018-467, Departamento de Economía - Pontificia Universidad Católica del Perú.
    105. Antonella Cavallo & Antonio Ribba, 2012. "Euro area inflation as a predictor of national inflation rates," Center for Economic Research (RECent) 082, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    106. Weder Mark, 2006. "Some Observations on the Great Depression in Germany," German Economic Review, De Gruyter, vol. 7(1), pages 113-133, February.
    107. Gregory, Allan W. & Smith, Gregor W., 1996. "Measuring business cycles with business-cycle models," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 1007-1025.
    108. Evan F. Koenig, 1996. "Capacity utilization as a real-time predictor of manufacturing output," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q III, pages 16-23.
    109. Anastasiou, Dimitris & Ftiti, Zied & Louhichi, Waël & Tsouknidis, Dimitris, 2023. "Household deposits and consumer sentiment expectations: Evidence from Eurozone," Journal of International Money and Finance, Elsevier, vol. 131(C).
    110. Irina Zviadadze, 2014. "Term-structure of consumption risk premia in the cross-section of currency returns," 2014 Meeting Papers 1075, Society for Economic Dynamics.
    111. Jacek Rothert, 2012. "Productivity or Demand? Identifying Sources of Fluctuations in Small Open Economies," 2012 Meeting Papers 187, Society for Economic Dynamics.
    112. Won Seo, Sung & Jin Chung, Hae, 2017. "Capital structure and corporate reaction to negative stock return shocks," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 292-312.
    113. Zsolt Darvas & Gábor Vadas, 2003. "Univariate Potential Output Estimations for Hungary," MNB Working Papers 2003/8, Magyar Nemzeti Bank (Central Bank of Hungary).
    114. Petrella, Ivan & Drechsel, Thomas & Antolin-Diaz, Juan, 2014. "Following the Trend: Tracking GDP when Long-Run Growth is Uncertain," CEPR Discussion Papers 10272, C.E.P.R. Discussion Papers.
    115. Olivier Coibion & Yuriy Gorodnichenko & Mauricio Ulate, 2017. "The Cyclical Sensitivity in Estimates of Potential Output," NBER Working Papers 23580, National Bureau of Economic Research, Inc.
    116. Shively, Philip A., 2004. "The size and dynamic effect of aggregate-demand and aggregate-supply disturbances in expansionary and contractionary regimes," Journal of Macroeconomics, Elsevier, vol. 26(1), pages 83-99, March.
    117. Olivier Jeanne, 1997. "Generating Real Persistent Effects of Monetary Shocks: How Much Nominal Rigidity Do We Really Need?," NBER Working Papers 6258, National Bureau of Economic Research, Inc.
    118. Jan R. Kim & Keunsuk Chung, 2016. "House prices and business cycles: The case of the UK," International Area Studies Review, Center for International Area Studies, Hankuk University of Foreign Studies, vol. 19(2), pages 131-146, June.
    119. Robert G. King & Mark W. Watson, 1995. "Money, prices, interest rates and the business cycle," Working Paper Series, Macroeconomic Issues 95-10, Federal Reserve Bank of Chicago.
    120. Riccardo Corradini, 2005. "An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle," Econometrics 0509009, University Library of Munich, Germany.
    121. Gillman M. & Siklos & P.L.Silver & J.L., 1996. "Money Velocity with Costly Credit," Department of Economics - Working Papers Series 515, The University of Melbourne.
    122. Andrew Vivian, 2005. "The Equity Premium: 101 years of Empirical Evidence from the UK," Money Macro and Finance (MMF) Research Group Conference 2005 92, Money Macro and Finance Research Group.
    123. Duy, Timothy A. & Thoma, Mark A., 1998. "Modeling and Forecasting Cointegrated Variables: Some Practical Experience," Journal of Economics and Business, Elsevier, vol. 50(3), pages 291-307, May.
    124. Hoffmann, Mathias & MacDonald, Ronald, 2009. "Real exchange rates and real interest rate differentials: A present value interpretation," European Economic Review, Elsevier, vol. 53(8), pages 952-970, November.
    125. Peter Hecht & Tuomo Vuolteenaho, 2005. "Explaining Returns with Cash-Flow Proxies," NBER Working Papers 11169, National Bureau of Economic Research, Inc.
    126. Jun Ma, 2013. "Long‐Run Risk and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 121-145, February.
    127. 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.
    128. Jonathan J Adams, 2021. "Firestorm: Multiplicity in Models with Full Information," Working Papers 001006, University of Florida, Department of Economics.
    129. Yongsung Chang & Joao Gomes & Frank Schorfheide, 2000. "Persistence," Econometric Society World Congress 2000 Contributed Papers 1632, Econometric Society.
    130. Chan, Wai-Sum, 2022. "On temporal aggregation of some nonlinear time-series models," Econometrics and Statistics, Elsevier, vol. 21(C), pages 38-49.
    131. Chen, Sichong, 2012. "The predictability of aggregate Japanese stock returns: Implications of dividend yield," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 284-304.
    132. Willie Lahari, 2010. "Permanent and Transitory Shocks among Pacific Island Economies - Prospects for a Pacific Islands Currency Union," Working Papers 1001, University of Otago, Department of Economics, revised Feb 2010.
    133. John H. Cochrane, 1994. "Shocks," NBER Working Papers 4698, National Bureau of Economic Research, Inc.
    134. Franco Neto, Afonso Arinos de Mello & Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2006. "The welfare cost of macroeconomic uncertainty in the post-war period," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 624, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    135. N. Kundan Kishor & Evan F. Koenig, 2005. "VAR estimation and forecasting when data are subject to revision," Working Papers 0501, Federal Reserve Bank of Dallas.
    136. Sewaid, Ahmed & Parker, Simon C. & Kaakeh, Abdulkader, 2021. "Explaining serial crowdfunders' dynamic fundraising performance," Journal of Business Venturing, Elsevier, vol. 36(4).
    137. Nicolo Maffei-Faccioli, 2020. "Identifying the Sources of the Slowdown in Growth: Demand vs. Supply," 2020 Papers pma2978, Job Market Papers.
    138. Timothy Cogley, "undated". "How Fast Can the New Economy Grow? A Bayesian Analysis of the Evolution of Trend Growth," Working Papers 2133301, Department of Economics, W. P. Carey School of Business, Arizona State University.
    139. Davide Debortoli & Mario Forni & Luca Gambetti & Luca Sala, 2020. "Asymmetric monetary policy tradeoffs," Economics Working Papers 1742, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2023.
    140. Luca Benati, 2001. "Band-pass filtering, cointegration, and business cycle analysis," Bank of England working papers 142, Bank of England.
    141. Saccal, Alessandro, 2021. "Confidence and economic activity in Europe," MPRA Paper 108812, University Library of Munich, Germany.
    142. Enzo Weber, 2011. "Analyzing U.S. Output and the Great Moderation by Simultaneous Unobserved Components," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(8), pages 1579-1597, December.
    143. Alfonso Irarrazabal & Juan Carlos Parra-Alvarez, 2015. "Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis," CREATES Research Papers 2015-08, Department of Economics and Business Economics, Aarhus University.
    144. Priyo, Asad Karim Khan, 2009. "Impact of the Exchange Rate Regime Change on the Value of Bangladesh Currency," MPRA Paper 117987, University Library of Munich, Germany.
    145. Alain Guay & Pierre St-Amant, 1996. "Do Mechanical Filters Provide a Good Approximation of Business Cycles?," Technical Reports 78, Bank of Canada.
    146. Attfield, Clifford L. F. & Silverstone, Brian, 1998. "Okun's Law, Cointegration and Gap Variables," Journal of Macroeconomics, Elsevier, vol. 20(3), pages 625-637, July.
    147. Monic Jiayin Sun, 2007. "Disclosing Multiple Product Attributes," Boston University - Department of Economics - Working Papers Series WP2007-031, Boston University - Department of Economics.
    148. Jahyeong Koo & Paul A. Johnson, 2004. "Feedback between US and UK Prices: a Frequency Domain Analysis," Economics Bulletin, AccessEcon, vol. 6(17), pages 1-9.
    149. Luca Benati, 2015. "The Long-Run Phillips Curve: A Structural VAR Investigation," 2015 Meeting Papers 929, Society for Economic Dynamics.
    150. Benati, Luca, 2020. "Money velocity and the natural rate of interest," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 117-134.
    151. Irarrazabal, Alfonso A. & Ma, Lin, 2018. "The Effect of Income Shocks on the Oil Price," Working Paper Series 9-2018, Norwegian University of Life Sciences, School of Economics and Business.
    152. Hamidi Sahneh, Mehdi, 2017. "News, Noise, and Tests of Present Value Models," MPRA Paper 82715, University Library of Munich, Germany.
    153. Lau, Sau-Him Paul, 2008. "Using an error-correction model to test whether endogenous long-run growth exists," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 648-676, February.
    154. Chen, Jie, 2006. "Re-evaluating the association between housing wealth and aggregate consumption: New evidence from Sweden," Journal of Housing Economics, Elsevier, vol. 15(4), pages 321-348, December.
    155. Mathias Hoffmann, 2006. "Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns," CESifo Working Paper Series 1712, CESifo.
    156. Sierimo, Carolina & Virén, Matti, 1995. "Financial factors and the macroeconomy," Bank of Finland Research Discussion Papers 34/1995, Bank of Finland.
    157. Julio J. Rotemberg & Michael Woodford, 1994. "Is the Business Cycles a Necessary Consequence of Stochastic Growth?," NBER Working Papers 4650, National Bureau of Economic Research, Inc.
    158. Issler, João Victor & Rodrigues, Claudia & Burjack, Rafael, 2014. "Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 310-335.
    159. Osmani Teixeira de Carvalho Guillény & João Victor Issler & Afonso Arinos de Mello Franco-Neto, 2012. "On the Welfare Costs of Business-Cycle Fluctuations and Economic-Growth Variation in the 20th Century," Working Papers Series 284, Central Bank of Brazil, Research Department.
    160. James C. Morley, 2007. "The Slow Adjustment of Aggregate Consumption to Permanent Income," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 615-638, March.
    161. John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
    162. Kivilcim Metin-Ozcan & Ebru Voyvoda & A. Erinc Yeldan, 2000. "Dynamics of Macroeconomic Adjustment in a Globalized Developing Economy: Growth, Accumulation and Distribution, Turkey 1969-1998," Working Papers 2004, Economic Research Forum, revised 02 Mar 2000.
    163. Ritwik Banerjee & Priyama Majumdar, 2023. "Exponential growth bias in the prediction of COVID‐19 spread and economic expectation," Economica, London School of Economics and Political Science, vol. 90(358), pages 653-689, April.
    164. Clifford L.F. Attfield, 2003. "Structural Breaks and Permanent Trends," Bristol Economics Discussion Papers 03/545, School of Economics, University of Bristol, UK.
    165. Emara, Noha & Ma, Jinpeng, 2019. "An Analysis of the Seasonal Cycle and the Business Cycle," MPRA Paper 99310, University Library of Munich, Germany.
    166. Geoffrey J. Warren, 2008. "Implications for Asset Pricing Puzzles of a Roll‐over Assumption for the Risk‐Free Asset," International Review of Finance, International Review of Finance Ltd., vol. 8(3‐4), pages 125-157, September.
    167. Nazliben, K. Korhan & Rodríguez, Juan Carlos, 2018. "Permanent shocks, signal extraction, and portfolio selection," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 47-68.
    168. Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2005. "Consumption, Wealth and Business Cycles in Germany," CESifo Working Paper Series 1443, CESifo.
    169. Michael Kiley, 2010. "Output gaps," 2010 Meeting Papers 266, Society for Economic Dynamics.
    170. Machokoto, Michael & Tanveer, Umair & Ishaq, Shamaila & Areneke, Geofry, 2021. "Decreasing investment-cash flow sensitivity: Further UK evidence," Finance Research Letters, Elsevier, vol. 38(C).
    171. Kiley, Michael T., 1998. "Predicting Tax Rate Changes: Insights from the Permanent Income Hypothesis," Journal of Macroeconomics, Elsevier, vol. 20(1), pages 153-167, January.
    172. Nikolsko-Rzhevskyy, Alex, 2008. "Monetary Policy Evaluation in Real Time: Forward-Looking Taylor Rules Without Forward-Looking Data," MPRA Paper 11352, University Library of Munich, Germany.
    173. Taylor Mark P. & Sarno Lucio, 2001. "Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(3), pages 1-26, October.
    174. Cliff L. F. Attfield & Jonathan R. W. Temple, 2006. "Balanced growth and the great ratios: new evidence for the US and UK," Centre for Growth and Business Cycle Research Discussion Paper Series 75, Economics, The University of Manchester.
    175. D. Ventosa-Santaulària, 2009. "Spurious Regression," Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.
    176. Narayan, Paresh Kumar & Narayan, Seema & Smyth, Russell, 2008. "Are oil shocks permanent or temporary? Panel data evidence from crude oil and NGL production in 60 countries," Energy Economics, Elsevier, vol. 30(3), pages 919-936, May.
    177. Polbin, Andrey & Fokin, Nikita, 2017. "К Вопросу О Долгосрочной Взаимосвязи Реального Потребления Домохозяйств С Реальным Доходом В Рф [A note on cointegration relationship between real consumption and real income in Russia]," MPRA Paper 82451, University Library of Munich, Germany, revised Nov 2017.
    178. Nalewaik, Jeremy J., 2006. "Current consumption and future income growth: Synthetic panel evidence," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 2239-2266, November.
    179. Dong He & Wei Liao & Tommy Wu, 2014. "Hong Kong's Growth Synchronisation with China and the U.S.: A Trend and Cycle Analysis," Working Papers 152014, Hong Kong Institute for Monetary Research.
    180. Ghoshray, Atanu & Johnson, Ben, 2010. "Trends in world energy prices," Energy Economics, Elsevier, vol. 32(5), pages 1147-1156, September.
    181. Glenn Magerman & Karolien De Bruyne & Emmanuel Dhyne & Jan Van Hove, 2016. "Heterogeneous firms and the micro origins of aggregate fluctuations," Working Paper Research 312, National Bank of Belgium.
    182. Eo, Yunjong & Morley, James, 2011. "Likelihood-Ratio-Based Confidence Sets for the Timing of Structural Breaks," Working Papers 2011-07, University of Sydney, School of Economics, revised Feb 2014.
    183. Jorge Herrera Hernández, 2004. "Business cycles in Mexico and the United States: Do they share common movements?," Journal of Applied Economics, Universidad del CEMA, vol. 7, pages 303-323, November.
    184. Cogley, Timothy, 2001. "Estimating and testing rational expectations models when the trend specification is uncertain," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1485-1525, October.
    185. David Dupuis & David Tessier, 2003. "The U.S. Stock Market and Fundamentals: A Historical Decomposition," Staff Working Papers 03-20, Bank of Canada.
    186. Surajit Deb, 2003. "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Working papers 115, Centre for Development Economics, Delhi School of Economics.
    187. Philip A. Shively, 2001. "Trend-stationary GNP: evidence from a new exact pointwise most powerful invariant unit root test," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 537-551.
    188. Almeida, Caio & Brandao, Diego, 2019. "Measuring Long Run Risks for Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 39(1), July.
    189. Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 120-130, January.
    190. Herrera Hernandez, Jorge, 2004. "Business cycles in Mexico and the United States: Do they share common movements?," Journal of Applied Economics, Universidad del CEMA, vol. 7(2), pages 1-21, November.
    191. Russell Smyth, 2012. "Are fluctuations in energy variables permanent or transitory? A survey of the literature on the integration properties of energy consumption and production," Monash Economics Working Papers 04-12, Monash University, Department of Economics.
    192. Jie Chen & Feng Guo & Aiyong Zhu, 2009. "Housing Wealth, Financial Wealth and Consumption in China," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 17(3), pages 57-74, May.
    193. Dvorkin, Maximiliano & Sánchez, Juan M. & Sapriza, Horacio & Yurdagul, Emircan, 2020. "News, sovereign debt maturity, and default risk," Journal of International Economics, Elsevier, vol. 126(C).
    194. René Lalonde & Jennifer Page & Pierre St-Amant, 1998. "Une nouvelle méthode d'estimation de l'écart de production et son application aux États-Unis, au Canada et à l'Allemagne," Staff Working Papers 98-21, Bank of Canada.
    195. James M. Poterba & Andrew A. Samwick, 1995. "Stock Ownership Patterns, Stock Market Fluctuations, and Consumption," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 26(2), pages 295-372.
    196. Chen, Xiaohong & Xiao, Zhijie & Wang, Bo, 2022. "Copula-based time series with filtered nonstationarity," Journal of Econometrics, Elsevier, vol. 228(1), pages 127-155.
    197. Güneş Kamber & Benjamin Wong, 2018. "Global factors and trend inflation," BIS Working Papers 688, Bank for International Settlements.
    198. Florian Eckert & Samad Sarferaz, 2019. "Agnostic Output Gap Estimation and Decomposition in Large Cross-Sections," KOF Working papers 19-467, KOF Swiss Economic Institute, ETH Zurich.
    199. Gradzewicz, Michal & Kolasa, Marcin, 2004. "Estimating the output gap in the Polish economy: the VECM approach," MPRA Paper 28227, University Library of Munich, Germany.
    200. Saccal, Alessandro, 2023. "A role for confidence: volition regimes and news," MPRA Paper 117484, University Library of Munich, Germany.
    201. Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Universite de Montreal, Departement de sciences economiques.
    202. Rangvid, Jesper, 2006. "Output and expected returns," Journal of Financial Economics, Elsevier, vol. 81(3), pages 595-624, September.
    203. Luca Benati, 2017. "Cointegration Tests and the Classical Dichotomy," Diskussionsschriften dp1704, Universitaet Bern, Departement Volkswirtschaft.
    204. Márcio Antônio Salvato & João Victor Issler & Angelo Mont'alverne Duarte, 2005. "Are Business Cycles All Alike In Europe?," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] 031, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    205. Fiona Atkins, 2005. "Financial Crises and Money Demand in Jamaica," Birkbeck Working Papers in Economics and Finance 0512, Birkbeck, Department of Economics, Mathematics & Statistics.
    206. Remzi Baris Tercioglu, 2020. "A sectoral approach to measuring output gap: Evidence from 20 US sectors over 1948-2019," Working Papers 2012, New School for Social Research, Department of Economics, revised Jun 2021.
    207. Luca Benati & Peter N. Ireland, 2017. "Money-Multiplier Shocks," Boston College Working Papers in Economics 933, Boston College Department of Economics.
    208. Luca Benati, 2020. "Leaning Against House Prices: A Structural VAR Investigation," Diskussionsschriften dp2020, Universitaet Bern, Departement Volkswirtschaft.
    209. Velimir Šonje & Igeta Vrbanc, 2000. "Measuring the Similarities of Economic Developments in Central Europe: A Correlation between the Business Cycles of Germany, Hungary, the Czech Republic and Croatia," Working Papers 3, The Croatian National Bank, Croatia.
    210. Fisher, Lance A. & Huh, Hyeon-seung & Tallman, Ellis W., 2003. "Permanent income and transitory variation in investment and output," Journal of Macroeconomics, Elsevier, vol. 25(2), pages 149-168, June.
    211. Emilian Dobrescu, 2006. "Integration of Macroeconomic Behavioural Relationships and the Input-output Block (Romanian Modelling Experience)," EcoMod2006 272100018, EcoMod.
    212. Lee, Bong-Soo, 1996. "Comovements of earnings, dividends, and stock prices," Journal of Empirical Finance, Elsevier, vol. 3(4), pages 327-346, December.
    213. John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," Harvard Institute of Economic Research Working Papers 1763, Harvard - Institute of Economic Research.
    214. Nicolò Maffei-Faccioli, 2021. "Identifying the sources of the slowdown in growth: Demand vs. supply," Working Paper 2021/9, Norges Bank.
    215. Dahl, Roy Endré & Lorentzen, Sindre & Oglend, Atle & Osmundsen, Petter, 2017. "Pro-cyclical petroleum investments and cost overruns in Norway," Energy Policy, Elsevier, vol. 100(C), pages 68-78.
    216. Mr. Jiaqian Chen & Lucyna Gornicka, 2020. "Measuring Output Gap: Is It Worth Your Time?," IMF Working Papers 2020/024, International Monetary Fund.
    217. Kim, Chang-Jin, 2008. "Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984?," Journal of Econometrics, Elsevier, vol. 146(2), pages 227-240, October.
    218. Attfield, Clifford & Temple, Jonathan, 2004. "Measuring Trend Output: How Useful Are the Great Ratios?," CEPR Discussion Papers 4796, C.E.P.R. Discussion Papers.
    219. Ma, Lin, 2018. "Importance of Demand and Supply Shocks for Oil Price Variations," Working Paper Series 10-2018, Norwegian University of Life Sciences, School of Economics and Business.
    220. Webster, Mort & Cho, Cheol-Hung, 2006. "Analysis of variability and correlation in long-term economic growth rates," Energy Economics, Elsevier, vol. 28(5-6), pages 653-666, November.
    221. Paul Beaudry & Fabrice Collard, 2006. "Gold rush fever in business cycles," 2006 Meeting Papers 8, Society for Economic Dynamics.
    222. Sen Guo & Haoran Zhao & Huiru Zhao, 2017. "A New Hybrid Wind Power Forecaster Using the Beveridge-Nelson Decomposition Method and a Relevance Vector Machine Optimized by the Ant Lion Optimizer," Energies, MDPI, vol. 10(7), pages 1-20, July.
    223. Jeffrey R. Campbell & Spencer D. Krane, 2005. "Consumption-based macroeconomic forecasting," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 29(Q IV), pages 52-70.
    224. L’Huillier, Jean-Paul & Yoo, Donghoon, 2017. "Bad news in the Great Depression, the Great Recession, and other U.S. recessions: A comparative study," Journal of Economic Dynamics and Control, Elsevier, vol. 81(C), pages 79-98.
    225. Demery, David & Duck, Nigel W., 2000. "Asymmetric Effects of Aggregate Demand: An Empirical Test of a Menu-Cost Model," Journal of Macroeconomics, Elsevier, vol. 22(1), pages 29-51, January.
    226. Juan Ángel Lafuente & Nuria Petit & Jesús Ruiz & Pedro Serrano, 2020. "Dissecting interbank risk using basis swap spreads," The World Economy, Wiley Blackwell, vol. 43(3), pages 729-757, March.
    227. Benati, Luca, 2012. "Estimating the financial crisis’ impact on potential output," Economics Letters, Elsevier, vol. 114(1), pages 113-119.
    228. Clegg, Matthew & Krauss, Christopher & Rende, Jonas, 2017. "partialCI: An R package for the analysis of partially cointegrated time series," FAU Discussion Papers in Economics 05/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    229. John Keating, 2004. "Interpreting Permanent and Transitory Shocks to Output When Aggregate Demand May Not Be Neutral in the Long-run," Econometric Society 2004 North American Summer Meetings 608, Econometric Society.
    230. Michael J. Dueker & Charles R. Nelson, 2003. "Business cycle detrending of macroeconomic data via a latent business cycle index," Working Papers 2002-025, Federal Reserve Bank of St. Louis.
    231. Martin Schmidt, 2003. "Money and prices: evidence from the G7 countries," Applied Economics, Taylor & Francis Journals, vol. 35(17), pages 1799-1809.
    232. Perli, Roberto, 1998. "Increasing returns, home production and persistence of business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 22(4), pages 519-543, April.
    233. Norman J. Morin, 2006. "Likelihood ratio tests on cointegrating vectors, disequilibrium adjustment vectors, and their orthogonal complements," Finance and Economics Discussion Series 2006-21, Board of Governors of the Federal Reserve System (U.S.).
    234. Hanno Lustig, 2005. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 352, UCLA Department of Economics.
    235. Andrew Vivian, 2007. "The UK Equity Premium: 1901–2004," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(9‐10), pages 1496-1527, November.
    236. Mario J. Crucini, 2006. "International Real Business Cycles," Vanderbilt University Department of Economics Working Papers 0617, Vanderbilt University Department of Economics.
    237. Kegiang Hou & Alok Johri, 2013. "Intangible Capital and the Excess Volatility of Aggregate Profits," Department of Economics Working Papers 2013-04, McMaster University.
    238. Cook, David, 2001. "Time to enter and business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 25(8), pages 1241-1261, August.
    239. Tu, Yundong & Liang, Han-Ying & Wang, Qiying, 2022. "Nonparametric inference for quantile cointegrations with stationary covariates," Journal of Econometrics, Elsevier, vol. 230(2), pages 453-482.
    240. Martin Lettau & Sydney C. Ludvigson & Charles Steindel, 2002. "Monetary policy transmission through the consumption-wealth channel," Economic Policy Review, Federal Reserve Bank of New York, vol. 8(May), pages 117-133.
    241. Hossain, Ferdaus, 1995. "Current account determination in the intertemporal framework: an empirical analysis," ISU General Staff Papers 1995010108000011939, Iowa State University, Department of Economics.
    242. Dmitry Plotnikov, 2013. "Hysteresis in Unemployment and Jobless Recoveries," 2013 Meeting Papers 208, Society for Economic Dynamics.
    243. Bai, Xiwen & Lam, Jasmine Siu Lee & Jakher, Astha, 2021. "Shipping sentiment and the dry bulk shipping freight market: New evidence from newspaper coverage," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 155(C).
    244. Sevgi Coskun, 2020. "Technology Shocks and Non-stationary Hours in Emerging Countries and DSVAR," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 14(2), pages 129-163, May.
    245. Zviadadze, Irina, 2018. "Term Structure of Risk in Expected Returns," CEPR Discussion Papers 13414, C.E.P.R. Discussion Papers.
    246. Robert B. Barsky & Eric R. Sims, 2009. "News Shocks," NBER Working Papers 15312, National Bureau of Economic Research, Inc.
    247. Čeh Časni Anita & Dumičić Ksenija & Tica Josip, 2016. "The Panel VAR Approach to Modelling the Housing Wealth Effect: Evidence from selected European post-transition economies," Naše gospodarstvo/Our economy, Sciendo, vol. 62(4), pages 23-32, December.
    248. MABROUKI, Mohamed, 2002. "Le résidu de Solow de l’économie tunisienne : chocs technologiques ou taux d’utilisation des capacités de production ? [The Solow residue for Tunisia: technology shocks or factor utilization?]," MPRA Paper 82030, University Library of Munich, Germany.
    249. Alexander Murray, 2017. "What Explains the Post-2004 U.S.Productivity Slowdown?," CSLS Research Reports 2017-05, Centre for the Study of Living Standards.
    250. Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2003. "On the welfare costs of business cycles in the 20th century," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 481, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    251. Alain Guay & Pierre St-Amant, 1997. "Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles?," Cahiers de recherche CREFE / CREFE Working Papers 53, CREFE, Université du Québec à Montréal.
    252. Mathias Hoffmann, 2014. "The Consumption–Income Ratio, Entrepreneurial Risk, and the U.S. Stock Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(6), pages 1259-1292, September.
    253. Kilian, Lutz, 2011. "Structural Vector Autoregressions," CEPR Discussion Papers 8515, C.E.P.R. Discussion Papers.
    254. Christian Hertrich, 2013. "Asset Allocation Considerations for Pension Insurance Funds," Springer Books, Springer, edition 127, number 978-3-658-02167-2, October.
    255. Serrano, Pedro & Petit, Nuria & Lafuente Luengo, Juan Ángel, 2017. "Dissecting interbank risk," DEE - Working Papers. Business Economics. WB 24553, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    256. Koenig, Evan F., 1996. "Long-term interest rates and the recent weakness in M2," Journal of Economics and Business, Elsevier, vol. 48(2), pages 81-101, May.
    257. Luca Benati & Thomas Lubik, 2021. "Searching for Hysteresis," Diskussionsschriften dp2107, Universitaet Bern, Departement Volkswirtschaft.
    258. Jonathan Temple & Cliff Attfield, 2004. "Measuring trend growth: how useful are the great ratios?," Money Macro and Finance (MMF) Research Group Conference 2003 101, Money Macro and Finance Research Group.
    259. Ribba, Antonio, 1997. "A note on the equivalence of long-run and short-run identifying restrictions in cointegrated systems," Economics Letters, Elsevier, vol. 56(3), pages 273-276, November.
    260. Koenig, Evan F., 1996. "Interest rates and the recent weakness in M2: An extension to the P* model of inflation," Journal of Economics and Business, Elsevier, vol. 48(5), pages 487-498, December.
    261. Fachat, Christian, 2000. "Agency Costs, Net Worth, and the Transmission Mechanism of Monetary Policy," Bonn Econ Discussion Papers 2/2000, University of Bonn, Bonn Graduate School of Economics (BGSE).
    262. Martin B. Schmidt, 2000. "The Dynamic Behavior of Wages and Prices: Cointegration Tests within a Large Macroeconomic System," Southern Economic Journal, John Wiley & Sons, vol. 67(1), pages 123-138, July.
    263. Chantal Dupasquier & Alain Guay & Pierre St-Amant, 1997. "A Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap," Staff Working Papers 97-5, Bank of Canada.

  39. Cochrane, John H, 1992. "Explaining the Variance of Price-Dividend Ratios," The Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 243-280.
    See citations under working paper version above.
  40. Cochrane, John H., 1991. "A critique of the application of unit root tests," Journal of Economic Dynamics and Control, Elsevier, vol. 15(2), pages 275-284, April.

    Cited by:

    1. Broersma, Lourens & Dijk, Jouke van, 2002. "How do Dutch regional labour markets adjust to demand shocks?," Research Report 02D07, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    2. Devereux, John & Dwyer, Gerald P., 2016. "What determines output losses after banking crises?," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 69-94.
    3. Williams Corey J. M., 2023. "Unraveling Producer Price Inflation Pass-Through: Quantification, Structural Breaks, and Causal Direction," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 17(1), pages 1-16, January.
    4. Bierens, H.J. & Broersma, L., 1991. "The relation between unemployment and interest rate : some international evidence," Serie Research Memoranda 0112, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    5. Cribari-Neto, Francisco, 1996. "On time series econometrics," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(Supplemen), pages 37-60.
    6. Daniel L. Tortorice, 2014. "Equity Return Predictability, Time Varying Volatility and Learning About the Permanence of Shocks," Working Papers 70, Brandeis University, Department of Economics and International Business School.
    7. Chen, Show-Lin & Wu, Jyh-Lin, 2000. "A Re-Examination of Purchasing Power Parity in Japan and Taiwan," Journal of Macroeconomics, Elsevier, vol. 22(2), pages 271-284, April.
    8. Pablo M. Pincheira & Carlos A. Medel, 2016. "Forecasting with a Random Walk," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(6), pages 539-564, December.
    9. DUFOUR, Jean-Marie, 2001. "Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie," Cahiers de recherche 2001-15, Universite de Montreal, Departement de sciences economiques.
    10. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO.
    11. Al-Zoubi, Haitham A., 2008. "The long swings in the spot exchange rates and the complex unit roots hypothesis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(3), pages 236-244, July.
    12. Jean-Marie Dufour, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," CIRANO Working Papers 2003s-49, CIRANO.
    13. Andrea Bastianin & Alessandro Lanza & Matteo Manera, 2016. "Economic Impacts of El Niño Southern Oscillation: Evidence from the Colombian Coffee Market," Working Papers 2016.73, Fondazione Eni Enrico Mattei.
    14. Wu, Jyh-Lin, 1999. "A re-examination of the exchange rate-interest differential relationship: evidence from Germany and Japan," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 319-336, February.
    15. Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
    16. Augusto Delgado & Gabriel Rodríguez, 2015. "Structural Breaks and Convergence in the Regions of Peru: 1970–2010," Review of Development Economics, Wiley Blackwell, vol. 19(2), pages 346-357, May.
    17. Natalia Bailey & Liudas Giraitis, 2015. "Spectral Approach to Parameter-Free Unit Root Testing," Working Papers 746, Queen Mary University of London, School of Economics and Finance.
    18. Basma Bekdache & Christopher F. Baum, 2000. "A re-evaluation of empirical tests of the Fisher hypothesis," Boston College Working Papers in Economics 472, Boston College Department of Economics.
    19. Carlo Fezzi & Derek Bunn, 2010. "Structural Analysis of Electricity Demand and Supply Interactions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(6), pages 827-856, December.
    20. Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 0074, Department of Economics at the University of Washington.
    21. Philip N. Jefferson, 1997. "'Home' base and monetary base rules: elementary evidence from the 1980s and 1990s," Finance and Economics Discussion Series 1997-21, Board of Governors of the Federal Reserve System (U.S.).
    22. Alain Hecq & Luca Margaritella & Stephan Smeekes, 2023. "Inference in Non-stationary High-Dimensional VARs," Papers 2302.01434, arXiv.org, revised Sep 2023.
    23. Mark, Nelson C. & Choi, Doo-Yull, 1997. "Real exchange-rate prediction over long horizons," Journal of International Economics, Elsevier, vol. 43(1-2), pages 29-60, August.
    24. Tang, Jenn-Hong, 2007. "Gross job flows and technology shocks in nondurable and durable goods sectors," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 326-354, June.
    25. M.S.Rafiq, 2006. "Business Cycle Moderation - Good Policies or Good Luck: Evidence and Explanations for the Euro Area," Discussion Paper Series 2006_21, Department of Economics, Loughborough University.
    26. Kevin J. Lansing & Jun Ma, 2014. "Explaining Exchange Rate Anomalies in a Model with Taylor-Rule Fundamentals and Consistent Expectations," Working Paper Series 2014-22, Federal Reserve Bank of San Francisco.
    27. Lionel Page, 2012. "‘It ain’t over till it's over.’ Yogi Berra bias on prediction markets," Applied Economics, Taylor & Francis Journals, vol. 44(1), pages 81-92, January.
    28. Paul Beaudry & Franck Portier, 2011. "A Gains from Trade Perspective on Macroeconomic Fluctuations," NBER Working Papers 17291, National Bureau of Economic Research, Inc.
    29. Ivan Hajdukovic, 2022. "Transmission mechanisms of conventional and unconventional monetary policies in open economies," Post-Print hal-03912666, HAL.
    30. Jørgen Juel Andersen & Martin Nordvik & Andrea Tesei, 2017. "Oil and Civil Conflict: On and Off (Shore)," Working Papers 810, Queen Mary University of London, School of Economics and Finance.
    31. Neaime, Simon, 2015. "Are emerging MENA stock markets mean reverting? A Monte Carlo simulation," Finance Research Letters, Elsevier, vol. 13(C), pages 74-80.
    32. Serena Ng & Pierre Perron, 2002. "PPP May not Hold Afterall: A Further Investigation," CEMA Working Papers 83, China Economics and Management Academy, Central University of Finance and Economics.
    33. Troncoso Sepúlveda, Ricardo & Cabas Monje, Juan, 2019. "Factibilidad del uso de contratos de futuros del Chicago Mercantile Exchange para la cobertura del riesgo de precio en el ganado bovino chileno," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 90, pages 9-44, January.
    34. Andrea BASTIANIN & Matteo MANERA, 2015. "How Does Stock Market Volatility React to Oil Shocks?," Departmental Working Papers 2015-09, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    35. Tokgoz, Simla & Traoré, Fousseini, 2023. "Understanding E10 markets in the U.S.: Evidence from spatial data," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 1267-1281.
    36. McKitrick, Ross & Wood, Joel, 2013. "Co-fluctuation patterns of per capita carbon dioxide emissions: The role of energy markets," Energy Economics, Elsevier, vol. 39(C), pages 1-12.
    37. Paul Beaudry & Franck Portier, 2013. "Understanding Noninflationary Demand-Driven Business Cycles," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 69-130, National Bureau of Economic Research, Inc.
    38. Jorge Eduardo Carrera & Mariano Feliz & Demian Panigo, 2003. "Testing the Order of Integration with Low Power Tests. An Application to Argentine Macro-variables," Journal of Applied Economics, Universidad del CEMA, vol. 6, pages 221-246, November.
    39. Dufour, Jean-Marie & Jouini, Tarek, 2006. "Finite-sample simulation-based inference in VAR models with application to Granger causality testing," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 229-254.
    40. Barros, Alexandre Rands & Amazonas, Analice, 1996. "Manufactured exports from Brazil: determinants and consequences," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 50(1), January.
    41. Juan Manuel Julio, 1995. "Choques grandes / Choques pequenos: Evidencia del Log (IPC) e inflación colombianos," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 14(28), pages 59-93, December.
    42. Foders, Federico & Glismann, Hans H., 1992. "Explaining the Argentine growth paradox: new evidence applying cointegration techniques," Kiel Working Papers 506, Kiel Institute for the World Economy (IfW Kiel).
    43. Liew, Venus Khim-Sen & Chia, Ricky Chee-Jiun & Puah, Chin-Hong, 2009. "Does Hysteresis in Unemployment Occur in OECD Countries? Evidence from Parametric and Non-Parametric Panel Unit Roots Tests," MPRA Paper 9915, University Library of Munich, Germany.
    44. Claude Diebolt, 2021. "Trend, Cycles and Chance," Working Papers of BETA 2021-14, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    45. Yii, Kwang-Jing & Tan, Chai-Thing & Ho, Wing-Ken & Kwan, Xiao-Hui & Nerissa, Feng-Ting Shim & Tan, Yan-Yi & Wong, Kar-Horn, 2022. "Land availability and housing price in China: Empirical evidence from nonlinear autoregressive distributed lag (NARDL)," Land Use Policy, Elsevier, vol. 113(C).
    46. Tuhkuri, Joonas, 2016. "Forecasting Unemployment with Google Searches," ETLA Working Papers 35, The Research Institute of the Finnish Economy.
    47. Roseli da Silva & Rodrigo Takeuchi, 2008. "Uma análise empírica de eficiência relativa nos mercados futuro e à vista de açúcar," Working Papers 08_06, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto.
    48. van de Gucht, Linda M. & Dekimpe, Marnik G. & Kwok, Chuck C. Y., 1996. "Persistence in foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 15(2), pages 191-220, April.
    49. Jose Antonio Ocampo & Maria Angela Parra, 2004. "The Terms Of Trade For Commodities In The Twentieth Century," International Trade 0402006, University Library of Munich, Germany.
    50. William G. Hardin & Xiaoquan Jiang & Zhonghua Wu, 2017. "Inflation Illusion, Expertise and Commercial Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 55(3), pages 345-369, October.
    51. Gundlach, Erich, 1993. "Die Dienstleistungsnachfrage als Determinante des wirtschaftlichen Strukturwandels," Open Access Publications from Kiel Institute for the World Economy 763, Kiel Institute for the World Economy (IfW Kiel).
    52. Ho, Tsung-wu, 2005. "Investigating the threshold effects of inflation on PPP," Economic Modelling, Elsevier, vol. 22(5), pages 926-948, September.
    53. Rolando Peláez, 2012. "The housing bubble in real-time: the end of innocence," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(1), pages 211-225, January.
    54. Martínez, José Manuel & Espasa, Antoni, 1997. "Caracterización de la tendencia y componente cíclico del PIB español a través de modelos no lineales," DES - Documentos de Trabajo. Estadística y Econometría. DS 3646, Universidad Carlos III de Madrid. Departamento de Estadística.
    55. Raimundo Soto M. & Matías Tapia G., 2000. "Seasonal Cointegration in Money Demand," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 3(3), pages 57-71, December.
    56. Yaya, OlaOluwa S & Ogbonna, Ahamuefula & Mudida, Robert, 2019. "Hysteresis of Unemployment Rates in Africa: New Findings from Fourier ADF test," MPRA Paper 93939, University Library of Munich, Germany.
    57. Gundlach, Erich, 1992. "Testing growth theories: Time series evidence," Kiel Working Papers 516, Kiel Institute for the World Economy (IfW Kiel).
    58. Riccardo DiCecio & Neville Francis & Michael T. Owyang & Jennifer E. Roush, 2010. "A flexible finite-horizon alternative to long-run restrictions with an application to technology shock," Working Papers 2005-024, Federal Reserve Bank of St. Louis.
    59. Marie-Josée Godbout & Simon van Norden, 1996. "Unit-Root Test and Excess Returns," Staff Working Papers 96-10, Bank of Canada.
    60. Paqué, Karl-Heinz, 1991. "Structural wage rigidity in West Germany 1950-1989: Some new econometric evidence," Kiel Working Papers 489, Kiel Institute for the World Economy (IfW Kiel).
    61. Rómulo Chumacero, 2001. "Testing for unit roots using economics," Working Papers Central Bank of Chile 102, Central Bank of Chile.
    62. Gabor Szigel & Boldizsar Istvan Gyurus, 2023. "Are Default Rate Time Series Stationary? A Practical Approach for Banking Experts," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 22(4), pages 107-135.
    63. Elmar Mertens, 2011. "Measuring the level and uncertainty of trend inflation," Finance and Economics Discussion Series 2011-42, Board of Governors of the Federal Reserve System (U.S.).
    64. Javier León & Carlos Oliva, 1992. "Componente no Estacionario y la Paridad del Poder de Compra en 12 Países Latinoamericanos," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 29(88), pages 481-504.
    65. Fousseini Traor�, 2014. "Assessing the impact of China net imports on the world cotton price," Applied Economics Letters, Taylor & Francis Journals, vol. 21(15), pages 1031-1035, October.
    66. Ricardo Troncoso-Sepúlveda & Juan Cabas-Monje, 2019. "Feasibility of using futures contracts of the Chicago Mercantile Exchange for hedging price risk in Chilean cattle," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 90, pages 9-44, Enero - J.
    67. Broersma, L., 1992. "Profits and employment in the United States 1970-1991," Serie Research Memoranda 0039, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    68. Paresh Kumar Narayan & Ingrid Nielsen & Russell Smyth, 2010. "Is There a Natural Rate of Crime?," American Journal of Economics and Sociology, Wiley Blackwell, vol. 69(2), pages 759-782, April.
    69. Balcilar, Mehmet & Katzke, Nico & Gupta, Rangan, 2017. "Date-stamping US housing market explosivity," Economics Discussion Papers 2017-44, Kiel Institute for the World Economy (IfW Kiel).
    70. Charles Engel, 1998. "Long-Run PPP May Not Hold After All," Working Papers 0050, University of Washington, Department of Economics.
    71. Mundt, Philipp & Alfarano, Simone & Milaković, Mishael, 2020. "Exploiting ergodicity in forecasts of corporate profitability," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    72. Ocampo, José Antonio & Parra, María Angela, 2003. "Returning to an external debate: the terms of trade for commodities in the twentieth century," Series Históricas 7797, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    73. Jorge Eduardo Carrera & Mariano Féliz & Demian Tupac Panigo, 2000. "Raíces unitarias y ciclos en las principales variables macroeconómicas de argentina," IIE, Working Papers 020, IIE, Universidad Nacional de La Plata.
    74. David H Papell & Ruxandra Prodan, 2007. "Restricted Structural Change And The Unit Root Hypothesis," Economic Inquiry, Western Economic Association International, vol. 45(4), pages 834-853, October.
    75. Emara, Noha & Ma, Jinpeng, 2019. "An Analysis of the Seasonal Cycle and the Business Cycle," MPRA Paper 99310, University Library of Munich, Germany.
    76. Ulrich K. Müller, 2002. "Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series," University of St. Gallen Department of Economics working paper series 2002 2002-26, Department of Economics, University of St. Gallen.
    77. Simon Feeny, 2003. "What Determines Foreign Aid to Papua New Guinea? An Inter-temporal Model of Aid Allocation," WIDER Working Paper Series DP2003-05, World Institute for Development Economic Research (UNU-WIDER).
    78. Wu, Jyh-Lin & Chen, Show-Lin, 2001. "Nominal exchange-rate prediction: evidence from a nonlinear approach," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 521-532, August.
    79. Youxin Wang & Tao Peng & Qingxia Lin & Vijay P. Singh & Xiaohua Dong & Chen Chen & Ji Liu & Wenjuan Chang & Gaoxu Wang, 2022. "A New Non-stationary Hydrological Drought Index Encompassing Climate Indices and Modified Reservoir Index as Covariates," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 36(7), pages 2433-2454, May.
    80. Cogley, Timothy, 2001. "Estimating and testing rational expectations models when the trend specification is uncertain," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1485-1525, October.
    81. Tuhkuri, Joonas, 2016. "ETLAnow: A Model for Forecasting with Big Data – Forecasting Unemployment with Google Searches in Europe," ETLA Reports 54, The Research Institute of the Finnish Economy.
    82. Surajit Deb, 2003. "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Working papers 115, Centre for Development Economics, Delhi School of Economics.
    83. Pierre St-Amant & David Tessier, 1998. "A Discussion of the Reliability of Results Obtained with Long-Run Identifying Restrictions," Staff Working Papers 98-4, Bank of Canada.
    84. Ser‐Huang Poon, 1996. "Persistence and mean reversion in UK stock returns," European Financial Management, European Financial Management Association, vol. 2(2), pages 169-196, July.
    85. Michael T. Kiley, 2023. "Recession Signals and Business Cycle Dynamics: Tying the Pieces Together," Finance and Economics Discussion Series 2023-008, Board of Governors of the Federal Reserve System (U.S.).
    86. Ambagna, Jean Joël & Kane, Gilles Quentin & Oyekale Abayomi, Samuel, 2012. "Subsistence Farming and Food Security in Cameroon: A Macroeconomic Approach," MPRA Paper 62756, University Library of Munich, Germany, revised 2012.
    87. Schmeling, Maik, 2006. "Institutional and Individual Sentiment: Smart Money and Noise Trader Risk," Hannover Economic Papers (HEP) dp-337, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    88. Davood Manzoor & Sajjad Seiflou, 2011. "Are crude Oil, Gas and Coal Prices Cointegrated?," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 16(1), pages 29-51, winter.
    89. Bennett T. McCallum, 1993. "Macroeconomics After Two Decades of Rational Expectations," NBER Working Papers 4367, National Bureau of Economic Research, Inc.
    90. Krishnan, R. & Sen, Kunal, 1995. "Measuring persistence in industrial output: The Indian case," Journal of Development Economics, Elsevier, vol. 48(1), pages 25-41, October.
    91. Jan Dehn, 2000. "Commodity price uncertainty in developing countries," CSAE Working Paper Series 2000-12, Centre for the Study of African Economies, University of Oxford.
    92. Song, Chi-Young, 1997. "The Real Exchange Rate and the Current Account Balance in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 11(2), pages 143-184, June.
    93. Ivan Hajdukovic, 2021. "Interactions among macroeconomic policies, the energy market and environmental quality," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 23(4), pages 861-913, October.
    94. Atsushi Inoue & Lutz Kilian, 2002. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometrica, Econometric Society, vol. 70(1), pages 377-391, January.
    95. Dufour, Jean-Marie & Neifar, Malika, 2002. "Méthodes d’inférence exactes pour des processus autorégressifs : une approche fondée sur des tests induits," L'Actualité Economique, Société Canadienne de Science Economique, vol. 78(1), pages 19-40, Mars.
    96. Jae H. Kim & In Choi, 2017. "Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels," Econometrics, MDPI, vol. 5(3), pages 1-23, September.
    97. Kim, Jae & Choi, In, 2015. "Unit Roots in Economic and Financial Time Series: A Re-Evaluation based on Enlightened Judgement," MPRA Paper 68411, University Library of Munich, Germany.
    98. Liu, Qinghua & Shumway, C. Richard, 2004. "Testing aggregation consistency across geography and commodities," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 48(3), pages 1-24.
    99. Mostafa Raeisi Sarkandiz & Robabeh Bahlouli, 2019. "The Stock Market between Classical and Behavioral Hypotheses: An Empirical Investigation of the Warsaw Stock Exchange," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 4(2), pages 67-88, December.
    100. Daniela De Angelis & Stefano Fachin & G. Alastair Young, 1997. "Bootstrapping unit root tests," Applied Economics, Taylor & Francis Journals, vol. 29(9), pages 1155-1161.
    101. Ahmad Zubaidi Baharumshah & Evan Lau, 2010. "Mean Reversion Of The Fiscal Conduct In 24 Developing Countries," Manchester School, University of Manchester, vol. 78(4), pages 302-325, July.
    102. Charalampidis, Nikolaos, 2020. "On unemployment cycles in the Euro Area, 1999–2018," European Economic Review, Elsevier, vol. 121(C).
    103. Lee, Chien-Chiang & Chang, Chun-Ping, 2008. "Unemployment hysteresis in OECD countries: Centurial time series evidence with structural breaks," Economic Modelling, Elsevier, vol. 25(2), pages 312-325, March.
    104. Lavan Mahadeva and Paul Robinson, 2004. "Unit Root Testing in a Central Bank," Handbooks, Centre for Central Banking Studies, Bank of England, number 22, April.
    105. João Sousa Andrade, 2009. "The PIGS, does the Group Exist? An empirical macroeconomic analysis based on the Okun Law," GEMF Working Papers 2009-11, GEMF, Faculty of Economics, University of Coimbra.
    106. Brand, Claus & Gerdesmeier, Dieter & Roffia, Barbara, 2002. "Estimating the trend of M3 income velocity underlying the reference value for monetary growth," Occasional Paper Series 3, European Central Bank.
    107. Nelson Mark, 1998. "Fundamentals of the Real Dollar-Pound Rate: 1871-1994," Working Papers 98-14, Ohio State University, Department of Economics.
    108. Jorge Eduardo Carrera & Mariano Féliz & Demian Tupac Panigo, 2000. "Raíces unitarias y ciclos en las principales variables macroeconómicas de argentina," Department of Economics, Working Papers 020, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
    109. Wu, Yangru & Zhang, Hua, 1996. "Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 604-621, November.
    110. Carol Alexander & Michael Barrow, 1994. "Seasonality and Cointegration of Regional House Prices in the UK," Urban Studies, Urban Studies Journal Limited, vol. 31(10), pages 1667-1689, December.
    111. Chen, Show-Lin & Wu, Jyh-Lin, 2005. "Long-run money demand revisited: evidence from a non-linear approach," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 19-37, February.
    112. Andric, Vladimir & Arsic, Milojko & Mladenovic, Zorica, 2016. "The Dynamics of Public Debt in Serbia - A Nonlinear Analysis," EconStor Preprints 144713, ZBW - Leibniz Information Centre for Economics.
    113. David Shepherd & Robert Dixon, 2002. "The Relationship Between Regional and National Unemployment," Regional Studies, Taylor & Francis Journals, vol. 36(5), pages 469-480.
    114. Jean‐Marie Dufour, 2003. "Identification, weak instruments, and statistical inference in econometrics," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 36(4), pages 767-808, November.
    115. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2016. "Asset prices with non-permanent shocks to consumption," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 152-178.
    116. Martínez, J. Manuel & Espasa, Antoni, 1998. "La demanda de importaciones españolas. Un enfoque VECM desagregado," DES - Documentos de Trabajo. Estadística y Econometría. DS 3662, Universidad Carlos III de Madrid. Departamento de Estadística.
    117. Aurélie Lalanne & Martin Zumpe, 2020. "Time-Series Based Empirical Assessment of Random Urban Growth: New Evidence from France," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(4), pages 911-926, December.
    118. H. Naci Mocan & Hope Corman, 2000. "A Time-Series Analysis of Crime, Deterrence, and Drug Abuse in New York City," American Economic Review, American Economic Association, vol. 90(3), pages 584-604, June.
    119. Panigo, Demian & Féliz, Mariano & Perez, Pablo, 2004. "Macro and microeconomic persistence in regional unemployment. The case of Argentina," CEPREMAP Working Papers (Couverture Orange) 0403, CEPREMAP.
    120. Newbold, Paul & Leybourne, Stephen & Wohar, Mark E., 2001. "Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993," Journal of Economics and Business, Elsevier, vol. 53(1), pages 85-102.
    121. Deb, Surajit, 2004. "Terms of Trade and Investment Behaviour in Indian Agriculture: A Cointegration Analysis," Indian Journal of Agricultural Economics, Indian Society of Agricultural Economics, vol. 59(2), pages 1-22.
    122. Mikael Linden, 1992. "Stochastic and deterministic trends in Finnish macroeconomic time series," Finnish Economic Papers, Finnish Economic Association, vol. 5(2), pages 110-116, Autumn.
    123. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, June.
    124. Dilip Patro & Louis R. Piccotti & Yangru Wu, 2017. "Exploiting Closed-End Fund Discounts: A Systematic Examination Of Alphas," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(2), pages 223-248, June.
    125. Martin Boďa & Mariana Považanová, 2023. "How credible are Okun coefficients? The gap version of Okun’s law for G7 economies," Economic Change and Restructuring, Springer, vol. 56(3), pages 1467-1514, June.
    126. Song, Frank M. & Wu, Yangru, 1998. "Hysteresis in unemployment: Evidence from OECD countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(2), pages 181-192.
    127. In-Koo Cho & Kenneth Kasa, 2017. "Model Averaging and Persistent Disagreement," Review, Federal Reserve Bank of St. Louis, vol. 99(3), pages 279-294.
    128. Gundlach, Erich & Sinn, Stefan, 1991. "Unit root tests of the current account balance: implications for international capital mobility," Kiel Working Papers 495, Kiel Institute for the World Economy (IfW Kiel).
    129. Christoph Fischer & Daniel Porath, 2010. "A reappraisal of the evidence on PPP: a systematic investigation into MA roots in panel unit root tests and their implications," Empirical Economics, Springer, vol. 39(3), pages 767-792, December.
    130. Scott, Andrew, 2007. "Optimal taxation and OECD labor taxes," Journal of Monetary Economics, Elsevier, vol. 54(3), pages 925-944, April.
    131. Wu, Yangru & Zhang, Hua, 1997. "Do Interest Rates Follow Unit-Root Processes? Evidence from Cross-Maturity Treasury Bill Yields," Review of Quantitative Finance and Accounting, Springer, vol. 8(1), pages 69-81, January.
    132. Cooley, Thomas F. & Dwyer, Mark, 1998. "Business cycle analysis without much theory A look at structural VARs," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 57-88.
    133. Jon Faust, 1993. "Near observational equivalence and unit root processes: formal concepts and implications," International Finance Discussion Papers 447, Board of Governors of the Federal Reserve System (U.S.).
    134. Martínez, J. Manuel & Espasa, Antoni, 1998. "Caracterización del PIB español a partir de modelos univariantes no lineales," DES - Documentos de Trabajo. Estadística y Econometría. DS 3660, Universidad Carlos III de Madrid. Departamento de Estadística.
    135. Balashova, Svetlana & Serletis, Apostolos, 2020. "Oil prices shocks and the Russian economy," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    136. João Frois Caldeira & Marcelo Savino Portugal, 2010. "Long-Short Market Neutral and Index Tracking Strategies Based on Cointegrated Portfolios," Brazilian Review of Finance, Brazilian Society of Finance, vol. 8(4), pages 469-504.
    137. Manasse, Paolo, 1996. "Are taxes too low?," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 1263-1288.
    138. Caporale, Guglielmo Maria & Hassapis, Christis & Pittis, Nikitas, 1998. "Unit roots and long-run causality: investigating the relationship between output, money and interest rates," Economic Modelling, Elsevier, vol. 15(1), pages 91-112, January.

