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:- 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.
- 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.
- 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.
- 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.
- Campbell, John & Cochrane, John H., 1999. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Scholarly Articles 3119444, Harvard University Department of Economics.
Mentioned in:
- 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
- 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.
- John H. Cochrane, 1998. "Where is the Market Going? Uncertain Facts and Novel Theories," NBER Working Papers 6207, National Bureau of Economic Research, Inc.
- John H Cochrane, 2003. "Where is the Market Going: Uncertain Facts and Novel Theories," Levine's Working Paper Archive 618897000000000762, David K. Levine.
Mentioned in:
- House prices: fact vs theory
by chris dillow in Stumbling and Mumbling on 2008-10-27 17:58:56 - Stagnation: noise vs signal
by chris dillow in Stumbling and Mumbling on 2014-11-04 20:26:31
- 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.
- 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.
Mentioned in:
- Economic Goodness-of-Fit
by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2018-02-11 00:53:00
- John H. Cochrane, 2013.
"The New-Keynesian Liquidity Trap,"
NBER Working Papers
19476, National Bureau of Economic Research, Inc.
Mentioned in:
- Fiscal Stimulus: Old Keynesian vs. New Keynesian
by paragwaknis in Musings of the Sorts on 2013-11-17 22:54:51
- Fiscal Stimulus: Old Keynesian vs. New Keynesian
- John H. Cochrane, 2012.
"Continuous-Time Linear Models,"
NBER Working Papers
18181, National Bureau of Economic Research, Inc.
- Cochrane, John H., 2012. "Continuous-Time Linear Models," Foundations and Trends(R) in Finance, now publishers, vol. 6(3), pages 165-219, November.
Mentioned in:
- What I Learned Last Week
by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-10-13 09:19:00
- John H. Cochrane, 2011.
"Determinacy and Identification with Taylor Rules,"
Journal of Political Economy, University of Chicago Press, vol. 119(3), pages 565-615.
- John H. Cochrane, 2007. "Determinacy and Identification with Taylor Rules," NBER Working Papers 13410, National Bureau of Economic Research, Inc.
- John H. Cochrane, 2007. "Determinacy and Identification with Taylor Rules," NBER Working Papers 13409, National Bureau of Economic Research, Inc.
Mentioned in:
- Seeking feedback: Towards a New Keynesian Theory of the Price Level
by bankunderground in Bank Underground on 2015-07-13 12:30:00
- John H. Cochrane, 1999.
"Portfolio advice of a multifactor world,"
Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 59-78.
- John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," NBER Working Papers 7170, National Bureau of Economic Research, Inc.
- 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.
Mentioned in:
- Good Sense on Economists and Dentists
by Gavin Kennedy in Adam Smith's Lost Legacy on 2012-11-25 20:54:00 - Financial advice & journalism
by chris dillow in Stumbling and Mumbling on 2010-09-20 21:50:35 - Economists as dentists
by chris dillow in Stumbling and Mumbling on 2012-11-23 20:46:50 - Coping with complexity
by chris dillow in Stumbling and Mumbling on 2014-09-16 18:08:23 - Economists in an alienated society
by chris in Stumbling and Mumbling on 2017-01-05 20:30:18 - Stealing a living
by chris in Stumbling and Mumbling on 2022-05-21 09:57:05
- Author Profile
- Peers at Work --- June 2016
by Matthew Kahn in Environmental and Urban Economics on 2016-07-05 05:57:00 - REPEC Issues a Monthly "Report Card" for Academic Economists
by Matthew Kahn in Environmental and Urban Economics on 2016-12-05 03:41:00
- Peers at Work --- June 2016
Wikipedia or ReplicationWiki mentions
(Only mentions on Wikipedia that link back to a page on a RePEc service)- 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:
- Stepping on a Rake: Replication and Diagnosis (NBER 2016) in ReplicationWiki ()
- John H. Cochrane & Monika Piazzesi, 2005.
"Bond Risk Premia,"
American Economic Review, American Economic Association, vol. 95(1), pages 138-160, March.
- John H. Cochrane & Monika Piazzesi, 2002. "Bond Risk Premia," NBER Working Papers 9178, National Bureau of Economic Research, Inc.
Mentioned in:
- Bond Risk Premia (AER 2005) in ReplicationWiki ()
- 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.
- 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.
- 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.
- 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.
