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Capm Risk Adjustment For Exact Aggregation Over Financial Assets

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  • BARNETT, WILLIAM A.
  • LIU, YI
  • JENSEN, MARK

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  • Barnett, William A. & Liu, Yi & Jensen, Mark, 1997. "Capm Risk Adjustment For Exact Aggregation Over Financial Assets," Macroeconomic Dynamics, Cambridge University Press, vol. 1(02), pages 485-512, June.
  • Handle: RePEc:cup:macdyn:v:1:y:1997:i:02:p:485-512_00
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    References listed on IDEAS

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    1. Michele Boldrin & Lawrence J. Christiano & Jonas D.M. Fisher, 1995. "Asset Pricing Lessons for Modeling Business Cycles," NBER Working Papers 5262, National Bureau of Economic Research, Inc.
    2. Hansen, Lars Peter & Jagannathan, Ravi, 1991. "Implications of Security Market Data for Models of Dynamic Economies," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 225-262, April.
    3. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, pages 145-161.
    4. Cecchetti, Stephen G. & Lam, Pok-sang & Mark, Nelson C., 1993. "The equity premium and the risk-free rate : Matching the moments," Journal of Monetary Economics, Elsevier, pages 21-45.
    5. Christiano, Lawrence J. & Fisher, Jonas D. M., 2000. "Algorithms for solving dynamic models with occasionally binding constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 24(8), pages 1179-1232, July.
    6. Abel Andrew B. & Mailath George J., 1994. "Financing Losers in Competitive Markets," Journal of Financial Intermediation, Elsevier, pages 139-165.
    7. Abel, Andrew B, 1990. "Asset Prices under Habit Formation and Catching Up with the Joneses," American Economic Review, American Economic Association, pages 38-42.
    8. Weil, Philippe, 1989. "The equity premium puzzle and the risk-free rate puzzle," Journal of Monetary Economics, Elsevier, vol. 24(3), pages 401-421, November.
    9. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
    10. Lawrence J. Christiano & Jonas D. M. Fisher, 1995. "Tobin's Q and asset returns: implications for business cycle analysis," Staff Report 200, Federal Reserve Bank of Minneapolis.
    11. Judd, Kenneth L., 1992. "Projection methods for solving aggregate growth models," Journal of Economic Theory, Elsevier, vol. 58(2), pages 410-452, December.
    12. Constantinides, George M, 1990. "Habit Formation: A Resolution of the Equity Premium Puzzle," Journal of Political Economy, University of Chicago Press, vol. 98(3), pages 519-543, June.
    13. Lawrence J. Christiano & Jonas D. M. Fisher, 1995. "Tobin's Q and asset returns: implications for business cycle analysis," Staff Report 200, Federal Reserve Bank of Minneapolis.
    14. Heaton, John, 1995. "An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications," Econometrica, Econometric Society, vol. 63(3), pages 681-717, May.
    15. 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.
    16. Ferson, Wayne E. & Constantinides, George M., 1991. "Habit persistence and durability in aggregate consumption: Empirical tests," Journal of Financial Economics, Elsevier, vol. 29(2), pages 199-240, October.
    17. Christiano, Lawrence J., 1988. "Why does inventory investment fluctuate so much?," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 247-280.
    18. Sargent, Thomas J, 1989. "Two Models of Measurements and the Investment Accelerator," Journal of Political Economy, University of Chicago Press, vol. 97(2), pages 251-287, April.
    19. Gibbons, Michael R., 1989. "On the volatility of bond prices," Carnegie-Rochester Conference Series on Public Policy, Elsevier, pages 139-175.
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    Citations

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    Cited by:

    1. William A. Barnett & Shu Wu, 2005. "On user costs of risky monetary assets," Annals of Finance, Springer, pages 35-50.
    2. William A. Barnett & Melvin J. Hinich & Piyu Yue, "undated". "The Exact Theoretical Rational Expectations Monetary Aggregate," Macroeconomics 0003004, EconWPA.
    3. William A. Barnett & Marcelle Chauvet & Heather L. R. Tierney, 2011. "Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach," World Scientific Book Chapters,in: Financial Aggregation And Index Number Theory, chapter 7, pages 207-249 World Scientific Publishing Co. Pte. Ltd..
    4. Barnett, William & Liu, Jinan, 2017. "User Cost of Credit Card Services under Risk with Intertemporal Nonseparability," MPRA Paper 81461, University Library of Munich, Germany.
    5. Tin, Jan, 1999. "Short-run and long-run demand for financial assets A microeconomic perspective," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 467-478, November.
    6. 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.
    7. William Barnett & Marcelle Chauvet, 2009. "International Financial Aggregation and Index Number Theory: A Chronological Half-century Empirical Overview," Open Economies Review, Springer, pages 1-37.
    8. William Barnett & Shu Wu, 2004. "Intertemporally non-separable monetary-asset risk adjustment and aggregation," Economics Bulletin, AccessEcon, vol. 5(13), pages 1-9.
    9. Barnett, William A. & Keating, John W. & Kelly, Logan J., 2008. "Toward a bias corrected currency equivalent index," Economics Letters, Elsevier, pages 448-451.
    10. Barnett, William A. & Chauvet, Marcelle, 2011. "How better monetary statistics could have signaled the financial crisis," Journal of Econometrics, Elsevier, pages 6-23.
    11. William A. Barnett & Marcelle Chauvet, 2011. "International Financial Aggregation and Index Number Theory: A Chronological Half-Century Empirical Overview," World Scientific Book Chapters,in: Financial Aggregation And Index Number Theory, chapter 1, pages 1-51 World Scientific Publishing Co. Pte. Ltd..
    12. William A. Barnett & Melvin J. Hinich & Piyu Yue, 2011. "The Exact Theoretical Rational Expectations Monetary Aggregate," World Scientific Book Chapters,in: Financial Aggregation And Index Number Theory, chapter 2, pages 53-84 World Scientific Publishing Co. Pte. Ltd..
    13. William A. Barnett & Shu Wu, 2004. "On User Costs of Risky Monetary Assets," Macroeconomics 0406009, EconWPA.
    14. Barnett, William A., 2014. "The joint services of money and credit," MPRA Paper 60336, University Library of Munich, Germany.
    15. repec:ebl:ecbull:v:5:y:2004:i:13:p:1-9 is not listed on IDEAS
    16. Kelly, Logan, 2007. "Measuring the Economic Stock of Money," MPRA Paper 4914, University Library of Munich, Germany.
    17. Paul Schreyer, 2009. "Comment on "A General-Equilibrium Asset-Pricing Approach to the Measurement of Nominal and Real Bank Output"," NBER Chapters,in: Price Index Concepts and Measurement, pages 320-328 National Bureau of Economic Research, Inc.
    18. 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..
    19. Richard G. Anderson & Jason J. Buol, 2005. "Revisions to user costs for the Federal Reserve Bank of St. Louis monetary services indices," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 735-750.
    20. Travis D. Nesmith, 2005. "Solving stochastic money-in-the-utility-function models," Finance and Economics Discussion Series 2005-52, Board of Governors of the Federal Reserve System (U.S.).
    21. James J. Heckman & Apostolos Serletis, "undated". "Introduction to Internally Consistent Modeling, Aggregation, Inference, and Policy," Working Papers 2014-73, Department of Economics, University of Calgary, revised 29 Sep 2014.

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