  41. Cochrane, John H, 1991. "Production-Based Asset Pricing and the Link between Stock Returns and Economic Fluctuations," Journal of Finance, American Finance Association, vol. 46(1), pages 209-237, March.

    Cited by:

    1. Lin, Xiaoji & Wang, Chong & Wang, Neng & Yang, Jinqiang, 2018. "Investment, Tobin’s q, and interest rates," Journal of Financial Economics, Elsevier, vol. 130(3), pages 620-640.
    2. Xiaoji Lin, 2009. "Endogenous Technological Progress and the Cross Section of Stock Returns," FMG Discussion Papers dp634, Financial Markets Group.
    3. Frederico Belo & Chen Xue & Lu Zhang, 2010. "Cross-sectional Tobin's Q," NBER Working Papers 16336, National Bureau of Economic Research, Inc.
    4. Ehab Yamani & David Rakowski, 2018. "Cash Flow and Discount Rate Risk in the Investment Effect: A Downside Risk Approach," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 1-40, September.
    5. Kuehn, Lars-Alexander & Petrosky-Nadeau, Nicolas & Zhang, Lu, 2011. "An Equilibrium Asset Pricing Model with Labor Market Search," Working Paper Series 2012-01, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    6. Owen Lamont, "undated". "Earnings and Expected Returns," CRSP working papers 345, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    7. Mortal, Sandra C. & Schill, Michael J., 2018. "The role of firm investment in momentum and reversal," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 255-278.
    8. Casey B. Mulligan, 2002. "Capital, Interest, and Aggregate Intertemporal Substitution," NBER Working Papers 9373, National Bureau of Economic Research, Inc.
    9. Francois Gourio & Anil K Kashyap, 2007. "Investment Spikes: New Facts And A General Equilibrium Exploration," Boston University - Department of Economics - Working Papers Series WP2007-006, Boston University - Department of Economics.
    10. Pierre-Olivier Gourinchas & Hélène Rey, 2007. "International Financial Adjustment," Journal of Political Economy, University of Chicago Press, vol. 115(4), pages 665-703, August.
    11. Martin Lettau & Sydney C. Ludvigson, 2014. "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
    12. Mumtaz, Haroon & Zanetti, Francesco, 2015. "Factor adjustment costs: A structural investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 341-355.
    13. Rodrigo A. Cerda & José Tomás Valente, 2022. "The role of capital taxation on the business cycle: the case of Chile, 1960–2019," Economic Change and Restructuring, Springer, vol. 55(1), pages 83-108, February.
    14. Sazali Abidin & Krishna Reddy & Liehui Chen, 2012. "Determinants of ownership structure and performance of seasoned equity offerings," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 8(4), pages 304-331, September.
    15. Li, Xiyang & Chen, Xiaoyue & Li, Bin & Singh, Tarlok & Shi, Kan, 2022. "Predictability of stock market returns: New evidence from developed and developing countries," Global Finance Journal, Elsevier, vol. 54(C).
    16. Urban Jermann, 2013. "A Production-Based Model for the Term Structure," NBER Working Papers 18774, National Bureau of Economic Research, Inc.
    17. Arthur Thomas & Olivier Massol & Benoît Sévi, 2020. "How are Day-Ahead Prices Informative for Predicting the Next Day’s Consumption of Natural Gas ?," Working Papers hal-03178474, HAL.
    18. Kusnadi, Yuanto & Wei, K.C. John, 2017. "The equity-financing channel, the catering channel, and corporate investment: International evidence," Journal of Corporate Finance, Elsevier, vol. 47(C), pages 236-252.
    19. Favilukis, Jack & Lin, Xiaoji, 2016. "Does wage rigidity make firms riskier? Evidence from long-horizon return predictability," Journal of Monetary Economics, Elsevier, vol. 78(C), pages 80-95.
    20. Lutzenberger, Fabian T., 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, vol. 23(3), pages 120-130.
    21. Sung Gyun Mun & SooCheong (Shawn) Jang, 2022. "Explaining the asset growth anomaly in the restaurant industry: Motivations and consequences," Tourism Economics, , vol. 28(1), pages 62-82, February.
    22. Thomas D. Tallarini & Harold H. Zhang, 2005. "External habit and the cyclicality of expected stock returns," Finance and Economics Discussion Series 2005-27, Board of Governors of the Federal Reserve System (U.S.).
    23. Marcelo Bianconi, 2003. "Private Information, Growth and Asset Prices with Stochastic Disturbances," Discussion Papers Series, Department of Economics, Tufts University 0301, Department of Economics, Tufts University.
    24. Jun Li & Huijun Wang & Jianfeng Yu, 2021. "The expected investment growth premium," Financial Management, Financial Management Association International, vol. 50(4), pages 905-933, December.
    25. Kewei Hou & Chen Xue & Lu Zhang, 2012. "Digesting Anomalies: An Investment Approach," NBER Working Papers 18435, National Bureau of Economic Research, Inc.
    26. Robert G. Chambers & John Quiggin, 2003. "Separability of stochastic production decisions from producer risk preferences in the presence of financial markets," Risk & Uncertainty Working Papers WPR03_4, Risk and Sustainable Management Group, University of Queensland.
    27. Costa, Carlos Eugênio da & Issler, João Victor & Matos, Paulo Rogério Faustino, 2009. "The forward- and the equity-premium puzzles: two symptoms of the same illness?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 697, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    28. Joshua Aizenman & Reuven Glick, 2008. "Sterilization, Monetary Policy, and Global Financial Integration," NBER Working Papers 13902, National Bureau of Economic Research, Inc.
    29. Dimitris Papanikolaou, 2008. "Investment-Specific Technological Change and Asset Prices," 2008 Meeting Papers 637, Society for Economic Dynamics.
    30. Yacine Ait-Sahalia & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," NBER Working Papers 8127, National Bureau of Economic Research, Inc.
    31. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
    32. Winston Wei Dou & Yan Ji & David Reibstein & Wei Wu, 2021. "Inalienable Customer Capital, Corporate Liquidity, and Stock Returns," Journal of Finance, American Finance Association, vol. 76(1), pages 211-265, February.
    33. Md Safiullah & Abul Shamsuddin, 2021. "Asset pricing factors in Islamic equity returns," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 523-554, June.
    34. John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Chapters, in: NBER Macroeconomics Annual 1992, Volume 7, pages 115-182, National Bureau of Economic Research, Inc.
    35. Stig V. Møller & Jesper Rangvid, 2018. "Global Economic Growth and Expected Returns Around the World: The End-of-the-Year Effect," Management Science, INFORMS, vol. 64(2), pages 573-591, February.
    36. Wong, Michael Chak-sham & Cheung, Yan-Leung, 1999. "The practice of investment management in Hong Kong: market forecasting and stock selection," Omega, Elsevier, vol. 27(4), pages 451-465, August.
    37. Christopher Anderson, 2021. "Consumption-Based Asset Pricing When Consumers Make Mistakes," Finance and Economics Discussion Series 2021-015, Board of Governors of the Federal Reserve System (U.S.).
    38. Angela J Black & Bin Mao & David G McMillan, 2009. "The value premium and economic activity: Long-run evidence from the United States," Journal of Asset Management, Palgrave Macmillan, vol. 10(5), pages 305-317, December.
    39. Esther Eiling & Raymond Kan & Ali Sharifkhani, 2018. "Sectoral Labor Reallocation and Return Predictability," Working Papers 2018-006, Human Capital and Economic Opportunity Working Group.
    40. Engelbert J. Dockner & Baran Siyahhan, 2015. "Value and risk dynamics over the innovation cycle," Grenoble Ecole de Management (Post-Print) hal-01504374, HAL.
    41. Robert G. Chambers & John Quiggin, "undated". "Narrowing the No-Arbitrage Bounds," Risk & Uncertainty Working Papers WPR03_3, Risk and Sustainable Management Group, University of Queensland.
    42. Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2013. "Do the production-based factors capture the time-varying patterns in stock returns?," Emerging Markets Review, Elsevier, vol. 15(C), pages 122-135.
    43. Inga Heiland, 2017. "Five Essays on International Trade, Factor Flows and the Gains from Globalization," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 74.
    44. Wikrom Prombutr & Chanwit Phengpis & Ying Zhang, 2023. "Anomalies in U.S. REIT Returns: Evidence for and against the Q-theory," International Real Estate Review, Global Social Science Institute, vol. 26(1), pages 43-71.
    45. Ellen R. McGrattan & Edward C. Prescott, 2001. "Taxes, regulations, and asset prices," Working Papers 610, Federal Reserve Bank of Minneapolis.
    46. Jagannathan, Ravi & Kubota, Keiichi & Takehara, Hitoshi, 1998. "Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market," The Journal of Business, University of Chicago Press, vol. 71(3), pages 319-347, July.
    47. Nicholas Apergis & James E. Payne, 2013. "New Evidence on the Information and Predictive Content of the Baltic Dry Index," IJFS, MDPI, vol. 1(3), pages 1-19, July.
    48. Cooper, Ilan & Priestley, Richard, 2011. "Real investment and risk dynamics," Journal of Financial Economics, Elsevier, vol. 101(1), pages 182-205, July.
    49. Parantap Basu, 2006. "Understanding Labour Market Frictions: A Tobin’s Q Approach," CDMA Conference Paper Series 0601, Centre for Dynamic Macroeconomic Analysis.
    50. CAMPANALE, Claudio & CASTRO, Rui & CLEMENTI, Gian Luca, 2009. "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Cahiers de recherche 10-2009, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    51. Kanis Saengchote, 2020. "Profitability, Investment and Asset Pricing: Reconciling the Valuation and the q-Theory Approaches in the Thai Stock Market," PIER Discussion Papers 124, Puey Ungphakorn Institute for Economic Research.
    52. Sulaiman, Nadzri & Masih, Mansur, 2017. "Macroeconomic variables and stock markets (domestic and foreign): evidence from Malaysia," MPRA Paper 110154, University Library of Munich, Germany.
    53. Reffett, Kevin L., 1995. "Arbitrage pricing and the stochastic inflation tax in a multisector monetary economy," Journal of Economic Dynamics and Control, Elsevier, vol. 19(3), pages 569-597, April.
    54. Belo, Frederico & Lin, Xiaoji, 2012. "Labor Heterogeneity and Asset Prices: The Importance of Skilled Labor," Working Paper Series 2012-25, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    55. Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
    56. Møller, Stig V. & Rangvid, Jesper, 2015. "End-of-the-year economic growth and time-varying expected returns," Journal of Financial Economics, Elsevier, vol. 115(1), pages 136-154.
    57. Bai, Hang & Hou, Kewei & Kung, Howard & Li, Erica X.N. & Zhang, Lu, 2019. "The CAPM strikes back? An equilibrium model with disasters," Journal of Financial Economics, Elsevier, vol. 131(2), pages 269-298.
    58. Abdoh, Hussein & Varela, Oscar, 2021. "What lies behind the asset growth effect?," Global Finance Journal, Elsevier, vol. 48(C).
    59. François-Éric Racicot & William F Rentz & David Tessier & Raymond Théoret, 2019. "The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test," PLOS ONE, Public Library of Science, vol. 14(9), pages 1-26, September.
    60. Ellen R. McGrattan & Edward C. Prescott, 2001. "Is the Stock Market Overvalued?," NBER Working Papers 8077, National Bureau of Economic Research, Inc.
    61. Demetrescu, Matei & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023. "Transformed regression-based long-horizon predictability tests," Journal of Econometrics, Elsevier, vol. 237(2).
    62. Heiland, Inga, 2019. "Global Risk Sharing through Trade in Goods and Assets: Theory and Evidence," CEPR Discussion Papers 14230, C.E.P.R. Discussion Papers.
    63. Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
    64. Ron Alquist & Menzie D. Chinn, 2008. "Conventional and unconventional approaches to exchange rate modelling and assessment," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 2-13.
    65. Xiaoji Lin & Santiago Bazdrech & Frederico Belo, 2009. "Labor Hiring, Investment and Stock Return Predictability in the Cross Section," FMG Discussion Papers dp628, Financial Markets Group.
    66. Marco Taboga, 2009. "The riskiness of corporate bonds," Temi di discussione (Economic working papers) 730, Bank of Italy, Economic Research and International Relations Area.
    67. Leonid Kogan & Dimitris Papanikolaou, 2012. "A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks," NBER Working Papers 17975, National Bureau of Economic Research, Inc.
    68. Pithak Srisuksai & Vimut Vanitcharearntham, 2016. "Asset Pricing with Idiosyncratic Shocks," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 23(1), pages 35-58, June.
    69. Shaukat, Badiea & Zhu, Qigui & Khan, M. Ijaz, 2019. "Real interest rate and economic growth: A statistical exploration for transitory economies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    70. Smith, Simon C., 2021. "International stock return predictability," International Review of Financial Analysis, Elsevier, vol. 78(C).
    71. Nicola Gennaioli & Yueran Ma & Andrei Shleifer, 2016. "Expectations and Investment," NBER Macroeconomics Annual, University of Chicago Press, vol. 30(1), pages 379-431.
    72. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2003. "Are correlations of stock returns justified by subsequent changes in national outputs?," Journal of International Money and Finance, Elsevier, vol. 22(6), pages 777-811, November.
    73. Frederico Belo & Xiaoji Lin & Jun Li & Xiaofei Zhao, 2015. "Labor-Force Heterogeneity and Asset Prices: the Importance of Skilled Labor," NBER Working Papers 21487, National Bureau of Economic Research, Inc.
    74. Dahmene, Meriam & Boughrara, Adel & Slim, Skander, 2021. "Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 676-699.
    75. Anginer, Deniz & Yildizhan, Celim, 2010. "Is there a distress risk anomaly ? pricing of systematic default risk in the cross section of equity returns," Policy Research Working Paper Series 5319, The World Bank.
    76. Deniz Anginer & Çelim Yıldızhan, 2018. "Is There a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross-section of Equity Returns [The risk-adjusted cost of financial distress]," Review of Finance, European Finance Association, vol. 22(2), pages 633-660.
    77. Rui Albuquerque & Neng Wang, 2007. "Agency Conflicts, Investment, and Asset Pricing," NBER Working Papers 13251, National Bureau of Economic Research, Inc.
    78. John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
    79. Ling-Ni Boon & Florian Ielpo, 2016. "An anatomy of global risk premiums," Journal of Asset Management, Palgrave Macmillan, vol. 17(4), pages 229-243, July.
    80. Giau Bui, Dien & Chen, Yehning & Lin, Chih-Yung & Lin, Tse-Chun, 2021. "Risk-taking of bank CEOs and corporate innovation," Journal of International Money and Finance, Elsevier, vol. 115(C).
    81. Rida Ahroum & Boujemâa Achchab, 2021. "Harvesting Islamic risk premium with long–short strategies: A time scale decomposition using the wavelet theory," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 430-444, January.
    82. Srisuksai, Pithak & Vanitcharearntham, Vimut, . "Asset Pricing with Idiosyncratic Shocks," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 23(1).
    83. Urban Jermann, 2006. "The Equity Premium Implied by Production," NBER Working Papers 12487, National Bureau of Economic Research, Inc.
    84. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
    85. Katherine A. Smith, 2011. "Can Financing Constraints Explain The Asset Pricing Puzzles In Production Economies?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(3), pages 739-765, August.
    86. Martijn Cremers & Vinay Nair & Kose John, 2005. "Takeovers and the Cross-Section of Returns," Yale School of Management Working Papers amz2393, Yale School of Management, revised 01 Sep 2007.
    87. Tim Bollerslev & Lai Xu & Hao Zhou, 2012. "Stock Return and Cash Flow Predictability: The Role of Volatility Risk," CREATES Research Papers 2012-51, Department of Economics and Business Economics, Aarhus University.
    88. Faias, José Afonso, 2023. "Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation," Journal of Financial Markets, Elsevier, vol. 63(C).
    89. Neal Galpin, 2020. "Cash holdings, costly financing and the q theory of returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(S1), pages 1149-1174, April.
    90. Cao, Viet Nga & Gray, Philip & Zhong, Angel, 2019. "Investment-related anomalies in Australia: Evidence and explanations," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 97-109.
    91. Krebs, Tom & Wilson, Bonnie, 2004. "Asset returns in an endogenous growth model with incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 817-839, January.
    92. Yashiv, Eran, 2007. "Labor Search and Matching in Macroeconomics," IZA Discussion Papers 2743, Institute of Labor Economics (IZA).
    93. Yiwen (Paul) Dou & David R. Gallagher & David Schneider & Terry S. Walter, 2012. "Out-of-sample stock return predictability in Australia," Australian Journal of Management, Australian School of Business, vol. 37(3), pages 461-479, December.
    94. Yuanbo Qiao & Xiaoyan Shao & Zhuolin Han & Hao Duan, 2023. "The Impact of Investments in Physical Capital, Labor, and Knowledge Capital on Enterprise Market Value: Estimation and Optimization," Mathematics, MDPI, vol. 11(18), pages 1-19, September.
    95. Lu Zhang, 2017. "The Investment CAPM," European Financial Management, European Financial Management Association, vol. 23(4), pages 545-603, September.
    96. Cooper, Ilan & Priestley, Richard, 2016. "The expected returns and valuations of private and public firms," Journal of Financial Economics, Elsevier, vol. 120(1), pages 41-57.
    97. Lu Zhang, 2019. "Q-factors and Investment CAPM," NBER Working Papers 26538, National Bureau of Economic Research, Inc.
    98. Qi Lin, 2020. "Idiosyncratic momentum and the cross‐section of stock returns: Further evidence," European Financial Management, European Financial Management Association, vol. 26(3), pages 579-627, June.
    99. Yaron, Amir & Gomes, Joao & Zhang, Lu, 2003. "Asset Prices and Business Cycles with Costly External Finance," CEPR Discussion Papers 3927, C.E.P.R. Discussion Papers.
    100. Li, Dongmei & Zhang, Lu, 2010. "Does q-theory with investment frictions explain anomalies in the cross section of returns?," Journal of Financial Economics, Elsevier, vol. 98(2), pages 297-314, November.
    101. Michael Cooper & Huseyin Gulen, 2006. "Is Time-Series-Based Predictability Evident in Real Time?," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1263-1292, May.
    102. Georgios A. Papanastasopoulos, 2014. "Accounting Accruals and Stock Returns: Evidence from European Equity Markets," European Accounting Review, Taylor & Francis Journals, vol. 23(4), pages 729-768, December.
    103. François Legrand & Xavier Ragot, 2016. "Optimal policy with heterogeneous agents and aggregate shocks : An application to optimal public debt dynamics," 2016 Meeting Papers 1272, Society for Economic Dynamics.
    104. McMillan, David G., 2001. "Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models," International Review of Economics & Finance, Elsevier, vol. 10(4), pages 353-368, December.
    105. Davis, E. Philip & Madsen, Jakob B., 2008. "Productivity and equity market fundamentals: 80 years of evidence for 11 OECD countries," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1261-1283, December.
    106. Amit Goyal & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," Yale School of Management Working Papers amz2412, Yale School of Management, revised 01 Jan 2006.
    107. Woon Gyu Choi & Yi Wen, 2005. "Measuring interest rates as determined by thrift and productivity," Working Papers 2005-037, Federal Reserve Bank of St. Louis.
    108. Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2019. "Security Analysis: An Investment Perspective," NBER Working Papers 26060, National Bureau of Economic Research, Inc.
    109. Bingbing Dong, 2014. "Asset Pricing and Monetary Policy," 2014 Meeting Papers 881, Society for Economic Dynamics.
    110. Tae-Hwy Lee & Millie Yi Mao & Aman Ullah, 2020. "Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility," Working Papers 202015, University of California at Riverside, Department of Economics.
    111. Fangxiong Gong & Roberto Mariano, 1997. "Stock Market Returns and Economic Fundamentals in an Emerging Market: The Case of Korea," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 4(2), pages 147-169, May.
    112. Papanastasopoulos, Georgios & Thomakos, Dimitrios & Wang, Tao, 2011. "Information in balance sheets for future stock returns: Evidence from net operating assets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 269-282.
    113. Joao Gomes & Leonid Kogan & Lu Zhang, 2003. "Equilibrium Cross Section of Returns," Journal of Political Economy, University of Chicago Press, vol. 111(4), pages 693-732, August.
    114. Byoung‐Kyu Min & Jangkoo Kang & Changjun Lee & Tai‐Yong Roh, 2020. "The q‐Factors and Macroeconomic Conditions: Asymmetric Effects of the Business Cycles on Long and Short Sides," International Review of Finance, International Review of Finance Ltd., vol. 20(4), pages 897-921, December.
    115. Andrew Y. Chen, 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
    116. Thorsten Lehnert, 2022. "Corporate managers, price noise and the investment factor," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-18, December.
    117. Francisco RUGE-MURCIA, 2018. "Asset Prices in a Small Production Network," Cahiers de recherche 02-2018, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    118. Xiaoji Lin & Fan Yang & Frederico Belo, 2014. "External Equity Financing Costs, Financial Flows, and Asset Prices," 2014 Meeting Papers 863, Society for Economic Dynamics.
    119. Robert E. Hall, 2001. "The Stock Market and Capital Accumulation," American Economic Review, American Economic Association, vol. 91(5), pages 1185-1202, December.
    120. Bae, Jaewan & Kang, Jangkoo, 2022. "The negative hiring rate premium on stock returns in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    121. Liam A. Gallagher & Mark P. Taylor, 2002. "Permanent and Temporary Components of Stock Prices: Evidence from Assessing Macroeconomic Shocks," Southern Economic Journal, John Wiley & Sons, vol. 69(2), pages 345-362, October.
    122. David McMillan, 2004. "Non-linear predictability of UK stock market returns," Money Macro and Finance (MMF) Research Group Conference 2003 63, Money Macro and Finance Research Group.
    123. Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern, 2014. "The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds," Auburn Economics Working Paper Series auwp2014-14, Department of Economics, Auburn University.
    124. Roelof Salomons, 2008. "A Theoretical And Practical Perspective On The Equity Risk Premium," Journal of Economic Surveys, Wiley Blackwell, vol. 22(2), pages 299-329, April.
    125. Luiz Felix & Roman Kraussl & Philip Stork, 2016. "Single Stock Call Options as Lottery Tickets - Overpricing and Investor Sentiment," Tinbergen Institute Discussion Papers 16-022/IV, Tinbergen Institute, revised 26 Jan 2018.
    126. Koo, Bonsoo & Anderson, Heather M. & Seo, Myung Hwan & Yao, Wenying, 2020. "High-dimensional predictive regression in the presence of cointegration," Journal of Econometrics, Elsevier, vol. 219(2), pages 456-477.
    127. Yao, Tong & Yu, Tong & Zhang, Ting & Chen, Shaw, 2011. "Asset growth and stock returns: Evidence from Asian financial markets," Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 115-139, January.
    128. Leonid Kogan & Dimitris Papanikolaou, 2014. "Growth Opportunities, Technology Shocks, and Asset Prices," Journal of Finance, American Finance Association, vol. 69(2), pages 675-718, April.
    129. Griffin, Paul A. & Hong, Hyun A. & Ryou, Ji Woo, 2018. "Corporate innovative efficiency: Evidence of effects on credit ratings," Journal of Corporate Finance, Elsevier, vol. 51(C), pages 352-373.
    130. Zhang, Xiaoge, 2022. "Belief-driven growth slowdowns and zero-bounded risk-free rate," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    131. de Oliveira Souza, Thiago, 2019. "Predictability concentrates in bad times. And so does disagreement," Discussion Papers on Economics 8/2019, University of Southern Denmark, Department of Economics.
    132. Owen Lamont, "undated". "Investment Plans and Stock Returns."," CRSP working papers 488, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    133. Motohiro Yogo & Leonid Kogan & Joao Gomes, 2007. "Durability of Output and Expected Stock Returns," 2007 Meeting Papers 432, Society for Economic Dynamics.
    134. Hirokazu Mizobata & Hiroki Toyoda, 2016. "Business Cycles, Asset Prices, and the Frictions of Capital and Labor," KIER Working Papers 953, Kyoto University, Institute of Economic Research.
    135. Nichol, Eoghan & Dowling, Michael, 2014. "Profitability and investment factors for UK asset pricing models," Economics Letters, Elsevier, vol. 125(3), pages 364-366.
    136. Nam Gang Lee, 2019. "Trend Growth Shocks and Asset Prices," Working Papers 2019-4, Economic Research Institute, Bank of Korea.
    137. Jamali, Ibrahim & Yamani, Ehab & Smallwood, Aaron D., 2023. "An investment-based explanation of currency excess returns," Journal of International Money and Finance, Elsevier, vol. 133(C).
    138. Hsu, Yen-Ju & Wang, Yanzhi, 2023. "Technology spillover, corporate investment, and stock returns," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 238-250.
    139. Chen, Long & Zhang, Lu, 2011. "Do time-varying risk premiums explain labor market performance?," Journal of Financial Economics, Elsevier, vol. 99(2), pages 385-399, February.
    140. Butler, Alexander W. & Cornaggia, Jess & Grullon, Gustavo & Weston, James P., 2011. "Corporate financing decisions, managerial market timing, and real investment," Journal of Financial Economics, Elsevier, vol. 101(3), pages 666-683, September.
    141. Li, Kai & Tsou, Chi-Yang & Xu, Chenjie, 2023. "Learning and the capital age premium," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 76-90.
    142. Wing-Keung Wong & Boon-Kiat Chew & Douglas Sikorsk, 2001. "Can the Forecasts Generated from E/P Ratio and Bond Yield be Used to Beat Stock Markets?," Multinational Finance Journal, Multinational Finance Journal, vol. 5(1), pages 59-86, March.
    143. Rojo-Suárez, Javier & Alonso-Conde, Ana B. & Lago-Balsalobre, Rubén, 2024. "Industry bubbles and unexpected consumption shocks: A cross-sectional explanation of stock returns under recursive preferences," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1156-1169.
    144. Abdoh, Hussein, 2019. "Product market competition and earnings exposure to productivity shocks," Economics Letters, Elsevier, vol. 174(C), pages 31-34.
    145. Thorsten Hens & Sabine Elmiger, 2019. "Economic Foundations for Finance," Springer Texts in Business and Economics, Springer, number 978-3-030-05427-4, June.
    146. Parantap Basu, 2007. "Understanding Labour Market Frictions: A Tobin’s Q Approach," Money Macro and Finance (MMF) Research Group Conference 2006 35, Money Macro and Finance Research Group.
    147. Javier Rojo‐Suárez & Ana Belén Alonso‐Conde & Rubén Lago‐Balsalobre, 2021. "Industry bubbles and the cross‐sectional variation of expected consumption growth," International Review of Finance, International Review of Finance Ltd., vol. 21(3), pages 1047-1055, September.
    148. Liu, Hening & Miao, Jianjun, 2015. "Growth uncertainty, generalized disappointment aversion and production-based asset pricing," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 70-89.
    149. Rita De Siano, 2000. "Financial Variables As Leading Indicators: An Application To The G7 Countries," Working Papers 6_2000, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
    150. Han, Chulwoo & Kang, Jangkoo & Kim, Sun Yung, 2022. "Betting against analyst target price," Journal of Financial Markets, Elsevier, vol. 59(PB).
    151. Filippo Ippolito & Roberto Steri & Claudio Tebaldi, 2011. "The Relative Leverage Premium," Working Papers 398, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    152. Masakatsu Okubo, 2011. "The Intertemporal Elasticity of Substitution: An Analysis Based on Japanese Data," Economica, London School of Economics and Political Science, vol. 78(310), pages 367-390, April.
    153. Bruno Feunou & Mohammad R Jahan-Parvar & Cédric Okou, 2018. "Downside Variance Risk Premium," Journal of Financial Econometrics, Oxford University Press, vol. 16(3), pages 341-383.
    154. Shawky, Hany & Peng, Yajun, 1995. "Expected stock returns, real business activity and consumption smoothing," International Review of Financial Analysis, Elsevier, vol. 4(2-3), pages 143-154.
    155. Mortal, Sandra & Schill, Michael J., 2015. "The Post-Acquisition Returns of Stock Deals: Evidence of the Pervasiveness of the Asset Growth Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 50(3), pages 477-507, June.
    156. Henry, Ólan & Olekalns, Nilss & Shields, Kalvinder, 2010. "Sign and phase asymmetry: News, economic activity and the stock market," Journal of Macroeconomics, Elsevier, vol. 32(4), pages 1083-1100, December.
    157. Saban Celik, 2012. "Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 141-178.
    158. Willi Semmler, 2011. "Asset Prices, Booms and Recessions," Springer Books, Springer, number 978-3-642-20680-1, October.
    159. Cooper, Michael & Gulen, Huseyin & Ion, Mihai, 2024. "The use of asset growth in empirical asset pricing models," Journal of Financial Economics, Elsevier, vol. 151(C).
    160. Stephen H. Penman & Francesco Reggiani & Scott A. Richardson & İrem Tuna, 2018. "A framework for identifying accounting characteristics for asset pricing models, with an evaluation of book‐to‐price," European Financial Management, European Financial Management Association, vol. 24(4), pages 488-520, September.
    161. Frederico Belo & Xiaoji Lin & Fan Yang, 2019. "External Equity Financing Shocks, Financial Flows, and Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 32(9), pages 3500-3543.
    162. George, Thomas J. & Hwang, Chuan-Yang & Li, Yuan, 2018. "The 52-week high, q-theory, and the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 128(1), pages 148-163.
    163. Hsu, Po-Hsuan, 2009. "Technological innovations and aggregate risk premiums," Journal of Financial Economics, Elsevier, vol. 94(2), pages 264-279, November.
    164. Xianfeng Hao & Yudong Wang, 2023. "Forecasting the stock risk premium: A new statistical constraint," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1805-1822, November.
    165. Kang, Qiang & Liu, Qiao & Qi, Rong, 2010. "The Sarbanes-Oxley act and corporate investment: A structural assessment," Journal of Financial Economics, Elsevier, vol. 96(2), pages 291-305, May.
    166. Figen Gunes Dogan, 2016. "Non†cancellable Operating Leases and Operating Leverage," European Financial Management, European Financial Management Association, vol. 22(4), pages 576-612, September.
    167. Baker, Steven D. & Hollifield, Burton & Osambela, Emilio, 2016. "Disagreement, speculation, and aggregate investment," Journal of Financial Economics, Elsevier, vol. 119(1), pages 210-225.
    168. Jiang, George J. & Yao, Tong & Yu, Tong, 2007. "Do mutual funds time the market? Evidence from portfolio holdings," Journal of Financial Economics, Elsevier, vol. 86(3), pages 724-758, December.
    169. Lin, Xiaoji & Zhang, Lu, 2013. "The investment manifesto," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 351-366.
    170. Campbell, John Y., 2003. "Consumption-based asset pricing," Handbook of the Economics of Finance, 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.
    171. Cao, Viet Nga, 2015. "What explains the value premium? The case of adjustment costs, operating leverage and financial leverage," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 350-366.
    172. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
    173. Simon Price, 2004. "UK investment and the return to equity: Q redux," Money Macro and Finance (MMF) Research Group Conference 2004 87, Money Macro and Finance Research Group.
    174. Ho, Sin-Yu, 2017. "The Macroeconomic Determinants of Stock Market Development: Evidence from Malaysia," MPRA Paper 77232, University Library of Munich, Germany.
    175. Stephen Penman, 2016. "Valuation: Accounting for Risk and the Expected Return," Abacus, Accounting Foundation, University of Sydney, vol. 52(1), pages 106-130, March.
    176. Erica X. N. Li & Dmitry Livdan & Lu Zhang, 2009. "Anomalies," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4301-4334, November.
    177. Avdhesh Kumar Shukla & Tara Shankar Shaw, 2023. "Long-run Stock Return of IPO Firms in India: Examining Investment and Profitability Hypothesis," Vikalpa: The Journal for Decision Makers, , vol. 48(1), pages 21-38, March.
    178. Parantap Basu, 1994. "Capital risk and consumption puzzles: A pedagogical note," Journal of Economics, Springer, vol. 60(1), pages 99-107, February.
    179. Felipe Schwartzman, 2014. "How Can Consumption-Based Asset-Pricing Models Explain Low Interest Rates?," Economic Quarterly, Federal Reserve Bank of Richmond, issue 3Q, pages 209-240.
    180. Sin-Yu Ho, 2019. "The macroeconomic determinants of stock market development in Malaysia: an empirical analysis," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 21(2), pages 174-193.
    181. Long Chen & Lu Zhang, 2009. "The stock market and aggregate employment," NBER Working Papers 15219, National Bureau of Economic Research, Inc.
    182. John H. Cochrane, 1992. "A Cross-Sectional Test of a Production-Based Asset Pricing Model," NBER Working Papers 4025, National Bureau of Economic Research, Inc.
    183. Chung, Y. Peter & Hong, Hyun A. & Kim, S. Thomas, 2019. "What causes the asymmetric correlation in stock returns?," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 190-212.
    184. Missaka Warusawitharana, 2011. "The expected real return to equity," Finance and Economics Discussion Series 2011-14, Board of Governors of the Federal Reserve System (U.S.).
    185. Vassalou, Maria & Li, Qing & Xing, Yuhang, 2001. "An Investment-Growth Asset Pricing Model," CEPR Discussion Papers 3058, C.E.P.R. Discussion Papers.
    186. Claudio Campanale & Gian Luca Clementi & Rui Castro, 2008. "Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences," Working Papers. Serie AD 2008-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    187. Su, Xuan-Qi, 2016. "Does systematic distress risk drive the investment growth anomaly?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 240-248.
    188. Hui Guo, 2002. "Stock market returns, volatility, and future output," Review, Federal Reserve Bank of St. Louis, vol. 84(Sep), pages 75-86.
    189. Altieri, Michela & Schnitzler, Jan, 2023. "Quarterly investment spikes, stock returns, and the investment factor," Journal of Financial Markets, Elsevier, vol. 66(C).
    190. Anusha Chari & Jennifer S. Rhee, 2020. "The Return to Capital in Capital-Scarce Countries," NBER Working Papers 27675, National Bureau of Economic Research, Inc.
    191. Chue, Timothy K. & Xu, Jin Karen, 2022. "Profitability, asset investment, and aggregate stock returns," Journal of Banking & Finance, Elsevier, vol. 143(C).
    192. Gao, Lin & Hitzemann, Steffen & Shaliastovich, Ivan & Xu, Lai, 2022. "Oil volatility risk," Journal of Financial Economics, Elsevier, vol. 144(2), pages 456-491.
    193. Pujian Yang & Liu Yang, 2022. "Asset pricing and nominal price illusion in China," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-9, December.
    194. Hamed Ghanbari & Michael Oancea & Stylianos Perrakis, 2021. "Shedding light on a dark matter: Jump diffusion and option‐implied investor preferences," European Financial Management, European Financial Management Association, vol. 27(2), pages 244-286, March.
    195. Malliaropulos, Dimitrios, 1998. "International stock return differentials and real exchange rate changes," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 493-511, June.
    196. Piazzesi, Monika & Schneider, Martin & Tuzel, Selale, 2007. "Housing, consumption and asset pricing," Journal of Financial Economics, Elsevier, vol. 83(3), pages 531-569, March.
    197. Li, Jay Y. & Mauer, David C., 2016. "Financing uncertain growth," Journal of Corporate Finance, Elsevier, vol. 41(C), pages 241-261.
    198. John H. Cochrane, 2013. "Finance: Function Matters, Not Size," Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 29-50, Spring.
    199. Bakshi, Gurdip & Carr, Peter & Wu, Liuren, 2008. "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies," Journal of Financial Economics, Elsevier, vol. 87(1), pages 132-156, January.
    200. Victoria Atanasov & Stig V. Møller & Richard Priestley, 2020. "Consumption Fluctuations and Expected Returns," Journal of Finance, American Finance Association, vol. 75(3), pages 1677-1713, June.
    201. Keunbae Ahn, 2021. "Predictable Fluctuations in the Cross-Section and Time-Series of Asset Prices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2021.
    202. Li, Jun & Wang, Huijun & Yu, Jianfeng, 2018. "Aggregate Expected Investment Growth and Stock Market Returns," ADBI Working Papers 808, Asian Development Bank Institute.
    203. Francois Gourio, 2007. "Putty-Clay Technology And Stock Market Volatility," Boston University - Department of Economics - Working Papers Series WP2007-005, Boston University - Department of Economics.
    204. Angela J. Black & David G. McMillan, 2004. "Non‐linear Predictability of Value and Growth Stocks and Economic Activity," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(3‐4), pages 439-474, April.
    205. Dierkes, Maik & Germer, Stephan & Sejdiu, Vulnet, 2020. "Probability distortion, asset prices, and economic growth," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 84(C).
    206. Belo, Frederico & Yu, Jianfeng, 2013. "Government investment and the stock market," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 325-339.
    207. Ogden, Joseph P., 2003. "The calendar structure of risk and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 70(1), pages 29-67, October.
    208. Fang Xu, 2005. "Does Consumption-Wealth Ratio Signal Stock Returns? - VECM Results for Germany," Economics Bulletin, AccessEcon, vol. 3(30), pages 1-13.
    209. Jayetileke, Harshanie L. & Wang, You-Gan & Zhu, Min, 2021. "Predictive regression with p-lags and order-q autoregressive predictors," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 282-293.
    210. Chuan ‘Chewie’ Ang, Tze & Lam, F.Y. Eric C. & Ma, Tai & Wang, Shujing & Wei, K.C. John, 2019. "What is the real relationship between cash holdings and stock returns?," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 513-528.
    211. Kyungyeon (Rachel) Koh, 2020. "Revisiting the investment anomaly: Financing constraints or limits‐to‐arbitrage?," Review of Financial Economics, John Wiley & Sons, vol. 38(4), pages 655-673, October.
    212. José E. Boscá & Antonio Cutanda & Javier Escribá, 2006. "Efficiency in the provision of public and private capital in 15 OECD countries," Investigaciones Economicas, Fundación SEPI, vol. 30(2), pages 207-237, May.
    213. Sierimo, Carolina & Virén, Matti, 1995. "Financial factors and the macroeconomy," Bank of Finland Research Discussion Papers 34/1995, Bank of Finland.
    214. Valentin Haddad & Erik Loualiche & Matthew Plosser, 2016. "Buyout Activity: The Impact of Aggregate Discount Rates," NBER Working Papers 22414, National Bureau of Economic Research, Inc.
    215. Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc.
    216. Otto, Glenn D. & Voss, Graham M., 1998. "Is public capital provision efficient?," Journal of Monetary Economics, Elsevier, vol. 42(1), pages 47-66, June.
    217. Liu, Laura Xiaolei & Zhang, Lu, 2014. "A neoclassical interpretation of momentum," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 109-128.
    218. Ang, Tze Chuan 'Chewie' & Azad, A.S.M. Sohel & Pham, Thu A.T. & Zhong, Angel, 2021. "Firm efficiency and stock returns: Australian evidence," International Review of Financial Analysis, Elsevier, vol. 78(C).
    219. Li, Jun & Wang, Huijun & Yu, Jianfeng, 2021. "Aggregate expected investment growth and stock market returns," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 618-638.
    220. Jin Ginger Wu & Lu Zhang & X. Frank Zhang, 2007. "Understanding the Accrual Anomaly," NBER Working Papers 13525, National Bureau of Economic Research, Inc.
    221. Conover, C. Mitchell & Jensen, Gerald R. & Johnson, Robert R., 1999. "Monetary environments and international stock returns," Journal of Banking & Finance, Elsevier, vol. 23(9), pages 1357-1381, September.
    222. Ralph Chami & Thomas F. Cosimano & Connel Fullenkamp, 2001. "Capital Trading, Stock Trading, and the Inflation Tax on Equity," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(3), pages 575-606, July.
    223. Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2017. "The Economics of Value Investing," NBER Working Papers 23563, National Bureau of Economic Research, Inc.
    224. Ball, Ray & Sadka, Gil, 2015. "Aggregate earnings and why they matter," Journal of Accounting Literature, Elsevier, vol. 34(C), pages 39-57.
    225. Belo, Frederico & Lin, Xiaoji & Vitorino, Maria Ana, 2013. "Brand Capital and Firm Value," Working Paper Series 2013-04, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    226. Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
    227. da Costa, Carlos E. & Issler, João V. & Matos, Paulo F., 2015. "A Note On The Forward And The Equity Premium Puzzles: Two Symptoms Of The Same Illness?," Macroeconomic Dynamics, Cambridge University Press, vol. 19(2), pages 446-464, March.
    228. Dunbar, Geoffrey, 2013. "Returns-to-scale and the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1736-1754.
    229. Eisfeldt, Andrea L. & Muir, Tyler, 2016. "Aggregate external financing and savings waves," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 116-133.
    230. de Oliveira Souza, Thiago, 2019. "A critique of momentum anomalies," Discussion Papers on Economics 5/2019, University of Southern Denmark, Department of Economics.
    231. Huang, Dayong & Wang, Fang, 2009. "Cash, investments and asset returns," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2301-2311, December.
    232. Doukakis, Leonidas C. & Papanastasopoulos, Georgios A., 2014. "The accrual anomaly in the U.K. stock market: Implications of growth and accounting distortions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 256-277.
    233. Adriana S. Cordis & Chris Kirby, 2017. "Capital expenditures and firm performance: evidence from a cross†sectional analysis of stock returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(4), pages 1019-1042, December.
    234. Yufeng Han, 2010. "On the Economic Value of Return Predictability," Annals of Economics and Finance, Society for AEF, vol. 11(1), pages 1-33, May.
    235. Qiang Kang, 2019. "Business-cycle pattern of asset returns: a general equilibrium explanation," Annals of Finance, Springer, vol. 15(4), pages 539-561, December.
    236. Pierlauro Lopez, 2017. "Online Appendix to "A New Keynesian Q Theory and the Link Between Inflation and the Stock Market"," Online Appendices 16-134, Review of Economic Dynamics.
    237. Lettau, Martin & Ludvigson, Sydney, 2002. "Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 31-66, January.
    238. McMillan, David G., 2007. "Non-linear forecasting of stock returns: Does volume help?," International Journal of Forecasting, Elsevier, vol. 23(1), pages 115-126.
    239. Hirshleifer, David & Li, Jun & Yu, Jianfeng, 2015. "Asset pricing in production economies with extrapolative expectations," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 87-106.
    240. Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Single stock call options as lottery tickets," CFS Working Paper Series 566, Center for Financial Studies (CFS).
    241. Dell'Aquila, Rosario & Ronchetti, Elvezio, 2006. "Stock and bond return predictability: the discrimination power of model selection criteria," Computational Statistics & Data Analysis, Elsevier, vol. 50(6), pages 1478-1495, March.
    242. Christian Walkshäusl & Sebastian Lobe, 2014. "The Alternative Three†Factor Model: An Alternative beyond US Markets?," European Financial Management, European Financial Management Association, vol. 20(1), pages 33-70, January.
    243. Ranko Jelic & Richard Briston & Chris Mallin, 1999. "Gambling Banks and Firm Financing in Transition Economies," Multinational Finance Journal, Multinational Finance Journal, vol. 3(4), pages 253-282, December.
    244. Menzie D. Chinn & Michael LeBlanc & Olivier Coibion, 2005. "The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline," NBER Working Papers 11033, National Bureau of Economic Research, Inc.
    245. Li, Keming, 2018. "Innovation externalities and the customer/supplier link," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 101-112.
    246. Yang, Fan, 2013. "Investment shocks and the commodity basis spread," Journal of Financial Economics, Elsevier, vol. 110(1), pages 164-184.
    247. Lam, F.Y. Eric C. & Wei, K.C. John, 2011. "Limits-to-arbitrage, investment frictions, and the asset growth anomaly," Journal of Financial Economics, Elsevier, vol. 102(1), pages 127-149, October.
    248. Luo, Shikong & Yan, Xinyan & Yang, Haoyi, 2021. "Let’s take a smooth break: Stock return predictability revisited," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 300-314.
    249. Klein, B. D. & Rossin, D. F., 1999. "Data quality in neural network models: effect of error rate and magnitude of error on predictive accuracy," Omega, Elsevier, vol. 27(5), pages 569-582, October.
    250. Ghossoub, Edgar A. & Reed, Robert R., 2014. "The cost of capital, asset prices, and the effects of monetary policy," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 211-228.
    251. Lars-Alexander Kuehn, 2007. "Time-to-Build and Asset Prices," 2007 Meeting Papers 1015, Society for Economic Dynamics.
    252. Christopher Polk & Paola Sapienza, 2004. "The Real Effects of Investor Sentiment," NBER Working Papers 10563, National Bureau of Economic Research, Inc.
    253. Anderson, Evan W. & Brock, William, 2021. "Logarithmic depreciation," Economic Modelling, Elsevier, vol. 101(C).
    254. Belo, Frederico & Gala, Vito D. & Salomao, Juliana & Vitorino, Maria Ana, 2022. "Decomposing firm value," Journal of Financial Economics, Elsevier, vol. 143(2), pages 619-639.
    255. Yashiv, Eran, 2012. "Frictions and the Joint Behavior of Hiring and Investment," IZA Discussion Papers 6636, Institute of Labor Economics (IZA).
    256. Frederico Belo & Vito Gala & Juliana Salomao & Maria Ana Vitorino, 2019. "Decomposing Firm Value," NBER Working Papers 26112, National Bureau of Economic Research, Inc.
    257. Belo, Frederico, 2010. "Production-based measures of risk for asset pricing," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 146-163, March.
    258. Yu, Lin & Liu, Xiaoquan & Fung, Hung-Gay & Leung, Wai Kin, 2020. "Size and value effects in high-tech industries: The role of R&D investment," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    259. Warwick J McKibbin & Peter J Wilcoxen, 1997. "Macroeconomic Volatility In General Equilibrium," Departmental Working Papers 1998-07, The Australian National University, Arndt-Corden Department of Economics, revised Jun 1998.
    260. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, October.
    261. Fama, Eugene F. & French, Kenneth R., 2018. "Choosing factors," Journal of Financial Economics, Elsevier, vol. 128(2), pages 234-252.
    262. Ray Ball & Gil Sadka & Ayung Tseng, 2022. "Using accounting earnings and aggregate economic indicators to estimate firm-level systematic risk," Review of Accounting Studies, Springer, vol. 27(2), pages 607-646, June.
    263. Peng, Yajun & Shawky, Hany, 1997. "Productivity shocks and capital asset pricing," International Review of Economics & Finance, Elsevier, vol. 6(3), pages 303-316.
    264. Laura Xiaolei Liu & Lu Zhang, 2011. "A Model of Momentum," NBER Working Papers 16747, National Bureau of Economic Research, Inc.
    265. Liu, Yang, 2023. "Government debt and risk premia," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 18-34.
    266. Chen, Jia & Xu, Xin & Yao, Tong, 2023. "Capital mobility and the long-run return–risk trade-offs of industry portfolios," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 123-143.
    267. Eisfeldt, Andrea L. & Rampini, Adriano A., 2007. "New or used? Investment with credit constraints," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2656-2681, November.
    268. Garlappi, Lorenzo & Song, Zhongzhi, 2017. "Capital utilization, market power, and the pricing of investment shocks," Journal of Financial Economics, Elsevier, vol. 126(3), pages 447-470.
    269. Victor Duarte & Diogo Duarte & Dejanir H. Silva, 2024. "Machine Learning for Continuous-Time Finance," CESifo Working Paper Series 10909, CESifo.
    270. Niels Joachim Gormsen & Eben Lazarus, 2023. "Duration‐Driven Returns," Journal of Finance, American Finance Association, vol. 78(3), pages 1393-1447, June.
    271. Huseyin Gulen & Yuhang Xing & Lu Zhang, 2011. "Value versus Growth: Time‐Varying Expected Stock Returns," Financial Management, Financial Management Association International, vol. 40(2), pages 381-407, June.
    272. Gomes, Francisco & Michaelides, Alexander, 2005. "Asset pricing with limited risk sharing and heterogeneous agents," LSE Research Online Documents on Economics 24649, London School of Economics and Political Science, LSE Library.
    273. Jun Li, 2019. "Explaining Momentum and Value Simultaneously," Management Science, INFORMS, vol. 64(9), pages 4239-4260, September.
    274. Dison, Will & Theodoridis, Konstantinos, 2017. "Do macro shocks matter for equities?," Bank of England working papers 692, Bank of England.
    275. Jiang, Fuwei & Qi, Xinlin & Tang, Guohao, 2018. "Q-theory, mispricing, and profitability premium: Evidence from China," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 135-149.
    276. Chen, Sheng-Syan & Chen, Yan-Shing & Liang, Woan-lih & Wang, Yanzhi, 2020. "Public R&D spending and cross-sectional stock returns," Research Policy, Elsevier, vol. 49(1).
    277. Simon Price & Christoph Schleicher, 2006. "Returns to equity, investment and Q: evidence from the United Kingdom," Bank of England working papers 310, Bank of England.
    278. Christian Pedersen & Stephen Satchell, 2003. "Can NN-algorithms and macroeconomic data improve OLS industry returns forecasts?," The European Journal of Finance, Taylor & Francis Journals, vol. 9(3), pages 273-289.
    279. Shaun Bond & Chen Xue, 2017. "The Cross Section of Expected Real Estate Returns: Insights from Investment-Based Asset Pricing," The Journal of Real Estate Finance and Economics, Springer, vol. 54(3), pages 403-428, April.
    280. Huang, Yuan & Lam, F.Y. Eric C. & Wei, K.C. John, 2014. "The q-theory explanation for the external financing effect: New evidence," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 69-81.
    281. Chinn, Menzie D., 2006. "The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 7-21, February.
    282. Suzuki, Kazuyuki & Chida, Ryokichi, 2017. "Contribution of R&D capital to differences in Tobin's q among Japanese manufacturing firms: Evidence from an investment-based asset pricing model," Journal of the Japanese and International Economies, Elsevier, vol. 43(C), pages 38-58.
    283. Michael Nwogugu, 2020. "Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences," Papers 2005.01709, arXiv.org.
    284. Hui Guo & Buhui Qiu, 2023. "Conditional Equity Premium and Aggregate Corporate Investment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(1), pages 251-295, February.
    285. Huang, Alan Guoming & Sun, Kevin Jialin, 2019. "Equity financing restrictions and the asset growth effect: International vs. Asian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    286. Anindya Biswas, 2014. "The output gap and expected security returns," Review of Financial Economics, John Wiley & Sons, vol. 23(3), pages 131-140, September.
    287. Zhiwei XU & Yi Wen & pengfei Wang, 2013. "Two-Way Capital Flows and Global Imbalances: A Neoclassical Approach," 2013 Meeting Papers 406, Society for Economic Dynamics.
    288. Ho, Sin-Yu, 2017. "The Macroeconomic Determinants of Stock Market Development: Evidence from South Africa," MPRA Paper 76493, University Library of Munich, Germany.
    289. Andrew Detzel & Philipp Schaberl & Jack Strauss, 2018. "There are two very different accruals anomalies," European Financial Management, European Financial Management Association, vol. 24(4), pages 581-609, September.
    290. Biswas, Anindya, 2014. "The output gap and expected security returns," Review of Financial Economics, Elsevier, vol. 23(3), pages 131-140.
    291. Paye, Bradley S., 2012. "‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables," Journal of Financial Economics, Elsevier, vol. 106(3), pages 527-546.
    292. Peter Woehrmann & Willi Semmler & Martin Lettau, "undated". "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
    293. Ronald J. Balvers & Li Gu & Dayong Huang, 2017. "Profitability, Value, and Stock Returns in Production‐Based Asset Pricing without Frictions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(7), pages 1621-1651, October.
    294. Toshihiro Ihori & Hiroki Kondo, 2000. "Efficiency of Disaggregate Public Capital Provision in Japan," CIRJE F-Series CIRJE-F-75, CIRJE, Faculty of Economics, University of Tokyo.
    295. Robert Chambers & John Quiggin, 2010. "Cost minimization and the stochastic discount factor," Annals of Operations Research, Springer, vol. 176(1), pages 349-368, April.
    296. Choy, Siu Kai & Lewis, Craig & Tan, Yongxian, 2023. "Can the changes in fundamentals explain the attenuation of anomalies?," Journal of Financial Economics, Elsevier, vol. 149(2), pages 142-160.
    297. Maria Ana Vitorino, 2014. "Understanding the Effect of Advertising on Stock Returns and Firm Value: Theory and Evidence from a Structural Model," Management Science, INFORMS, vol. 60(1), pages 227-245, January.
    298. Diaz, Juan & Duarte, Diogo & Galindo, Hamilton & Montecinos, Alexis & Truffa, Santiago, 2021. "The importance of large shocks to return predictability," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    299. Robert E. Hall, 2000. "E-Capital: The Link between the Stock Market and the Labor Market in the 1990s," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 31(2), pages 73-118.
    300. Lin, Qi, 2021. "The q5 model and its consistency with the intertemporal CAPM," Journal of Banking & Finance, Elsevier, vol. 127(C).
    301. Rangvid, Jesper, 2006. "Output and expected returns," Journal of Financial Economics, Elsevier, vol. 81(3), pages 595-624, September.
    302. Lewis, Craig M. & Tan, Yongxian, 2016. "Debt-equity choices, R&D investment and market timing," Journal of Financial Economics, Elsevier, vol. 119(3), pages 599-610.
    303. Rocciolo, Francesco & Gheno, Andrea & Brooks, Chris, 2022. "Explaining abnormal returns in stock markets: An alpha-neutral version of the CAPM," International Review of Financial Analysis, Elsevier, vol. 82(C).
    304. Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2019. "Financial Market Risk Perceptions and the Macroeconomy," NBER Working Papers 26290, National Bureau of Economic Research, Inc.
    305. Bakshi, Gurdip S. & Chen, Zhiwu & Naka, Atsuyuki, 1995. "Production-based asset pricing in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 217-240, July.
    306. Huang, Lin & Wang, Zijun, 2014. "Is the investment factor a proxy for time-varying investment opportunities? The US and international evidence," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 219-232.
    307. Fabian T. Lutzenberger, 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, John Wiley & Sons, vol. 23(3), pages 120-130, September.
    308. Po‐Hsuan Hsu & Huijun Wang & Wei Yang, 2022. "General Purpose Technologies as Systematic Risk in Global Stock Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(5), pages 1141-1173, August.
    309. Parantap Basu, 2009. "Understanding Labour Market Frictions: An Asset Pricing Approach," Bulletin of Economic Research, Wiley Blackwell, vol. 61(4), pages 305-324, October.
    310. Hui Guo & Xiaowen Jiang, 2011. "Accruals and the Conditional Equity Premium," Journal of Accounting Research, Wiley Blackwell, vol. 49(1), pages 187-221, March.
    311. Cécile Carpentier & Jean-François L’Her & Jean-Marc Suret, 2013. "Private investment in small public entities," Small Business Economics, Springer, vol. 41(1), pages 149-168, June.
    312. François-Éric Racicot & Raymond Théoret, 2016. "The q-factor model and the redundancy of the value factor: An application to hedge funds," Journal of Asset Management, Palgrave Macmillan, vol. 17(7), pages 526-539, December.
    313. Galicia-Sanguino, Lucía & Rojo-Suárez, Javier & Alonso-Conde, Ana B. & López-Pérez, M. Victoria, 2021. "Trade integration and research and development investment as a proxy for idiosyncratic risk in the cross-section of stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    314. Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2014. "Which Factors?," NBER Working Papers 20682, National Bureau of Economic Research, Inc.
    315. Dou, Winston Wei & Ji, Yan & Wu, Wei, 2021. "Competition, profitability, and discount rates," Journal of Financial Economics, Elsevier, vol. 140(2), pages 582-620.
    316. Antonio Salvi & Emanuele Teti & Anastasia Giakoumelou, 2021. "The Relationship between LBOs, IPOs and Market Risk Premium: An Empirical Analysis of the European Market," International Journal of Business and Management, Canadian Center of Science and Education, vol. 14(7), pages 160-160, July.
    317. David, Joel M. & Schmid, Lukas & Zeke, David, 2022. "Risk-adjusted capital allocation and misallocation," Journal of Financial Economics, Elsevier, vol. 145(3), pages 684-705.
    318. Ang, Tze Chuan ‘Chewie’ & Lam, F.Y. Eric C. & Wei, K.C. John, 2020. "Mispricing firm-level productivity," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 139-163.
    319. Miguel Palacios, 2010. "Human Capital as an Asset Class: Implications from a General Equilibrium Model," Working Papers 2011-016, Human Capital and Economic Opportunity Working Group.
    320. Joel David, 2018. "Misallocation or Risk-Adjusted Capital Allocation?," 2018 Meeting Papers 323, Society for Economic Dynamics.
    321. Bakshi, Gurdip & Panayotov, George & Skoulakis, Georgios, 2011. "Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios," Journal of Financial Economics, Elsevier, vol. 100(3), pages 475-495, June.
    322. Wang, Zhi, 2000. "Production-based asset pricing: a cross-industry study," ISU General Staff Papers 2000010108000013294, Iowa State University, Department of Economics.
    323. Chen, Jia & Gao, Ya-Chun & Li, Qiang & Zeng, Yong, 2020. "Cash holdings, M&A decision and risk premium," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    324. Ray Ball & Gil Sadka & Ronnie Sadka, 2009. "Aggregate Earnings and Asset Prices," Journal of Accounting Research, Wiley Blackwell, vol. 47(5), pages 1097-1133, December.
    325. Frederico Belo & Xiaoji Lin & Maria Ana Vitorino, 2013. "Online Appendix to "Brand Capital and Firm Value"," Online Appendices 12-71, Review of Economic Dynamics.
    326. Kasa, Kenneth, 1997. "Consumption-based versus production-based models of international equity markets," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 653-680, September.
    327. Gebka, Bartosz & Wohar, Mark E., 2019. "Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 1-25.
    328. Simon Price & Christoph Schleicher, 2005. "Returns To Equity, Investment And Q: Evidence From The Uk," Manchester School, University of Manchester, vol. 73(s1), pages 32-57, September.
    329. Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society.
    330. Chen, Zhanhui, 2016. "Time-to-produce, inventory, and asset prices," Journal of Financial Economics, Elsevier, vol. 120(2), pages 330-345.
    331. Quadri, Syed & Masih, Mansur, 2017. "Granger-causality between macroeconomic variables and stock market index: evidence from India," MPRA Paper 110304, University Library of Munich, Germany.
    332. Badiea Shaukat & Qigui Zhu, 2021. "Finance and growth: Particular role of Zakat to levitate development in transition economies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 998-1017, January.
    333. Fromentin, Vincent, 2022. "Time-varying causality between stock prices and macroeconomic fundamentals: Connection or disconnection?," Finance Research Letters, Elsevier, vol. 49(C).
    334. Jegadeesh, Narasimhan & Noh, Joonki & Pukthuanthong, Kuntara & Roll, Richard & Wang, Junbo, 2019. "Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation," Journal of Financial Economics, Elsevier, vol. 133(2), pages 273-298.
    335. Valery Polkovnichenko & Alexander Michaelides & Francisco Gomes, 2007. "Fiscal Policy, Asset Pricing and Economic Activity in a Savers-Spenders Economy," 2007 Meeting Papers 191, Society for Economic Dynamics.
    336. Andrea L. Eisfeldt & Tyler Muir, 2014. "Aggregate External Financing and Savings Waves," NBER Working Papers 20442, National Bureau of Economic Research, Inc.
    337. David G. McMillan, 2003. "Non‐linear Predictability of UK Stock Market Returns," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 557-573, December.
    338. Vichet Sum, 2015. "Can firms with the best training program withstand the storm of economic policy uncertainty?," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 16(1), pages 206-213, February.
    339. N Aslanidis & D R Osborn & M Sensier, 2003. "Explaining Movements in UK Stock Prices: How Important is the US Market?," Economics Discussion Paper Series 0305, Economics, The University of Manchester.
    340. Michael Barnett & William Brock & Lars Peter Hansen & Ruimeng Hu & Joseph Huang, 2023. "A Deep Learning Analysis of Climate Change, Innovation, and Uncertainty," Papers 2310.13200, arXiv.org.
    341. Laura Xiaolei Liu & Toni M. Whited & Lu Zhang, 2009. "Investment-Based Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 117(6), pages 1105-1139, December.
    342. Kogan, Leonid, 2004. "Asset prices and real investment," Journal of Financial Economics, Elsevier, vol. 73(3), pages 411-431, September.
    343. H. Youn Kim, 2003. "Intertemporal production and asset pricing: a duality approach," Oxford Economic Papers, Oxford University Press, vol. 55(2), pages 344-379, April.
    344. Po-Hsuan Hsu & Hsiao-Hui Lee & Tong Zhou, 2022. "Patent Thickets, Stock Returns, and Conditional CAPM," Management Science, INFORMS, vol. 68(11), pages 8343-8367, November.
    345. Kroencke, Tim A. & Schindler, Felix & Sebastian, Steffen & Theissen, Erik, 2013. "GDP mimicking portfolios and the cross-section of stock returns," ZEW Discussion Papers 13-026, ZEW - Leibniz Centre for European Economic Research.
    346. Andrei S. Gonçalves & Chen Xue & Lu Zhang, 2017. "Does the Investment Model Explain Value and Momentum Simultaneously?," NBER Working Papers 23910, National Bureau of Economic Research, Inc.
    347. Yu Chen & Thomas Cosimano & Alex Himonas & Peter Kelly, 2014. "An Analytic Approach for Stochastic Differential Utility for Endowment and Production Economies," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 397-443, December.
    348. Warusawitharana, Missaka, 2013. "The expected real return to equity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1929-1946.
    349. Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, C.E.P.R. Discussion Papers.
    350. Cho, Sungjun, 2013. "New return anomalies and new-Keynesian ICAPM," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 87-106.
    351. Atanasov, Victoria, 2018. "World output gap and global stock returns," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 181-197.
    352. Casey B. Mulligan, 2003. "Capital Tax Incidence: Fisherian Impressions from the Time Series," NBER Working Papers 9916, National Bureau of Economic Research, Inc.
    353. Filippo Ippolito & Alessandro Villa, 2022. "Levered Returns and Capital Structure Imbalances," Working Paper Series WP 2022-42, Federal Reserve Bank of Chicago.
    354. Roberto Steri, 2015. "Collateral-Based Asset Pricing," 2015 Meeting Papers 293, Society for Economic Dynamics.
    355. Lou, Dong, 2013. "Attracting investor attention through advertising," LSE Research Online Documents on Economics 54382, London School of Economics and Political Science, LSE Library.
    356. Anilowski, Carol & Feng, Mei & Skinner, Douglas J., 2007. "Does earnings guidance affect market returns? The nature and information content of aggregate earnings guidance," Journal of Accounting and Economics, Elsevier, vol. 44(1-2), pages 36-63, September.
    357. Alexakis C. & Xanthakis E., 2003. "Market Trend, Company Size and Microstructure Characteristics of Intraday Stock Price Formations," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 81-96, January -.
    358. Toni M. Whited & Lu Zhang, 2006. "Testing the q-Theory of Anomalies," 2006 Meeting Papers 380, Society for Economic Dynamics.
    359. Kothari, Pratik & O’Doherty, Michael S., 2023. "Job postings and aggregate stock returns," Journal of Financial Markets, Elsevier, vol. 64(C).
    360. Yi-Cheng Shih & Sheng-Syan Chen & Cheng-Few Lee & Po-Jung Chen, 2014. "The evolution of capital asset pricing models," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 415-448, April.
    361. Long Chen & Zhi Da & Borja Larrain, 2016. "What Moves Investment Growth?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(8), pages 1613-1653, December.
    362. Im, Hyun Joong & Park, Heungju, 2020. "Lumpy investment and expected stock returns," Economics Letters, Elsevier, vol. 193(C).
    363. Mansor Ibrahim & Abdullahi Ahmed, 2013. "Stock Market and Aggregate Investment Behavior in Malaysia: An Empirical Analysis," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 20(2), pages 265-284, October.
    364. Emanuel Kopp, 2018. "Determinants of U.S. Business Investment," IMF Working Papers 2018/139, International Monetary Fund.
    365. Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
    366. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Bonsu, Christiana Osei & Karikari, Nana Kwasi & Hammoudeh, Shawkat, 2022. "The effects of public sentiments and feelings on stock market behavior: Evidence from Australia," Journal of Economic Behavior & Organization, Elsevier, vol. 193(C), pages 443-472.
    367. Mikhail Simutin & JessieJiaxu Wang & Lars Kuehn, 2014. "A Labor Capital Asset Pricing Model," 2014 Meeting Papers 695, Society for Economic Dynamics.
    368. Agnirup Sarkar, 2020. "Market capitalization and growth with nominal and real rigidities: the case of emerging economies," Indian Economic Review, Springer, vol. 55(2), pages 165-198, December.
    369. Lipson, Marc L. & Mortal, Sandra & Schill, Michael J., 2011. "On the Scope and Drivers of the Asset Growth Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(6), pages 1651-1682, December.
    370. Nektarios Aslanidis & Denise Osborn & Marianne Sensier, 2003. "Explaining movements in UK stock prices:," Working Papers 0302, University of Crete, Department of Economics.
    371. Rong, Yuen & Tian, Cunzhi & Li, Lifang & Zheng, Xinwei, 2020. "Labor hiring and stock return: A model and new evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
    372. Chou, De-Wai & Gombola, Michael & Liu, Feng-Ying, 2009. "Long-run underperformance following private equity placements: The role of growth opportunities," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1113-1128, August.
    373. Matti Keloharju & Juhani T. Linnainmaa & Peter Nyberg, 2019. "Long-Term Discount Rates Do Not Vary Across Firms," NBER Working Papers 25579, National Bureau of Economic Research, Inc.
    374. Kido, Yosuke, 2018. "The transmission of US economic policy uncertainty shocks to Asian and global financial markets," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 222-231.
    375. Tyler Muir, 2017. "Financial Crises and Risk Premia," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(2), pages 765-809.
    376. Pawel Bilinski & Norman Strong, 2013. "Managers’ Private Information, Investor Underreaction and Long†Run SEO Performance," European Financial Management, European Financial Management Association, vol. 19(5), pages 956-990, November.
    377. Sarantis Tsiaplias, 2007. "The Macroeconomic Content of Equity Market Factors," Melbourne Institute Working Paper Series wp2007n23, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    378. Lin, Xiaoji & Zhang, Lu, 2011. "Covariances versus Characteristics in General Equilibrium," Working Paper Series 2011-15, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    379. R. Gopinathan & S. Raja Sethu Durai, 2019. "Stock market and macroeconomic variables: new evidence from India," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-17, December.
    380. Najeeb, Faiq & Masih, Mansur, 2016. "Macroeconomic variables and stock returns: evidence from Singapore," MPRA Paper 98778, University Library of Munich, Germany.
    381. Hirshleifer, David & Hsu, Po-Hsuan & Li, Dongmei, 2013. "Innovative efficiency and stock returns," Journal of Financial Economics, Elsevier, vol. 107(3), pages 632-654.
    382. Hoechle, Daniel & Karthaus, Larissa & Schmid, Markus, 2017. "The Long-Term Performance of IPO’s, Revisited," Working Papers on Finance 1706, University of St. Gallen, School of Finance.
    383. Christopher B. Branston & Nicolaas Groenewold, 2003. "Investment and Share Prices: Fundamental versus Speculative Components," Economics Discussion / Working Papers 03-18, The University of Western Australia, Department of Economics.
    384. Jin (Ginger) Wu & Lu Zhang & X. Frank Zhang, 2010. "The q‐Theory Approach to Understanding the Accrual Anomaly," Journal of Accounting Research, Wiley Blackwell, vol. 48(1), pages 177-223, March.
    385. Nasseh, Alireza & Strauss, Jack, 2000. "Stock prices and domestic and international macroeconomic activity: a cointegration approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 229-245.
    386. Kim, H. Youn, 2014. "International financial integration and risk sharing among countries: A production-based approach," Journal of the Japanese and International Economies, Elsevier, vol. 31(C), pages 16-35.
    387. Francois Gourio, 2005. "Operating Leverage, Stock Market Cyclicality, and the Cross-Section of Returns," 2005 Meeting Papers 66, Society for Economic Dynamics.
    388. Zarifhonarvar, Ali, 2023. "The Capital Asset Pricing Model: A New Empirical Investigation," EconStor Preprints 268396, ZBW - Leibniz Information Centre for Economics.
    389. Hori, Keiichi, 1997. "Japanese stock returns and investment: A test of production-based asset pricing model," Japan and the World Economy, Elsevier, vol. 9(1), pages 37-56, March.
    390. Stig V. Møller & Jesper Rangvid, 2012. "End-of-the-year economic growth and time-varying expected returns," CREATES Research Papers 2012-42, Department of Economics and Business Economics, Aarhus University.
    391. Diego Comin & Ana Maria Santacreu & Mark Gertler & Phuong Ngo, 2018. "Stock Price Fluctuations and Productivity Growth," 2018 Meeting Papers 1147, Society for Economic Dynamics.
    392. Menzie D. Chinn & Saad Quayyum, 2012. "Long Horizon Uncovered Interest Parity Re-Assessed," NBER Working Papers 18482, National Bureau of Economic Research, Inc.
    393. Wang, Qiao & Balvers, Ronald, 2021. "Determinants and predictability of commodity producer returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
    394. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
    395. Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.
    396. Kais Bouslah & Lawrence Kryzanowski & Bouchra M’Zali, 2018. "Social Performance and Firm Risk: Impact of the Financial Crisis," Journal of Business Ethics, Springer, vol. 149(3), pages 643-669, May.
    397. Cuthbertson, Keith & Hayes, Simon & Nitzsche, Dirk, 1999. "Explaining movements in UK stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 1-19.
    398. Eric Jondeau & Michael Rockinger, 2019. "Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(8), pages 2239-2291, December.
    399. Watanabe, Akiko & Xu, Yan & Yao, Tong & Yu, Tong, 2013. "The asset growth effect: Insights from international equity markets," Journal of Financial Economics, Elsevier, vol. 108(2), pages 529-563.
    400. Haibin Xie & Shouyang Wang, 2018. "Timing the market: the economic value of price extremes," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-24, December.
    401. Penman, Stephen & Zhu, Julie, 2022. "An accounting-based asset pricing model and a fundamental factor," Journal of Accounting and Economics, Elsevier, vol. 73(2).
    402. Eiji Goto, 2020. "Industry Impacts of Unconventional Monetary Policy," 2020 Papers pgo873, Job Market Papers.
    403. Hsu, Po-Hsuan & Huang, Dayong, 2010. "Technology prospects and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 39-53, January.
    404. Frederico Belo & Chen Xue & Lu Zhang, 2013. "A Supply Approach to Valuation," The Review of Financial Studies, Society for Financial Studies, vol. 26(12), pages 3029-3067.
    405. Vichet Sum, 2013. "The ASEAN Stock Market Performance and Economic Policy Uncertainty in the United States," Economic Papers, The Economic Society of Australia, vol. 32(4), pages 512-521, December.
    406. Simlai, Prodosh E., 2016. "Time-varying risk, mispricing attributes, and the accrual premium," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 150-161.
    407. Parastoo Mousavi, 2021. "Debt-by-Price Ratio, End-of-Year Economic Growth, and Long-Term Prediction of Stock Returns," Mathematics, MDPI, vol. 9(13), pages 1-18, July.

  42. Cochrane, John H., 1991. "The response of consumption to income: A Cross-Country investigation : by J.Y. Campbell and N.G. Mankiw why test the permanent income hypothesis?," European Economic Review, Elsevier, vol. 35(4), pages 757-764, May.

    Cited by:

    1. Ebadi Esmaeil & Are Wasiu, 2023. "Reinvestigating the U.S. Consumption Function: A Nonlinear Autoregressive Distributed Lags Approach," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 17(1), pages 1-22, January.
    2. Kohei Kubota & Mototsugu Fukushige, 2009. "Rational Consumers," Discussion Papers in Economics and Business 09-15-Rev, Osaka University, Graduate School of Economics, revised Jun 2011.
    3. Özbilgin, H. Murat, 2010. "Financial market participation and the developing country business cycle," Journal of Development Economics, Elsevier, vol. 92(2), pages 125-137, July.
    4. Wang, Chong & Wang, Neng & Yang, Jinqiang, 2016. "Optimal consumption and savings with stochastic income and recursive utility," Journal of Economic Theory, Elsevier, vol. 165(C), pages 292-331.
    5. Marianne Baxter & Urban J. Jermann, 1999. "Household Production and the Excess Sensitivity of Consumption to Current Income," NBER Working Papers 7046, National Bureau of Economic Research, Inc.
    6. Mathias Dolls & Clemens Fuest & Andreas Peichl, 2010. "Wie wirken die automatischen Stabilisatoren in der Wirtschaftskrise? Deutschland im Vergleich zu anderen EU‐Staaten und den USA," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 11(2), pages 132-145, May.

  43. Cochrane, John H., 1991. "Volatility tests and efficient markets : A review essay," Journal of Monetary Economics, Elsevier, vol. 27(3), pages 463-485, June.
    See citations under working paper version above.
  44. Cochrane, John H, 1991. "A Simple Test of Consumption Insurance," Journal of Political Economy, University of Chicago Press, vol. 99(5), pages 957-976, October.