- Campbell, John & Cochrane, John H., 1999. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Scholarly Articles 3119444, Harvard University Department of Economics.
Mentioned in:
- John Y. Campbell in Wikipedia (German)
- 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.
- Campbell, John & Cochrane, John, 2000. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," Scholarly Articles 3163265, Harvard University Department of Economics.
- John Y. Campbell & John H. Cochrane, 1999. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," NBER Working Papers 7237, National Bureau of Economic Research, Inc.
Mentioned in:
- Explaining the Poor Performance of Consumption-based Asset Pricing Models (JF 2000) in ReplicationWiki ()
Working papers
- John H. Cochrane, 2022.
"Expectations and the Neutrality of Interest Rates,"
NBER Working Papers
30468, National Bureau of Economic Research, Inc.
Cited by:
- 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.
- Carlos Esteban Posada, 2023. "Inflation targeting strategy and its credibility," Papers 2301.11207, arXiv.org.
- 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:
- Wilhelm, Stefan, 2023. "Efficiency of short-time work schemes and the role of monetary policy," Journal of Macroeconomics, Elsevier, vol. 78(C).
- 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).
- 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.
- Oleksiy Kryvtsov & James (Jim) C. MacGee & Luis Uzeda, 2023. "The 2021–22 Surge in Inflation," Discussion Papers 2023-3, Bank of Canada.
- John H. Cochrane, 2021.
"Portfolios for Long-Term Investors,"
NBER Working Papers
28513, National Bureau of Economic Research, Inc.
Cited by:
- Olkhov, Victor, 2021.
"Three Remarks On Asset Pricing,"
MPRA Paper
109238, University Library of Munich, Germany.
- Olkhov, Victor, 2021. "Three Remarks On Asset Pricing," MPRA Paper 107938, University Library of Munich, Germany.
- Victor Olkhov, 2021. "Three Remarks On Asset Pricing," Papers 2105.13903, arXiv.org, revised Jan 2024.
- Maxime Markov & Vladimir Markov, 2023. "Portfolio Optimization Rules beyond the Mean-Variance Approach," Papers 2305.08530, arXiv.org, revised Nov 2023.
- 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.
- 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.
- Olkhov, Victor, 2021.
"Three Remarks On Asset Pricing,"
MPRA Paper
109238, University Library of Munich, Germany.
- 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.
- 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.
Cited by:
- 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.
- Jiang, Zhengyang & Lustig, Hanno & Van Nieuwerburgh, Stijn & Xiaolan, Mindy Z., 2020. "Manufacturing Risk-Free Government Debt," Research Papers 3882, Stanford University, Graduate School of Business.
- Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2021. "Manufacturing Risk-Free Government Debt," CESifo Working Paper Series 8902, CESifo.
- Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2020. "Manufacturing Risk-free Government Debt," NBER Working Papers 27786, National Bureau of Economic Research, Inc.
- 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.
- John Cochrane, 2021. "Code and data files for "The fiscal root of inflation"," Computer Codes 20-493, Review of Economic Dynamics.
- John H. Cochrane, 2019. "The Fiscal Roots of Inflation," NBER Working Papers 25811, National Bureau of Economic Research, Inc.
- John Cochrane, 2021. "Online Appendix to "The fiscal root of inflation"," Online Appendices 20-493, Review of Economic Dynamics.
- 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.
- 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.
- 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.
- Marco Bassetto & Gherardo Gennaro Caracciolo, 2021. "Monetary/Fiscal Interactions with Forty Budget Constraints," Working Papers 788, Federal Reserve Bank of Minneapolis.
- Lucrezia Reichlin & Giovanni Ricco & Matthieu Tarbé, 2021.
"Monetary-Fiscal Crosswinds in the European Monetary Union,"
SciencePo Working papers Main
hal-03474950, HAL.
- Reichlin, Lucrezia & Ricco, Giovanni & Tarbé, Matthieu, 2023. "Monetary–fiscal crosswinds in the European Monetary Union," European Economic Review, Elsevier, vol. 151(C).
- Lucrezia Reichlin & Giovanni Ricco & Matthieu Tarbé, 2021. "Monetary-Fiscal Crosswinds in the European Monetary Union," Working Papers hal-03474950, HAL.
- Reichlin, Lucrezia & Ricco, Giovanni & Tarbé, Matthieu, 2021. "Monetary-Fiscal Crosswinds in the European Monetary Union," CEPR Discussion Papers 16138, C.E.P.R. Discussion Papers.
