Consumption, asset markets and macroeconomic fluctuations
A broad exploratory data analysis is conducted to assess the promise of a kind of model in which long-term asset prices change through time primarily due to consumption related changes in the rate of discount. Aggregate consumption data are used to infer ex-post marginal rates of substitution. Prices of stocks, bonds, short debt, land and housing are examined for the period 1890 to 1980, Methods are explored of evaluating this kind of model in the absence of accurate data on consumption.
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Volume (Year): 17 (1982)
Issue (Month): 1 (January)
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
- Kotlikoff, Laurence J & Summers, Lawrence H, 1981.
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Journal of Political Economy,
University of Chicago Press, vol. 89(4), pages 706-732, August.
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- Summers, Lawrence H, 1981. "Inflation, the Stock Market, and Owner-Occupied Housing," American Economic Review, American Economic Association, vol. 71(2), pages 429-434, May.
- Lawrence H. Summers, 1980. "Inflation, the Stock Market, and Owner-Occupied Housing," NBER Working Papers 0606, National Bureau of Economic Research, Inc.
- Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-436, June.
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