    Cited by:

    1. De Weerdt, Joachim & Dercon, Stefan, 2006. "Risk-sharing networks and insurance against illness," Journal of Development Economics, Elsevier, vol. 81(2), pages 337-356, December.
    2. Mr. Daehaeng Kim & Chul-In Lee, 2007. "Government Size and Intersectoral Income Fluctuation: An International Panel Analysis," IMF Working Papers 2007/093, International Monetary Fund.
    3. Mankart, Jochen & Oikonomou, Rigas, 2015. "Household search and the aggregate labor market," Discussion Papers 26/2015, Deutsche Bundesbank.
    4. Emla Fitzsimons & Bansi Malde & Marcos Vera-Hernandez, 2016. "Spillovers of community based health interventions on consumption smoothing," IFS Working Papers W16/18, Institute for Fiscal Studies.
    5. Karen K. Lewis, 1995. "What Can Explain the Apparent Lack of International Consumption Risk Sharing?," NBER Working Papers 5203, National Bureau of Economic Research, Inc.
    6. Hanno Lustig, 2004. "Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance," UCLA Economics Online Papers 300, UCLA Department of Economics.
    7. Akyol, Ahmet & Athreya, Kartik, 2005. "Risky higher education and subsidies," Journal of Economic Dynamics and Control, Elsevier, vol. 29(6), pages 979-1023, June.
    8. Jaramillo, Fernando & Kempf, Hubert & Moizeau, Fabien, 2015. "Heterogeneity and the formation of risk-sharing coalitions," Journal of Development Economics, Elsevier, vol. 114(C), pages 79-96.
    9. Heaton, John & Lucas, Deborah, 1995. "The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 42(1), pages 1-32, June.
    10. Lewis, Karen K. & Liu, Edith X., 2017. "Disaster risk and asset returns: An international perspective," Journal of International Economics, Elsevier, vol. 108(S1), pages 42-58.
    11. James X. Sullivan, 2006. "Welfare Reform, Saving, and Vehicle Ownership: Do Asset Limits and Vehicle Exemptions Matter?," Journal of Human Resources, University of Wisconsin Press, vol. 41(1).
    12. Asfaw, Abay & von Braun, Joachim, 2004. "Is Consumption Insured against Illness? Evidence on Vulnerability of Households to Health Shocks in Rural Ethiopia," Economic Development and Cultural Change, University of Chicago Press, vol. 53(1), pages 115-129, October.
    13. Jonathan Heathcote & Kjetil Storesletten & Giovanni L. Violante, 2014. "Optimal Tax Progressivity: An Analytical Framework," Staff Report 496, Federal Reserve Bank of Minneapolis.
    14. Hanno Lustig & Stijn Van Nieuwerburgh, 2003. "Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective," NBER Working Papers 9959, National Bureau of Economic Research, Inc.
    15. Haseeb Ahmed & Benjamin W. Cowan, 2019. "Mobile Money and Healthcare Use: Evidence from East Africa," NBER Working Papers 25669, National Bureau of Economic Research, Inc.
    16. Lawrence Christiano & Mathias Trabandt & Karl Walentin, 2021. "Involuntary Unemployment and the Business Cycle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 39, pages 26-54, January.
    17. Santos, Tano & Veronesi, Pietro, 2022. "Leverage," Journal of Financial Economics, Elsevier, vol. 145(2), pages 362-386.
    18. Attanasio, Orazio P & Weber, Guglielmo, 1995. "Is Consumption Growth Consistent with Intertemporal Optimization? Evidence from the Consumer Expenditure Survey," Journal of Political Economy, University of Chicago Press, vol. 103(6), pages 1121-1157, December.
    19. Jüßen, Falko, 2006. "Interregional Risk Sharing and Fiscal Redistribution in Reunified Germany," Technical Reports 2006,40, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    20. Jie Li & Quanyun Song & Yu Wu & Bihong Huang, 2021. "The effects of online consumer credit on household consumption level and structure: Evidence from China," Journal of Consumer Affairs, Wiley Blackwell, vol. 55(4), pages 1614-1632, December.
    21. Givens, Gregory E., 2011. "Unemployment insurance in a sticky-price model with worker moral hazard," Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1192-1214, August.
    22. Kurosaki, Takashi & Fafchamps, Marcel, 2002. "Insurance market efficiency and crop choices in Pakistan," Journal of Development Economics, Elsevier, vol. 67(2), pages 419-453, April.
    23. Roberto Basile & Alessandro Girardi, 2009. "Specialization and risk sharing: evidence from European regions," ISAE Working Papers 122, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    24. MacLeod, W. Bentley, 2010. "Great Expectations: Law, Employment Contracts, and Labor Market Performance," IZA Discussion Papers 5357, Institute of Labor Economics (IZA).
    25. Kollmann, Robert, 1995. "Consumption, real exchange rates and the structure of international asset markets," Journal of International Money and Finance, Elsevier, vol. 14(2), pages 191-211, April.
    26. Martin Browning & Thomas F. Crossley & Guglielmo Weber, 2002. "Asking Consumption Questions in General Purpose Surveys," Social and Economic Dimensions of an Aging Population Research Papers 77, McMaster University.
    27. Marianne Baxter, 2012. "International risk‐sharing in the short run and in the long run," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(2), pages 376-393, May.
    28. HORI Masahiro & SHIMIZUTANI Satoshi, 2002. "Micro Data Studies on Japanese Household Consumption," ESRI Discussion paper series 015, Economic and Social Research Institute (ESRI).
    29. Ralph Chami & Gregory D. Hess, 2002. "For Better or For Worse? State-Level Marital Formation and Risk Sharing," CESifo Working Paper Series 702, CESifo.
    30. Eduardo Silva & Alex Ferreira, 2023. "Risk-sharing within Brazil and South America," Empirical Economics, Springer, vol. 65(2), pages 661-695, August.
    31. Damien Echevin, 1999. "Nouvelles approches des comportements d'épargne et de consommation," Économie et Statistique, Programme National Persée, vol. 324(1), pages 9-18.
    32. Coile, Courtney & Rossin-Slater, Maya & Su, Amanda, 2022. "The Impact of Paid Family Leave on Families with Health Shocks," IZA Discussion Papers 15783, Institute of Labor Economics (IZA).
    33. Fatih Guvenen, 2007. "Do Stockholders Share Risk More Effectively than Nonstockholders?," The Review of Economics and Statistics, MIT Press, vol. 89(2), pages 275-288, May.
    34. Attilio Gardini & Giuseppe Cavaliere & Luca Fanelli, 2006. "Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna.
    35. Yuliya Demyanyk & Dmytro Hryshko & Maria Jose Luengo-Prado & Bent E. Sorensen, 2015. "The rise and fall of consumption in the '00s," Working Papers 15-12, Federal Reserve Bank of Boston.
    36. Becker, Sascha & Hoffmann, Mathias, 2008. "Equity Fund Ownership and the Cross-Regional Diversification of Household Risk," Stirling Economics Discussion Papers 2008-25, University of Stirling, Division of Economics.
    37. Gregory D. Hess & Kwanho Shin, 1997. "Risk sharing by households within and across regions and industries," Research Working Paper 97-07, Federal Reserve Bank of Kansas City.
    38. Edouard Challe & Xavier Ragot, 2016. "Precautionary Saving Over the Business Cycle," PSE-Ecole d'économie de Paris (Postprint) halshs-01313771, HAL.
    39. Michael J. Artis & Mathias Hoffmann, 2007. "The Home Bias and Capital Income Flows between Countries and Regions," IEW - Working Papers 316, Institute for Empirical Research in Economics - University of Zurich.
    40. Paul Goldsmith-Pinkham & Maxim Pinkovskiy & Jacob Wallace, 2023. "The Great Equalizer: Medicare and the Geography of Consumer Financial Strain," NBER Working Papers 31223, National Bureau of Economic Research, Inc.
    41. Orazio P. Attanasio & Martin Browning, 1993. "Consumption over the Life Cycle and over the Business Cycle," NBER Working Papers 4453, National Bureau of Economic Research, Inc.
    42. Adriana Arreaza & Bent E. Sorensen & Oved Yosha, 1998. "Consumption Smoothing through Fiscal Policy in OECD and EU Countries," NBER Working Papers 6372, National Bureau of Economic Research, Inc.
    43. John Ameriks & Andrew Caplin & Steven Laufer & Stijn Van Nieuwerburgh, 2007. "The Joy of Giving or Assisted Living? Using Strategic Surveys to Separate Bequest and Precautionary Motives," NBER Working Papers 13105, National Bureau of Economic Research, Inc.
    44. Orazio Attanasio & Krisztina Molnar, 2017. "Euler Equations, Subjective Expectations and Income Shocks," Economics Series Working Papers 820, University of Oxford, Department of Economics.
    45. Besley, T., 1993. "Savings, Credit and Insurance," Papers 167, Princeton, Woodrow Wilson School - Development Studies.
    46. Holinski, N. & Kool, C.J.M. & Muysken, J., 2009. "Taking home bias seriously: absolute and relative measures explaining consumption risk-sharing," Research Memorandum 035, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    47. Alderman, Harold & Paxson, Christina H & DEC, 1992. "Do the poor insure? A synthesis of the literature on risk and consumption in developing countries," Policy Research Working Paper Series 1008, The World Bank.
    48. Dean Yang, 2006. "Coping with Disaster: The Impact of Hurricanes on International Financial Flows, 1970-2002," NBER Working Papers 12794, National Bureau of Economic Research, Inc.
    49. Yasuyuki Sawada & Satoshi Shimizutani, 2005. "Are People Insured Against Natural Disasters? Evidence from the Great Hanshin-Awaji (Kobe) Earthquake in 1995," CIRJE F-Series CIRJE-F-314, CIRJE, Faculty of Economics, University of Tokyo.
    50. Christopher Carroll, 2000. "Requiem For The Representative Consumer? Aggregate Implications Of Microeconomic Consumption Behavior," Computing in Economics and Finance 2000 320, Society for Computational Economics.
    51. Pierre‐André Chiappori & Ju Hyun Kim, 2017. "A note on identifying heterogeneous sharing rules," Quantitative Economics, Econometric Society, vol. 8(1), pages 201-218, March.
    52. Pierfederico Asdrubali & Soyoung Kim, 2007. "On The Empirics Of International Smoothing," Discussion Paper Series 0724, Institute of Economic Research, Korea University.
    53. Mengus, Eric & Roberto Pancrazi, 2015. "The Inequality Accelerator," Economic Research Papers 270216, University of Warwick - Department of Economics.
    54. Antonello Scorcu, 1998. "Consumption risk-sharing in Italy," Applied Economics, Taylor & Francis Journals, vol. 30(3), pages 407-414.
    55. Mihir A. Desai & Robert J. Yetman, 2005. "Constraining Managers without Owners: Governance of the Not-for-Profit Enterprise," NBER Working Papers 11140, National Bureau of Economic Research, Inc.
    56. Martin Browning & Thomas F. Crossley, 2006. "The Long-Run Cost of Job Loss as Measured by Consumption Changes," Quantitative Studies in Economics and Population Research Reports 405, McMaster University.
    57. Helena Chulià & Jorge M. Uribe, 2018. "“Together forever? Good and bad market volatility shocks and international consumption risk sharing: A tale of a sign”," IREA Working Papers 201809, University of Barcelona, Research Institute of Applied Economics, revised May 2018.
    58. Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, vol. 125(2), pages 93-150, December.
    59. Liu, Kai, 2016. "Insuring against health shocks: Health insurance and household choices," Journal of Health Economics, Elsevier, vol. 46(C), pages 16-32.
    60. Martin Berka & Mario J Crucini & Chih-Wei Wang, 2011. "International risk sharing and commodity prices," CAMA Working Papers 2011-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    61. Pierfederico Asdrubali & Soyoung Kim, 2005. "Incomplete Intertemporal Consumption Smoothing and Incomplete Risksharing," International Finance 0506010, University Library of Munich, Germany.
    62. Yuliya Demyanyk & Dmytro Hryshko & Maria Jose Luengo-Prado & Bent E. Sorensen, 2015. "The Rise and Fall of Consumption in the 2000s," Working Papers (Old Series) 1507, Federal Reserve Bank of Cleveland.
    63. Aida, Takeshi, 2015. "Spatial vs. Social Network Effects in Risk Sharing," Working Papers 89, JICA Research Institute.
    64. Masao Ogaki & Qiang Zhang, 1998. "Decreasing Relative Risk Aversion and Tests of Risk Sharing," Working Papers 98-02, Ohio State University, Department of Economics.
    65. Kocherlakota, Narayana R. & Pistaferri, Luigi, 2005. "Asset pricing implications of Pareto optimality with private information," Discussion Paper Series 1: Economic Studies 2005,29, Deutsche Bundesbank.
    66. Angus Deaton & Christina Paxson, 1993. "Intertemporal Choice and Inequality," NBER Working Papers 4328, National Bureau of Economic Research, Inc.
    67. Narayanan K & Unmesh Patnaik, 2010. "Vulnerability and Coping to Disasters: A Study of Household Behaviour in Flood Prone Region of India," Working Papers id:2470, eSocialSciences.
    68. Monica Ospina, 2010. "CCT programs for consumption insurance: evidence from Colombia," Documentos de Trabajo de Valor Público 10612, Universidad EAFIT.
    69. Kjetil Storesletten & Chris I. Telmer & Amir Yaron, 2001. "How Important Are Idiosyncratic Shocks? Evidence from Labor Supply," American Economic Review, American Economic Association, vol. 91(2), pages 413-417, May.
    70. Jacques Mélitz & Frédéric Zumer, 1999. "Interregional and International Risk Sharing and Lessons for EMU," Sciences Po publications n°2154, Sciences Po.
    71. Zohreh Shirani Fakhr & Seyed Komail Tayebi, 2009. "Determinants of Financial Integration in the East Asia-Pacific Region," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 14(1), pages 155-173, spring.
    72. Dovchinsuren, Khaliun, 2023. "How does excessive volatility of consumption vary across countries?," Japan and the World Economy, Elsevier, vol. 67(C).
    73. George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, August.
    74. Khan, Aubhik & Ravikumar, B., 2001. "Growth and risk-sharing with private information," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 499-521, June.
    75. Saez, Emmanuel & Chetty, Nadarajan, 2010. "Optimal Taxation and Social Insurance with Endogenous Private Insurance," Scholarly Articles 9696326, Harvard University Department of Economics.
    76. Mommaerts, Corina & Raza, Syed Hassan & Zheng, Yu, 2020. "The economic consequences of hospitalizations for older workers across countries," The Journal of the Economics of Ageing, Elsevier, vol. 16(C).
    77. Balli, Faruk & Rana, Faisal, 2015. "Determinants of risk sharing through remittances," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 107-116.
    78. Obstfeld, Maurice, 1994. "International Capital Mobility in the 1990s," Center for International and Development Economics Research (CIDER) Working Papers 233380, University of California-Berkeley, Department of Economics.
    79. Yan Bai & Jing Zhang, 2006. "Financial Integration and International Risk Sharing," 2006 Meeting Papers 371, Society for Economic Dynamics.
    80. Shea, John, 2000. "Does parents' money matter?," Journal of Public Economics, Elsevier, vol. 77(2), pages 155-184, August.
    81. Heathcote, Jonathan & Storesletten, Kjetil & Violante, Giovanni L., 2008. "Insurance and opportunities: A welfare analysis of labor market risk," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 501-525, April.
    82. Tano Santos & Pietro Veronesi, 2016. "Leverage," NBER Working Papers 22905, National Bureau of Economic Research, Inc.
    83. Karen E. Dynan, 2000. "Habit Formation in Consumer Preferences: Evidence from Panel Data," American Economic Review, American Economic Association, vol. 90(3), pages 391-406, June.
    84. Asad Islam & Jaai Parasnis & ppa442, 2017. "Heterogeneous Effects of Health Shocks in Developed Countries: Evidence from Australia," Monash Economics Working Papers 15-17, Monash University, Department of Economics.
    85. Christopher D. Carroll & Andrew A. Samwick, 1998. "How Important Is Precautionary Saving?," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 410-419, August.
    86. N. Holinski & C.J.M. Kool & J. Muysken, 2011. "The Impact of International Portfolio Composition on Consumption Risk Sharing," Working Papers 11-20, Utrecht School of Economics.
    87. Marianne Baxter, 2012. "International risk-sharing in the short run and in the long run," Canadian Journal of Economics, Canadian Economics Association, vol. 45(2), pages 376-393, May.
    88. Richard Blundell & Margherita Borella & Jeanne Commault & Mariacristina De Nardi, 2020. "Old Age Risks, Consumption, and Insurance," NBER Working Papers 27348, National Bureau of Economic Research, Inc.
    89. Ho, Chun-Yu & Ho, Wai-Yip Alex & Li, Dan, 2015. "Intranational risk sharing and its determinants," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 89-113.
    90. António Afonso & José Alves & Krzysztof Beck & Karen Jackson, 2022. "Financial, Institutional, and Macroeconomic Determinants of Cross-Country Portfolio Equity Flows," CESifo Working Paper Series 9872, CESifo.
    91. Alejandro Badel & Mark Huggett, 2010. "Interpreting life-cycle inequality patterns as an efficient allocation: mission impossible?," Working Papers 2010-046, Federal Reserve Bank of St. Louis.
    92. Grimm, Michael & Hartwig, Renate & Reitmann, Ann-Kristin & Bocoum, Fadima Yaya, 2021. "Inter-household transfers: An empirical investigation of the income-transfer relationship with novel data from Burkina Faso," World Development, Elsevier, vol. 144(C).
    93. HwaJung Choi, 2007. "Are Remittances Insurance? Evidence from Rainfall Shocks in the Philippines," The World Bank Economic Review, World Bank, vol. 21(2), pages 219-248, May.
    94. Dubois, Pierre & Ligon, Ethan, 2012. "Incentives & Nutrition For Rotten Kids: The Quantity & Quality Of Food Allocated Within Philippine Households," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt2r96467x, Department of Agricultural & Resource Economics, UC Berkeley.
    95. Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
    96. Ligon, Ethan, 2023. "Risk sharing tests and covariate shocks," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt2zr503fq, Department of Agricultural & Resource Economics, UC Berkeley.
    97. Chen, Natalie & Conconi, Paola & Perroni, Carlo, 2007. "Women’s Earning Power and the “Double Burden” of Market and Household Work," The Warwick Economics Research Paper Series (TWERPS) 800, University of Warwick, Department of Economics.
    98. Vincent Somville & Lore Vandewalle, 2019. "Access to Banking, Savings and Consumption Smoothing in Rural India," IHEID Working Papers 09-2019, Economics Section, The Graduate Institute of International Studies.
    99. Peter C.B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Cowles Foundation Discussion Papers 1595, Cowles Foundation for Research in Economics, Yale University.
    100. Steven Stillman & Duncan Thomas, 2008. "Nutritional Status During an Economic Crisis: Evidence from Russia," Economic Journal, Royal Economic Society, vol. 118(531), pages 1385-1417, August.
    101. Blake, David, 2002. "The impact of wealth on consumption and retirement behaviour in the UK," LSE Research Online Documents on Economics 24949, London School of Economics and Political Science, LSE Library.
    102. Hamish Low & Costas Meghir & Luigi Pistaferri, 2010. "Wage Risk and Employment Risk over the Life Cycle," American Economic Review, American Economic Association, vol. 100(4), pages 1432-1467, September.
    103. Deniz Aydin, 2015. "The marginal propensity to consume out of liquidity: Evidence from a randomized controlled trial," 2015 Meeting Papers 270, Society for Economic Dynamics.
    104. Sanjay Sehgal & Piyush Pandey & Florent Deisting, 2017. "Time Varying Integration amongst the South Asian Equity Markets: An Empirical Study," Working Papers hal-01885142, HAL.
    105. Orazio Attanasio & Steven J. Davis, 1994. "Relative Wage Movements and the Distribution of Consumption," NBER Working Papers 4771, National Bureau of Economic Research, Inc.
    106. De Giorgi, Giacomo & Gambetti, Luca & Naguib, Costanza, 2020. "Life-Cycle Inequality: Blacks And Whites Differentials In Life Expectancy, Savings, Income, And Consumption," CEPR Discussion Papers 15182, C.E.P.R. Discussion Papers.
    107. Edmund Crawley & Alexandros Theloudis, 2024. "Income Shocks and their Transmission into Consumption," Papers 2404.12214, arXiv.org.
    108. Paul Gertler & Jonathan Gruber, 2002. "Insuring Consumption Against Illness," American Economic Review, American Economic Association, vol. 92(1), pages 51-70, March.
    109. Mathias Hoffmann & Thomas Nitschka, 2009. "Securitization of Mortgage Debt, Asset Prices and International Risk Sharing," CESifo Working Paper Series 2527, CESifo.
    110. Louis Lévy-Garboua & Claude Montmarquette & Jonathan Vaksmann & Marie-Claire Villeval, 2017. "Voluntary Contributions to a Mutual Insurance Pool," PSE-Ecole d'économie de Paris (Postprint) hal-01476440, HAL.
    111. Eric French & John BaileyJones, 2007. "The Effects of Health Insurance and Self-Insurance on Retirement Behavior," Working Papers wp170, University of Michigan, Michigan Retirement Research Center.
    112. Sarmistha Pal, 2004. "Do Children Act As Old Age Security in Rural India? Evidence from an Analysis of Elderly Living Arrangements," Labor and Demography 0405002, University Library of Munich, Germany, revised 15 Oct 2004.
    113. Balli, Faruk & Basher, Syed Abul & Balli, Hatice Ozer, 2011. "Income insurance and the determinants of income insurance via foreign asset revenues and foreign liability payments," Economic Modelling, Elsevier, vol. 28(5), pages 2296-2306, September.
    114. Jonathan Pogach, 2010. "Efficient Auditing and Enforcement in Dynamic Contracts," 2010 Meeting Papers 572, Society for Economic Dynamics.
    115. Stefano Athanasoulis & Eric Van Wincoop, 1998. "Risksharing within the United States: what have financial markets and fiscal federalism accomplished?," Research Paper 9808, Federal Reserve Bank of New York.
    116. Alan Feng & Haishi Li & Yulin Wang, 2023. "We Are All in the Same Boat: Cross-Border Spillovers of Climate Shocks through International Trade and Supply Chain," CESifo Working Paper Series 10402, CESifo.
    117. Kris Jacobs & Michel A. Robe & Stéphane Pallage, 2004. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," CIRANO Working Papers 2004s-54, CIRANO.
    118. Yang, Yang & Jiang, Jialing & Yin, Zhichao, 2021. "Social networks, shocks, and household consumption in China," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 111-122.
    119. Myung Hoon Yi & Changkyu Choi, 2006. "A GMM test of the precautionary saving hypothesis with nonexpected-utility preferences," Applied Economics, Taylor & Francis Journals, vol. 38(1), pages 71-78.
    120. Pierre-André Chiappori & Krislert Samphantharak & Sam Schulhofer-Wohl & Robert M. Townsend, 2011. "Heterogeneity and Risk Sharing in Village Economies," NBER Working Papers 16696, National Bureau of Economic Research, Inc.
    121. Campos, Rodolfo G. & Reggio, Iliana, 2015. "Optimal Unemployment Insurance : Consumption versus Expenditure," UC3M Working papers. Economics we1502, Universidad Carlos III de Madrid. Departamento de Economía.
    122. Arpit Gupta & Anup Malani & Bartosz Woda, 2021. "Inequality in India Declined During COVID," NBER Working Papers 29597, National Bureau of Economic Research, Inc.
    123. sowmya, 2015. "Health Shocks and Short-Term Consumption GrowthAuthor-Name: Sowmya Dhanaraj," Working Papers 2015-112, Madras School of Economics,Chennai,India.
    124. Thomas J. Kniesner & James P. Ziliak, 2000. "Tax Reform and Automatic Stabilization," JCPR Working Papers 165, Northwestern University/University of Chicago Joint Center for Poverty Research.
    125. Maurice Obstfeld, 1993. "Are Industrial-Country Consumption Risks Globally Diversified?," NBER Working Papers 4308, National Bureau of Economic Research, Inc.
    126. Sule Alan, 2006. "Precautionary wealth accumulation: evidence from Canadian microdata," Canadian Journal of Economics, Canadian Economics Association, vol. 39(4), pages 1105-1124, November.
    127. Eric M. Engen & Jonathan Gruber, 1995. "Unemployment Insurance and Precautionary Saving," NBER Working Papers 5252, National Bureau of Economic Research, Inc.
    128. Takasaki, Yoshito, 2011. "Do the Commons Help Augment Mutual Insurance Among the Poor?," World Development, Elsevier, vol. 39(3), pages 429-438, March.
    129. Giacomo De Giorgi & Anders Frederiksen & Luigi Pistaferri, 2016. "Consumption Network Effects," NBER Working Papers 22357, National Bureau of Economic Research, Inc.
    130. Paul Gertler & David I. Levine & Enrico Moretti, 2009. "Do microfinance programs help families insure consumption against illness?," Health Economics, John Wiley & Sons, Ltd., vol. 18(3), pages 257-273, March.
    131. Dirk Krueger & Egor Malkov & Fabrizio Perri, 2023. "How Do Households Respond to Income Shocks?," NBER Working Papers 31894, National Bureau of Economic Research, Inc.
    132. Greg Kaplan & Giovanni L. Violante, 2010. "How Much Consumption Insurance beyond Self-Insurance?," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(4), pages 53-87, October.
    133. Marcel Fafchamps, 2002. "Inequality and Risk," WIDER Working Paper Series DP2002-07, World Institute for Development Economic Research (UNU-WIDER).
    134. Asdrubali, Pierfederico & Kim, Soyoung & Pericoli, Filippo Maria & Poncela, Pilar, 2023. "Risk sharing channels in OECD countries: A heterogeneous panel VAR approach," Journal of International Money and Finance, Elsevier, vol. 131(C).
    135. Weinberg, Bruce A, 2001. "Long-Term Wage Fluctuations with Industry-Specific Human Capital," Journal of Labor Economics, University of Chicago Press, vol. 19(1), pages 231-264, January.
    136. Miguel Székely & Orazio P. Attanasio, 2001. "Wage Shocks and Consumption Variability in Mexico during the 1990s," Research Department Publications 4265, Inter-American Development Bank, Research Department.
    137. Jonathan Parker & Bruce Preston, 2002. "Precautionary Saving and Consumption Fluctuations," NBER Working Papers 9196, National Bureau of Economic Research, Inc.
    138. John List & Harald Uhlig, 2017. "Introduction," Journal of Political Economy, University of Chicago Press, vol. 125(6), pages 1723-1727.
    139. Hiroshi Fujiki & Akiko Terada-Hagiwara, 2007. "Financial Integration in East Asia," IMES Discussion Paper Series 07-E-12, Institute for Monetary and Economic Studies, Bank of Japan.
    140. Athreya, Kartik B. & Simpson, Nicole B., 2006. "Unsecured debt with public insurance: From bad to worse," Journal of Monetary Economics, Elsevier, vol. 53(4), pages 797-825, May.
    141. Berber Kramer, 2016. "When expectations become aspirations: reference-dependent preferences and liquidity constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 61(4), pages 685-721, April.
    142. Yuzhe Zhang & Jianjun Miao, 2014. "A Duality Approach to Continuous-Time Contracting Problems with Limited Commitment," 2014 Meeting Papers 650, Society for Economic Dynamics.
    143. Andolfatto, David & Gomme, Paul, 1996. "Unemployment insurance and labor-market activity in Canada," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 44(1), pages 47-82, June.
    144. Kevin X.D. Huang & Zheng Liu & John Qi Zhu, 2015. "Temptation and Self‐Control: Some Evidence and Applications," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(4), pages 581-615, June.
    145. Manuel Ramos-Francia & Santiago García-Verdú, 2018. "Globalisation and consumption risk-sharing in emerging market economies," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and deglobalisation, volume 100, pages 231-244, Bank for International Settlements.
    146. Maria Giduskova & Borja Larrain, 2006. "International risk-taking, volatility, and consumption growth," Communities and Banking, Federal Reserve Bank of Boston.
    147. Irac, D. & Minoiu, C., 2006. "Risk Insurance in a Transition Economy: Evidence from Rural Romania," Working papers 154, Banque de France.
    148. Emil Iantchev, 2013. "Asset-Pricing Implications of Biologically Based Non-Expected Utility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(3), pages 497-510, July.
    149. Tullio Jappelli & Luigi Pistaferri, 2004. "Intertemporal choice and consumption mobility," 2004 Meeting Papers 195, Society for Economic Dynamics.
    150. Stillman, Steven, 2001. "The Response of Consumption in Russian Households to Economic Shocks," IZA Discussion Papers 411, Institute of Labor Economics (IZA).
    151. Michael G. Palumbo, 2000. "Estimating the Effects of Earnings Uncertainty on Families' Saving and Insurance Decisions," Southern Economic Journal, John Wiley & Sons, vol. 67(1), pages 64-86, July.
    152. Jakob de Haan & Tigran Poghosyan & Jakob de Haan, 2007. "Interest Rate Linkages in EMU Countries: A Rolling Threshold Vector Error-Correction Approach," CESifo Working Paper Series 2060, CESifo.
    153. Jürgen Maurer & André Meier, 2008. "Smooth it Like the ‘Joneses’? Estimating Peer‐Group Effects in Intertemporal Consumption Choice," Economic Journal, Royal Economic Society, vol. 118(527), pages 454-476, March.
    154. Souleles, Nicholas S., 2000. "College tuition and household savings and consumption," Journal of Public Economics, Elsevier, vol. 77(2), pages 185-207, August.
    155. Bruno Chiarini & Elisabetta Marzano, 2005. "Market consumpition and hidden consumption. A test for substitutability," Working Papers in Public Economics 79, University of Rome La Sapienza, Department of Economics and Law.
    156. Laurence Ales & Pricila Maziero, 2008. "Accounting for private information," Working Papers 663, Federal Reserve Bank of Minneapolis.
    157. Faruk Balli & Sebnem Kalemli‐Ozcan & Bent E. Sørensen, 2012. "Risk sharing through capital gains," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(2), pages 472-492, May.
    158. Patrick Eozenou, 2009. "Optimal Risk Sharing Under Limited Commitment: Evidence From Rural Vietnam," Working Papers 06, Development and Policies Research Center (DEPOCEN), Vietnam.
    159. Gianluca Violante & Greg Kaplan, 2008. "How Much Insurance in Bewley Models?," 2008 Meeting Papers 522, Society for Economic Dynamics.
    160. Mr. Etienne B Yehoue, 2005. "International Risk Sharing and Currency Unions: The CFA Zones," IMF Working Papers 2005/095, International Monetary Fund.
    161. Kota Ogasawara, 2018. "Consumption smoothing in the working-class households of interwar Japan," Papers 1807.05737, arXiv.org, revised Feb 2024.
    162. Constantinides, George M & Duffie, Darrell, 1996. "Asset Pricing with Heterogeneous Consumers," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 219-240, April.
    163. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
    164. Scott, Andrew, 2000. "Optimal consumption when capital markets are imperfect," Economics Letters, Elsevier, vol. 66(1), pages 65-70, January.
    165. Marcel Fafchamps & Chris Udry & Katherine Czukas, "undated". "Drought and Saving in West Africa: Are Livestock a Buffer Stock?," Working Papers 97013, Stanford University, Department of Economics.
    166. Pal, Sarmistha, 2007. "Effects of Intergenerational Transfers on Elderly Coresidence with Adult Children: Evidence from Rural India," IZA Discussion Papers 2847, Institute of Labor Economics (IZA).
    167. Dirk Krueger & Fabrizio Perri, 1999. "Risk Sharing: Private Insurance Markets or Redistributive Taxes?," Working Papers 99-04, New York University, Leonard N. Stern School of Business, Department of Economics.
    168. Ergys Islamaj & M. Ayhan Kose, 2016. "How does the sensitivity of consumption to income vary over time? International evidence," CAMA Working Papers 2016-22, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    169. Timothy Cogley, 1998. "Idiosyncratic risk and the equity premium: evidence from the Consumer Expenditure Survey," Working Papers in Applied Economic Theory 98-07, Federal Reserve Bank of San Francisco.
    170. McCarthy, Jonathan, 1995. "Imperfect insurance and differing propensities to consume across households," Journal of Monetary Economics, Elsevier, vol. 36(2), pages 301-327, November.
    171. Edouard Challe & Xavier Ragot, 2010. "Aggregate Consumption in Times of Crisis: The Role of Financial Frictions," PSE-Ecole d'économie de Paris (Postprint) halshs-00754434, HAL.
    172. Anh Thu Quang Pham & Pundarik Mukhopadhaya & Ha Vu, 2021. "Estimating poverty and vulnerability to monetary and non-monetary poverty: the case of Vietnam," Empirical Economics, Springer, vol. 61(6), pages 3125-3177, December.
    173. Mathias Hoffmann & Iryna Shcherbakova, 2009. "Consumption Risk Sharing over the Business Cycle: the Role of Small Firms' Access to Credit Markets," CESifo Working Paper Series 2544, CESifo.
    174. Balli, Faruk & Sorensen, Bent E., 2007. "Risk Sharing among OECD and EU Countries: The Role of Capital Gains, Capital Income, Transfers, and Saving," MPRA Paper 10223, University Library of Munich, Germany.
    175. Kevin X.D. Huang & Zheng Liu, 2005. "Temptation and Self-Control: Some Evidence from the Consumer Expenditure Survey," 2005 Meeting Papers 770, Society for Economic Dynamics.
    176. Charlotte Ostergaard & Bent E. Sorensen & Oved Yosha, 2000. "Consumption and aggregate constraints : evidence from U.S. states and Canadian provinces," Research Working Paper RWP 00-04, Federal Reserve Bank of Kansas City.
    177. Mr. Marco Terrones & Mr. Ayhan Kose & Mr. Eswar S Prasad, 2007. "How Does Financial Globalization Affect Risk Sharing? Patterns and Channels," IMF Working Papers 2007/238, International Monetary Fund.
    178. Dirk Krueger & Fabrizio Perri, 2003. "On the Welfare Consequences of the Increase in Inequality in the United States," NBER Working Papers 9993, National Bureau of Economic Research, Inc.
    179. Jalan, Jyotsna & Ravallion, Martin, 1999. "Are the poor less well insured? Evidence on vulnerability to income risk in rural China," Journal of Development Economics, Elsevier, vol. 58(1), pages 61-81, February.
    180. Kohara, Miki & Ohtake, Fumio & Saito, Makoto, 2002. "A Test of the Full Insurance Hypothesis: The Case of Japan," Journal of the Japanese and International Economies, Elsevier, vol. 16(3), pages 335-352, September.
    181. Frédéric Zumer & Jacques Mélitz, 2002. "Partage du risque dans l'Union européenne. Expériences interrégionales et internationales," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 299-323.
    182. Adaman, Fikret & Ardic, Oya Pinar & Tuzemen, Didem, 2006. "Network Effects in Risk Sharing and Credit Market Access: Evidence from Istanbul," MPRA Paper 4078, University Library of Munich, Germany, revised 01 Dec 2006.
    183. Krislert Samphantharak & Robert Townsend, 2013. "Risk and Return in Village Economies," NBER Working Papers 19738, National Bureau of Economic Research, Inc.
    184. Yasuyuki Sawada & Satoshi Shimizutani, 2008. "How Do People Cope with Natural Disasters? Evidence from the Great Hanshin‐Awaji (Kobe) Earthquake in 1995," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2‐3), pages 463-488, March.
    185. Kartik B. Athreya, 2003. "Unemployment insurance and personal bankruptcy," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 89(Spr), pages 33-53.
    186. Tessa Bold & Tobias Broer, 2021. "Risk Sharing in Village Economies Revisited [Efficient Risk Sharing with Limited Commitment and Storage]," Journal of the European Economic Association, European Economic Association, vol. 19(6), pages 3207-3248.
    187. Bent E. S¯rensen & Oved Yosha, 1996. "International Risk Sharing and European Monetary Unification," Working Papers 1996-30, Brown University, Department of Economics.
    188. Faruk Balli & Faisal Rana, 2014. "Determinants of risk sharing through remittances: cross-country evidence," CAMA Working Papers 2014-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    189. Storesletten, Kjetil & Halvorsen, Elin & Holter, Hans & Ozkan, Serdar, 2020. "Dissecting Idiosyncratic Earnings Risk," CEPR Discussion Papers 15395, C.E.P.R. Discussion Papers.
    190. Marcel Fafchamps & Aditya Shrinivas, 2022. "Risk Pooling and Precautionary Saving in Village Economies," NBER Working Papers 30128, National Bureau of Economic Research, Inc.
    191. Andreas Fuster & Paul S. Willen, 2010. "Insuring consumption using income-linked assets," Working Papers 10-1, Federal Reserve Bank of Boston.
    192. Kim, Soyoung & Lee, Jong-Wha & Shin, Kwanho, 2006. "Regional and Global Financial Integration in East Asia," MPRA Paper 695, University Library of Munich, Germany.
    193. Peter Fuleky & L Ventura & Qianxue Zhao, 2013. "Common Correlated Effects and International Risk Sharing," Working Papers 201315, University of Hawaii at Manoa, Department of Economics.
    194. Gregory D. Hess, 2004. "Marriage and Consumption Insurance: What's Love Got to Do with It?," Journal of Political Economy, University of Chicago Press, vol. 112(2), pages 290-318, April.
    195. Pagano, Marco & Jappelli, Tullio, 2008. "Financial Market Integration Under EMU," CEPR Discussion Papers 7091, C.E.P.R. Discussion Papers.
    196. Yasushi Iwamoto & Miki Kohara & Makoto Saito, 2009. "On the Consumption Insurance Effects of Long-term Care Insurance in Japan: Evidence from Micro-level Household Data," Global COE Hi-Stat Discussion Paper Series gd09-109, Institute of Economic Research, Hitotsubashi University.
    197. Kjetil Storesletten & Chris Telmer & Amir Yaron, 1997. "Consumption and risk sharing over the life cycle," GSIA Working Papers 228, Carnegie Mellon University, Tepper School of Business.
    198. Mark Borgschulte & Paco Martorell, 2018. "Paying to Avoid Recession: Using Reenlistment to Estimate the Cost of Unemployment," American Economic Journal: Applied Economics, American Economic Association, vol. 10(3), pages 101-127, July.
    199. Yamada, Tomoaki, 2014. "A note on risk sharing against idiosyncratic shocks and geographic mobility in Japan," MPRA Paper 54886, University Library of Munich, Germany.
    200. Andrew Paciorek & Todd M. Sinai, 2010. "Does Home Owning Smooth the Variability of Future Housing Consumption?," NBER Working Papers 16531, National Bureau of Economic Research, Inc.
    201. Drewianka, Scott, 2008. "Constrained labor supply and risk-aversion," Economics Letters, Elsevier, vol. 101(2), pages 130-133, November.
    202. Damián Pierri, 2023. "Simulations in Models with Heterogeneous Agents, Incomplete Markets and Aggregate Uncertainty," Working Papers 259, Red Nacional de Investigadores en Economía (RedNIE).
    203. Firman Witoelar, 2005. "Inter-household Allocations within Extended Family: Evidence from the Indonesia Family Life Survey," Working Papers 912, Economic Growth Center, Yale University.
    204. Miguel Székely & Orazio P. Attanasio, 2001. "Sacudidas salariales y variabilidad del consumo en México durante los años 90," Research Department Publications 4266, Inter-American Development Bank, Research Department.
    205. Nathaniel Pattison, 2017. "Consumption Smoothing and Debtor Protections," Departmental Working Papers 1703, Southern Methodist University, Department of Economics.
    206. Takuma Kunieda & Akihisa Shibata, 2024. "Insurance against Aggregate Shocks," Discussion Paper Series 267, School of Economics, Kwansei Gakuin University.
    207. Robert M. Townsend, 1995. "Consumption Insurance: An Evaluation of Risk-Bearing Systems in Low-Income Economies," Journal of Economic Perspectives, American Economic Association, vol. 9(3), pages 83-102, Summer.
    208. Sanghamitra Bandyopadhyay, 2016. "The Vulnerable Are Not (Necessarily) the Poor," Research on Economic Inequality, in: Inequality after the 20th Century: Papers from the Sixth ECINEQ Meeting, volume 24, pages 29-57, Emerald Group Publishing Limited.
    209. Balli, Faruk & Balli, Hatice O., 2011. "Income and consumption smoothing and welfare gains across Pacific Island Countries: The role of remittances and foreign aid," Economic Modelling, Elsevier, vol. 28(4), pages 1642-1649, July.
    210. Zheng, Jiakun & Couprie, Helene & Hopfensitz, Astrid, 2022. "Collective risk taking by couples: individual vs household risk," MPRA Paper 116537, University Library of Munich, Germany.
    211. Brandt, Michael & Cochrane, John & Santa-Clara, Pedro, 2001. "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!," University of California at Los Angeles, Anderson Graduate School of Management qt1jw137zd, Anderson Graduate School of Management, UCLA.
    212. Shawn Cole & Xavier Giné & James Vickery, 2017. "How Does Risk Management Influence Production Decisions? Evidence from a Field Experiment," The Review of Financial Studies, Society for Financial Studies, vol. 30(6), pages 1935-1970.
    213. Koeniger, Winfried & Fella, Giulio & Frache, Serafin, 2016. "Buffer-stock savings and households' wealth response to income shocks," VfS Annual Conference 2016 (Augsburg): Demographic Change 145507, Verein für Socialpolitik / German Economic Association.
    214. Lepage-Saucier, Nicolas, 2016. "The consumption response to temporary layoffs and hours losses," Labour Economics, Elsevier, vol. 41(C), pages 177-193.
    215. Grimard, Franque, 1997. "Household consumption smoothing through ethnic ties: evidence from Cote d'Ivoire," Journal of Development Economics, Elsevier, vol. 53(2), pages 391-422, August.
    216. Hanno Lustig & Stijn Van Nieuwerburgh, 2004. "How Much Does Household Collateral Constrain Regional Risk Sharing?," NBER Working Papers 10505, National Bureau of Economic Research, Inc.
    217. Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," CRSP working papers 505, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    218. Chowdhry, Bhagwan & Roll, Richard & Saxena, Konark, 2013. "Development and freedom as risk management," Finance Research Letters, Elsevier, vol. 10(3), pages 103-109.
    219. S. Savitha & K. Kiran, 2015. "Effectiveness of micro health insurance on financial protection: Evidence from India," International Journal of Health Economics and Management, Springer, vol. 15(1), pages 53-71, March.
    220. Sebnem Kalemli-Ozcan & Bent E. Sørensen & Oved Yosha, 2003. "Risk Sharing and Industrial Specialization: Regional and International Evidence," American Economic Review, American Economic Association, vol. 93(3), pages 903-918, June.
    221. Martin Halla & Johann Scharler, 2012. "Marriage, Divorce, and Interstate Risk Sharing," Scandinavian Journal of Economics, Wiley Blackwell, vol. 114(1), pages 55-78, March.
    222. Sin-Yu Ho & N.M. Odhiambo, 2018. "Analysing the macroeconomic drivers of stock market development in the Philippines," Cogent Economics & Finance, Taylor & Francis Journals, vol. 6(1), pages 1451265-145, January.
    223. Yasuyuki Sawada, 2007. "The impact of natural and manmade disasters on household welfare," Agricultural Economics, International Association of Agricultural Economists, vol. 37(s1), pages 59-73, December.
    224. Abraham, Arpad & Pavoni, Nicola, 2004. "Efficient Allocations with Moral Hazard and Hidden Borrowing and Lending," Working Papers 04-05, Duke University, Department of Economics.
    225. Mark Garmaise & Yaron Levi & Hanno Lustig, 2020. "Spending Less After (Seemingly) Bad News," NBER Working Papers 27010, National Bureau of Economic Research, Inc.