- Lucrezia Reichlin & Giovanni Ricco & Matthieu Tarbé, 2021. "Monetary-Fiscal Crosswinds in the European Monetary Union," BIS Working Papers 940, Bank for International Settlements.
- Reichlin, Lucrezia & Ricco, Giovanni & Matthieu Tarbe, 2022. "Monetary-Fiscal Crosswinds in the European Monetary Union," The Warwick Economics Research Paper Series (TWERPS) 1432, University of Warwick, Department of Economics.
- 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.
- 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).
- 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.
- 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.
- 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.
- Mao, Ruoyun & Shen, Wenyi & Yang, Shu-Chun S., 2024. "Can passive monetary policy decrease the debt burden?," Journal of Economic Dynamics and Control, Elsevier, vol. 159(C).
- 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.
- 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.
- 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.
- John H. Cochrane, 2019.
"The Value of Government Debt,"
NBER Working Papers
26090, National Bureau of Economic Research, Inc.
Cited by:
- Gersbach, Hans & Rochet, Jean-Charles & von Thadden, Ernst-Ludwig, 2023.
"Public Debt and the Balance Sheet of the Private Sector,"
TSE Working Papers
23-1412, Toulouse School of Economics (TSE).
- 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.
- 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.
- John Cochrane, 2021. "Code and data files for "The fiscal root of inflation"," Computer Codes 20-493, Review of Economic Dynamics.
- John H. Cochrane, 2019. "The Fiscal Roots of Inflation," NBER Working Papers 25811, National Bureau of Economic Research, Inc.
- John Cochrane, 2021. "Online Appendix to "The fiscal root of inflation"," Online Appendices 20-493, Review of Economic Dynamics.
- 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.
- Nicolas Caramp & Dejanir Silva, 2023. "Code and data files for "Fiscal Policy and the Monetary Transmission Mechanism"," Computer Codes 22-92, Review of Economic Dynamics.
- Nicolas Caramp, 2020. "Fiscal Policy and the Monetary Transmission Mechanism," Working Papers 337, University of California, Davis, Department of Economics.
- Akhmadieva, Veronika, 2022. "Fiscal adjustment in a panel of countries 1870–2016," Journal of Comparative Economics, Elsevier, vol. 50(2), pages 555-568.
- 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.
- Gersbach, Hans & Rochet, Jean-Charles & von Thadden, Ernst-Ludwig, 2023.
"Public Debt and the Balance Sheet of the Private Sector,"
TSE Working Papers
23-1412, Toulouse School of Economics (TSE).
- John H. Cochrane, 2019.
"The Fiscal Roots of Inflation,"
NBER Working Papers
25811, National Bureau of Economic Research, Inc.
- 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.
Cited by:
- 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.
- Jiang, Zhengyang & Lustig, Hanno & Van Nieuwerburgh, Stijn & Xiaolan, Mindy Z., 2020. "Manufacturing Risk-Free Government Debt," Research Papers 3882, Stanford University, Graduate School of Business.
- Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2021. "Manufacturing Risk-Free Government Debt," CESifo Working Paper Series 8902, CESifo.
- Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2020. "Manufacturing Risk-free Government Debt," NBER Working Papers 27786, National Bureau of Economic Research, Inc.
- Bazzaoui, Lamia & Nagayasu, Jun, 2019.
"Is Inflation Fiscally Determined?,"
MPRA Paper
95753, University Library of Munich, Germany.
- Lamia Bazzaoui & Jun Nagayasu, 2021. "Is Inflation Fiscally Determined?," Sustainability, MDPI, vol. 13(20), pages 1-26, October.
- Marco Bassetto & Gherardo Gennaro Caracciolo, 2021. "Monetary/Fiscal Interactions with Forty Budget Constraints," Working Papers 788, Federal Reserve Bank of Minneapolis.
- 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.
- Vadim Elenev & Tim Landvoigt & Patrick J. Shultz & Stijn Van Nieuwerburgh, 2021. "Can Monetary Policy Create Fiscal Capacity?," NBER Working Papers 29129, National Bureau of Economic Research, Inc.
- 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:
- Bai, Yuting & Leeper, Eric M., 2017. "Fiscal stabilization vs. passivity," Economics Letters, Elsevier, vol. 154(C), pages 105-108.