    226. Perakis, Sonja Melissa, 2011. "The Short and Long Run Effects of Migration and Remittances: Some Evidence from Northern Mali," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103704, Agricultural and Applied Economics Association.
    227. Ufuk Akcigit & Fernando Alvarez & Stephane Bonhomme & George M Constantinides & Douglas W Diamond & Eugene F Fama & David W Galenson & Michael Greenstone & Lars Peter Hansen & Uhlig Harald & James J H, 2017. "The Past, Present, and Future of Economics: A Celebration of the 125-Year Anniversary of the JPE and of Chicago Economics," Natural Field Experiments 00635, The Field Experiments Website.
    228. M. C. Freeman & I. R. Davidson, 1999. "Estimating the equity premium," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 236-246.
    229. Yasuyuki Sawada & Satoshi Shimizutani, 2007. "Consumption Insurance and Risk-Coping Strategies under Non-Separable Utility: Evidence from the Kobe Earthquake," CIRJE F-Series CIRJE-F-512, CIRJE, Faculty of Economics, University of Tokyo.
    230. Dan Anderberg & Helmut Rainer & Jonathan Wadsworth & Tanya Wilson, 2016. "Unemployment and Domestic Violence: Theory and Evidence," Economic Journal, Royal Economic Society, vol. 126(597), pages 1947-1979, November.
    231. Raj Chetty & Amy Finkelstein, 2012. "Social Insurance: Connecting Theory to Data," NBER Working Papers 18433, National Bureau of Economic Research, Inc.
    232. Deniz Aydin, 2015. "The Marginal Propensity to Consume out of Liquidity," Discussion Papers 15-010, Stanford Institute for Economic Policy Research.
    233. Gift Dafuleya & Fiona Tregenna, 2021. "How effectively do households insure food consumption and assets against funeral expenses? The case of urban Zimbabwe," Review of Economics of the Household, Springer, vol. 19(4), pages 987-1021, December.
    234. Marcel Fafchamps & Susan Lund, 2000. "Risk-Sharing Networks in Rural Philippines," Economics Series Working Papers 10, University of Oxford, Department of Economics.
    235. Scott C. Bradford & Digvijay Singh Negi & Bharat Ramaswami, 2022. "International Risk Sharing for Food Staples," Working Papers 74, Ashoka University, Department of Economics.
    236. Hanno Lustig, 2004. "How much Does Household Collateral Constrain Regional Risk Sharing? (joint with Stijn Van Nieuwerburgh) (updated February 2006)," UCLA Economics Online Papers 302, UCLA Department of Economics.
    237. Seife Dendir, 2007. "Household shocks and child labor in rural Malawi," Economics Bulletin, AccessEcon, vol. 4(1), pages 1-8.
    238. M. Fatih Guvenen, 2002. "Does Stockholding Provide Perfect Risk Sharing?," RCER Working Papers 490, University of Rochester - Center for Economic Research (RCER), revised Mar 2003.
    239. Dean Yang, 2005. "Coping With Disaster: The Impact of Hurricanes on International Financial Flows, 1970-2001," Working Papers 534, Research Seminar in International Economics, University of Michigan.
    240. Jeongseok Song & Doojin Ryu, 2018. "Aging effects on consumption risk-sharing channels in European countries," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 36(2), pages 585-617.
    241. Nikolai Roussanov, 2010. "Diversification and Its Discontents: Idiosyncratic and Entrepreneurial Risk in the Quest for Social Status," Journal of Finance, American Finance Association, vol. 65(5), pages 1755-1788, October.
    242. Chan, Kenneth S. & Lai, Jennifer T. & Yan, Isabel K.M., 2014. "Consumption risk sharing and self-insurance across provinces in China: 1952–2008," China Economic Review, Elsevier, vol. 30(C), pages 66-85.
    243. Shinichi Nishiyama & Kent Smetters, 2002. "Ricardian Equivalence with Incomplete Household Risk Sharing," NBER Working Papers 8851, National Bureau of Economic Research, Inc.
    244. Raj Chetty & John N. Friedman & Søren Leth-Petersen & Torben Heien Nielsen & Tore Olsen, 2014. "Active vs. Passive Decisions and Crowd-Out in Retirement Savings Accounts: Evidence from Denmark," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 129(3), pages 1141-1219.
    245. Sisi Zhang, 2014. "Wage shocks, household labor supply, and income instability," Journal of Population Economics, Springer;European Society for Population Economics, vol. 27(3), pages 767-796, July.
    246. Mowlaei , Mohammad & Intezar , Aburaihan, 2019. "The Effects of Social Characteristics of Iranian Households on Food Consumption Expenditures," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 14(4), pages 555-572, October.
    247. Aubhik Khan & Latchezar Popov & B. Ravikumar, 2020. "Enduring Relationships in an Economy with Capital and Private Information," Working Papers 2020-034, Federal Reserve Bank of St. Louis, revised Sep 2020.
    248. Richard Blundell & Luigi Pistaferri & Ian Preston, 2004. "Imputing consumption in the PSID using food demand estimates from the CEX," IFS Working Papers W04/27, Institute for Fiscal Studies.
    249. Fella, Giulio & Frache, Serafin & Koeniger, Winfried, 2017. "Buffer-stock saving and households' response to income shocks," CFS Working Paper Series 570, Center for Financial Studies (CFS).
    250. Gordon de Brouwer, 1996. "Consumption and Liquidity Constraints in Australia and East Asia: Does Financial Integration Matter?," RBA Research Discussion Papers rdp9602, Reserve Bank of Australia.
    251. Neil Amin‐Smith & Orazio P. Attanasio, 2020. "Consumption and Wage Inequality in the US: The Dynamics of the Last Three Decades," Fiscal Studies, John Wiley & Sons, vol. 41(1), pages 7-38, March.
    252. Ernesto Villanueva, 2002. "Parental altruism under imperfect information: Theory and evidence," Economics Working Papers 650, Department of Economics and Business, Universitat Pompeu Fabra.
    253. Shinichi Nishiyama & Kent Smetters, 2002. "Ricardian Equivalence with Incomplete Household Risk Sharing: Technical Paper 2002-4," Working Papers 14222, Congressional Budget Office.
    254. Tomas Havranek & Anna Sokolova, 2016. "Do Consumers Really Follow a Rule of Thumb? Three Thousand Estimates from 130 Studies Say "Probably Not"," HSE Working papers WP BRP 137/EC/2016, National Research University Higher School of Economics.
    255. Benjian Wu & Yi Cui & Yushuo Jiang, 2022. "The Role of Microfinance in China’s Rural Public Health: Evidence from the Anti-Poverty Microcredit Program," IJERPH, MDPI, vol. 19(17), pages 1-22, August.
    256. Andrew Atkeson & Tamim Bayoumi, 1993. "Do private capital markets insure regional risk? Evidence from the United States and Europe," Open Economies Review, Springer, vol. 4(3), pages 303-324, September.
    257. Aurélien Baillon & Aleli Kraft & Owen O'Donnell & Kim van Wilgenburg, 2019. "A behavioral decomposition of willingness to pay for health insurance," Tinbergen Institute Discussion Papers 19-077/I, Tinbergen Institute.
    258. Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly & Bernard Herskovic, 2014. "The Common Factor in Idiosyncratic Volatility," 2014 Meeting Papers 810, Society for Economic Dynamics.
    259. José María Casado García, 2008. "From Income to Consumption: Measuring Households Partial Insurance," Working Papers 2008-09, FEDEA.
    260. Raj Chetty & Adam Looney, 2007. "Income Risk and the Benefits of Social Insurance: Evidence from Indonesia and the United States," NBER Chapters, in: Fiscal Policy and Management in East Asia, pages 99-121, National Bureau of Economic Research, Inc.
    261. Michel Normandin, 1992. "Épargne de précaution et revenu de travail incertain: un survol de la littérature," Cahiers de recherche CREFE / CREFE Working Papers 9, CREFE, Université du Québec à Montréal.
    262. Brendan Epstein & Rahul Mukherjee & Shanthi Ramnath, 2014. "Taxes and International Risk Sharing," International Finance Discussion Papers 1110, Board of Governors of the Federal Reserve System (U.S.).
    263. Ventura, Luigi, 2008. "Risk sharing opportunities and macroeconomic factors in Latin American and Caribbean countries : A consumption insurance assessment," Policy Research Working Paper Series 4490, The World Bank.
    264. Pierucci, Eleonora & Ventura, Luigi, 2012. "International risk sharing and globalization," MPRA Paper 35869, University Library of Munich, Germany.
    265. Juan F. Castro, 2008. "Política fiscal y gasto social en el Perú: ¿cuánto se ha avanzado y qué más se puede hacer para reducir la vulnerabilidad de los hogares?," Apuntes. Revista de ciencias sociales, Fondo Editorial, Universidad del Pacífico, vol. 35(62), pages 55-76.
    266. Mellor, Jennifer M., 2001. "Long-term care and nursing home coverage: are adult children substitutes for insurance policies?," Journal of Health Economics, Elsevier, vol. 20(4), pages 527-547, July.
    267. Kalyan Kolukuluri, 2023. "Adverse health shocks, social insurance and household consumption: evidence from Indonesia’s Askeskin program," International Journal of Health Economics and Management, Springer, vol. 23(2), pages 213-235, June.
    268. Skoufias, Emmanual & Parker, Susan W., 2002. "Labor market shocks and their impacts on work and schooling," FCND briefs 129, International Food Policy Research Institute (IFPRI).
    269. Orazio Attanasio & Erich Battistin & Hidehiko Ichimura, 2007. "What Really Happened to Consumption Inequality in the United States?," NBER Chapters, in: Hard-to-Measure Goods and Services: Essays in Honor of Zvi Griliches, pages 515-543, National Bureau of Economic Research, Inc.
    270. Koval, Pavel & Polbin , Andrey, 2020. "Evaluation of permanent and transitory shocks role in consumption and income dynamics in the Russian Federation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 6-29.
    271. Jeffrey M. Lacker, 1995. "Neighborhoods and banking," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 13-38.
    272. Masao Ogaki & Qiang Zhang, 2000. "Risk Sharing in Village India: the Rule of Decreasing Relative Risk Aversion," Working Papers 00-02, Ohio State University, Department of Economics.
    273. Ethan Ligon, 2005. "Poverty and the Welfare Costs of Risk Associated with Globalization," WIDER Working Paper Series RP2005-57, World Institute for Development Economic Research (UNU-WIDER).
    274. Koeniger, Winfried, 2001. "Labor and Financial Market Interactions: The Case of Labor Income Risk and Car Insurance in the UK 1969-95," IZA Discussion Papers 240, Institute of Labor Economics (IZA).
    275. Fernando Jaramillo & Juan Daniel Hernandez & Hubert Kempf & Fabien Moizeau & Thomas Vendryes, 2023. "Limited Commitment, Social Control and Risk-Sharing Coalitions in Village Economies," Working Papers hal-04247501, HAL.
    276. Syeda Fizza Gillani, 1996. "Risk-sharing in Rural Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 35(1), pages 23-48.
    277. Hubbard, R. Glenn & Skinner, Jonathan & Zeldes, Stephen P., 1994. "The importance of precautionary motives in explaining individual and aggregate saving," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 40(1), pages 59-125, June.
    278. Mian, A. & Sufi, A., 2016. "Who Bears the Cost of Recessions? The Role of House Prices and Household Debt," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 255-296, Elsevier.
    279. Mathias Hoffmann, 2008. "The Lack of International Consumption Risk Sharing: Can Inflation Differentials and Trading Costs Help Explain the Puzzle?," Open Economies Review, Springer, vol. 19(2), pages 183-201, April.
    280. Hasna Khemili & Mounir Belloumi, 2018. "Social Security and Fighting Poverty in Tunisia," Economies, MDPI, vol. 6(1), pages 1-17, February.
    281. Joongsan Ko, 2020. "Intranational Consumption Risk Sharing in South Korea: 2000–2016," Asian Economic Journal, East Asian Economic Association, vol. 34(1), pages 29-49, March.
    282. Sowmya Dhanaraj, 2015. "Health Shocks and Coping Strategies: State Health Insurance Scheme of Andhra Pradesh, India," Working Papers 2015-120, Madras School of Economics,Chennai,India.
    283. Maurizio Mazzocco & Shiv Saini, 2012. "Testing Efficient Risk Sharing with Heterogeneous Risk Preferences," American Economic Review, American Economic Association, vol. 102(1), pages 428-468, February.
    284. Beck, Krzysztof & Yersh, Valeryia, 2024. "Economic integration and consumption risk sharing: A comparison of Eurozone and OECD countries," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 784-803.
    285. Ligon, Ethan, 2020. "Estimating Household Welfare from Disaggregate Expenditures," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt3ts0g5tn, Department of Agricultural & Resource Economics, UC Berkeley.
    286. Danzer, Alexander M., 2011. "Labor Supply and Consumption Smoothing When Income Shocks Are Non-Insurable," IZA Discussion Papers 5499, Institute of Labor Economics (IZA).
    287. Hryshko, Dmytro & José Luengo-Prado, María & Sørensen, Bent E., 2010. "House prices and risk sharing," Journal of Monetary Economics, Elsevier, vol. 57(8), pages 975-987, November.
    288. Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva, 2007. "Similarities and convergence in G-7 cycles," Journal of Monetary Economics, Elsevier, vol. 54(3), pages 850-878, April.
    289. Hevia, Constantino & Serven, Luis, 2013. "Partial consumption insurance and financial openness across the world," Policy Research Working Paper Series 6479, The World Bank.
    290. Ho, Sin-Yu & Odhiambo, Nicholas, 2017. "The macroeconomic drivers of stock market development: Evidence from Hong Kong," Working Papers 23438, University of South Africa, Department of Economics.
    291. Nguyen, Trung Thanh & Do, Truong Lam & Halkos, George & Wilson, Clevo, 2020. "Health shocks and natural resource extraction: A Cambodian case study," Ecological Economics, Elsevier, vol. 169(C).
    292. Sawada, Yasuyuki & Nakata, Hiroyuki & Kotera, Tomoaki, 2017. "Self-Production, Friction, and Risk Sharing against Disasters: Evidence from a Developing Country," World Development, Elsevier, vol. 94(C), pages 27-37.
    293. Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005 49, Money Macro and Finance Research Group.
    294. Bertola, G., 1998. "Marcroeconomics of Distribution and Growth," Economics Working Papers eco98/39, European University Institute.
    295. Christos A. Makridis & Michael Ohlrogge, 2022. "Foreclosure spillovers and individual well‐being: Evidence from the Great Recession," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(1), pages 122-146, March.
    296. Michael J. Artis & Mathias Hoffmann, 2008. "Financial Globalization, International Business Cycles and Consumption Risk Sharing," Scandinavian Journal of Economics, Wiley Blackwell, vol. 110(3), pages 447-471, September.
    297. Juan Daniel Hernandez & Fernando Jaramillo & Hubert Kempf & Fabien Moizeau & Thomas Vendryes, 2023. "Limited Commitment, Social Control and Risk-Sharing Coalitions in Village Economies," Documents de recherche 23-03, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    298. Gerdie Everaert & Lorenzo Pozzi, 2022. "Encompassing measures of international consumption risk sharing and their link with trade and financial globalization," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 433-449, March.
    299. Faruk Balli & F.M. Pericoli & E. Pierucci, 2015. "Channels of risk-sharing at a micro level: savings, investments and the risk aversion heterogeneity," CAMA Working Papers 2015-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    300. Echevin, Damien, 2011. "Characterizing poverty and vulnerability in rural Haiti: a multilevel decomposition approach," MPRA Paper 35659, University Library of Munich, Germany.
    301. Gregory D. Hess & Kwanho Shin, 1995. "Intranational business cycles in the United States," Research Working Paper 95-07, Federal Reserve Bank of Kansas City.
    302. Buchinsky, Moshe & Li, Fanghua & Liao, Zhipeng, 2022. "Estimation and inference of semiparametric models using data from several sources," Journal of Econometrics, Elsevier, vol. 226(1), pages 80-103.
    303. Mike Waugh, 2018. "Redistributing the Gains From Trade Through Progressive Taxation," 2018 Meeting Papers 1210, Society for Economic Dynamics.
    304. Whalley, Alexander, 2011. "Education and labor market risk: Understanding the role of data cleaning," Economics of Education Review, Elsevier, vol. 30(3), pages 528-545, June.
    305. Fatih Karahan & Serdar Ozkan, 2013. "On the Persistence of Income Shocks over the Life Cycle: Evidence, Theory, and Implications," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(3), pages 452-476, July.
    306. Belén Sáenz de Miera Juárez, 2017. "The role of public health insurance in protecting against the costs of ill health: Evidence from Mexico," WIDER Working Paper Series wp-2017-3, World Institute for Development Economic Research (UNU-WIDER).
    307. Jeremy Bertomeu & Edwige Cheynel & Michelle Liu‐Watts, 2018. "Are the Fama French factors treated as risk? Evidence from CEO compensation," European Financial Management, European Financial Management Association, vol. 24(5), pages 728-774, November.
    308. Dehejia, Rajeev & DeLeire, Thomas & Luttmer, Erzo F. P., 2005. "Insuring Consumption and Happiness through Religious Organizations," Working Paper Series rwp05-047, Harvard University, John F. Kennedy School of Government.
    309. Charles Yuji Horioka, 2001. "Are the Japanese Selfish, Altruistic, or Dynastic?," CIRJE F-Series CIRJE-F-134, CIRJE, Faculty of Economics, University of Tokyo.
    310. Alem, Yonas & Tato, Gidisa Lachisa, 2023. "Shocks and mental health: Panel data evidence from South Africa," World Development, Elsevier, vol. 168(C).
    311. James P. Ziliak & Thomas J. Kniesner, 2005. "The Effect of Income Taxation on Consumption and Labor Supply," Journal of Labor Economics, University of Chicago Press, vol. 23(4), pages 769-796, October.
    312. Arpit Gupta & Anup Malani & Bartek Woda, 2021. "Explaining the Income and Consumption Effects of COVID in India," NBER Working Papers 28935, National Bureau of Economic Research, Inc.
    313. Jürgen Maurer & André Meier, 2005. "Do the "Joneses" really matter? Peer-group versus correlated effects in intertemporal consumption choice," IFS Working Papers W05/15, Institute for Fiscal Studies.
    314. Paula Garda & Volker Ziemann, 2014. "Economic Policies and Microeconomic Stability: A Literature Review and Some Empirics," OECD Economics Department Working Papers 1115, OECD Publishing.
    315. Orazio P. Attanasio, 1998. "Consumption Demand," NBER Working Papers 6466, National Bureau of Economic Research, Inc.
    316. Dalton, Michael & LaFave, Daniel, 2017. "Mitigating the consequences of a health condition: The role of intra- and interhousehold assistance," Journal of Health Economics, Elsevier, vol. 53(C), pages 38-52.
    317. Islam, Asadul & Maitra, Pushkar, 2012. "Health shocks and consumption smoothing in rural households: Does microcredit have a role to play?," Journal of Development Economics, Elsevier, vol. 97(2), pages 232-243.
    318. F. Pericoli & E. Pierucci & L. Ventura, 2015. "The impact of social capital on consumption insurance and income volatility in the UK: evidence from the British Household Panel Survey," Review of Economics of the Household, Springer, vol. 13(2), pages 269-295, June.
    319. Giacomo De Giorgi & Michele Pellizzari, 2014. "Understanding Social Interactions: Evidence from the Classroom," Economic Journal, Royal Economic Society, vol. 124(579), pages 917-953, September.
    320. Edouard Challe & Xavier Ragot, 2010. "Aggregate Consumption in Times of Crisis: The Role of Financial Frictions -super-1," CESifo Economic Studies, CESifo Group, vol. 56(4), pages 627-648, December.
    321. Delphine M. Irac & Camelia Minoiu, 2007. "Risk insurance in a transition economy," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 15(1), pages 153-173, January.
    322. Tianxin Pan & Michael Palmer & Ajay Mahal & Peter Annear & Barbara McPake, 2020. "The long‐run effects of noncommunicable disease shocks," Health Economics, John Wiley & Sons, Ltd., vol. 29(12), pages 1549-1565, December.
    323. Sørensen, Bent E & Hryshko, Dmytro & Luengo-Prado, Maria & Demyanyk, Yuliya, 2017. "The Rise and Fall of Consumption in the '00s. A Tangled Tale," CEPR Discussion Papers 12522, C.E.P.R. Discussion Papers.
    324. Mu, Ren, 2006. "Income Shocks, Consumption, Wealth, and Human Capital: Evidence from Russia," Economic Development and Cultural Change, University of Chicago Press, vol. 54(4), pages 857-892, July.
    325. Stefan Dercon & Pramila Krishnan, 2003. "Risk Sharing and Public Transfers," Economic Journal, Royal Economic Society, vol. 113(486), pages 86-94, March.
    326. Grande, Giuseppe & Ventura, Luigi, 2002. "Labor income and risky assets under market incompleteness: Evidence from Italian data," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 597-620, March.
    327. Sun, Gang, 2013. "Complete Markets Strikes Back: Revisiting Risk Sharing Tests under Discount Rate Heterogeneity," SIRE Discussion Papers 2013-96, Scottish Institute for Research in Economics (SIRE).
    328. Athreya, Kartik B., 2014. "Big Ideas in Macroeconomics: A Nontechnical View," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262019736, December.
    329. Casper van Ewijk & Erik Canton & Paul Tang, 2004. "Ageing and international capital flows," CPB Document 43, CPB Netherlands Bureau for Economic Policy Analysis.
    330. TAMURA Sakuya & SAWADA Yasuyuki, 2009. "Consumption Insurance against Unforeseen Epidemics:The Case of Avian Influenza in Vietnam," Discussion papers 09023, Research Institute of Economy, Trade and Industry (RIETI).
    331. Aidan Corcoran, 2008. "International Financial Integration and Consumption Risk Sharing," The Institute for International Integration Studies Discussion Paper Series iiisdp241, IIIS.
    332. Firman Witoelar, 2013. "Risk Sharing within the Extended Family: Evidence from the Indonesia Family Life Survey," Economic Development and Cultural Change, University of Chicago Press, vol. 62(1), pages 65-94.
    333. Graham, Liam, 2003. "Unemployment and the smoothness of consumption in business cycle models," Economics Letters, Elsevier, vol. 79(2), pages 263-267, May.
    334. Kazianga, Harounan, 2004. "Motives for Household Private Transfers in Burkina Faso," Center Discussion Papers 28463, Yale University, Economic Growth Center.
    335. Tullio Jappelli & Luigi Pistaferri, 1999. "Consumption Insurance or Consumption Mobility?," CSEF Working Papers 19, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    336. Raj Chetty, 2006. "A Bound on Risk Aversion Using Labor Supply Elasticities," NBER Working Papers 12067, National Bureau of Economic Research, Inc.
    337. Mihm, Maximilian, 2016. "Reference dependent ambiguity," Journal of Economic Theory, Elsevier, vol. 163(C), pages 495-524.
    338. Sørensen, Bent E & Hoffmann, Mathias & Maslov, Egor & Stewen, Iryna, 2018. "Are Banking and Capital Markets Union Complements? Evidence from Channels of Risk Sharing in the Eurozone," CEPR Discussion Papers 13254, C.E.P.R. Discussion Papers.
    339. Ghosh, Anisha & Theloudis, Alexandros, 2023. "Consumption Partial Insurance in the Presence of Tail Income Risk," Discussion Paper 2023-024, Tilburg University, Center for Economic Research.
    340. Zouri, Stéphane, 2020. "Business cycles, bilateral trade and financial integration: Evidence from Economic Community of West African States (ECOWAS)," International Economics, Elsevier, vol. 163(C), pages 25-43.
    341. Parantap Basu & Sigit Sulistiyo Wibowo, 2015. "An Empirical Investigation of Risk Sharing among Indonesian Households," CEGAP Working Papers 2015_02, Durham University Business School.
    342. Prescott, Edward Simpson & Townsend, Robert M., 2002. "Collective Organizations versus Relative Performance Contracts: Inequality, Risk Sharing, and Moral Hazard," Journal of Economic Theory, Elsevier, vol. 103(2), pages 282-310, April.
    343. Manoj K. Pandey, 2013. "Elderly's Health Shocks and Household's Ex-ante Poverty in India," ASARC Working Papers 2013-01, The Australian National University, Australia South Asia Research Centre.
    344. Pagano, Patrizio, 2004. "Habit persistence and the marginal propensity to consume in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 18(3), pages 316-329, September.
    345. Chiuri, Maria Concetta, 2000. "Individual decisions and household demand for consumption and leisure," Research in Economics, Elsevier, vol. 54(3), pages 277-324, September.
    346. Alisdair McKay, "undated". "Idiosyncratic risk, insurance, and aggregate consumption dynamics: a likelihood perspective," Boston University - Department of Economics - Working Papers Series 2013-013, Boston University - Department of Economics.
    347. Arpita Chatterjee & James Morley & Aarti Singh, 2017. "Full Information Estimation of Household Income Risk and Consumption Insurance," Discussion Papers 2017-07, School of Economics, The University of New South Wales.
    348. Sebnem Kalemi-Ozcan & Bent E. Sorensen & Oved Yosha, 2000. "Risk Sharing and Sectoral Specialization: Regional and International Evidence," Econometric Society World Congress 2000 Contributed Papers 1582, Econometric Society.
    349. Oriol Carbonell-Nicolau & Diego Comin, 2005. "Testing out Contractual Incompleteness: Evidence from Soccer," NBER Working Papers 11110, National Bureau of Economic Research, Inc.
    350. Raj Chetty & Adam Looney, 2005. "Consumption Smoothing and the Welfare Consequences of Social Insurance in Developing Economies," NBER Working Papers 11709, National Bureau of Economic Research, Inc.
    351. George M. Constantinides, 2017. "Asset Pricing: Models and Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 125(6), pages 1782-1790.
    352. Jacobs, Kris, 2000. "Estimating Nonseparable Preference Specifications for Asset Market Participants," Econometric Society World Congress 2000 Contributed Papers 1472, Econometric Society.
    353. Anderberg, Dan & Morsink, Karlijn, 2020. "The introduction of formal insurance and its effect on redistribution," Journal of Economic Behavior & Organization, Elsevier, vol. 179(C), pages 22-45.
    354. Valentina Milano, 2017. "Risk Sharing in the Euro Zone: the Role of European Institutions," Working Papers CELEG 1701, Dipartimento di Economia e Finanza, LUISS Guido Carli.
    355. de Brouwer,Gordon, 1999. "Financial Integration in East Asia," Cambridge Books, Cambridge University Press, number 9780521651486, November.
    356. Morduch, Jonathan, 1999. "Between the State and the Market: Can Informal Insurance Patch the Safety Net?," The World Bank Research Observer, World Bank, vol. 14(2), pages 187-207, August.
    357. Skoufias, Emmanuel, 2007. "Poverty alleviation and consumption insurance: Evidence from PROGRESA in Mexico," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 36(4), pages 630-649, August.
    358. Pierre André Chiappori & Bernard Salanié, 2002. "Testing Contract Theory: A Survey of Some Recent Work," CESifo Working Paper Series 738, CESifo.
    359. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
    360. Patrick Eozenou, 2009. "The Determinants of Private Transfers in Rural Vietnam," Working Papers 04, Development and Policies Research Center (DEPOCEN), Vietnam.
    361. Hauptmeier, Sebastian & Holm-Hadulla, Fédéric & Renault, Théodore, 2022. "Risk sharing and monetary policy transmission," Working Paper Series 2746, European Central Bank.
    362. Tesar, Linda L., 1995. "Evaluating the gains from international risksharing," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 42(1), pages 95-143, June.
    363. George M. Korniotis & Alok Kumar, 2008. "Do behavioral biases adversely affect the macro-economy?," Finance and Economics Discussion Series 2008-49, Board of Governors of the Federal Reserve System (U.S.).
    364. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
    365. Gilles Dufrénot & Jean-Baptiste Gossé & Caroline Clerc, 2021. "Risk sharing in Europe: new empirical evidence on the capital markets channel," Post-Print hal-02978130, HAL.
    366. Kollmann, Robert, 1991. ""Essays on International Business Cycles", PhD thesis, Economics Department, University of Chicago, 1991," MPRA Paper 69905, University Library of Munich, Germany.
    367. Pierfederico Asdrubali & Soyoung Kim, 2000. "Dynamic Risk Sharing in the United States and Europe," Econometric Society World Congress 2000 Contributed Papers 1621, Econometric Society.
    368. Li, Jie & Wu, Yu & Xiao, Jing Jian, 2020. "The impact of digital finance on household consumption: Evidence from China," Economic Modelling, Elsevier, vol. 86(C), pages 317-326.
    369. Faruk Balli & Bent E. Sørensen, 2006. "The Impact of the EMU on Channels of Risk Sharing between Member Countries," Papers of the Annual IUE-SUNY Cortland Conference in Economics, in: Oguz Esen & Ayla Ogus (ed.), Proceedings of the Conference on Human and Economic Resources, pages 399-429, Izmir University of Economics.
    370. Juessen, Falko, 2008. "Risk Sharing and Commuting Among US Federal States," IZA Discussion Papers 3374, Institute of Labor Economics (IZA).
    371. Mathias Hoffmann & Egor Maslov & Bent E. Sørensen & Iryna Stewen, 2019. "Channels of Risk Sharing in the Eurozone: What Can Banking and Capital Market Union Achieve?," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(3), pages 443-495, September.
    372. Hans Hoogeveen, 2001. "Evidence on Informal Insurance in Rural Zimbabwe," Tinbergen Institute Discussion Papers 01-001/2, Tinbergen Institute.
    373. Chiaki Hara, 2005. "Heterogeneous Risk Attitudes in a Continuous-Time Model," KIER Working Papers 609, Kyoto University, Institute of Economic Research.
    374. George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
    375. A. Scorcu, 1997. "Contiguita' territoriale e shock sul consumo nelle regioni italiane," Working Papers 277, Dipartimento Scienze Economiche, Universita' di Bologna.
    376. Faruk Balli & Eleonora Pierucci, 2015. "Globalization and international risk-sharing: do political and social factors matter more than economic integration?," CAMA Working Papers 2015-04, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    377. Jääskelä, Jarkko, 1997. "Incomplete insurance market and its policy implication within European Monetary Union," Bank of Finland Research Discussion Papers 8/1997, Bank of Finland.
    378. Ligon, Ethan & Thomas, Jonathan & Worrall, Tim, 1997. "Informal Insurance Arrangements in Village Economies," CUDARE Working Papers 198657, University of California, Berkeley, Department of Agricultural and Resource Economics.
    379. Lawrence J. Christiano, 2012. "Comment," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 361-380.
    380. Vardan Baghdasaryan & Hayk Hambardzumyan, 2017. "Optimal Income tax rates with non-democratic political constraints: case of Armenia," EcoMod2017 10405, EcoMod.
    381. Dong Cheng, 2021. "Housing boom and non-housing consumption: evidence from urban households in China," Empirical Economics, Springer, vol. 61(6), pages 3271-3313, December.
    382. Balli, Faruk & Pericoli, Filippo M. & Pierucci, Eleonora, 2018. "Globalization and international risk-sharing: The role of social and political integration," European Journal of Political Economy, Elsevier, vol. 55(C), pages 324-345.
    383. Eleonora Pierucci & Luigi Ventura, 2010. "Risk Sharing: A Long Run Issue?," Open Economies Review, Springer, vol. 21(5), pages 705-730, November.
    384. Pierfederico Asdrubali & Simone Tedeschi & Luigi Ventura, 2020. "Household risk‐sharing channels," Quantitative Economics, Econometric Society, vol. 11(3), pages 1109-1142, July.
    385. Manuela Angelucci & Giacomo De Giorgi, 2009. "Indirect Effects of an Aid Program: How Do Cash Transfers Affect Ineligibles' Consumption?," American Economic Review, American Economic Association, vol. 99(1), pages 486-508, March.
    386. Christian Friedrich, 2015. "Does Financial Integration Increase Welfare? Evidence from International Household-Level Data," Staff Working Papers 15-4, Bank of Canada.
    387. Manoj Mohanan, 2008. "Consumption Smoothing and Household Responses: Evidence from Random Exogenous Health Shocks," CID Working Papers 23, Center for International Development at Harvard University.
    388. Engen, Eric M. & Gruber, Jonathan, 2001. "Unemployment insurance and precautionary saving," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 545-579, June.
    389. Mauricio Gallardo, 2018. "Identifying Vulnerability To Poverty: A Critical Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(4), pages 1074-1105, September.
    390. Asdrubali, Pierfederico & Kim, Soyoung & Pericoli, Filippo & Poncela, Pilar, 2018. "New Risk Sharing Channels in OECD Countries: a Heterogeneous Panel VAR," Working Papers 2018-13, Joint Research Centre, European Commission.
    391. Orazio Attanasio & Erich Battistin & Hidehiko Ichimura, 2004. "What Really Happened to Consumption Inequality in the US?," NBER Working Papers 10338, National Bureau of Economic Research, Inc.
    392. Anna Lo Prete, 2016. "Labour Market Institutions and Household Consumption Insurance within OECD Countries," The World Economy, Wiley Blackwell, vol. 39(6), pages 755-771, June.
    393. Nepal, Mani & Bohara, Alok K, 2015. "Consumption insurance under uncertainty: The case of Nepal during Maoist insurgency," International Journal of Development and Conflict, Gokhale Institute of Politics and Economics, vol. 5(1), pages 1-31.
    394. Yasuyuki Sawada & Satoshi Shimizutani, 2007. "Consumption insurance against natural disasters: evidence from the Great Hanshin-Awaji (Kobe) earthquake," Applied Economics Letters, Taylor & Francis Journals, vol. 14(4), pages 303-306.
    395. Carbonell-Nicolau Oriol & Comin Diego, 2009. "Testing the Commitment Hypothesis in Contractual Settings: Evidence from Soccer," Journal of Quantitative Analysis in Sports, De Gruyter, vol. 5(4), pages 1-40, October.
    396. Miki Kohara, 2001. "Consumption insurance between Japanese households," Applied Economics, Taylor & Francis Journals, vol. 33(6), pages 791-800.
    397. Akın, Ş. Nuray & Leukhina, Oksana, 2015. "Risk-sharing within families: Evidence from the Health and Retirement Study," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 270-284.
    398. Young Chun, 2001. "The Redistributive Effect of Risky Taxation," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 8(4), pages 433-454, August.
    399. Marcel Fafchamps & Flore Gubert & DIAL & Research Unit or IRD, 2004. "Contingent Loan Repayment in the Philippines," Economics Series Working Papers 215, University of Oxford, Department of Economics.
    400. Dubois, Pierre, 2002. "Consommation, partage de risque et assurance informelle : développements théoriques et tests empiriques récents," L'Actualité Economique, Société Canadienne de Science Economique, vol. 78(1), pages 115-149, Mars.
    401. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho.
    402. Veronesi, Pietro & Santos, Tano, 2016. "Habits and Leverage," CEPR Discussion Papers 11681, C.E.P.R. Discussion Papers.
    403. Attanasio, Orazio & Kovacs, Agnes & Molnar, Krisztina, 2017. "Euler Equations, Subjective Expectations and Income Shocks," Discussion Paper Series in Economics 5/2017, Norwegian School of Economics, Department of Economics.
    404. Alem, Yonas & Tato, Gidisa Lachisa, 2022. "Shocks and Mental Health: Panel Data Evidence from South Africa," EfD Discussion Paper 22-1, Environment for Development, University of Gothenburg.
    405. Raj Chetty, 2008. "Moral Hazard vs. Liquidity and Optimal Unemployment Insurance," NBER Working Papers 13967, National Bureau of Economic Research, Inc.
    406. Yasuyuki Sawada & Satoshi Shimizutani, 2011. "Changes in durable stocks, portfolio allocation, and consumption expenditure in the aftermath of the Kobe earthquake," Review of Economics of the Household, Springer, vol. 9(4), pages 429-443, December.
    407. Monteiro, Paulo Santos, 2008. "Testing Full Consumption Insurance in the Frequency Domain," Economic Research Papers 269910, University of Warwick - Department of Economics.
    408. Przemysław Włodarczyk, 2016. "Modele reprezentatywnych podmiotów gospodarczych jako narzędzie analizy w nowej syntezie neoklasycznej," Bank i Kredyt, Narodowy Bank Polski, vol. 47(6), pages 553-584.
    409. Ligon, Ethan, 1995. "Altruism And Markets," CUDARE Working Papers 25115, University of California, Berkeley, Department of Agricultural and Resource Economics.
    410. Delaney, Judith M., 2019. "Risk-Adjusted Returns to Education," IZA Discussion Papers 12394, Institute of Labor Economics (IZA).
    411. Skoufias, Emmanuel & Quisumbing, Agnes R., 2004. "Consumption insurance and vulnerability to poverty : a synthesis of the evidence from Bangladesh, Ethiopia, Mali, Mexico and Russia," Social Protection Discussion Papers and Notes 29141, The World Bank.
    412. Kazianga, Harounan, 2003. "Motives For Household Private Transfers In Rural Burkina Faso," 2003 Annual meeting, July 27-30, Montreal, Canada 21949, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    413. Jonathan B. Berk & Johan Walden, 2013. "Limited Capital Market Participation and Human Capital Risk," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 3(1), pages 1-37.
    414. Owen (O.A.) O'Donnell, 2019. "Financial Protection Against Medical Expense," Tinbergen Institute Discussion Papers 19-010/V, Tinbergen Institute.
    415. Fiorelli, Cristiana & Giannini, Massimo & Martini, Barbara, 2022. "Private and public risk sharing across Italian regions," Journal of Macroeconomics, Elsevier, vol. 74(C).
    416. Skoufias, Emmanuel, 2004. "Consumption smoothing during the economic transition in Bulgaria," Journal of Comparative Economics, Elsevier, vol. 32(2), pages 328-347, June.
    417. Yasuyuki SAWADA & Fauziah ZEN, 2014. "Disaster Management in ASEAN," Working Papers DP-2014-03, Economic Research Institute for ASEAN and East Asia (ERIA).
    418. Masao Ogaki, 2003. "Aggregation under Complete Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 977-986, October.
    419. Rita Ginja, 2010. "Income Shocks and Investments in Human Capital," 2010 Meeting Papers 1165, Society for Economic Dynamics.
    420. Sule Alan, 2004. "Precautionary Wealth and Portfolio Allocation: Evidence from Canadian Microdata," Social and Economic Dimensions of an Aging Population Research Papers 117, McMaster University.
    421. Larry H. Filer & Jonathan D. Fisher, 2005. "The Consumption Effects Associated with Filing for Personal Bankruptcy," Southern Economic Journal, John Wiley & Sons, vol. 71(4), pages 837-854, April.
    422. Hazel Jean Malapit & Jade Eric Redoblado & Deanna Margarett Cabungcal-Dolor & Jasmin Suministrado, 2006. "Labor Supply Responses to Adverse Shocks under Credit Constraints: Evidence from Bukidnon, Philippines," Working Papers PMMA 2006-15, PEP-PMMA.
    423. Notten, Geranda & de Crombrugghe, Denis, 2006. "Poverty risk and consumption smoothing abilities in Russia," MPRA Paper 5314, University Library of Munich, Germany, revised 27 Jul 2007.
    424. Jonathan Gruber, 1994. "The Consumption Smoothing Benefits of Unemployment Insurance," NBER Working Papers 4750, National Bureau of Economic Research, Inc.
    425. Nigussie, Tefera, 2008. "Consumption smoothing and Vulnerability in Four Rural Villages of Ethiopia," Ethiopian Journal of Economics, Ethiopian Economics Association, vol. 15(2), pages 1-68, May.
    426. Jürgen Maurer & André Meier, 2008. "Smooth it Like the “Joneses?†Estimating Peer-Group Effects in Intertemporal Consumption Choice," MEA discussion paper series 08167, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
    427. Sarolta Laczo, 2010. "Estimating Dynamic Contracts: Risk Sharing in Village Economies," 2010 Meeting Papers 687, Society for Economic Dynamics.
    428. Eric Akobeng, 2017. "The Invisible Hand of Rain in Spending: Effect of Rainfall-Driven Agricultural Income on Per Capita Expenditure in Ghana," South African Journal of Economics, Economic Society of South Africa, vol. 85(1), pages 98-122, March.
    429. Glaeser, Edward L. & Paulson, Anna L., 1997. "A reconsideration of the (in)sensitivity of tests of the intertemporal allocation of consumption to near rational alternatives," Journal of Economic Dynamics and Control, Elsevier, vol. 21(7), pages 1173-1180, June.
    430. Makoto Saito, 2001. "An Empirical Investigation of Intergenerational Consumption Distribution: A Comparison among Japan, the United States, and the United Kingdom," NBER Chapters, in: Aging Issues in the United States and Japan, pages 135-168, National Bureau of Economic Research, Inc.
    431. Stillman, Steven & Thomas, Duncan, 2004. "The Effect of Economic Crises on Nutritional Status: Evidence from Russia," IZA Discussion Papers 1092, Institute of Labor Economics (IZA).
    432. Gang Sun, 2015. "Complete Markets Strikes Back: Is the Reduced-form Measure of Consumption Insurance Reliable?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(4), pages 921-930, October.
    433. Qiang Zhang & Sung Jin Kang, 2007. "Crisis and Consumption Smoothing," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 137-154, May.
    434. Gargi Sanati, 2010. "Integration of India’s Financial Markets on the Domestic and International Fronts: An Emperical Analysis of the Post-Liberalisation Period. June 2010," Working Papers id:3097, eSocialSciences.
    435. Christian Cox & Akanksha Negi & Digvijay Negi, 2022. "Risk-Sharing Tests with Network Transaction Costs," Monash Econometrics and Business Statistics Working Papers 5/22, Monash University, Department of Econometrics and Business Statistics.
    436. Aeggarchat Sirisankanan, 2013. "Do agricultural households share risks in Thailand? Evidence from Thai household socio-economic panel survey data," Asia-Pacific Development Journal, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), vol. 20(2), pages 89-108, December.
    437. M. Hadzi-Vaskov, 2007. "Does the Nominal Exchange Rate Explain the Backus-Smith Puzzle? Evidence from the Eurozone," Working Papers 07-32, Utrecht School of Economics.
    438. Oguz Esen & Ayla Ogus (ed.), 2006. "Proceedings of the International Conference on Human and Economic Resources," Proceedings of the IUE-SUNY Cortland Conference in Economics, Izmir University of Economics, number 2006.
    439. Tirelli Mario & Turner Sergio, 2010. "Quantifying the Cost of Risk in Consumption," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 10(1), pages 1-33, July.
    440. Abegunde, Dele Olawale & Stanciole, Anderson E., 2008. "The economic impact of chronic diseases: How do households respond to shocks? Evidence from Russia," Social Science & Medicine, Elsevier, vol. 66(11), pages 2296-2307, June.
    441. Marek Šedivý, 2023. "Mortality shocks and household consumption: the case of Mexico," Review of Economics of the Household, Springer, vol. 21(4), pages 1289-1358, December.
    442. Miller Marcus & Santos Monteiro Paulo & Zhang Lei, 2011. "Eastern Caution, Western Exuberance and Global Imbalances," Journal of Globalization and Development, De Gruyter, vol. 2(1), pages 1-42, August.
    443. Chen Yuyu & Zhou Li-An, 2003. "How Prudent are Community Representative Consumers?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 3(1), pages 1-20, March.