- 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.
- John H. Cochrane, 2016.
"The Habit Habit,"
Economics Working Papers
16105, Hoover Institution, Stanford University.
Cited by:
- G. Gopalakrishna, 2017. "Robust test of Long Run Risk and Valuation risk model," Working Papers wp1107, Dipartimento Scienze Economiche, Universita' di Bologna.
- Lior Menzly & Tano Santos & Pietro Veronesi, 2004. "Understanding Predictability," Journal of Political Economy, University of Chicago Press, vol. 112(1), pages 1-47, February.
- Jair N. Ojeda-Joya, 2014.
"A Consumption-Based Approach to Exchange Rate Predictability,"
Borradores de Economia
12339, Banco de la Republica.
- Jair N. Ojeda-Joya, 2014. "A Consumption-Based Approach to Exchange Rate Predictability," Borradores de Economia 857, Banco de la Republica de Colombia.
- Ojeda-Joya, Jair, 2019. "A consumption-based approach to exchange rate predictability," MPRA Paper 94231, University Library of Munich, Germany.
- 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.
- Grasso, Adriana & Natoli, Filippo, 2018. "Consumption volatility risk and the inversion of the yield curve," Working Paper Series 2141, European Central Bank.
- 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.
- Sanghyun Hong, 2020. "Transactions Costs and the Equity Premium Puzzle," Working Papers in Economics 20/16, University of Canterbury, Department of Economics and Finance.
- 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.
- 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).
- John H. Cochrane, 2015.
"A New Structure for U.S. Federal Debt,"
Economics Working Papers
15108, Hoover Institution, Stanford University.
Cited by:
- Saki Bigio & Galo Nuño & Juan Passadore, 2019.
"A framework for debt-maturity management,"
Working Papers
1919, Banco de España.
- Saki Bigio & Galo Nuño & Juan Passadore, 2019. "A Framework for Debt-Maturity Management," Working Papers 143, Peruvian Economic Association.
- 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.
- Davide Debortoli & Ricardo Nunes & Pierre Yared, 2022. "The Commitment Benefit of Consols in Government Debt Management," American Economic Review: Insights, American Economic Association, vol. 4(2), pages 255-270, June.
- Davide Debortoli & Ricardo Nunes & Pierre Yared, 2021. "The Commitment Benefit of Consols in Government Debt Management," Working Papers 1253, Barcelona School of Economics.
- Davide Debortoli & Ricardo Nunes & Pierre Yared, 2021. "The Commitment Benefit of Consols in Government Debt Management," Working Papers 1254, Barcelona School of Economics.
- Davide Debortoli & Pierre Yared & Ricardo Nunes, 2019.
"Optimal Fiscal Policy without Commitment: Beyond Lucas-Stokey,"
2019 Meeting Papers
926, Society for Economic Dynamics.
- Davide Debortoli & Ricardo Nunes & Pierre Yared, 2018. "Optimal Fiscal Policy without Commitment: Beyond Lucas-Stokey," NBER Working Papers 24522, National Bureau of Economic Research, Inc.
- 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.
- Saki Bigio & Galo Nuño & Juan Passadore, 2019. "Debt-Maturity Management with Liquidity Costs," NBER Working Papers 25808, National Bureau of Economic Research, Inc.
- Davide Debortoli & Ricardo Nunes & Pierre Yared, 2014.
"Optimal Time-Consistent Government Debt Maturity,"
NBER Working Papers
20632, National Bureau of Economic Research, Inc.
- Davide Debortoli & Ricardo Nunes & Pierre Yared, 2016. "Optimal Time-Consistent Government Debt Maturity," Working Papers 867, Barcelona School of Economics.
- Davide Debortoli & Ricardo Nunes & Pierre Yared, 2016. "Optimal time-consistent government debt maturity," Working Papers 16-4, Federal Reserve Bank of Boston.
- Davide Debortoli & Ricardo Nunes & Pierre Yared, 2016. "Optimal time-consistent government debt maturity," Economics Working Papers 1504, Department of Economics and Business, Universitat Pompeu Fabra, revised May 2016.
- Davide Debortoli & Ricardo Nunes & Pierre Yared, 2017. "Optimal Time-Consistent Government Debt Maturity," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(1), pages 55-102.
- Davide Debortoli & Ricardo Nunes & Pierre Yared, 2020.