  45. John H Cochrane & Barry W Ickes, 1991. "Inflation Stabilization in Reforming Socialist Economies: The Myth of the Monetary Overhang," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 33(2), pages 97-122, July.
    See citations under working paper version above.
  46. Cochrane, John H, 1989. "The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives," American Economic Review, American Economic Association, vol. 79(3), pages 319-337, June.
    See citations under working paper version above.
  47. Cochrane, John H, 1989. "The Return of the Liquidity Effect: A Study of the Short-run Relation between Money Growth and Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 75-83, January.

    Cited by:

    1. Li, Jenny X., 1998. "Numerical analysis of a nonlinear operator equation arising from a monetary model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1335-1351, August.
    2. Ben S. Bernanke & Ilian Mihov, 1998. "The Liquidity Effect and Long-Run Neutrality," NBER Working Papers 6608, National Bureau of Economic Research, Inc.
    3. D.M. Nachane & Amlendu Kumar Dubey, 2008. "The vanishing role of money in the macroeconomy: An Empirical investigation based on spectral and wavelet analysis," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2008-022, Indira Gandhi Institute of Development Research, Mumbai, India.
    4. Kettemann, Andreas & Krogstrup, Signe, 2014. "Portfolio balance effects of the Swiss National Bank’s bond purchase program," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 132-149.
    5. Pami Dua & Nishita Raje, 2010. "Determinants of Weekly Yields on Government Securities in India," Working papers 187, Centre for Development Economics, Delhi School of Economics.
    6. Bianconi, Marcelo, 1995. "Inflation and the real price of equities: Theory with some empirical evidence," Journal of Macroeconomics, Elsevier, vol. 17(3), pages 495-514.
    7. Andreas Kettemann & Signe Krogstrup, 2013. "Portfolio balance effects of the SNB's bond purchase program," ECON - Working Papers 116, Department of Economics - University of Zurich.
    8. Strongin, Steven, 1995. "The identification of monetary policy disturbances explaining the liquidity puzzle," Journal of Monetary Economics, Elsevier, vol. 35(3), pages 463-497, June.
    9. Michael Dotsey & Peter N. Ireland, 1994. "Liquidity effects and transactions technologies," Proceedings, Federal Reserve Bank of Cleveland, pages 1441-1471.
    10. Graciela L. Kaminsky & Karen K. Lewis, 1993. "Does foreign exchange intervention signal future monetary policy?," Finance and Economics Discussion Series 93-1, Board of Governors of the Federal Reserve System (U.S.).
    11. Lawrence J. Christiano & Martin Eichenbaum, 1991. "Identification and the Liquidity Effect of a Monetary Policy Shock," NBER Working Papers 3920, National Bureau of Economic Research, Inc.
    12. Kelly, Logan J. & Barnett, William A. & Keating, John W., 2011. "Rethinking the liquidity puzzle: Application of a new measure of the economic money stock," Journal of Banking & Finance, Elsevier, vol. 35(4), pages 768-774, April.
    13. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "Money growth, output gaps and inflation at low and high frequency: Spectral estimates for Switzerland," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 411-435, February.
    14. Pami Dua & Nishita Raje, 2014. "Determinants of Yields on Government Securities in India," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 8(4), pages 375-400, November.
    15. Jonathan Chiu, 2005. "Endogenously Segmented Asset Market in an Inventory Theoretic Model of Money Demand," 2005 Meeting Papers 108, Society for Economic Dynamics.
    16. Antonis Michis, 2015. "Multiscale Analysis of the Liquidity Effect in the UK Economy," Computational Economics, Springer;Society for Computational Economics, vol. 45(4), pages 615-633, April.
    17. Lawrence J. Christiano, 1991. "Modeling the liquidity effect of a money shock," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 15(Win), pages 3-34.
    18. Mohamed Benbouziane & Abdelhak Benamar & Mustapha Djennas, 2010. "The Liquidity Effect in Algeria and Morocco: A Multivariate Threshold Autoregressive Investigation," Working Papers 525, Economic Research Forum, revised 06 Jan 2010.
    19. Seth B. Carpenter & Selva Demiralp, 2004. "The liquidity effect in the federal funds market: evidence from daily open market operations," Finance and Economics Discussion Series 2004-61, Board of Governors of the Federal Reserve System (U.S.).
    20. Olivier Habimana, 2019. "Wavelet Multiresolution Analysis of the Liquidity Effect and Monetary Neutrality," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 85-110, January.
    21. Monika Piazzesi, 2005. "Bond Yields and the Federal Reserve," Journal of Political Economy, University of Chicago Press, vol. 113(2), pages 311-344, April.
    22. Ben Fung & Rohit Gupta, 1995. "Searching for the Liquidity Effect in Canada," Macroeconomics 9502004, University Library of Munich, Germany.
    23. Ignazio Angeloni & Alessandro Prati, 1996. "The identification of liquidity effects in the EMS: Italy 1991–1992," Open Economies Review, Springer, vol. 7(3), pages 275-293, July.
    24. Lastrapes, William D. & Selgin, George, 1995. "The liquidity effect: Identifying short-run interest rate dynamics using long-run restrictions," Journal of Macroeconomics, Elsevier, vol. 17(3), pages 387-404.
    25. David B. Gordon & Eric M. Leeper, 1991. "In search of the liquidity effect," International Finance Discussion Papers 403, Board of Governors of the Federal Reserve System (U.S.).
    26. Leena Pasanen & Lasse Holmström, 2017. "Scale space multiresolution correlation analysis for time series data," Computational Statistics, Springer, vol. 32(1), pages 197-218, March.
    27. Fernando Blumenschein, 1995. "The Positive Economics of Inflation in Brazil," Development and Change, International Institute of Social Studies, vol. 26(4), pages 651-686, October.
    28. Mary G. Finn, 1995. "The increasing-returns-to-scale/sticky- price approach to monetary analysis," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 79-93.
    29. Daniel L. Thornton, 1998. "The Federal Reserve's operating procedure, nonborrowed reserves, borrowed reserves and the liquidity effect," Working Papers 1998-009, Federal Reserve Bank of St. Louis.
    30. Vilasuso, Jon, 1999. "The Liquidity Effect and the Operating Procedure of the Federal Reserve," Journal of Macroeconomics, Elsevier, vol. 21(3), pages 443-461, July.
    31. Tarhan, Vefa, 1995. "Does the federal reserve affect asset prices?," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 1199-1222.
    32. Benjamin Kim & Noor Ghazali, 1998. "The Liquidity Effect of Money Shocks on Short-Term Interest Rates: Some International Evidence," International Economic Journal, Taylor & Francis Journals, vol. 12(4), pages 49-63.
    33. Sumner, Scott & Gulley, O. David & Newman, Ross, 1998. "Money Demand and Nominal Debt: An Equilibrium Model of the Liquidity Effect," Journal of Macroeconomics, Elsevier, vol. 20(2), pages 267-293, April.
    34. Lee, Kiseok & Ni, Shawn, 1995. "Systematic risk over various frequency bands: An empirical analysis of returns on size-ranked portfolios," Economics Letters, Elsevier, vol. 49(1), pages 77-83, July.
    35. Forgha Godfrey NJIMANTED & Daniel AKUME & Emmanuel Mbella MUKETE, 2016. "The Impact of Key Monetary Variables on the Economic Growth of the CEMAC Zone," Expert Journal of Economics, Sprint Investify, vol. 4(2), pages 54-67.
    36. Signe Krogstrup & Dr. Samuel Reynard & Barbara Sutter, 2012. "Liquidity Effects of Quantitative Easing on Long-Term Interest Rates," Working Papers 2012-02, Swiss National Bank.
    37. D. M. Nachane & Amlendu Kumar Dubey, 2008. "The Vanishing Role of Money in the Macroeconomy - An Empirical Investigation Based On Spectral and Wavelet Analysis," Macroeconomics Working Papers 22369, East Asian Bureau of Economic Research.
    38. John H. Cochrane & Monika Piazzesi, 2002. "The Fed and Interest Rates: A High-Frequency Identification," NBER Working Papers 8839, National Bureau of Economic Research, Inc.
    39. Zhang, Yongmin & Ding, Shusheng, 2021. "Liquidity effects on price and return co-movements in commodity futures markets," International Review of Financial Analysis, Elsevier, vol. 76(C).
    40. Bilan, Olena, 2005. "In search of the liquidity effect in Ukraine," Journal of Comparative Economics, Elsevier, vol. 33(3), pages 500-516, September.
    41. M. A. Akhtar, 1995. "Monetary Policy And Long‐Term Interest Rates: A Survey Of Empirical Literature," Contemporary Economic Policy, Western Economic Association International, vol. 13(3), pages 110-130, July.
    42. Bjornson, Bruce & Hong Shik Kim & Lee, Kiseok, 1999. "Low and high frequency macroeconomic forces in asset pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 77-100.
    43. Uesugi, Iichiro, 2002. "Measuring the Liquidity Effect: The Case of Japan," Journal of the Japanese and International Economies, Elsevier, vol. 16(3), pages 289-316, September.
    44. Bona, Jerry L. & Li, Jenny X., 2001. "Stabilizing Monetary-Injection Policies," Journal of Economic Theory, Elsevier, vol. 98(1), pages 127-157, May.

  48. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.

    Cited by:

    1. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
    2. Malliaropulos, Dimitrios & Priestley, Richard, 1999. "Mean reversion in Southeast Asian stock markets," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 355-384, October.
    3. Ashby, M. & Linton, O. B., 2022. "Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?," Janeway Institute Working Papers 2226, Faculty of Economics, University of Cambridge.
    4. Daniel Tortorice, 2007. "Credit Constraints, Learning and Aggregate Consumption Volatility," Working Papers 06, Brandeis University, Department of Economics and International Business School, revised Feb 2011.
    5. Penasse, J.N.G. & Renneboog, L.D.R., 2014. "Bubbles and Trading Frenzies : Evidence from the Art Market," Other publications TiSEM 386dd5e7-e672-4d9d-829c-6, Tilburg University, School of Economics and Management.
    6. Agustin Roitman & Christian Daude, 2011. "Imperfect Information and Saving in a Small Open Economy," IMF Working Papers 2011/060, International Monetary Fund.
    7. Reinhart, Carmen & Vegh, Carlos, 1999. "Do Exchange Rate-Based Stabilizations Carry the Seeds of Their Own Destruction?," MPRA Paper 8952, University Library of Munich, Germany.
    8. Giorgio Ffagiolo & Daniele Giachini & Andrea Roventini, 2017. "Innovation, Finance, and Economic Growth : an agent based approach," Documents de Travail de l'OFCE 2017-28, Observatoire Francais des Conjonctures Economiques (OFCE).
    9. Eduardo Lima & Benjamin Tabak, 2009. "Tests of Random Walk: A Comparison of Bootstrap Approaches," Computational Economics, Springer;Society for Computational Economics, vol. 34(4), pages 365-382, November.
    10. Cribari-Neto, Francisco, 1996. "On time series econometrics," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(Supplemen), pages 37-60.
    11. Daniel L. Tortorice, 2014. "Equity Return Predictability, Time Varying Volatility and Learning About the Permanence of Shocks," Working Papers 70, Brandeis University, Department of Economics and International Business School.
    12. Pierre Perron & Tatsuma Wada, 2015. "Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data," Boston University - Department of Economics - Working Papers Series wp2015-016, Boston University - Department of Economics.
    13. Barañano Mentxaka, Ilaski & Romero-Avila, Diego, 2013. "Long-Term Growth and Persistence with Endogenous Depreciation: Theory and Evidence," IKERLANAK http://www-fae1-eao1-ehu-, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I.
    14. Valeriy Zakamulin, 2012. "Low-Frequency Waves and the Medium to Long-Term US Stock Market Outlook," Papers 1203.2250, arXiv.org, revised Jan 2013.
    15. Benjamin Miranda Tabak, 2002. "The Random Walk Hypothesis and the Behavior of Foreign Capital Portfolio Flows: the Brazilian Stock Market Case," Working Papers Series 58, Central Bank of Brazil, Research Department.
    16. Benhabib, Jess & Jovanovic, Boyan, 1991. "Externalities and Growth Accounting," American Economic Review, American Economic Association, vol. 81(1), pages 82-113, March.
    17. Gluzberg, Victor E. & Katz, Yuri A., 2019. "Planetary boundaries of consumption growth: Declining social discount rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 362-374.
    18. Sadequl Islam, 1996. "Persistence of economic growth and its determinants: some evidence for South Korea and India," Applied Economics Letters, Taylor & Francis Journals, vol. 3(1), pages 53-54.
    19. William Barnett & Apostolos Serletis & Demitre Serletis, 2012. "Nonlinear and Complex Dynamics in Economics," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201238, University of Kansas, Department of Economics, revised Sep 2012.
    20. Richard Luger, 2001. "Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity," Staff Working Papers 01-2, Bank of Canada.
    21. Asea, Patrick K & Reinhart, Carmen M, 1996. "Economic Growth and Economic Consequences of External Shocks in Sub-Saharan Africa: Introduction," Journal of African Economies, Centre for the Study of African Economies, vol. 5(3), pages 1-6, October.
    22. Carmen M. Reinhart & Peter Wickham, 1994. "Commodity Prices: Cyclical Weakness or Secular Decline?," IMF Staff Papers, Palgrave Macmillan, vol. 41(2), pages 175-213, June.
    23. Danny Quah, 1991. "The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds," FMG Discussion Papers dp126, Financial Markets Group.
    24. Caporale, Guglielmo Maria & Pittis, Nikitas, 1995. "Nominal exchange rate regimes and the stochastic behavior of real variables," Journal of International Money and Finance, Elsevier, vol. 14(3), pages 395-415, June.
    25. David Grreasley, 2010. "Cliometrics and Time Series Econometrics: Some Theory and Applications," Working Papers in Economics 10/56, University of Canterbury, Department of Economics and Finance.
    26. Yoon, Byung-Sam & Brorsen, B. Wade, 2005. "Can Multiyear Rollover Hedging Increase Mean Returns?," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 37(1), pages 1-14, April.
    27. Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2008. "Are output growth-rate distributions fat-tailed? some evidence from OECD countries," Post-Print hal-03417062, HAL.
    28. Kenneth A. Froot, 2019. "Currency Hedging Over Long Horizons," Annals of Economics and Finance, Society for AEF, vol. 20(1), pages 37-66, May.
    29. Mills, Terence C, 1994. "Infrequent Permanent Shocks and the Unit Root in Quarterly UK Output," Bulletin of Economic Research, Wiley Blackwell, vol. 46(1), pages 91-94, January.
    30. Frédéric Dufourt & Kazuo Nishimura & Alain Venditti, 2023. "Expectations, self-fulfilling prophecies and the business cycle," AMSE Working Papers 2234, Aix-Marseille School of Economics, France.
    31. Giorgio Fagiolo & Giovanni Dosi, 2002. "Exploitation, Exploration and Innovation in a Model of Endogenous Growth with Locally interacting Agents," LEM Papers Series 2002/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    32. Paul Hallwood & Ronald MacDonald & Ian Marsh, 2011. "Remilitarization and the End of the Gold Bloc in 1936," De Economist, Springer, vol. 159(3), pages 305-321, September.
    33. Mankiw, N. Gregory & Campbell, John, 1987. "Permanent and Transitory Components in Macroeconomic Fluctuations," Scholarly Articles 3207697, Harvard University Department of Economics.
    34. Cati, Regina Celia & Garcia, Marcio G P & Perron, Pierre, 1999. "Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(1), pages 27-56, Jan.-Feb..
    35. Durlauf, Steven N., 1991. "Spectral based testing of the martingale hypothesis," Journal of Econometrics, Elsevier, vol. 50(3), pages 355-376, December.
    36. Marlon Fritz & Thomas Gries & Yuanhua Feng, 2019. "Growth Trends and Systematic Patterns of Booms and Busts‐Testing 200 Years of Business Cycle Dynamics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(1), pages 62-78, February.
    37. Davinson Stev Abril Salcedo & Luis Fernando Melo Velandia & Daniel Parra Amado, 2015. "Heterogeneidad de los Índices de Producción Sectoriales de la Industria Colombiana," Borradores de Economia 888, Banco de la Republica de Colombia.
    38. James Morley & Charles Nelson & Eric Zivot, 2002. "Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?," Working Papers UWEC-2002-01, University of Washington, Department of Economics.
    39. Nilss Olekalns & Nigel Wilkins, 1998. "Re‐examining the Evidence for Long‐Run Purchasing Power Parity," The Economic Record, The Economic Society of Australia, vol. 74(224), pages 54-61, March.
    40. Geetha Mayadunne & Merran Evans & Brett Inder, 1995. "An Empirical Investigation of Shock Persistence in Economic Time Series," The Economic Record, The Economic Society of Australia, vol. 71(2), pages 145-156, June.
    41. María Gadea & Marcela Sabaté, 2004. "The European Periphery in the Era of the Gold Standard: The Case of the Spanish Peseta and the Pound Sterling from 1883 to 1931," Open Economies Review, Springer, vol. 15(1), pages 63-85, January.
    42. Robert G. King, 1995. "Quantitative theory and econometrics," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 53-105.
    43. Akdi, Yilmaz & Varlik, Serdar & Berument, M. Hakan, 2020. "Duration of Global Financial Cycles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
    44. Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
    45. Monojit Chatterji & Homagni Choudhury, 2010. "Growth Rate Estimation in the presence of Unit Roots," Dundee Discussion Papers in Economics 245, Economic Studies, University of Dundee.
    46. Anthony, Myrvin & MacDonald, Ronald, 1999. "The width of the band and exchange rate mean-reversion: some further ERM-based results," Journal of International Money and Finance, Elsevier, vol. 18(3), pages 411-428.
    47. Robert Anderton, 1997. "Did the underlying behaviour of inflation change in the 1980s? A study of 17 countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 133(1), pages 22-38, March.
    48. Francis X. Diebold & Jose A. Lopez, 1996. "Forecast Evaluation and Combination," NBER Technical Working Papers 0192, National Bureau of Economic Research, Inc.
    49. Ellison, Martin & Scott, Andrew, 2017. "Managing the UK National Debt 1694-2017," CEPR Discussion Papers 12304, C.E.P.R. Discussion Papers.
    50. Guillermo Calvo & Carmen Reinhart & Carlos Végh, 1994. "La tasa de cambio real como meta de política: teoría y evidencia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 13(25), pages 7-50, June.
    51. John H. Cochrane, 2016. "The Habit Habit," Economics Working Papers 16105, Hoover Institution, Stanford University.
    52. Dimitrios Vougas, 2001. "Real per capita GNP of USA: examination of the presence of a unit root via overdifferencing," Applied Economics Letters, Taylor & Francis Journals, vol. 8(6), pages 373-375.
    53. Massimo Caruso, 2004. "Infrequent Shocks, Output Persistence and Economic Growth," Manchester School, University of Manchester, vol. 72(2), pages 243-260, March.
    54. Levy, Daniel & Dezhbakhsh, Hashem, 2003. "On the Typical Spectral Shape of an Economic Variable," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 10(7), pages 417-423.
    55. P. A. Nazarov & Kazakova, Maria, 2014. "Theoretical Basis of Prediction of Main Budget Parameters of Country," Published Papers r90221, Russian Presidential Academy of National Economy and Public Administration.
    56. Patro, Dilip K. & Wu, Yangru, 2004. "Predictability of short-horizon returns in international equity markets," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 553-584, September.
    57. John J. Seater & Joseph P. DeJuan., "undated". "A Cross Country Test of the Permanent Income Hypothesis," Working Paper Series 15, North Carolina State University, Department of Economics.
    58. Robert J. Barro, 2006. "On the Welfare Costs of Consumption Uncertainty," NBER Working Papers 12763, National Bureau of Economic Research, Inc.
    59. Christiano, Lawrence J. & Eichenbaum, Martin, 1990. "Unit roots in real GNP: Do we know, and do we care?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 32(1), pages 7-61, January.
    60. Perron, Pierre, 1992. "Racines unitaires en macroéconomie : le cas d’une variable," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 325-356, mars et j.
    61. Melitz, Jacques & MacDonald, Ronald & Fazio, Giorgio, 2005. "Trade Costs, Trade Balances and Current Accounts: An Application of Gravity to Multilateral Trade," CEPR Discussion Papers 5137, C.E.P.R. Discussion Papers.
    62. Driver, Ciaran & Temple, Paul & Urga, Giovanni, 2008. "Real options -- delay vs. pre-emption: Do industrial characteristics matter?," International Journal of Industrial Organization, Elsevier, vol. 26(2), pages 532-545, March.
    63. F. Goerlich, 1991. "Persistencia en las fluctuaciones económicas: evidencia para el caso español," Investigaciones Economicas, Fundación SEPI, vol. 15(1), pages 193-202, January.
    64. Pedro H. Albuquerque, 2020. "Optimal Time Interval Selection in Long-Run Correlation Estimation," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 53-79, March.
    65. Oliver Linton & Katja Smetanina, 2015. "Mean Ratio Statistic for measuring predictability," CeMMAP working papers 08/15, Institute for Fiscal Studies.
    66. Lucio Sarno & Mark P. Taylor, 2002. "Purchasing Power Parity and the Real Exchange Rate," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 1-5.
    67. Michelacci, C. & Zaffaroni, P., 2000. "(Fractional) Beta Convergence," Papers 383, Banca Italia - Servizio di Studi.
    68. John H. Cochrane, 1990. "Univariate vs. Multivariate Forecasts of GNP Growth and Stock Returns: Evidence and Implications for the Persistence of Shocks, Detrending Methods," NBER Working Papers 3427, National Bureau of Economic Research, Inc.
    69. Yamin Ahmad & Ivan Paya, 2014. "Temporal Aggregation of Random Walk Processes and Implications for Asset Prices," Working Papers 14-01, UW-Whitewater, Department of Economics.
    70. Bashar, Omar & Mallick, Debdulal, 2021. "Frequency of Shocks, Resilience and Shock Persistence: Evidence from Natural Disasters," MPRA Paper 107517, University Library of Munich, Germany.
    71. Issler, Joao Victor & Vahid, Farshid, 2001. "Common cycles and the importance of transitory shocks to macroeconomic aggregates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 449-475, June.
    72. Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 0074, Department of Economics at the University of Washington.
    73. Daisuke Nagakura, 2008. "How Are Shocks to Trend and Cycle Correlated? A Simple Methodology for Unidentified Unobserved Components Models," IMES Discussion Paper Series 08-E-24, Institute for Monetary and Economic Studies, Bank of Japan.
    74. Luca Benati, 2005. "U.K. Monetary Regimes and Macroeconomic Stylised Facts," Computing in Economics and Finance 2005 107, Society for Computational Economics.
    75. Aguiar, Mark & Gopinath, Gita, 2007. "Emerging Market Business Cycles: The Cycle is the Trend," Scholarly Articles 11988098, Harvard University Department of Economics.
    76. Anoop S Kumar, 2011. "Testing for Weak Form of Market Efficiency in Indian Foreign Exchange Market," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(3), pages 7-19, August.
    77. Diego Romero-Ávila, 2012. "Multiple trend shifts and unit roots in US state income levels: implications for long-run growth," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 48(3), pages 641-661, June.
    78. William Barnett & Apostolos Serletis, 2012. "Martingales, Nonlinearity, And Chaos," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201225, University of Kansas, Department of Economics, revised Sep 2012.
    79. Mallick, Debdulal, 2015. "Elusive Relationship between Business-cycle Volatility and Long-run Growth," MPRA Paper 64502, University Library of Munich, Germany.
    80. Michael D. Bordo & Anna J. Schwartz, 1997. "Monetary Policy Regimes and Economic Performance: The Historical Record," NBER Working Papers 6201, National Bureau of Economic Research, Inc.
    81. Hashem Dezhbakhsh & Daniel Levy, 1994. "Periodic properties of interpolated time series," Post-Print hal-02382750, HAL.
    82. Robert Dixon & David Shepherd, 2006. "The Cyclical Dynamics and Volatility of Australian Output and Employment," Department of Economics - Working Papers Series 968, The University of Melbourne.
    83. Trenkler, Carsten & Weber, Enzo, 2015. "On the identification of multivariate correlated unobserved components models," Working Papers 15-12, University of Mannheim, Department of Economics.
    84. C. Paul Hallwood & Ronald MacDonald, 2002. "A Method for Indicating Economic Transition with an Application to Albania," Eastern Economic Journal, Eastern Economic Association, vol. 28(4), pages 465-480, Fall.
    85. Yongsung Chang & Noh-Sun Kwark, 2000. "Decomposition of Hours Based on Extensive and Intensive Margins of Labor," Econometric Society World Congress 2000 Contributed Papers 1416, Econometric Society.
    86. Robert Dixon & Guay Lim, 2003. "Underlying Inflation in Australia: Are the Existing Measures Satisfactory?," Department of Economics - Working Papers Series 878, The University of Melbourne.
    87. Baffes, John & Ajwad, Mohamed I., 1998. "Detecting price links in the world cotton market," Policy Research Working Paper Series 1944, The World Bank.
    88. Aron, Janine & Elbadawi, Ibrahim, 1994. "A typology of foreign exchange auction markets in sub-Saharan Africa : dynamic models for auction exchange rates," Policy Research Working Paper Series 1396, The World Bank.
    89. Engel, C., 1996. "Accounting for U.S. Real Exchange Rate Changes," Working Papers 96-02, University of Washington, Department of Economics.
    90. Todd E. Clark, 2003. "Disaggregate evidence on the persistence of consumer price inflation," Research Working Paper RWP 03-11, Federal Reserve Bank of Kansas City.
    91. Hanck, Christoph, 2008. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," MPRA Paper 11988, University Library of Munich, Germany.
    92. John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
    93. Michael D. Bordo & Lars Jonung, 1989. "The Long-Run Behavior of Velocity: The Institutional Approach Revisited," NBER Working Papers 3204, National Bureau of Economic Research, Inc.
    94. Francisco Maeso-Fernandez, 1998. "Econometric methods and purchasing power parity: short- and long-run PPP," Applied Economics, Taylor & Francis Journals, vol. 30(11), pages 1443-1457.
    95. Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers 98s-20, CIRANO.
    96. Elwood, S. Kirk, 1998. "Is the persistence of shocks to output asymmetric?," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 411-426, April.
    97. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2009. "Exchange Rate Mean Reversion within a Target Zone: Evidence from a Country on the Periphery of the ERM," GEMF Working Papers 2009-15, GEMF, Faculty of Economics, University of Coimbra.
    98. David Amdur & Eylem Ersal Kiziler, 2014. "Trend shocks and the countercyclical U.S. current account," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 47(2), pages 494-516, May.
    99. Ricardo Reis, 2005. "The time-series properties of aggregate consumption: implications for the costs of fluctuations," Working Papers 134, Princeton University, School of Public and International Affairs, Discussion Papers in Economics.
    100. Nalewaik, Jeremy & Pinto, Eugénio, 2015. "The response of capital goods shipments to demand over the business cycle," Journal of Macroeconomics, Elsevier, vol. 43(C), pages 62-80.
    101. Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2017. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," 2017 Meeting Papers 1633, Society for Economic Dynamics.
    102. Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2011. "Testing the martingale difference hypothesis in CO2 emission allowances," Economic Modelling, Elsevier, vol. 28(1-2), pages 27-35, January.
    103. Czudaj, Robert & Hanck, Christoph, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79734, Verein für Socialpolitik / German Economic Association.
    104. Laurini, M. P. & Portugal, M. S., 2003. "Markov Switching Based Nonlinear Tests for Market Efficiency Using the R$/US$ Exchange Rate," Finance Lab Working Papers flwp_51, Finance Lab, Insper Instituto de Ensino e Pesquisa.
    105. Cornelis A. Los & Joanna M. Lipka, 2004. "Long-Term Dependence Characteristics of European Stock Indices," Finance 0409044, University Library of Munich, Germany.
    106. Carl E. Walsh, 1987. "Monetary targeting and inflation: 1976-1984," Economic Review, Federal Reserve Bank of San Francisco, issue Win, pages 5-16.
    107. P. A. Nazarov & Kazakova, Maria, 2014. "Development of Prediction Model of Basic Budget Parameters in Russian Federation," Published Papers r90220, Russian Presidential Academy of National Economy and Public Administration.
    108. D.K. Srivastava & K.R. Shanmugam, 2012. "Stationarity Test for Aggregate Outputs in the Presence of Structural Breaks," Working Papers 2012-072, Madras School of Economics,Chennai,India.
    109. Graflund, Andreas, 2001. "Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998," Working Papers 2001:8, Lund University, Department of Economics.
    110. Caruso, Massimo, 2001. "Investment and the persistence of price uncertainty," Research in Economics, Elsevier, vol. 55(2), pages 189-217, June.
    111. Roisland, Oistein, 2001. "Institutional Arrangements for Monetary Policy When Output Is Persistent," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(4), pages 994-1014, November.
    112. Steven N. Durlauf, 1989. "Output Persistence, Economic Structure, and the Choice of Stabilization Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 20(2), pages 69-136.
    113. Hassler Uwe & Demetrescu Matei, 2005. "Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 225(4), pages 413-426, August.
    114. Pami Dua & Deepika Goel, 2021. "Inflation Persistence in India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(3), pages 525-553, September.
    115. Levy, Daniel & Chen, Haiwei, 1994. "Estimates of the Aggregate Quarterly Capital Stock for the Post-War U.S. Economy," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 40(3), pages 317-349.
    116. Joseph G. Haubrich & Andrew W. Lo, 1991. "The sources and nature of long-term memory in the business cycle," Working Papers (Old Series) 9116, Federal Reserve Bank of Cleveland.
    117. Katz, Yuri A., 2017. "Value of the distant future: Model-independent results," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 269-276.
    118. Scheide, Joachim, 1989. "On real and monetary explanations of business cycles in West Germany," Kiel Working Papers 356, Kiel Institute for the World Economy (IfW Kiel).
    119. Marcet, Albert & Scott, Andrew, 2001. "Debt and Deficit Fluctuations and the Structure of Bond Markets," CEPR Discussion Papers 3029, C.E.P.R. Discussion Papers.
    120. Juan Carlos Escanciano & Carlos Velasco, 2006. "Testing the Martingale Difference Hypothesis Using Integrated Regression Functions," Faculty Working Papers 06/06, School of Economics and Business Administration, University of Navarra.
    121. Sebastian Edwards, 1996. "A Tale of Two Crises: Chile and Mexico," NBER Working Papers 5794, National Bureau of Economic Research, Inc.
    122. Daniel Levy & Hashem Dezhbakhsh, 2022. "Interpolation and Shock Persistence of Prewar U.S. Macroeconomic Time Series: A Reconsideration," Working Papers 2022-02, Bar-Ilan University, Department of Economics.
    123. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 283-300.
    124. Willa Chen & Rohit Deo, 2005. "The Variance Ratio Statistic at large Horizons," Econometrics 0501003, University Library of Munich, Germany.
    125. Yang, Zan & Wang, Songtao & Campbell, Robert, 2010. "Monetary policy and regional price boom in Sweden," Journal of Policy Modeling, Elsevier, vol. 32(6), pages 865-879, November.
    126. Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2024. "Disasters Everywhere: The Costs of Business Cycles Reconsidered," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 116-151, March.
    127. Oleksiy Kryvtsov & Malik Shukayev & Alexander Ueberfeldt, 2007. "Optimal Monetary Policy and Price Stability Over the Long-Run," Staff Working Papers 07-26, Bank of Canada.
    128. Aron, Janine & Elbadawi, Ibrahim, 1994. "A typology of foreign auction markets in sub-Saharan Africa," Policy Research Working Paper Series 1395, The World Bank.
    129. Leonidas Sandoval Junior & Asher Mullokandov & Dror Y. Kenett, 2015. "Dependency Relations among International Stock Market Indices," JRFM, MDPI, vol. 8(2), pages 1-39, May.
    130. Charles Engel & James D. Hamilton, 1989. "Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It?," NBER Working Papers 3165, National Bureau of Economic Research, Inc.
    131. Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2012. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," NBER Working Papers 18128, National Bureau of Economic Research, Inc.
    132. Lawrence J. Christiano, 1989. "P*: not the inflation forecaster's holy grail," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 13(Fall), pages 3-18.
    133. Mrs. Esther Perez Ruiz, 2016. "Outside the Band: Depreciation and Inflation Dynamics in Chile," IMF Working Papers 2016/129, International Monetary Fund.
    134. Fumitaka Furuoka, 2017. "Unemployment Dynamics In The Asia-Pacific Region: A Preliminary Investigation," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 62(05), pages 983-1016, December.
    135. John H. Cochrane, 2008. "The Dog That Did Not Bark: A Defense of Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1533-1575, July.
    136. Geert Bekaert & Robert J. Hodrick, 1991. "Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets," NBER Working Papers 3790, National Bureau of Economic Research, Inc.
    137. Iuliana Matei, 2008. "Prices and output co-movements : an empirical investigation for the CEECs," Post-Print halshs-00335025, HAL.
    138. Ashby, M. & Linton, O. B., 2022. "Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?," Cambridge Working Papers in Economics 2259, Faculty of Economics, University of Cambridge.
    139. Yihui Lan, 2003. "The Long-Term Behaviour of Exchange Rates, Part II: Aspects of Exchange-Rate Economics," Economics Discussion / Working Papers 03-06, The University of Western Australia, Department of Economics.
    140. Liam A. Gallagher & Mark P. Taylor, 2002. "Permanent and Temporary Components of Stock Prices: Evidence from Assessing Macroeconomic Shocks," Southern Economic Journal, John Wiley & Sons, vol. 69(2), pages 345-362, October.
    141. Catherine Araujo Bonjean, 1998. "Les marchés mondiaux des produits agricoles sont-ils efficients ?," Économie rurale, Programme National Persée, vol. 243(1), pages 8-15.
    142. Katuala, Hénock M., 2021. "Frictions financières et Dynamique macroéconomique : Examen des régularités cycliques," Dynare Working Papers 66, CEPREMAP.
    143. Peter C.B. Phillips & Sam Ouliaris & Joon Y. Park, 1988. "Testing for a Unit Root in the Presence of a Maintained Trend," Cowles Foundation Discussion Papers 880, Cowles Foundation for Research in Economics, Yale University.
    144. Scheide, Joachim, 1990. "Die westdeutsche Konjunktur: Nur ein Random Walk?," Open Access Publications from Kiel Institute for the World Economy 1437, Kiel Institute for the World Economy (IfW Kiel).
    145. Sebastian Edwards, 1994. "Macroeconomic Stabilization in Latin America: Recent Experience and Some Sequencing Issues," NBER Working Papers 4697, National Bureau of Economic Research, Inc.
    146. Lawrence J. Christiano, 1987. "Why is consumption less volatile than income?," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 11(Fall), pages 2-20.
    147. Brian Aitken, 1998. "Have Institutional Investors Destabilized Emerging Markets?," Contemporary Economic Policy, Western Economic Association International, vol. 16(2), pages 173-184, April.
    148. Anthony, Myrvin & MacDonald, Ronald, 1998. "On the mean-reverting properties of target zone exchange rates: Some evidence from the ERM," European Economic Review, Elsevier, vol. 42(8), pages 1493-1523, September.
    149. Jorge Eduardo Carrera & Mariano Feliz & Demian Panigo, 2003. "Testing the Order of Integration with Low Power Tests. An Application to Argentine Macro-variables," Journal of Applied Economics, Universidad del CEMA, vol. 6, pages 221-246, November.
    150. Han, Hsiang-Ling & Ogaki, Masao, 1997. "Consumption, income and cointegration," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 107-117.
    151. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, June.
    152. Luca Benati, 2017. "Could the Bubble in U.S. House Prices Have Been Detected in Real Time?," Diskussionsschriften dp1705, Universitaet Bern, Departement Volkswirtschaft.
    153. Barañano, Ilaski & Romero-Ávila, Diego, 2015. "Long-term growth and persistence with obsolescence," Economic Modelling, Elsevier, vol. 51(C), pages 328-339.
    154. Reinhart, Carmen & Calvo, Guillermo & Vegh, Carlos, 1994. "Targeting the real exchange rate: Theory and evidence," MPRA Paper 13412, University Library of Munich, Germany.
    155. de Jong, F.C.J.M. & Nijman, T.E. & Röell, A.A., 1996. "Price effects of trading and components of the bid-ask spread on the Paris Bourse," Other publications TiSEM 08f5fa19-14b7-4bc8-ba07-1, Tilburg University, School of Economics and Management.
    156. Spencer D. Krane, 2006. "How professional forecasters view shocks to GDP," Working Paper Series WP-06-19, Federal Reserve Bank of Chicago.
    157. Charlotte Ostergaard & Bent E. Sorensen & Oved Yosha, 2000. "Consumption and aggregate constraints : evidence from U.S. states and Canadian provinces," Research Working Paper RWP 00-04, Federal Reserve Bank of Kansas City.
    158. Semenov, Andrei, 2021. "Measuring the stock's factor beta and identifying risk factors under market inefficiency," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 635-649.
    159. Lo, Andrew W. & MacKinlay, A. Craig, 1989. "The size and power of the variance ratio test in finite samples : A Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 40(2), pages 203-238, February.
    160. Benjamas Jirasakuldech & Donna Dudney & Thomas Zorn & John Geppert, 2011. "Financial disclosure, investor protection and stock market behavior: an international comparison," Review of Quantitative Finance and Accounting, Springer, vol. 37(2), pages 181-205, August.
    161. Fernando Alvarez & Urban J. Jermann, 2001. "The Size of the Permanent Component of Asset Pricing Kernels," NBER Working Papers 8360, National Bureau of Economic Research, Inc.
    162. Emine Boz & Christian Daude & Bora Durdu, 2008. "Emerging market business cycles revisited: learning about the trend," International Finance Discussion Papers 927, Board of Governors of the Federal Reserve System (U.S.).
    163. Andreas Fuster & Benjamin Hebert & David Laibson, 2012. "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 1-48.
    164. Trofimov, Ivan D., 2017. "Profit rates in the developed capitalist economies: a time series investigation," MPRA Paper 79529, University Library of Munich, Germany.
    165. Steven R. Cunningham, 1993. "Unit Root Testing: A Critique From Chaos Theory," Review of Financial Economics, John Wiley & Sons, vol. 3(1), pages 1-18, September.
    166. Peter C.B. Phillips & Sam Ouliaris, 1986. "Testing for Cointegration Using Principal Component Measures," Cowles Foundation Discussion Papers 809R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1987.
    167. Anoop S. KUMAR & Bandi KAMAIAH, 2016. "Efficiency, non-linearity and chaos: evidences from BRICS foreign exchange markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(1(606), S), pages 103-118, Spring.
    168. Aye, Goodness C. & Gil-Alana, Luis A. & Gupta, Rangan & Wohar, Mark E., 2017. "The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 283-294.
    169. Carlino, Gerald A. & Mills, Leonard, 1996. "Testing neoclassical convergence in regional incomes and earnings," Regional Science and Urban Economics, Elsevier, vol. 26(6), pages 565-590, December.
    170. Albers, Scott & Albers, Andrew, 2015. "On the mathematic prediction of economic and social crises: toward a harmonic interpretation of the Kondratiev Wave, revised and corrected, with a new appendix, February 12, 2015," MPRA Paper 62118, University Library of Munich, Germany.
    171. Calligaris, Sara & Del Gatto, Massimo & Hassan, Fadi & Ottaviano, Gianmarco I. P. & Schivardi, Fabiano, 2017. "The productivity puzzle and misallocation: an Italian perspective," LSE Research Online Documents on Economics 86617, London School of Economics and Political Science, LSE Library.
    172. Daniel Neuhoff, 2015. "Dynamics of Real Per Capita GDP," SFB 649 Discussion Papers SFB649DP2015-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    173. Claude Diebolt, 2021. "Trend, Cycles and Chance," Working Papers of BETA 2021-14, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    174. John P. Miller & Paul Newbold, 1995. "A GENERALIZED VARIANCE RATIO TEST OF ARIMA (p, 1, q) MODEL SPECIFICATION," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(4), pages 403-413, July.
    175. Fatas, Antonio, 2000. "Endogenous growth and stochastic trends," Journal of Monetary Economics, Elsevier, vol. 45(1), pages 107-128, February.
    176. Ali Abdul Aziz & Shukur Ghazi & Månsson Kristofer, 2020. "A wavelet-based variance ratio unit root test for a system of equations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(3), pages 1-16, June.
    177. Jason Beeler & John Y. Campbell, 2009. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," NBER Working Papers 14788, National Bureau of Economic Research, Inc.
    178. Kenneth A. Froot & Andre F. Perold, 1990. "New Trading Practices and Short-run Market Efficiency," NBER Working Papers 3498, National Bureau of Economic Research, Inc.
    179. Lei Ping, 2011. "Research Note: Long-Lasting Effects and Welfare Costs of Fluctuations," Tourism Economics, , vol. 17(4), pages 933-942, August.
    180. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
    181. Andrew B. Bernard & Steven N. Durlauf, 1991. "Convergence of International Output Movements," NBER Working Papers 3717, National Bureau of Economic Research, Inc.
    182. Durevall, Dick, 1999. "Inertial inflation, indexation and price stickiness: evidence from Brazil," Journal of Development Economics, Elsevier, vol. 60(2), pages 407-421, December.
    183. Nouriel Roubini, 1988. "Current Account and Budget Deficits in an Intertemporal Model of Consumption and Taxation Smoothing. A Solution to the "Feldstein-Horioka Puzzle"?," NBER Working Papers 2773, National Bureau of Economic Research, Inc.
    184. Diego Romero-Avila & DIEGO ROMERO-ÁVILA & ILASKI BARAÑANO, 2012. "Long-Term Growth and Persistence with Endogenous Depreciation: Theory and Evidence," EcoMod2012 3757, EcoMod.
    185. Ai Deng & Pierre Perron, 2006. "A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 423-447, November.
    186. Graflund, Andreas, 2000. "A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Working Papers 2000:8, Lund University, Department of Economics, revised 30 Jan 2002.
    187. Yihui Lan, 2001. "The Explosion of Purchasing Power Parity," Economics Discussion / Working Papers 01-22, The University of Western Australia, Department of Economics.
    188. Sijing Zong & Cornelis A. Los & Nyonyo Kyaw, 2004. "Persistence Characteristics of Latin American Financial Markets," Finance 0411013, University Library of Munich, Germany.
    189. van de Gucht, Linda M. & Dekimpe, Marnik G. & Kwok, Chuck C. Y., 1996. "Persistence in foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 15(2), pages 191-220, April.
    190. West, Kenneth D, 1988. "On the Interpretation of Near Random-walk Behavior in GNP," American Economic Review, American Economic Association, vol. 78(1), pages 202-209, March.
    191. Hassler, Uwe & Hosseinkouchack, Mehdi, 2014. "Effect of the order of fractional integration on impulse responses," Economics Letters, Elsevier, vol. 125(2), pages 311-314.
    192. Ghoshray, A., 2018. "The Dynamic Properties of Natural Resource Prices," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277210, International Association of Agricultural Economists.
    193. Njindan Iyke, Bernard, 2015. "Real Exchange Rates Persistence in the West African Monetary Zone: A Revisit of the PPP Puzzle," MPRA Paper 67282, University Library of Munich, Germany.
    194. Christian Gollier, 2005. "The Consumption-Based Determinants of the Term Structure of Discount Rates," CESifo Working Paper Series 1375, CESifo.
    195. Roger D. Huang, 2002. "The Quality of ECN and Nasdaq Market Maker Quotes," Journal of Finance, American Finance Association, vol. 57(3), pages 1285-1319, June.
    196. Yongsung Chang & Joao Gomes & Frank Schorfheide, 2002. "Learning by Doing as a Propagation Mechanism," Macroeconomics 0204002, University Library of Munich, Germany.
    197. Altissimo, F. & Violante, G.L., 1998. "Nonlinear VAR: Some Theory and an Application to the US GNP and Unemployment," Papers 338, Banca Italia - Servizio di Studi.
    198. Schotman P. & van Dijk, H. K., 1989. "A Bayesian Analysis Of The Unit Root In Real Exchange Rates," Econometric Institute Archives 272390, Erasmus University Rotterdam.
    199. Jose Antonio Ocampo & Maria Angela Parra, 2004. "The Terms Of Trade For Commodities In The Twentieth Century," International Trade 0402006, University Library of Munich, Germany.
    200. Hall, Thomas E., 1995. "Price cyclicality in the natural rate-nominal demand shock model," Journal of Macroeconomics, Elsevier, vol. 17(2), pages 257-272.
    201. PERRON, Pierre & RODRIGUEZ, Gabriel, 1998. "GLS Detrending, Efficient Unit Root Tests and Structural Change," Cahiers de recherche 9809, Universite de Montreal, Departement de sciences economiques.
    202. Lars Peter Hansen & John Heaton & Nan Li, 2005. "Consumption Strikes Back?: Measuring Long-Run Risk," NBER Working Papers 11476, National Bureau of Economic Research, Inc.
    203. Adrian Wai‐Kong Cheung & Jen‐Je Su & Astrophel Kim Choo, 2012. "Are exchange rates serially correlated? New evidence from the Euro FX markets," Review of Financial Economics, John Wiley & Sons, vol. 21(1), pages 14-20, January.
    204. Regis Augusto Ely, 2011. "Returns Predictability and Stock Market Efficiency in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(4), pages 571-584.
    205. Shively, Philip A., 2004. "The size and dynamic effect of aggregate-demand and aggregate-supply disturbances in expansionary and contractionary regimes," Journal of Macroeconomics, Elsevier, vol. 26(1), pages 83-99, March.
    206. Christina D. Romer & David H. Romer, 1989. "Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 121-184, National Bureau of Economic Research, Inc.
    207. Bordo, Michael D. & Choudhri, Ehsan U. & Schwartz, Anna J., 1990. "Money stock targeting, base drift, and price-level predictability : Lessons from the U.K. Experience," Journal of Monetary Economics, Elsevier, vol. 25(2), pages 253-272, March.
    208. Paul Cashin & Hong Liang & C. John McDermott, 2000. "How Persistent Are Shocks to World Commodity Prices?," IMF Staff Papers, Palgrave Macmillan, vol. 47(2), pages 1-2.
    209. Olivier Jeanne, 1997. "Generating Real Persistent Effects of Monetary Shocks: How Much Nominal Rigidity Do We Really Need?," NBER Working Papers 6258, National Bureau of Economic Research, Inc.
    210. Victor Zarnowitz & Phillip Braun, 1989. "Major Macroeconomic Variables and Leading Indexes: Some Estimates of Their Interrelations, 1886-1982," NBER Working Papers 2812, National Bureau of Economic Research, Inc.
    211. John Y. Campbell & Yasushi Hamao, 1993. "The Interest Rate Process and the Term Structure of Interest Rates in Japan," NBER Chapters, in: Japanese Monetary Policy, pages 95-120, National Bureau of Economic Research, Inc.
    212. Amélie Charles & Olivier Darné, 2009. "Variance‐Ratio Tests Of Random Walk: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 23(3), pages 503-527, July.
    213. Daniel L. Tortorice, 2019. "Long-Run Expectations, Learning and the US Housing Market," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 45(4), pages 497-531, October.
    214. Cashin, P. & McDermott, C.J., 1999. "Terms of Trade Shocks and the Current Account," Department of Economics - Working Papers Series 678, The University of Melbourne.
    215. Ciaran Driver & Paul Temple & Giovanni Urga, 2005. "Explaining the Diversity of Industry Investment Responses to Uncertainty Using Long Run Panel Survey Data," School of Economics Discussion Papers 0405, School of Economics, University of Surrey.
    216. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2001. "Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 187-215, October.
    217. Stock, James H., 1991. "Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series," Journal of Monetary Economics, Elsevier, vol. 28(3), pages 435-459, December.
    218. S. Anoop Kumar & Bandi Kamaiah, 2014. "Efficient Market Hypothesis: Some Evidences from Emerging European Forex Markets," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 17(52), pages 27-44, June.
    219. Kan, Raymond & Wang, Xiaolu, 2010. "On the distribution of the sample autocorrelation coefficients," Journal of Econometrics, Elsevier, vol. 154(2), pages 101-121, February.
    220. Bartoletto, Silvana & Chiarini, Bruno & Marzano, Elisabetta & Piselli, Paolo, 2019. "Business cycles, credit cycles, and asymmetric effects of credit fluctuations: Evidence from Italy for the period of 1861–2013," Journal of Macroeconomics, Elsevier, vol. 61(C), pages 1-1.
    221. Stephen G. Cecchetti & Pok-Sang Lam & Nelson Mark, 1998. "Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?," Working Papers 98-04, Ohio State University, Department of Economics.
    222. Carlos Patricio Samanez & L鯠da Rocha Ferreira & Carolina Caldas do Nascimento & Let de Almeida Costa & Claudio R. S. Bisso, 2014. "Evaluating the economy embedded in the Brazilian ethanol--gasoline flex-fuel car: a Real Options approach," Applied Economics, Taylor & Francis Journals, vol. 46(14), pages 1565-1581, May.
    223. Indira Devi P & K R Shanmugam & M. Jayasree, 2013. "Compensating Wages for Occupational Risks of Farm Workers in India," Working Papers id:5328, eSocialSciences.
    224. Rodriguez Gabriel, 2007. "Application of Three Alternative Approaches to Identify Business Cycles in Peru," Working Papers 2007-007, Banco Central de Reserva del Perú.
    225. Raphael Bergoeing & Felipe Morandé & Raimundo Soto, 2002. "Asset Prices in Chile: Facts and Fads," Central Banking, Analysis, and Economic Policies Book Series, in: Leonardo Hernández & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Banking, Financial Integration, and International Crises, edition 1, volume 3, chapter 8, pages 235-278, Central Bank of Chile.
    226. Boya, Christophe M., 2019. "From efficient markets to adaptive markets: Evidence from the French stock exchange," Research in International Business and Finance, Elsevier, vol. 49(C), pages 156-165.
    227. César Calderón & Roberto Duncan, 2003. "Purchasing Power Parity in an Emerging Market Economy: A Long-Span Study for Chile," Working Papers Central Bank of Chile 215, Central Bank of Chile.
    228. Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," Finance and Economics Discussion Series 2014-52, Board of Governors of the Federal Reserve System (U.S.).
    229. Aghion, P. & Howitt, P., 1990. "A Model Of Growth Through Creative Destruction," DELTA Working Papers 90-12, DELTA (Ecole normale supérieure).
    230. Ogaki, M. & Park, Y.Y., 1989. "A Cointegration Approach To Estimating Preference Parameters," RCER Working Papers 209, University of Rochester - Center for Economic Research (RCER).
    231. Yongsung Chang & Joao Gomes & Frank Schorfheide, 2000. "Persistence," Econometric Society World Congress 2000 Contributed Papers 1632, Econometric Society.
    232. Alexander F. Wagner & Richard J. Zeckhauser & Alexandre Ziegler, 2017. "Paths to Convergence: Stock Price Behavior After Donald Trump's Election," Swiss Finance Institute Research Paper Series 17-36, Swiss Finance Institute, revised Feb 2018.
    233. Daniel Levy & Hashem Dezhbakhsh, 2003. "International evidence on output fluctuation and shock persistence," Post-Print hal-02386526, HAL.
    234. Chan, Wai-Sum, 2022. "On temporal aggregation of some nonlinear time-series models," Econometrics and Statistics, Elsevier, vol. 21(C), pages 38-49.
    235. John B. Donaldson & Rajnish Mehra, 2021. "Average crossing time: An alternative characterization of mean aversion and reversion," Quantitative Economics, Econometric Society, vol. 12(3), pages 903-944, July.
    236. Peter N. Ireland, 1993. "Price stability under long-run monetary targeting," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 25-46.
    237. Renu Kohli, 2004. "Real Exhange Rate Stationarity in Managed Floats: Evidence From India," International Finance 0405014, University Library of Munich, Germany.
    238. Luca Benati, 2018. "Money and Credit: A Long-Term View," Diskussionsschriften dp1811, Universitaet Bern, Departement Volkswirtschaft.
    239. Sam K. Hui & Alvin Cheung & Jimmy Pang, 2010. "A Hierarchical Bayesian Approach for Residential Property Valuation:Application to Hong Kong Housing Market," International Real Estate Review, Global Social Science Institute, vol. 13(1), pages 1-29.
    240. Javier León & Carlos Oliva, 1992. "Componente no Estacionario y la Paridad del Poder de Compra en 12 Países Latinoamericanos," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 29(88), pages 481-504.
    241. O'Hare, Colin & Li, Youwei, 2014. "Is mortality spatial or social?," Economic Modelling, Elsevier, vol. 42(C), pages 198-207.
    242. Graflund, Andreas, 2001. "Are the Nordic Stock Markets Mean Reverting?," Working Papers 2001:15, Lund University, Department of Economics.
    243. Reza Yamora Siregar, 1996. "Real exchange rate targeting and inflation in Indonesia: theory and empirical evidence," Pacific Basin Working Paper Series 96-07, Federal Reserve Bank of San Francisco.
    244. Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003. "Testing and Estimating Persistence in Canadian Unemployment," Econometrics 0311004, University Library of Munich, Germany.
    245. Karim Abadir & Giovanni Caggiano & Gabriel Talmain, 2005. "Nelson-Plosser Revisited: the ACF Approach," Working Papers 2005_7, Business School - Economics, University of Glasgow.
    246. Matheron, Julien, 2003. "Is growth useful in RBC models?," Economic Modelling, Elsevier, vol. 20(3), pages 605-622, May.
    247. Chih-Chuan Yeh & Ching-Fang Chi, 2009. "The Co-Movement and Long-Run Relationship between Inflation and Stock Returns: Evidence from 12 OECD Countries," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 5(2), pages 167-186, July.
    248. Hassani, Hossein & Leonenko, Nikolai & Patterson, Kerry, 2012. "The sample autocorrelation function and the detection of long-memory processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6367-6379.
    249. Benjamin H. Cohen, 1996. "Derivatives and asset price volatility: a test using variance ratios," BIS Working Papers 33, Bank for International Settlements.
    250. Kim, Chang-Jin & Nelson, Charles R. & Startz, Richard, 1998. "Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 131-154, June.
    251. 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.
    252. Luigi Ermini, 1993. "Shock Persistence and Stochastic Trends in Australian Aggregate Output and Consumption," The Economic Record, The Economic Society of Australia, vol. 69(1), pages 34-43, March.
    253. Consuelo Arellano & Sastry G. Pantula, 1995. "Testing For Trend Stationarity Versus Difference Stationarity," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(2), pages 147-164, March.
    254. Robert J. Barro, 2007. "Rare Disasters, Asset Prices, and Welfare Costs," NBER Working Papers 13690, National Bureau of Economic Research, Inc.
    255. Issler, João Victor & Vahid, Farshid, 1995. "Common cycles in macroeconomic aggregates (revised version)," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 257, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    256. Pham, Binh T. & Sala, Hector & Silva, José I., 2018. "Growth and real business cycles in Vietnam and the ASEAN-5. Does the trend shock matter?," MPRA Paper 90297, University Library of Munich, Germany.
    257. Ahmad R. Jalali‐Naini & Mehdi Asali, 2004. "Cyclical behaviour and shock‐persistence: crude oil prices," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 28(2), pages 107-131, June.
    258. Vivian Z. Yue, 2005. "Sovereign Default and Debt Renegotiation," 2005 Meeting Papers 138, Society for Economic Dynamics.
    259. Satchell, Steve & Timmermann, Allan, 1995. "On the optimality of adaptive expectations: Muth revisited," International Journal of Forecasting, Elsevier, vol. 11(3), pages 407-416, September.
    260. Benati, Luca, 2020. "Money velocity and the natural rate of interest," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 117-134.
    261. Altissimo, Filippo & Violante, Giovanni, 2000. "The Nonlinear Dynamics of Output and Unemployment in the US," CEPR Discussion Papers 2475, C.E.P.R. Discussion Papers.
    262. de Jong, F.C.J.M. & Nijman, T.E. & Roell, A.A., 1994. "Price effects of trading and components of the bid-ask spread on the Paris Bource," Discussion Paper 1994-54, Tilburg University, Center for Economic Research.
    263. GOLLIER Christian, 2008. "Discounting with fat-tailed economic growth," LERNA Working Papers 08.19.263, LERNA, University of Toulouse.
    264. Charles Engel, 1998. "Long-Run PPP May Not Hold After All," Working Papers 0050, University of Washington, Department of Economics.
    265. MacDonald, Ronald & Molana, Hassan, 2004. "Can portfolio adjustments explain deviations of consumption from permanent income?: An empirical study of UK data," The North American Journal of Economics and Finance, Elsevier, vol. 15(3), pages 313-331, December.
    266. Robert J. Hodrick, 2020. "An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data," NBER Working Papers 26750, National Bureau of Economic Research, Inc.
    267. Barañano Mentxaka, Ilaski & Moral Zuazo, María Paz, 2003. "Output dynamics in an endogenous growth model," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    268. João Sousa Andrade, 2007. "Uma Aplicação da Lei de Okun em Portugal," GEMF Working Papers 2007-04, GEMF, Faculty of Economics, University of Coimbra.
    269. Menzie David Chinn, 1991. "Beware of econometricians bearing estimates: Policy analysis in a “unit root” world," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 10(4), pages 546-567.
    270. Khashadourian Edmund & Grammy Abbas P, 2004. "The Political Economy of Growth-Inflation Transmission: The Case of Iran," Review of Middle East Economics and Finance, De Gruyter, vol. 2(2), pages 22-34, August.
    271. Jorge Eduardo Carrera & Mariano Féliz & Demian Tupac Panigo, 2000. "Raíces unitarias y ciclos en las principales variables macroeconómicas de argentina," IIE, Working Papers 020, IIE, Universidad Nacional de La Plata.
    272. David H Papell & Ruxandra Prodan, 2007. "Restricted Structural Change And The Unit Root Hypothesis," Economic Inquiry, Western Economic Association International, vol. 45(4), pages 834-853, October.
    273. R. MacDonald & Hassan Molana, 2000. "Does Consumption Deviate from the Permanent Income Path? An Empirical Study of UK Data," Dundee Discussion Papers in Economics 107, Economic Studies, University of Dundee.
    274. Emara, Noha & Ma, Jinpeng, 2019. "An Analysis of the Seasonal Cycle and the Business Cycle," MPRA Paper 99310, University Library of Munich, Germany.
    275. L. Sahely & R. Darius & O. Williams, 2001. "Terms of trade shocks and the current account in a unified currency area," Journal of International Development, John Wiley & Sons, Ltd., vol. 13(8), pages 1179-1188.
    276. John H. Cochrane, 2017. "Macro-Finance," Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
    277. Francis X. Diebold & Abdelhak S. Senhadji, 1996. "Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again," NBER Working Papers 5481, National Bureau of Economic Research, Inc.
    278. Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2010. "Crises and Recoveries in an Empirical Model of Consumption Disasters," NBER Working Papers 15920, National Bureau of Economic Research, Inc.
    279. Mallick Debdulal, 2019. "The growth-volatility relationship redux: what does volatility decomposition tell?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 19(2), pages 1-20, June.
    280. Laurence Bloch & Françoise Maurel, 1991. "Consommation-revenu permanent : un regard d'économètre," Économie et Prévision, Programme National Persée, vol. 99(3), pages 113-144.
    281. Korteweg, Arthur & Sorensen, Morten, 2017. "Skill and luck in private equity performance," Journal of Financial Economics, Elsevier, vol. 124(3), pages 535-562.
    282. Ormos, Mihály & Erdős, Péter, 2011. "Borok mint alternatív befektetési lehetőségek [Wines as an alternative investment]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 158-172.
    283. John Y. Campbell, 1993. "Why Long Horizons: A Study of Power Against Persistent Alternatives," NBER Technical Working Papers 0142, National Bureau of Economic Research, Inc.
    284. Jean-Marie Dufour & Lynda Khalaf & Marcel Voia, 2013. "Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability," CIRANO Working Papers 2013s-40, CIRANO.
    285. Robert S. Pindyck, 1999. "The Long-Run Evolutions of Energy Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 1-27.
    286. Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan, 2019. "The Term Structure of Currency Carry Trade Risk Premia," American Economic Review, American Economic Association, vol. 109(12), pages 4142-4177, December.
    287. William A. Brock & Blake LeBaron, 1989. "Liquidity Constraints in Production Based Asset Pricing Models," NBER Working Papers 3107, National Bureau of Economic Research, Inc.
    288. Perron, Pierre & Wada, Tatsuma, 2009. "Let's take a break: Trends and cycles in US real GDP," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.
    289. Masahiko Shibamoto & Shoka Hayaki & Yoshitaka Ogisu, 2021. "COVID-19 Infection Spread and Human Mobility," Discussion Paper Series DP2021-16, Research Institute for Economics & Business Administration, Kobe University, revised Feb 2022.
    290. Hassler, Uwe, 2012. "Impulse responses of antipersistent processes," Economics Letters, Elsevier, vol. 116(3), pages 454-456.
    291. Haitham A. Al Zoubi & Aktham Maghyereh, 2005. "Examining complex unit roots in the MENA countries industrial production indices," Applied Economics Letters, Taylor & Francis Journals, vol. 12(4), pages 255-259.
    292. Chunsheng Zhou, "undated". "Forecasting Long- and Short-Horizon Stock Returns in a Unified Framework," Finance and Economics Discussion Series 1996-04, Board of Governors of the Federal Reserve System (U.S.), revised 04 Dec 2019.
    293. Jungshik Hur & Vivek Singh, 2013. "Does long-term disequilibrium in stock price predict future returns?," Review of Quantitative Finance and Accounting, Springer, vol. 41(4), pages 753-767, November.
    294. Tatsuma Wada & Pierre Perron, 2005. "An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series WP2005-44, Boston University - Department of Economics.
    295. McPherson, Matthew Q. & Palardy, Joseph & Vilasuso, Jon, 2005. "Are international stock returns predictable?: An application of spectral shape tests corrected for heteroskedasticity," Journal of Economics and Business, Elsevier, vol. 57(2), pages 103-118.
    296. Deshui Yu & Yayi Yan, 2023. "Joint dynamics of stock returns and cash flows: A time‐varying present‐value framework," Financial Management, Financial Management Association International, vol. 52(3), pages 513-541, September.
    297. Jose Luengo-Prado, Maria, 2006. "Durables, nondurables, down payments and consumption excesses," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1509-1539, October.
    298. Luis Eduardo Arango Thomas, 1998. "Some univariate time series properties of output," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 49, pages 7-46, Julio Dic.
    299. James Payne & Bradley Ewing & Erik George, 1999. "Time series dynamics of US State unemployment rates," Applied Economics, Taylor & Francis Journals, vol. 31(11), pages 1503-1510.
    300. Seongman Moon & Carlos Velasco, 2011. "The Forward Discount Puzzle: Identi cation of Economic Assumptions," Working Papers 1112, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    301. Chen, Shengming & Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas," Resources Policy, Elsevier, vol. 85(PA).
    302. Baber, William R. & Kang, Sok-Hyon & Kumar, Krishna R., 1998. "Accounting earnings and executive compensation:: The role of earnings persistence," Journal of Accounting and Economics, Elsevier, vol. 25(2), pages 169-193, May.
    303. Leiderman, Leonardo & Liviatan, Nissan, 1989. "Macroeconomic performance before and after disinflation in Israel," Policy Research Working Paper Series 311, The World Bank.
    304. Antonio Fatás, 2002. "The Effects of Bussiness Cycles on Growth," Central Banking, Analysis, and Economic Policies Book Series, in: Norman Loayza & Raimundo Soto & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series Editor) (ed.),Economic Growth: Sources, Trends, and Cycles, edition 1, volume 6, chapter 7, pages 191-220, Central Bank of Chile.
    305. Jozef Barunik & Lukas Vacha, 2023. "The Dynamic Persistence of Economic Shocks," Papers 2306.01511, arXiv.org.
    306. Torous, Walter & Valkanov, Rossen, 2000. "Boundaries of Predictability: Noisy Predictive Regressions," University of California at Los Angeles, Anderson Graduate School of Management qt33p7672z, Anderson Graduate School of Management, UCLA.
    307. Bwo-Nung Huang & Chin Yang, 1995. "The fractal structure in multinational stock returns," Applied Economics Letters, Taylor & Francis Journals, vol. 2(3), pages 67-71.
    308. Aslihan Atabek Demirhan, 2005. "Persistency of Output Fluctuations : The Case of Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 5(1), pages 9-21.
    309. Gollier, Christian, 2003. "Transitory Shocks to GNP and the Consumption-Based Term Structure of Interest Rates," IDEI Working Papers 175, Institut d'Économie Industrielle (IDEI), Toulouse.
    310. Eric Dubois, 1991. "Le modèle de lissage de la production par les stocks est-il valide en France ?," Économie et Prévision, Programme National Persée, vol. 99(3), pages 95-111.
    311. Ángel Guillén & Gabriel Rodríguez, 2014. "Trend-cycle decomposition for Peruvian GDP: application of an alternative method," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 23(1), pages 1-44, December.
    312. William D. Craighead, 2010. "Across Time And Regimes: 212 Years Of The Us‐Uk Real Exchange Rate," Economic Inquiry, Western Economic Association International, vol. 48(4), pages 951-964, October.
    313. Surajit Deb, 2003. "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Working papers 115, Centre for Development Economics, Delhi School of Economics.
    314. Bhar, Ramaprasad & Hamori, Shigeyuki, 2004. "Empirical characteristics of the permanent and transitory components of stock return: analysis in a Markov switching heteroscedasticity framework," Economics Letters, Elsevier, vol. 82(2), pages 157-165, February.
    315. Shlomo Zilca, 2010. "The variance ratio and trend stationary model as extensions of a constrained autoregressive model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(5), pages 467-475.
    316. Greasley, David & Oxley, Les, 1998. "Comparing British and American Economic and Industrial Performance 1860-1993: A Time Series Perspective," Explorations in Economic History, Elsevier, vol. 35(2), pages 171-195, April.
    317. Deo, Rohit S., 2000. "Spectral tests of the martingale hypothesis under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 99(2), pages 291-315, December.
    318. Tatsuma Wada & Pierre Perron, 2005. "Trend and Cycles: A New Approach and Explanations of Some Old Puzzles," Computing in Economics and Finance 2005 252, Society for Computational Economics.
    319. Arrow, Kenneth J. & Cropper, Maureen L. & Gollier, Christian & Groom, Ben & Heal, Geoffrey M. & Newell, Richard G. & Nordhaus, William D. & Pindyck, Robert S. & Pizer, William A. & Portney, Paul R. & , 2012. "How Should Benefits and Costs Be Discounted in an Intergenerational Context? The Views of an Expert Panel," RFF Working Paper Series dp-12-53, Resources for the Future.
    320. Rudra Prakash Pradhan, 2012. "Variance Ratio Test of Random Walk for Foreign Trade: The Study in India during the Globalization Era of 1990s," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 3(1), pages 101-104, January.
    321. Daria Gavrilova, 2023. "Effects Of Index Additions On Stock Price Informativeness," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 31, pages 39-64, June.
    322. Philip A. Shively, 2001. "Trend-stationary GNP: evidence from a new exact pointwise most powerful invariant unit root test," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 537-551.
    323. Kletzer, Kenneth M. & Newbery, David M. & Wright, Brian D., 1990. "Alternative instruments for smoothing the consumption of primary commodity exporters," Policy Research Working Paper Series 558, The World Bank.
    324. Cochran, Steven J. & DeFina, Robert H., 1996. "Predictability in real exchange rates: Evidence from parametric hazard models," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 125-147.
    325. Ser‐Huang Poon, 1996. "Persistence and mean reversion in UK stock returns," European Financial Management, European Financial Management Association, vol. 2(2), pages 169-196, July.
    326. Mario Forni & Lucrezia Reichlin, 1999. "Risk and potential insurance in Europe," ULB Institutional Repository 2013/10145, ULB -- Universite Libre de Bruxelles.
    327. Fackler, Paul L., 1989. "Modeling Trend and Higher Moment Properties of U.S. Corn Yields," 1989 Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk Meeting, April 9-12, 1989, Sanibel Island, Florida 271523, Regional Research Projects > S-232: Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk.
    328. Zargar, Faisal Nazir & Kumar, Dilip, 2019. "Informational inefficiency of Bitcoin: A study based on high-frequency data," Research in International Business and Finance, Elsevier, vol. 47(C), pages 344-353.
    329. Nicolaas Groenewold & Kuay Chin Kang, 1993. "The Semi‐Strong Efficiency of the Australian Share Market," The Economic Record, The Economic Society of Australia, vol. 69(4), pages 405-410, December.
    330. Matthew Richardson & James H. Stock, 1990. "Drawing Inferences From Statistics Based on Multi-Year Asset Returns," NBER Working Papers 3335, National Bureau of Economic Research, Inc.
    331. Andreas Fuster & David Laibson & Brock Mendel, 2010. "Natural Expectations and Macroeconomic Fluctuations," Journal of Economic Perspectives, American Economic Association, vol. 24(4), pages 67-84, Fall.
    332. Bley, Jorg, 2011. "Are GCC stock markets predictable?," Emerging Markets Review, Elsevier, vol. 12(3), pages 217-237, September.
    333. Lehn, Kenneth & Patro, Sukesh & Zhao, Mengxin, 2007. "Governance indexes and valuation: Which causes which?," Journal of Corporate Finance, Elsevier, vol. 13(5), pages 907-928, December.
    334. Giorgio Fagiolo & Daniele Giachini & Andrea Roventini, 2017. "Innovation, Finance, and Economic Growth : an agent-based model," Sciences Po publications info:hdl:2441/1fai9i49vu8, Sciences Po.
    335. Silvana Bartoletto & Bruno Chiarini & Elisabetta Marzano & Paolo Piselli, 2017. "Business Cycles, Credit Cycles, and Bank Holdings of Sovereign Bonds: Historical Evidence for Italy 1861-2013," Quaderni di storia economica (Economic History Working Papers) 43, Bank of Italy, Economic Research and International Relations Area.
    336. Yu-Lieh Huang & Chao-Hsi Huang, 2007. "The persistence of Taiwan's output fluctuations: an empirical study using innovation regime-switching model," Applied Economics, Taylor & Francis Journals, vol. 39(20), pages 2673-2679.
    337. Paul Cashin & C. John McDermott, 2003. "Intertemporal Substitution and Terms‐of‐Trade Shocks," Review of International Economics, Wiley Blackwell, vol. 11(4), pages 604-618, September.
    338. Lee, Jie-Haun & Chou, Robin K., 2004. "The intraday stock return characteristics surrounding price limit hits," Journal of Multinational Financial Management, Elsevier, vol. 14(4-5), pages 485-501.
    339. Crafts, N. F. R. & Mills, Terence C., 1990. "British Economic Fluctuations, 1851-1913 A Perspective Based on Growth Theory," Economic Research Papers 268482, University of Warwick - Department of Economics.
    340. Stefania Villa, 2005. "Determinants of growth in Italy. A time series analysis," Quaderni DSEMS 24-2005, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
    341. García-Verdú Santiago, 2010. "Equilibrium yield curves under regime switching," Working Papers 2010-08, Banco de México.
    342. Krishnan, R. & Sen, Kunal, 1995. "Measuring persistence in industrial output: The Indian case," Journal of Development Economics, Elsevier, vol. 48(1), pages 25-41, October.
    343. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    344. Gary D. Hansen, 1989. "Technical Progress and Aggregate Fluctuations," UCLA Economics Working Papers 546, UCLA Department of Economics.
    345. Seongman Moon & Carlos Velasco, 2011. "Tests for m-dependence Based on Sample Splitting Methods," Working Papers 1108, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    346. S. Kirk Elwood, 1997. "Estimating Permanent and Transitory Components of GNP Using Consumption Information," Southern Economic Journal, John Wiley & Sons, vol. 64(2), pages 567-575, October.
    347. Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
    348. Valerie Cerra & Antonio Fatás & Sweta C. Saxena, 2023. "Hysteresis and Business Cycles," Journal of Economic Literature, American Economic Association, vol. 61(1), pages 181-225, March.
    349. Ilaski Barañano & M. Paz Moral, 2003. "Output dynamics in an endogenous growth model," Economics Bulletin, AccessEcon, vol. 5(15), pages 1-13.
    350. Bergman, Michael, 1996. "International evidence on the sources of macroeconomic fluctuations," European Economic Review, Elsevier, vol. 40(6), pages 1237-1258, June.
    351. Rudiger Kiesel & William Perraudin & Alex Taylor, 2001. "The structure of credit risk: spread volatility and ratings transitions," Bank of England working papers 131, Bank of England.
    352. Christian Weber, 1997. "Is cyclical real GNP really more persistent than the trend?," Applied Economics, Taylor & Francis Journals, vol. 29(7), pages 895-902.
    353. Naci H. Mocan, 1989. "Business Cycles and Fertility Dynamics in the U.S.: A Vector-Autoregressive Model," NBER Working Papers 3177, National Bureau of Economic Research, Inc.
    354. Hassapis, Christis & Kalyvitis, Sarantis & Pittis, Nikitas, 1999. "Cointegration and joint efficiency of international commodity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(2), pages 213-231.
    355. Ossama Mikhail & Curtis Eberwein & Jagdish Handa, 2005. "Testing for persistence in aggregate and sectoral Canadian unemployment," Applied Economics Letters, Taylor & Francis Journals, vol. 12(14), pages 893-898.
    356. Paul G. Egan & Anthony J. Leddin, 2016. "Examining Monetary Policy Transmission in the People's Republic of China–Structural Change Models with a Monetary Policy Index," Asian Development Review, MIT Press, vol. 33(1), pages 74-110, March.
    357. Smoluk, Herbert J. & Vasconcellos, Geraldo M. & Kramer, Jonathan K., 1998. "Random walks in the U.K. pound/ U.S. dollar exchange rates," International Review of Financial Analysis, Elsevier, vol. 7(1), pages 65-82.
    358. Forni, Mario & Lippi, Marco, 1999. "Aggregation of linear dynamic microeconomic models," Journal of Mathematical Economics, Elsevier, vol. 31(1), pages 131-158, February.
    359. Máximo Camacho & Gabriel Pérez-Quirós, 2005. "Jump-and-rest effect of U.S. business cycles," Working Papers 0507, Banco de España.
    360. Jin Lee, 2012. "Nonparametric Testing for Long-Run Neutrality with Applications to US Money and Output Data," Computational Economics, Springer;Society for Computational Economics, vol. 40(2), pages 183-202, August.
    361. Philip Arestis & Malcolm Sawyer, 1999. "The Economic and Monetary Union: Current and Future Prospects," Economics Working Paper Archive wp_282, Levy Economics Institute.
    362. Schotman, P. & van Dijk, H. K., 1990. "Posterior Analysis Of Possibly Integrated Time Series With An Application To Real Gnp," Econometric Institute Archives 272482, Erasmus University Rotterdam.
    363. Hassler, Uwe, 2014. "Persistence under temporal aggregation and differencing," Economics Letters, Elsevier, vol. 124(2), pages 318-322.
    364. Luis Uzeda, 2022. "State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 25-53, Emerald Group Publishing Limited.
    365. Ibrahim A. Elbadawi & Raimundo Soto, "undated". "Real Exchange Rates and Macroeconomic Adjustment in Sub-Sahara Africa and Other Developing Countries," ILADES-UAH Working Papers inv093, Universidad Alberto Hurtado/School of Economics and Business.
    366. João Sousa Andrade, 2003. "Régimes Monétaires et Théorie Quantitative du Produit Nominal au Portugal (1854-1998)," GEMF Working Papers 2003-06, GEMF, Faculty of Economics, University of Coimbra.
    367. Yamane, Linus, 1998. "The insider-outsider model and Japanese labor unions," Japan and the World Economy, Elsevier, vol. 10(2), pages 157-171, April.
    368. Potì, Valerio & Levich, Richard & Conlon, Thomas, 2020. "Predictability and pricing efficiency in forward and spot, developed and emerging currency markets," Journal of International Money and Finance, Elsevier, vol. 107(C).
    369. Bruno Feunou & Jean-Sébastien Fontaine, 2021. "Debt-Secular Economic Changes and Bond Yields," Staff Working Papers 21-14, Bank of Canada.
    370. Spencer D. Krane, 2011. "Professional Forecasters' View of Permanent and Transitory Shocks to GDP," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(1), pages 184-211, January.
    371. Richard Startz & Kwok Ping Tsang, 2010. "An Unobserved Components Model of the Yield Curve," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(8), pages 1613-1640, December.
    372. Yoon, Byung-Sam & Brorsen, B. Wade, 2000. "Rollover Hedging," 2000 Conference, April 17-18 2000, Chicago, Illinois 18938, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    373. Wells, J. M., 1997. "Modelling seasonal patterns and long-run trends in U.S. time series," International Journal of Forecasting, Elsevier, vol. 13(3), pages 407-420, September.
    374. Michael D. Bordo & Barry Eichengreen & Jongwoo Kim, 1998. "Was There Really an Earlier Period of International Financial Integration Comparable to Today?," NBER Working Papers 6738, National Bureau of Economic Research, Inc.
    375. Tom Holden, 2012. "Medium-frequency cycles and the remarkable near trend-stationarity of output," School of Economics Discussion Papers 1412, School of Economics, University of Surrey.
    376. Luca Benati, 2023. "Forecasting Global Temperatures by Exploiting Cointegration with Radiative Forcing," Diskussionsschriften dp2308, Universitaet Bern, Departement Volkswirtschaft.
    377. Renelt, David, 1991. "Economic growth : a review of the theoretical and empirical literature," Policy Research Working Paper Series 678, The World Bank.
    378. Katsuyuki Shibayama, 2015. "Trend Dominance in Macroeconomic Fluctuations," Studies in Economics 1518, School of Economics, University of Kent.
    379. Ana Luisa Abras & Braulio Borges & Rodrigo Sekkel, 2004. "Breaking trend, Lagrange multiplier test statistic and the presence of a unit root in the Brazilian gross domestic product," Applied Economics Letters, Taylor & Francis Journals, vol. 11(6), pages 361-364.
    380. Kul B. Luintel, 2000. "Real exchange rate behaviour: evidence from black markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 161-185.
    381. Mitchell, James & Robertson, Donald & Wright, Stephen, 2016. "What univariate models tell us about multivariate macroeconomic models," EMF Research Papers 08, Economic Modelling and Forecasting Group.
    382. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 1999. "Money and interest rates with endogeneously segmented markets," Staff Report 260, Federal Reserve Bank of Minneapolis.
    383. Michelle Chan & Silvia Matos, 2011. "Changes In Brazilian Inflationpersistence," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting] 040, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    384. Benjamin Miranda Tabak & Eduardo José Araújo Lima, 2002. "The Effects of the Brazilian ADRs Program on Domestic Market Efficiency," Working Papers Series 43, Central Bank of Brazil, Research Department.
    385. Gustavo Silva Araújo & José Valentim Machado Vicente, 2014. "Indicadores Antecedentes Extraídos de Preços de Ativos em Corte Transversal," Working Papers Series 361, Central Bank of Brazil, Research Department.
    386. Kenneth W. Clements & Yihui Lan, 2005. "How Long is the Long Run? Evidence from the Foreign Exchange Market," Economics Discussion / Working Papers 05-03, The University of Western Australia, Department of Economics.
    387. Péter Erdős & Mihály Ormos, 2012. "Natural Gas Prices on Three Continents," Energies, MDPI, vol. 5(10), pages 1-17, October.
    388. Giakas, Konstantinos, 2023. "Hysteresis, financial frictions and monetary policy," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    389. Raimundo Soto, "undated". "Nonlinearities in the Demand for money: A Neural Network Approach," ILADES-UAH Working Papers inv107, Universidad Alberto Hurtado/School of Economics and Business.
    390. João Sousa Andrade, 2009. "The PIGS, does the Group Exist? An empirical macroeconomic analysis based on the Okun Law," GEMF Working Papers 2009-11, GEMF, Faculty of Economics, University of Coimbra.
    391. David Greasley & Les Oxley, 1997. "Shock Persistence and Structural Change," The Economic Record, The Economic Society of Australia, vol. 73(223), pages 348-362, December.
    392. Andreas Graflund, 2000. "A Bayes Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Econometric Society World Congress 2000 Contributed Papers 1363, Econometric Society.
    393. Campêlo, Ana Katarina & Cribari-Neto, Francisco, 2003. "Inflation Inertia and Inliers: The Case of Brazil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 57(4), October.
    394. Mallick, Debdulal, 2009. "Financial Development, Shocks, and Growth Volatility," MPRA Paper 17799, University Library of Munich, Germany.
    395. McAdam, Peter & Mestre, Ricardo, 2008. "Evaluating macro-economic models in the frequency domain: A note," Economic Modelling, Elsevier, vol. 25(6), pages 1137-1143, November.
    396. Elbadawi, Ibrahim A., 1992. "Real overvaluation, terms of trade shocks, and the cost to agriculture in sub-Saharan Africa," Policy Research Working Paper Series 831, The World Bank.
    397. Jovanovic, Boyan & Lach, Saul, 1990. "The Diffusion Of Technology And Inequality Among Nations," Working Papers 90-34, C.V. Starr Center for Applied Economics, New York University.
    398. Ms. May Y Khamis, 1996. "Credit and Exchange Rate-Based Stabilization," IMF Working Papers 1996/051, International Monetary Fund.
    399. Jorge Eduardo Carrera & Mariano Féliz & Demian Tupac Panigo, 2000. "Raíces unitarias y ciclos en las principales variables macroeconómicas de argentina," Department of Economics, Working Papers 020, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
    400. Dimitrios Thomakos & Hossein Hassani & Kerry Patterson, 2013. "Optimal Linear Filtering, Smoothing and Trend Extraction for the m-th Differences of a Unit Root Process: A Singular Spectrum Analysis Approach," Economics Discussion Papers em-dp2013-04, Department of Economics, University of Reading.
    401. Joao Sousa Andrade & Irina Syssoyeva-Masson, 2016. "Investigating the presence of long memory in debt series and its relation with growth," EcoMod2016 9627, EcoMod.
    402. Albers, Scott, 2014. "On the architecture of the rings of Saturn: An “identity” theory of the distribution of gaps within rings," MPRA Paper 55632, University Library of Munich, Germany.
    403. Lastrapes, W. D., 1998. "International evidence on equity prices, interest rates and money," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 377-406, June.
    404. John Hatgioannides & Menelaos Karanasos & Marika Karanassou, 2004. "Modelling the Yield Curve: A Two Components Approach," Working Papers 519, Queen Mary University of London, School of Economics and Finance.
    405. Albers, Scott, 2012. "Predicting crises: Five essays on the mathematic prediction of economic and social crises," MPRA Paper 43484, University Library of Munich, Germany.
    406. Schotman, P. & van Dijk, H. K., 1989. "A Bayesian Analysis Of The Unit Root Hypothesis," Econometric Institute Archives 272385, Erasmus University Rotterdam.
    407. Dan Tortorice, 2016. "The Business Cycles Implications of Fluctuating Long Run Expectations," Working Papers 100, Brandeis University, Department of Economics and International Business School.
    408. Hanck, C.H., 2009. "Nonstationary-volatility robust panel unit root tests and the great moderation," Research Memorandum 009, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    409. Kumar, Dilip & Maheswaran, S., 2014. "A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices," Economic Modelling, Elsevier, vol. 38(C), pages 33-44.
    410. Ma, Lin, 2018. "Importance of Demand and Supply Shocks for Oil Price Variations," Working Paper Series 10-2018, Norwegian University of Life Sciences, School of Economics and Business.
    411. Yongmiao Hong & Jin Lee, 2000. "Wavelet-based Estimation for Heteroskedasticity and Autocorrelation Consistent Variance-Covariance Matrices," Econometric Society World Congress 2000 Contributed Papers 1211, Econometric Society.
    412. Tatsuma Wada & Pierre Perron, 2006. "State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series WP2006-029, Boston University - Department of Economics.
    413. Webster, Mort & Cho, Cheol-Hung, 2006. "Analysis of variability and correlation in long-term economic growth rates," Energy Economics, Elsevier, vol. 28(5-6), pages 653-666, November.
    414. Lan, Chunhua & Doan, Bao, 2022. "Stock price movements: Evidence from global equity markets," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 123-143.
    415. Grigorios Emvalomatis, 2017. "Is productivity diverging in the EU? Evidence from 11 Member States," Empirical Economics, Springer, vol. 53(3), pages 1171-1192, November.
    416. Hilde Christiane Bjørnland, 1999. "Structural breaks and stochastic trends in macroeconomic variables in Norway," Applied Economics Letters, Taylor & Francis Journals, vol. 6(3), pages 133-138.
    417. Hu, Ou, 2006. "Common and country-specific components in national stock prices," Journal of Multinational Financial Management, Elsevier, vol. 16(5), pages 509-519, December.
    418. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
    419. Bizer, David S. & Durlauf, Steven N., 1990. "Testing the positive theory of government finance," Journal of Monetary Economics, Elsevier, vol. 26(1), pages 123-141, August.
    420. Fan, Xinghua & Li, Shasha & Tian, Lixin, 2016. "Complexity of carbon market from multi-scale entropy analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 79-85.
    421. Patrick A. Groenendijk & André Lucas & Casper G. de Vries, 1998. "A Hybrid Joint Moment Ratio Test for Financial Time Series," Tinbergen Institute Discussion Papers 98-104/2, Tinbergen Institute.
    422. Ritei Shibata & Ryozo Miura, 1997. "Decomposition of Japanese Yen Interest Rate Data Through Local Regression," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 4(2), pages 125-146, May.
    423. Cifarelli, giulio, 2002. "The information content of implied volatilities of options on eurodeposit futures traded on the LIFFE: is there long memory?," MPRA Paper 28538, University Library of Munich, Germany.
    424. Ronald Mac Donald, 1998. "What Do We Really Know About Real Exchange Rates?," Working Papers 28, Oesterreichische Nationalbank (Austrian Central Bank).
    425. Albers, Scott & Albers, Andrew L., 2011. "The Golden Mean, the Arab Spring and a 10-step analysis of American economic history," MPRA Paper 33004, University Library of Munich, Germany.
    426. Diebold, Francis X. & Lindner, Peter, 1996. "Fractional integration and interval prediction," Economics Letters, Elsevier, vol. 50(3), pages 305-313, March.
    427. Balcilar, Mehmet & Gupta, Rangan & Jooste, Charl & Ranjbar, Omid, 2016. "Characterising the South African business cycle: is GDP difference-stationary or trend-stationary in a Markov-switching setup? - Il ciclo economico del Sud Africa: il PIL è stazion ario alle differenz," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 69(1), pages 33-44.
    428. Thomas Lustenberger, 2018. "Has the American Output Growth Path Experienced a Permanent Change?," Working Papers 2018-14, Swiss National Bank.
    429. Fernando Alvarez & Urban J. Jermann, 2005. "Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth," Econometrica, Econometric Society, vol. 73(6), pages 1977-2016, November.
    430. Albers, Scott & Albers, Andrew L., 2012. "On the mathematic prediction of economic and social crises: toward a harmonic interpretation of the Kondratiev wave," MPRA Paper 37771, University Library of Munich, Germany.
    431. Dimitri Andrianacos & Ali T. Akarca, 1998. "Long-Run Impact of Tax Rate Changes On Government Receipts," Public Finance Review, , vol. 26(1), pages 80-94, January.
    432. Carrera, Jorge Eduardo & Feliz, Mariano & Panigo, Demian, 2003. "Testing the Order of Integration with Low Power Tests. An Application to Argentine Macro-variables," Journal of Applied Economics, Universidad del CEMA, vol. 6(2), pages 1-26, November.
    433. Richard S. J. Tol & Kenneth J. Arrow & Maureen L. Cropper & Christian Gollier & Ben Groom & Geoffrey M. Heal & Richard G. Newell & William D. Nordhaus & Robert S. Pindyck & William A. Pizer & Paul R. , 2013. "How Should Benefits and Costs Be Discounted in an Intergenerational Context?," Working Paper Series 5613, Department of Economics, University of Sussex Business School.
    434. John Keating, 2004. "Interpreting Permanent and Transitory Shocks to Output When Aggregate Demand May Not Be Neutral in the Long-run," Econometric Society 2004 North American Summer Meetings 608, Econometric Society.
    435. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
    436. Reinhart, Carmen, 1988. "Real Exchange Rate and Commodity Prices in a Neoclassical Model," MPRA Paper 13188, University Library of Munich, Germany.
    437. Luiz Lima & Jaime de Jesus Filho, 2008. "Further investigation of the uncertain trend in US GDP," Applied Economics, Taylor & Francis Journals, vol. 40(9), pages 1207-1216.
    438. Y. K. Tse & K. W. Ng & Xibin Zhang, 2004. "A small‐sample overlapping variance‐ratio test," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 127-135, January.
    439. P. A. Nazarov & Kazakova, Maria, 2014. "Methodological Principles of Prediction of Tax Revenues of Budgetary System," Published Papers r90219, Russian Presidential Academy of National Economy and Public Administration.
    440. Daniel, Kent, 2001. "The power and size of mean reversion tests," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 493-535, December.
    441. Jonathan N. Millar, 2005. "Gestation lags for capital, cash flows, and Tobin's Q," Finance and Economics Discussion Series 2005-24, Board of Governors of the Federal Reserve System (U.S.).
    442. Ewing, Bradley T. & Payne, James E. & Sowell, Clifford, 1999. "NAFTA and North American stock market linkages: an empirical note," The North American Journal of Economics and Finance, Elsevier, vol. 10(2), pages 443-451.
    443. Jeremy J. Nalewaik & Eugénio Pinto, 2012. "The response of capital goods shipments to demand over the business cycle," Finance and Economics Discussion Series 2012-30, Board of Governors of the Federal Reserve System (U.S.).
    444. Gábor Bóta & Mihály Ormos, 2015. "Development of stock market pricing in Central and Eastern Europe through two decades after the transition," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(4), pages 685-708, November.
    445. Catherine Doz & Guillaume Rabault & Nicolas Sobczak, 1995. "Décomposition tendance-cycle : estimations par des méthodes statistiques univariées," Économie et Prévision, Programme National Persée, vol. 120(4), pages 73-93.
    446. Panigo, Demian & Féliz, Mariano & Perez, Pablo, 2004. "Macro and microeconomic persistence in regional unemployment. The case of Argentina," CEPREMAP Working Papers (Couverture Orange) 0403, CEPREMAP.
    447. Zsolt Becsi, 1994. "Indicators of the general price level and inflation," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q IV, pages 27-39.
    448. Baffes, John & Elbadawi, Ibrahim A. & O'Connell, Stephen A., 1997. "Single-equation estimation of the equilibrium real exchange rate," Policy Research Working Paper Series 1800, The World Bank.
    449. Matheron, Julien & Maury, Tristan-Pierre & Tripier, Fabien, 2004. "Sources of growth and the spectral properties of the labor market search model," Journal of Economic Dynamics and Control, Elsevier, vol. 28(9), pages 1903-1923, July.
    450. Sheridan Titman & Ko Wang & Jing Yang, 2014. "The Dynamics of Housing Prices," NBER Working Papers 20418, National Bureau of Economic Research, Inc.
    451. Haitham A. Al-Zoubi & Aktham Maghyereh, 2007. "Stationary Component in Stock Prices: A Reappraisal of Empirical Findings," Multinational Finance Journal, Multinational Finance Journal, vol. 11(3-4), pages 287-322, September.
    452. Kegiang Hou & Alok Johri, 2013. "Intangible Capital and the Excess Volatility of Aggregate Profits," Department of Economics Working Papers 2013-04, McMaster University.
    453. Erdos, Péter & Ormos, Mihály, 2010. "Random walk theory and the weak-form efficiency of the US art auction prices," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1062-1076, May.
    454. Ahmad Yamin S & Paya Ivan, 2020. "Temporal aggregation of random walk processes and implications for economic analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-20, April.
    455. Engle, Robert F. & Issler, Joao Victor, 1995. "Estimating common sectoral cycles," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 83-113, February.
    456. Stephen R. Blough, 1994. "Near common factors and confidence regions for present value models," Working Papers 94-3, Federal Reserve Bank of Boston.
    457. Wang, Chong, 1998. "Testing for purchasing power parity: a nonlinear approach," ISU General Staff Papers 1998010108000013534, Iowa State University, Department of Economics.
    458. Albers, Scott, 2014. "Towards an economic architecture of the rings of Saturn: On the Political Economy Wave, Kaluza’s fifth dimension and an alternative derivation of the Roche Limit," MPRA Paper 55276, University Library of Munich, Germany.
    459. Raimundo Soto, "undated". "El Tipo de Cambio Real de Equilibrio: Un modelo no lineal de Series de Tiempo," ILADES-UAH Working Papers inv094, Universidad Alberto Hurtado/School of Economics and Business.
    460. Jawadi, Fredj & Ftiti, Zied & Hdia, Mouna, 2017. "Assessing efficiency and investment opportunities in commodities: A time series and portfolio simulations approach," Economic Modelling, Elsevier, vol. 64(C), pages 567-588.
    461. Taylor, Alan M, 2001. "Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price," Econometrica, Econometric Society, vol. 69(2), pages 473-498, March.
    462. Hossain, Ferdaus, 1995. "Current account determination in the intertemporal framework: an empirical analysis," ISU General Staff Papers 1995010108000011939, Iowa State University, Department of Economics.
    463. L. Achy, 2003. "Parity reversion persistence in real exchange rates: middle income country case," Applied Economics, Taylor & Francis Journals, vol. 35(5), pages 541-553.
    464. Ivan D. Trofimov, 2017. "Profit rates in the developed capitalist economies: a time series investigation," PSL Quarterly Review, Economia civile, vol. 70(281), pages 85-128.
    465. John Ashworth & Bruno Heyndels, 2001. "Political Fragmentation and the Evolution of National Tax Structures in the OECD," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 8(4), pages 377-393, August.
    466. Imad Moosa & Razzaque Bhatti, 1996. "Does Europe have an integrated capital market? Evidence from real interest parity tests," Applied Economics Letters, Taylor & Francis Journals, vol. 3(8), pages 517-520.
    467. Okay, Nesrin, 1998. "Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange," MPRA Paper 52812, University Library of Munich, Germany.
    468. Sarno, Lucio & Taylor, Mark P., 1999. "Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation," Journal of Development Economics, Elsevier, vol. 59(2), pages 337-364, August.
    469. B. P. M. McCabe & G. M. Martin & A. R. Tremayne, 2005. "Assessing Persistence In Discrete Nonstationary Time‐Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(2), pages 305-317, March.
    470. Yilanci, Veli & Tunali, Çiğdem Börke, 2014. "Are fluctuations in energy consumption transitory or permanent? Evidence from a Fourier LM unit root test," Renewable and Sustainable Energy Reviews, Elsevier, vol. 36(C), pages 20-25.
    471. Oliver Linton & Katja Smetanina, 2015. "Mean Ratio Statistic for measuring predictability," CeMMAP working papers CWP08/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    472. Leon, Javier & Soto, Raimundo, 1995. "Structural breaks and long-run trends in commodity prices," Policy Research Working Paper Series 1406, The World Bank.
    473. Ajayi, Richard A. & Karemera, David, 1996. "A variance ratio test of random walks in exchange rates: Evidence from Pacific Basin economies," Pacific-Basin Finance Journal, Elsevier, vol. 4(1), pages 77-91, May.
    474. Kaehler, Jürgen & Marnet, Volker, 1993. "Markov-switching models for exchange-rate dynamics and the pricing of foreign-currency options," ZEW Discussion Papers 93-03, ZEW - Leibniz Centre for European Economic Research.
    475. Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Okhrin, Yarema, 2019. "Tail event driven networks of SIFIs," Journal of Econometrics, Elsevier, vol. 208(1), pages 282-298.
    476. Trofimov, Ivan D., 2018. "The secular decline in profit rates: time series analysis of a classical hypothesis," MPRA Paper 88248, University Library of Munich, Germany.
    477. Lee, Chun I. & Pan, Ming-Shiun & Liu, Y. Angela, 2001. "On market efficiency of Asian foreign exchange rates: evidence from a joint variance ratio test and technical trading rules," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 199-214, June.
    478. José Carlos Dias & Luís Lopes & Vitor Martins & José Manuel Benzinho, 2004. "Efficiency tests in the Iberian stock markets," Finance 0406001, University Library of Munich, Germany.
    479. Choudhry, Taufiq & Luintel, Kul B., 2001. "The long-run behaviour of the real exchange rate: evidence from colonial Pennsylvania," Economics Letters, Elsevier, vol. 74(1), pages 25-30, December.
    480. Gollier, Christian, 2018. "Stochastic volatility implies fourth-degree risk dominance: Applications to asset pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 95(C), pages 155-171.
    481. Wang, Yuming & Ma, Jinpeng, 2014. "Excess volatility and the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 1-16.
    482. Pan, Ming-Shiun & Liu, Y. Angela, 1999. "Fractional cointegration, long memory, and exchange rate dynamics," International Review of Economics & Finance, Elsevier, vol. 8(3), pages 305-316, September.
    483. Mariam Camarero & Josep Lluis Carrion Silvestre & Cecilio Tamarit, 2005. "Unemployment dynamics and NAIRU estimates for CEECs : A univariate approach," Working Papers in Economics 131, Universitat de Barcelona. Espai de Recerca en Economia.
    484. Shively, Philip A., 2002. "An exact invariant variance ratio test," Economics Letters, Elsevier, vol. 75(3), pages 347-353, May.
    485. Pan, Ming-Shiun & Chan, Kam C. & C.W. Fok, Robert, 1997. "Do currency futures prices follow random walks?," Journal of Empirical Finance, Elsevier, vol. 4(1), pages 1-15, January.
    486. Leung, Mark T. & Daouk, Hazem & Chen, An-Sing, 2000. "Forecasting stock indices: a comparison of classification and level estimation models," International Journal of Forecasting, Elsevier, vol. 16(2), pages 173-190.
    487. Stephen Millard & Andrew Scott & Marianne Sensier, 1999. "Business cycles and the labour market can theory fit the facts?," Bank of England working papers 93, Bank of England.
    488. Peijie Wang, 2008. "International Business Cycle Coherence and Phases- A spectral analysis of output fluctuations of G7 economies," Working Papers 2008-FIN-01, IESEG School of Management.
    489. Chen, Lein-Lein & Choi, Seungmook & Devereux, John, 2015. "Accounting for real exchange rate changes at long time horizons," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 264-277.
    490. Mr. Jorge Roldos, 1993. "On Credible Disinflation," IMF Working Papers 1993/090, International Monetary Fund.
    491. Raimundo Soto & Matías Tapia, 2001. "Seasonal cointegration and the stability of the demand for money," Working Papers Central Bank of Chile 103, Central Bank of Chile.
    492. Jean-Pierre Rouy, 1997. "Sources et impacts à long terme des chocs dans l'industrie manufacturière : une analyse au niveau désagrégé," Économie et Prévision, Programme National Persée, vol. 131(5), pages 131-144.
    493. Bennett T. McCallum, 1993. "Unit roots in macroeconomic time series: some critical issues," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 13-44.
    494. Gries Thomas & Fritz Marlon & Feng Yuanhua, 2017. "Slow Booms and Deep Busts: 160 Years of Business Cycles in Spain," Review of Economics, De Gruyter, vol. 68(2), pages 153-166, August.
    495. In Choi, 1999. "Testing the random walk hypothesis for real exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 293-308, May.
    496. Mallick, Debdulal, 2017. "The Growth-Volatility Relationship: What Does Volatility Decomposition Tell?," MPRA Paper 79397, University Library of Munich, Germany.
    497. Deo, Rohit S. & Chen, Willa W., 2003. "The Variance Ratio Statistic at Large Horizons," Papers 2004,04, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    498. Wagner Neal F & Thompson Mark A, 2009. "Forecasting the Periodic Net Discount Rate with Genetic Programming," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, vol. 4(1), pages 1-15, October.
    499. De Vany, Arthur S. & Walls, W. David, 1999. "Cointegration analysis of spot electricity prices: insights on transmission efficiency in the western US," Energy Economics, Elsevier, vol. 21(5), pages 435-448, October.
    500. Masao Ogaki & Sungwook Park, 2007. "Long-run real exchange rate changes and the properties of the variance of k-differences," Working Papers 07-05, Ohio State University, Department of Economics.
    501. Linton, Oliver & Smetanina, Ekaterina, 2016. "Testing the martingale hypothesis for gross returns," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 664-689.
    502. Lima, Luiz Renato & Xiao, Zhijie, 2007. "Do shocks last forever? Local persistency in economic time series," Journal of Macroeconomics, Elsevier, vol. 29(1), pages 103-122, March.
    503. Kemp-Benedict, Eric, 2014. "A Kaleckian Model with Intermediate Goods," MPRA Paper 57076, University Library of Munich, Germany.
    504. Christian Gollier, 2002. "Quel taux d’actualisation pour le long terme ?," Revue d'Économie Financière, Programme National Persée, vol. 66(2), pages 253-267.
    505. Fischer Black, 1989. "Mean Reversion and Consumption Smoothing," NBER Working Papers 2946, National Bureau of Economic Research, Inc.
    506. Davinson Stev Abril Salcedo & Luis Fernando Melo Velandia & Daniel Parra Amado, 2015. "Heterogeneidad de los Índices de Producción Sectoriales de la Industria Colombiana," Borradores de Economia 12973, Banco de la Republica.
    507. Hamdad, Malika & Harchaoui, Tarek M., 2004. "La persistance des chocs au Canada, 1870-1996," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 421-437, Juin-Sept.
    508. Slade, Margaret E., 2001. "Valuing Managerial Flexibility: An Application of Real-Option Theory to Mining Investments," Journal of Environmental Economics and Management, Elsevier, vol. 41(2), pages 193-233, March.
    509. L. Spierdijk & J.A. Bikker, 2012. "Mean Reversion in Stock Prices: Implications for Long-Term Investors," Working Papers 12-07, Utrecht School of Economics.
    510. Dowd, Kevin & Cairns, Andrew J.G. & Blake, David & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2010. "Evaluating the goodness of fit of stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 255-265, December.
    511. Todd M. Gabe, 2007. "Local Economic Instability and Business Location: The Case of Maine," Land Economics, University of Wisconsin Press, vol. 83(3), pages 398-411.
    512. Caporale, Guglielmo Maria & Hassapis, Christis & Pittis, Nikitas, 1998. "Unit roots and long-run causality: investigating the relationship between output, money and interest rates," Economic Modelling, Elsevier, vol. 15(1), pages 91-112, January.
    513. B.P.M. McCabe & G.M. Martin & A.R. Tremayne, 2003. "Persistence and Nonstationary Models," Monash Econometrics and Business Statistics Working Papers 16/03, Monash University, Department of Econometrics and Business Statistics.
    514. Marilza Pereira Valentine & Erik Alencar de Figueiredo & Sinézio Fernades Maia & Adriano Nascimento da Paixão, 2003. "Impactos da Política Monetária Sobre os Níveis de Emprego no Brasil Pós-Plano Real: uma Abordagem Quantitativa," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31st Brazilian Economics Meeting] f07, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    515. Nicolaas Groenewold & Mohamed Ariff, 1998. "The Effects of De-Regulation on Share-Market Efficiency in the Asia-Pacific," International Economic Journal, Taylor & Francis Journals, vol. 12(4), pages 23-47.