"Optimal Fiscal Policy without Commitment: Revisiting Lucas-Stokey,"
Working Papers
1144, Barcelona School of Economics.
- Davide Debortoli & Ricardo Nunes & Pierre Yared, 2019. "Optimal fiscal policy without commitment: Revisiting Lucas-Stokey," Economics Working Papers 1687, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2020.
- Davide Debortoli & Ricardo Nunes & Pierre Yared, 2021. "Optimal Fiscal Policy without Commitment: Revisiting Lucas-Stokey," Journal of Political Economy, University of Chicago Press, vol. 129(5), pages 1640-1665.
- 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.
- 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.
- Saki Bigio & Galo Nuño & Juan Passadore, 2019.
"A framework for debt-maturity management,"
Working Papers
1919, Banco de España.
- John H. Cochrane, 2014.
"Monetary Policy with Interest on Reserves,"
NBER Working Papers
20613, National Bureau of Economic Research, Inc.
- Cochrane, John H., 2014. "Monetary policy with interest on reserves," Journal of Economic Dynamics and Control, Elsevier, vol. 49(C), pages 74-108.
Cited by:
- 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.
- Ricardo Reis, 2016. "Funding Quantitative Easing to Target Inflation," Discussion Papers 1626, Centre for Macroeconomics (CFM).
- John C. Williams, 2015.
"Macroprudential policy in a microprudential world,"
FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
- John C. Williams, 2015. "Macroprudential policy in a microprudential world," Speech 139, Federal Reserve Bank of San Francisco.
- Ngotran, Duong, 2017.
"The E-Monetary Theory,"
MPRA Paper
80207, University Library of Munich, Germany.
- Ngotran, Duong, 2016. "The E-Monetary Theory," MPRA Paper 77206, University Library of Munich, Germany, revised 25 Feb 2017.
- Duong Ngotran, 2016. "The E-Monetary Theory," 2016 Papers png175, Job Market Papers.
- David Andolfatto & Andrew Spewak, 2019.
"Understanding Lowflation,"
Review, Federal Reserve Bank of St. Louis, vol. 101(1), pages 1-26.
- David Andolfatto & Andrew Spewak, 2018. "Understanding Lowflation," Working Papers 2018-24, Federal Reserve Bank of St. Louis.
- Martin Kliem & Alexander Kriwoluzky & Samad Sarferaz, 2015.
"Monetary-fiscal policy interaction and fiscal inflation: a tale of three countries,"
KOF Working papers
15-396, KOF Swiss Economic Institute, ETH Zurich.
- Kliem, Martin & Kriwoluzky, Alexander & Sarferaz, Samad, 2015. "Monetary-Fiscal Policy Interaction and Fiscal Inflation: A Tale of Three Countries," IWH Discussion Papers 17/2015, Halle Institute for Economic Research (IWH).
- 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.
- Kliem, Martin & Kriwoluzky, Alexander & Sarferaz, Samad, 2016. "Monetary–fiscal policy interaction and fiscal inflation: A tale of three countries," European Economic Review, Elsevier, vol. 88(C), pages 158-184.
- 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).
- 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.
- Ricardo Reis, 2017. "QE in the Future: The Central Bank’s Balance Sheet in a Fiscal Crisis," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 65(1), pages 71-112, April.
- Reis, Ricardo, 2016. "QE in the future: the central bank's balancesheet in a fiscal crisis," LSE Research Online Documents on Economics 67210, London School of Economics and Political Science, LSE Library.
- Ricardo Reis, 2016. "QE in the future: the central bank’s balance sheet in a fiscal crisis," NBER Working Papers 22415, National Bureau of Economic Research, Inc.
- Hogan, Thomas L., 2021. "Bank lending and interest on excess reserves: An empirical investigation," Journal of Macroeconomics, Elsevier, vol. 69(C).
- Callum Jones & Mariano Kulish & Daniel M. Rees, 2018.
"International Spillovers of Forward Guidance Shocks,"
IMF Working Papers
2018/114, International Monetary Fund.
- Callum Jones & Mariano Kulish & Daniel Rees, 2020. "International spillovers of forward guidance shocks," BIS Working Papers 870, Bank for International Settlements.
- Callum Jones & Mariano Kulish & Daniel M. Rees, 2022. "International spillovers of forward guidance shocks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 131-160, January.
- Huberto M. Ennis, 2014.