  49. Cochrane, John H. & Sbordone, Argia M., 1988. "Multivariate estimates of the permanent components of GNP and stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 255-296.

    Cited by:

    1. Burnside, Craig, 1998. "Solving asset pricing models with Gaussian shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 329-340, March.
    2. Bohl, Martin T. & Siklos, Pierre L., 2004. "The present value model of U.S. stock prices redux: a new testing strategy and some evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 208-223, May.
    3. John H. Cochrane, 1988. "The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives," NBER Working Papers 2730, National Bureau of Economic Research, Inc.
    4. Julio J. Rotemberg, 1994. "Prices, Output and Hours: An Empirical Analysis Based on a Sticky Price Model," NBER Working Papers 4948, National Bureau of Economic Research, Inc.
    5. Esteve García, Vicente & Navarro Ibáñez, Manuel & Prats Albentosa, María Asuncíon, 2017. "The present value model of U.S. stock prices revisited: Long-run evidence with structural breaks, 1871-2012," Economics Discussion Papers 2017-93, Kiel Institute for the World Economy (IfW Kiel).
    6. Martin Schmidt, 2003. "The relative adjustment of wages and prices: direct tests within a multiple-equation system," Applied Economics, Taylor & Francis Journals, vol. 35(8), pages 985-997.
    7. Pedro H. Albuquerque, 2020. "Optimal Time Interval Selection in Long-Run Correlation Estimation," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 53-79, March.
    8. John H. Cochrane, 1990. "Univariate vs. Multivariate Forecasts of GNP Growth and Stock Returns: Evidence and Implications for the Persistence of Shocks, Detrending Methods," NBER Working Papers 3427, National Bureau of Economic Research, Inc.
    9. Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate variance ratio statistics," CeMMAP working papers CWP29/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    10. Cochrane, John H, 1992. "Explaining the Variance of Price-Dividend Ratios," The Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 243-280.
    11. Ian Dew-Becker & Charles G. Nathanson, 2017. "Directed Attention and Nonparametric Learning," NBER Working Papers 23917, National Bureau of Economic Research, Inc.
    12. Schmidt, Martin B., 2001. "The long and short of money and prices: a market equilibrium approach," Journal of Economics and Business, Elsevier, vol. 53(6), pages 563-583.
    13. Liam A. Gallagher & Mark P. Taylor, 2002. "Permanent and Temporary Components of Stock Prices: Evidence from Assessing Macroeconomic Shocks," Southern Economic Journal, John Wiley & Sons, vol. 69(2), pages 345-362, October.
    14. Esteve, Vicente & Navarro-Ibáñez, Manuel & Prats, María A., 2020. "Stock prices, dividends, and structural changes in the long-term: The case of U.S," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    15. Han, Hsiang-Ling & Ogaki, Masao, 1997. "Consumption, income and cointegration," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 107-117.
    16. Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," Finance and Economics Discussion Series 2014-52, Board of Governors of the Federal Reserve System (U.S.).
    17. Benati, Luca, 2014. "Do TFP and the relative price of investment share a common I(1) component?," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 239-261.
    18. Javier León & Carlos Oliva, 1992. "Componente no Estacionario y la Paridad del Poder de Compra en 12 Países Latinoamericanos," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 29(88), pages 481-504.
    19. John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," CRSP working papers 491, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    20. John H. Cochrane, 1989. "Using Production Based Asset Pricing to Explain the Behavior of Stock Returns Over the Business Cycle," NBER Working Papers 3212, National Bureau of Economic Research, Inc.
    21. Matthew Richardson & James H. Stock, 1990. "Drawing Inferences From Statistics Based on Multi-Year Asset Returns," NBER Working Papers 3335, National Bureau of Economic Research, Inc.
    22. Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate variance ratio statistics," CeMMAP working papers 29/14, Institute for Fiscal Studies.
    23. Otto, Glenn & Voss, Graham M., 1995. "Consumption, external assets and the real interest rate," Journal of Macroeconomics, Elsevier, vol. 17(3), pages 471-494.
    24. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 13-04, Asociación Española de Economía y Finanzas Internacionales.
    25. Martin B. Schmidt, 2004. "Exogeneity within the M2 Demand Function: Evidence from a Large Macroeconomic System," Economic Inquiry, Western Economic Association International, vol. 42(4), pages 634-646, October.
    26. Dean Corbea & Sam Ouliaris & Peter C.B. Phillips, 1991. "A Reexamination of the Consumption Function Using Frequency Domain Regressors," Cowles Foundation Discussion Papers 997, Cowles Foundation for Research in Economics, Yale University.
    27. Pär Österholm, 2016. "The Long-run Relationship Between Stock Prices and GDP in Sweden," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 45(2), pages 283-297, July.
    28. Henin Pierre-yves & Jobert Thomas, 1991. "An okun's law approach to unemployment persistence," CEPREMAP Working Papers (Couverture Orange) 9108, CEPREMAP.
    29. Andrey Duván Rincón-Torres & Luisa María de la Hortúa-Pulido & Kimberly Rojas-Silva & Juan Manuel Julio-Román, 2023. "The Low Frequency Effect of Macroeconomic News on Colombian Government Bond Yields," Borradores de Economia 1263, Banco de la Republica de Colombia.
    30. Okubo, Masakatsu, 2002. "Long-Run Relationship between Consumption and Income in Japan: Tests of the Deterministic Cointegration Restriction," Journal of the Japanese and International Economies, Elsevier, vol. 16(2), pages 253-278, June.
    31. Martin Schmidt, 2003. "Money and prices: evidence from the G7 countries," Applied Economics, Taylor & Francis Journals, vol. 35(17), pages 1799-1809.
    32. Chen, Shyh-Wei & Shen, Chung-Hua, 2012. "Examining the stochastic behavior of REIT returns: Evidence from the regime switching approach," Economic Modelling, Elsevier, vol. 29(2), pages 291-298.
    33. Chi-Wei Su & Yahn-Shir Chen & Hsu-Ling Chang, 2007. "Stock Prices and Dividends in Taiwan's Stock Market: Evidence Based on Time-Varying Present Value Model," Economics Bulletin, AccessEcon, vol. 7(4), pages 1-12.
    34. Martin B. Schmidt, 2000. "The Dynamic Behavior of Wages and Prices: Cointegration Tests within a Large Macroeconomic System," Southern Economic Journal, John Wiley & Sons, vol. 67(1), pages 123-138, July.

Chapters

  1. John H. Cochrane, 2017. "Michelson-Morley, Fisher, and Occam: The Radical Implications of Stable Quiet Inflation at the Zero Bound," NBER Chapters, in: NBER Macroeconomics Annual 2017, volume 32, pages 113-226, National Bureau of Economic Research, Inc.

    Cited by:

    1. Martín Uribe, 2018. "The Neo-Fisher Effect: Econometric Evidence from Empirical and Optimizing Models," NBER Working Papers 25089, National Bureau of Economic Research, Inc.
    2. Sushant Acharya & Keshav Dogra, 2020. "Understanding HANK: Insights From a PRANK," Econometrica, Econometric Society, vol. 88(3), pages 1113-1158, May.
    3. Corsetti, G. & Mavroeidi, E. & Thwaites, G. & Wolf, M., 2016. "Step away from the zero lower bound: Small open economies in a world of secular stagnation," Cambridge Working Papers in Economics 1645, Faculty of Economics, University of Cambridge.
    4. Paul Beaudry & Césaire Meh, 2021. "Monetary Policy, Trends in Real Interest Rates and Depressed Demand," Staff Working Papers 21-27, Bank of Canada.
    5. Elizaveta Lukmanova & Katrin Rabitsch, 2018. "New VAR evidence on monetary transmission channels: temporary interest rate versus inflation target shocks," Department of Economics Working Papers wuwp274, Vienna University of Economics and Business, Department of Economics.
    6. Cochrane, John H., 2017. "The new-Keynesian liquidity trap," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 47-63.
    7. Lucio Gobbi & Ronny Mazzocchi & Roberto Tamborini, 2022. "Monetary policy, rational confidence, and Neo‐Fisherian depressions," Metroeconomica, Wiley Blackwell, vol. 73(4), pages 1179-1199, November.
    8. Jeffrey R. Campbell & Jacob P. Weber, 2018. "Discretion Rather than Rules: Equilibrium Uniqueness and Forward Guidance with Inconsistent Optimal Plans," Working Paper Series WP-2018-14, Federal Reserve Bank of Chicago.
    9. Edward Nelson, 2020. "Seven Fallacies Concerning Milton Friedman's “The Role of Monetary Policy”," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(1), pages 145-164, February.
    10. Cochrane, John H., 2018. "Stepping on a rake: The fiscal theory of monetary policy," European Economic Review, Elsevier, vol. 101(C), pages 354-375.
    11. Narayana R. Kocherlakota, 2020. "21st Century Macro," NBER Working Papers 26791, National Bureau of Economic Research, Inc.
    12. Michael Woodford, 2018. "Monetary Policy Analysis When Planning Horizons Are Finite," NBER Chapters, in: NBER Macroeconomics Annual 2018, volume 33, pages 1-50, National Bureau of Economic Research, Inc.
    13. Narayana R Kocherlakota, 2022. "The Unavoidability of Low Inflation–Low Output Traps [Forward Guidance without Common Knowledge]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(6), pages 3410-3435.
    14. Claudio Borio & Piti Disyatat & Mikael Juselius & Phurichai Rungcharoenkitkul, 2017. "Why so low for so long? A long-term view of real interest rates," BIS Working Papers 685, Bank for International Settlements.
    15. Diba, Behzad & Loisel, Olivier, 2021. "Pegging the interest rate on bank reserves: A resolution of New Keynesian puzzles and paradoxes," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 230-244.
    16. Pascal Michaillat & Emmanuel Saez, 2019. "Resolving New Keynesian Anomalies with Wealth in the Utility Function," Papers 1905.13645, arXiv.org, revised Dec 2019.
    17. Tatiana Kirsanova & Celsa Machado & Ana Paula Ribeiro, 2020. "Tight and Loose, and Red and Blue: A 'Dance' of Macro Policies in the US," Working Papers 2020_14, Business School - Economics, University of Glasgow.
    18. Bossone, Biagio, 2019. "The portfolio theory of inflation (and policy effectiveness)," Economics Discussion Papers 2019-29, Kiel Institute for the World Economy (IfW Kiel).
    19. Jean-Baptiste Michau, 2014. "Monetary and Fiscal Policy in a Liquidity Trap with Inflation Persistence," Working Papers hal-01089192, HAL.
    20. Eurilton Araújo, 2018. "Neo-Fisherianism in a Small Open-Economy New Keynesian Model," Working Papers Series 481, Central Bank of Brazil, Research Department.
    21. Anthony Orlando, 2018. "Asset Markets, Credit Markets, and Inequality: Distributional Changes in Housing, 1970-2016," ERES eres2018_182, European Real Estate Society (ERES).
    22. Sumner, Scott, 2020. "A Critique of Interest Rate–Oriented Monetary Economics," Working Papers 10698, George Mason University, Mercatus Center.
    23. Bossone Biagio, 2022. "The Portfolio Theory of Inflation and Policy (in)Effectiveness: Exploring it Further and Righting the Wrongs," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 16(1), pages 257-275, January.
    24. Bossone, Biagio, 2019. "The portfolio theory of inflation and policy (in)effectiveness," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-25.

  2. John H. Cochrane, 2014. "Toward a Run-free Financial System," Book Chapters, in: Martin Neil Baily & John B. Taylor (ed.), Across the Great Divide: New Perspectives on the Financial Crisis, chapter 10, Hoover Institution, Stanford University.

    Cited by:

    1. Martine Quinzii, 2016. "Unconventional Monetary Policy and the Safety of the Banking System," 2016 Meeting Papers 1511, Society for Economic Dynamics.
    2. Pierre C. Boyer & Hubert Kempf, 2016. "Regulatory Arbitrage and the Efficiency of Banking Regulation," CESifo Working Paper Series 5878, CESifo.
    3. John H. Cochrane, 2020. "Strategic Review and Beyond: Rethinking Monetary Policy and Independence," Review, Federal Reserve Bank of St. Louis, vol. 102(2), pages 99-119, May.
    4. Rodrigo Cifuentes & Tomás Gómez & Alejandro Jara, 2022. "Capital Ratios and the Weighted Average Cost of Capital: Evidence from Chilean Banks," Working Papers Central Bank of Chile 960, Central Bank of Chile.
    5. Piskorski, Tomasz & Seru, Amit, 2021. "Debt relief and slow recovery: A decade after Lehman," Journal of Financial Economics, Elsevier, vol. 141(3), pages 1036-1059.
    6. Ignacio Benito Amaro, 2020. "Evaluación Económica de pérdidas por enfermedades en bovinos: métodos de valuación de perdida," Asociación Argentina de Economía Política: Working Papers 4310, Asociación Argentina de Economía Política.
    7. Marcelo Fernandes & Deniz Igan & Marcelo Pinheiro, 2015. "March Madness in Wall Street: (What) Does the Market Learn from Stress Tests?," Working Papers 771, Queen Mary University of London, School of Economics and Finance.
    8. Bruno Sultanum, 2014. "Financial fragility and over-the-counter markets," 2014 Papers psu420, Job Market Papers.
    9. Cochrane, John H., 2014. "Monetary policy with interest on reserves," Journal of Economic Dynamics and Control, Elsevier, vol. 49(C), pages 74-108.
    10. Skander J. Van den Heuvel, 2022. "The Welfare Effects of Bank Liquidity and Capital Requirements," Finance and Economics Discussion Series 2022-072, Board of Governors of the Federal Reserve System (U.S.).
    11. Alfred Duncan & Charles Nolan, 2020. "Reform of the UK Financial Policy Committee," Scottish Journal of Political Economy, Scottish Economic Society, vol. 67(1), pages 1-30, February.
    12. Radojičić Jelena & Radovanović Predrag, 2015. "Narrow Banking – Banking System Without Private Issuance of Credit Money as a Solution for More Resistant Banks and More Stable Financial System," Economic Themes, Sciendo, vol. 53(3), pages 376-397, September.
    13. Bacchetta, Philippe, 2017. "The Sovereign Money Initiative in Switzerland: An Economic Assessment," CEPR Discussion Papers 12349, C.E.P.R. Discussion Papers.
    14. Víctor A. Beker, 2020. "How to prevent a new global financial crisis," Asociación Argentina de Economía Política: Working Papers 4309, Asociación Argentina de Economía Política.
    15. Ben Hambly & Andreas Søjmark, 2019. "An SPDE model for systemic risk with endogenous contagion," Finance and Stochastics, Springer, vol. 23(3), pages 535-594, July.
    16. Sheila Dow & Guðrún Johnsen & Alberto Montagnoli, 2015. "A critique of full reserve banking," Working Papers 2015008, The University of Sheffield, Department of Economics.
    17. Kučinskas, Simas, 2019. "Aggregate risk and efficiency of mutual funds," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 1-11.

  3. John H. Cochrane, 1999. "A Frictionless View of US Inflation," NBER Chapters, in: NBER Macroeconomics Annual 1998, volume 13, pages 323-421, National Bureau of Economic Research, Inc.
    See citations under working paper version above.
  4. John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Chapters, in: NBER Macroeconomics Annual 1992, Volume 7, pages 115-182, National Bureau of Economic Research, Inc.
    See citations under working paper version above.

Books

  1. Fama, Eugene F., 2017. "The Fama Portfolio," University of Chicago Press Economics Books, University of Chicago Press, number 9780226426846 edited by Cochrane, John H. & Moskowitz, Tobias J..

    Cited by:

    1. Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Journal of Finance, American Finance Association, vol. 75(5), pages 2503-2553, October.
    2. Wei Liu & James W. Kolari, 2022. "Multifactor Market Indexes," JRFM, MDPI, vol. 15(4), pages 1-26, March.
    3. Daniel B. Klein, 2018. "Eugene F. Fama [Ideological Profiles of the Economics Laureates]," Econ Journal Watch, Econ Journal Watch, vol. 15(3), pages 365–375-3, September.
    4. Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Papers 2006.04269, arXiv.org.

  2. Kenneth R. French & Martin N. Baily & John Y. Campbell & John H. Cochrane & Douglas W. Diamond & Darrell Duffie & Anil K Kashyap & Frederic S. Mishkin & Raghuram G. Rajan & David S. Scharfstein & Robe, 2010. "The Squam Lake Report: Fixing the Financial System," Economics Books, Princeton University Press, edition 1, number 9261.
    See citations under working paper version above.
  3. John H. Cochrane (ed.), 2006. "Financial Markets and the Real Economy," Books, Edward Elgar Publishing, number 2923, December.

    Cited by:

    1. Bin Li & Benjamin Liu & Eduardo Roca, 2010. "An Empirical Investigation of Consumption CAPMs in the Australian Market," Discussion Papers in Finance finance:201011, Griffith University, Department of Accounting, Finance and Economics.
    2. Mr. Thomas Helbling & Mr. Ayhan Kose & Mr. Christopher Otrok & Raju Huidrom, 2010. "Do Credit Shocks Matter? A Global Perspective," IMF Working Papers 2010/261, International Monetary Fund.
    3. 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, vol. 45(6), pages 1117-1146, September.
    4. Claessens, Stijn & Kose, M. Ayhan & Terrones, Marco E., 2012. "How do business and financial cycles interact?," Journal of International Economics, Elsevier, vol. 87(1), pages 178-190.
    5. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    6. Li, Erica X.N. & Palomino, Francisco, 2014. "Nominal rigidities, asset returns, and monetary policy," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 210-225.
    7. Dimitris Papanikolaou, 2008. "Investment-Specific Technological Change and Asset Prices," 2008 Meeting Papers 637, Society for Economic Dynamics.
    8. Abhay Abhyankar & Angelica Gonzalez, 2007. "What Drives Corporate Bond Market Betas?," Edinburgh School of Economics Discussion Paper Series 157, Edinburgh School of Economics, University of Edinburgh.
    9. Grammig, Joachim & Schrimpf, Andreas, 2009. "Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns," Review of Financial Economics, Elsevier, vol. 18(3), pages 113-123, August.
    10. Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers 102006, Hong Kong Institute for Monetary Research.
    11. Ivan Jaccard, 2007. "Asset Pricing, Habit Memory, and the Labor Market," Swiss Finance Institute Research Paper Series 07-23, Swiss Finance Institute, revised Nov 2007.
    12. Pamphile MEZUI-MBENG, 2012. "Cycle Du Credit Et Cycle Des Affaires Dans Les Pays De La Cemac," Cahiers du CEREFIGE 1202, CEREFIGE (Centre Europeen de Recherche en Economie Financiere et Gestion des Entreprises), Universite de Lorraine, revised 2012.
    13. Auer Benjamin R., 2012. "Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren? / Can Time-varying Parameter Specification Based on Consumption Variables Rehabilitate CAPM, ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 232(5), pages 518-544, October.
    14. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
    15. Grassetti, Francesca & Mammana, Cristiana & Michetti, Elisabetta, 2019. "On the interaction between real economy and financial markets," MPRA Paper 91975, University Library of Munich, Germany.
    16. Maik Schmeling, 2011. "Consumption, money and excess returns," Applied Economics, Taylor & Francis Journals, vol. 43(20), pages 2559-2563.
    17. Luc Arrondel & Hector Calvo Pardo & Xisco Oliver, 2007. "Temperant portfolio choice and background risk: evidence from France," PSE Working Papers halshs-00588069, HAL.
    18. Andreas Fagereng & Luigi Guiso & Luigi Pistaferri, 2016. "Back to Background Risk," EIEF Working Papers Series 1602, Einaudi Institute for Economics and Finance (EIEF), revised Jan 2016.
    19. 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.
    20. Giuseppe Ferrero & Andrea Nobili, 2008. "Short-term interest rate futures as monetary policy forecasts," Temi di discussione (Economic working papers) 681, Bank of Italy, Economic Research and International Relations Area.
    21. Junttila, Juha & Korhonen, Marko, 2011. "Utilizing financial market information in forecasting real growth, inflation and real exchange rate," International Review of Economics & Finance, Elsevier, vol. 20(2), pages 281-301, April.
    22. Bin Li & Benjamin Liu & Eduardo Roca, 2011. "Stock returns and consumption factors in the Australian market: Cross-sectional tests," Australian Journal of Management, Australian School of Business, vol. 36(2), pages 247-266, August.
    23. Rudi Steinbach & Stan du Plessis & Ben Smit, 2014. "Monetary policy and financial shocks in an empirical small open-economy DSGE model," EcoMod2014 7194, EcoMod.
    24. Junttila, Juha & Vataja, Juuso, 2018. "Economic policy uncertainty effects for forecasting future real economic activity," Economic Systems, Elsevier, vol. 42(4), pages 569-583.
    25. Kizys, Renatas & Pierdzioch, Christian, 2011. "The changing sensitivity of realized portfolio betas to U.S. output growth: An analysis based on real-time data," Journal of Economics and Business, Elsevier, vol. 63(3), pages 168-186, May.
    26. Kadilli, Anjeza, 2015. "Predictability of stock returns of financial companies and the role of investor sentiment: A multi-country analysis," Journal of Financial Stability, Elsevier, vol. 21(C), pages 26-45.
    27. Branger, Nicole & Grüning, Patrick & Schlag, Christian, 2016. "Commodities, financialization, and heterogeneous agents," SAFE Working Paper Series 131, Leibniz Institute for Financial Research SAFE.
    28. Stig V. Møller, 2007. "Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns," CREATES Research Papers 2007-07, Department of Economics and Business Economics, Aarhus University.
    29. Henry, Ólan & Olekalns, Nilss & Shields, Kalvinder, 2010. "Sign and phase asymmetry: News, economic activity and the stock market," Journal of Macroeconomics, Elsevier, vol. 32(4), pages 1083-1100, December.
    30. Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    31. Willi Semmler, 2011. "Asset Prices, Booms and Recessions," Springer Books, Springer, number 978-3-642-20680-1, October.
    32. Pauline Ahern & Frank Hanley & Richard Michelfelder, 2011. "New approach to estimating the cost of common equity capital for public utilities," Journal of Regulatory Economics, Springer, vol. 40(3), pages 261-278, December.
    33. Claudio Campanale & Gian Luca Clementi & Rui Castro, 2008. "Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences," Working Papers. Serie AD 2008-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    34. Veronica Guerrieri & Péter Kondor, 2009. "Fund Managers, Career Concerns, and Asset Price Volatility," NBER Working Papers 14898, National Bureau of Economic Research, Inc.
    35. Kapadia, Nishad, 2011. "Tracking down distress risk," Journal of Financial Economics, Elsevier, vol. 102(1), pages 167-182, October.
    36. Ali F. Darrat & Bin Li & Omar Benkato, 2011. "The Relationship between Volatility and Expected Returns: Some Evidence for Australia," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 10(1), pages 27-43, April.
    37. Tom Engsted, 2009. "Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak," CREATES Research Papers 2009-17, Department of Economics and Business Economics, Aarhus University.
    38. Grammig, Joachim G. & Schrimpf, Andreas, 2006. "Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032, ZEW - Leibniz Centre for European Economic Research.
    39. Michelfelder, Richard A. & Pilotte, Eugene A., 2011. "Treasury Bond risk and return, the implications for the hedging of consumption and lessons for asset pricing," Journal of Economics and Business, Elsevier, vol. 63(6), pages 582-604.
    40. Jaccard, Ivan, 2021. "Leveraged property cycles," Working Paper Series 2539, European Central Bank.
    41. Nathan S. Balke & Mark E. Wohar, 2009. "Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 35-75.
    42. Willi Semmler & Maik Mueller, 2016. "A Stochastic Model of Dynamic Consumption and Portfolio Decisions," Computational Economics, Springer;Society for Computational Economics, vol. 48(2), pages 225-251, August.
    43. Alpanda, Sami & Woglom, Geoffrey, 2007. "The Case Against Power Utility and a Suggested Alternative: Resurrecting Exponential Utility," MPRA Paper 5897, University Library of Munich, Germany.
    44. Darius Palia & Yaxuan Qi & Yangru Wu, 2014. "Heterogeneous Background Risks and Portfolio Choice: Evidence from Micro‐level Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(8), pages 1687-1720, December.
    45. Ivan Jaccard, 2007. "Real Estate Prices in Production Economies," 2007 Meeting Papers 645, Society for Economic Dynamics.
    46. Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010. "Habit formation, surplus consumption and return predictability: International evidence," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1237-1255, November.
    47. Andreas Fagereng & Luigi Guiso & Luigi Pistaferri, 2016. "Portfolio Choices, Firm Shocks and Uninsurable Wage Risk," NBER Working Papers 22883, National Bureau of Economic Research, Inc.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.