"A Simple General Equilibrium Model of Large Excess Reserves,"
Working Paper
14-14, Federal Reserve Bank of Richmond.
- Huberto Ennis, 2014. "A simple general equilibrium model of large excess reserves," 2014 Meeting Papers 1357, Society for Economic Dynamics.
- Ennis, Huberto M., 2018. "A simple general equilibrium model of large excess reserves," Journal of Monetary Economics, Elsevier, vol. 98(C), pages 50-65.
- 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).
- 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.).
- 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.
- Mariana García-Schmidt & Michael Woodford, 2016. "Are Low Interest Rates Deflationary? A Paradox of Perfect-Foresight Analysis," Working Papers Central Bank of Chile 797, Central Bank of Chile.
- Woodford, Michael & Garcia-Schmidt, Mariana, 2015. "Are Low Interest Rates Deflationary? A Paradox of Perfect-Foresight Analysis," CEPR Discussion Papers 10893, C.E.P.R. Discussion Papers.
- Mariana García-Schmidt & Michael Woodford, 2015. "Are Low Interest Rates Deflationary? A Paradox of Perfect-Foresight Analysis," NBER Working Papers 21614, National Bureau of Economic Research, Inc.
- Mariana García-Schmidt & Michael Woodford, 2019. "Are Low Interest Rates Deflationary? A Paradox of Perfect-Foresight Analysis," American Economic Review, American Economic Association, vol. 109(1), pages 86-120, January.
- Cochrane, John H., 2017. "The new-Keynesian liquidity trap," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 47-63.
- Harrison, Richard & Thomas, Ryland, 2019. "Monetary financing with interest-bearing money," Bank of England working papers 785, Bank of England.
- 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.
- 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).
- 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.
- Lucrezia Reichlin & Giovanni Ricco & Matthieu Tarbé, 2021.
"Monetary-Fiscal Crosswinds in the European Monetary Union,"
SciencePo Working papers Main
hal-03474950, HAL.
- Reichlin, Lucrezia & Ricco, Giovanni & Tarbé, Matthieu, 2023. "Monetary–fiscal crosswinds in the European Monetary Union," European Economic Review, Elsevier, vol. 151(C).
- Lucrezia Reichlin & Giovanni Ricco & Matthieu Tarbé, 2021. "Monetary-Fiscal Crosswinds in the European Monetary Union," Working Papers hal-03474950, HAL.
- Reichlin, Lucrezia & Ricco, Giovanni & Tarbé, Matthieu, 2021. "Monetary-Fiscal Crosswinds in the European Monetary Union," CEPR Discussion Papers 16138, C.E.P.R. Discussion Papers.
- Lucrezia Reichlin & Giovanni Ricco & Matthieu Tarbé, 2021. "Monetary-Fiscal Crosswinds in the European Monetary Union," BIS Working Papers 940, Bank for International Settlements.
- Reichlin, Lucrezia & Ricco, Giovanni & Matthieu Tarbe, 2022. "Monetary-Fiscal Crosswinds in the European Monetary Union," The Warwick Economics Research Paper Series (TWERPS) 1432, University of Warwick, Department of Economics.
- 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.
- Behzad Diba & Olivier Loisel, 2019. "Pegging the Interest Rate on Bank Reserves: A Resolution of New Keynesian Puzzles and Paradoxes," Working Papers gueconwpa~19-19-05, Georgetown University, Department of Economics.
- Ricardo Reis, 2016. "QE in the future: the central bank's balance sheet in a financial crisis," Discussion Papers 1620, Centre for Macroeconomics (CFM).
- 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.
- 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.
- 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.
- Sanvi Avouyi-Dovi & Jean-Guillaume Sahuc, 2016. "On the Sources of Macroeconomic Stability in the Euro Area," Post-Print hal-01612702, HAL.
- S. Avouyi-Dovi & J-G. Sahuc, 2015. "On the sources of macroeconomic stability in the euro area," Working papers 577, Banque de France.
- 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.
- Cochrane, John H., 2018. "Stepping on a rake: The fiscal theory of monetary policy," European Economic Review, Elsevier, vol. 101(C), pages 354-375.
- 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.
- 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).
- 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.
- 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.
- Hendrickson, Joshua R., 2017. "Interest on reserves, settlement, and the effectiveness of monetary policy," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 208-216.
- Edward C. Prescott & Ryan Wessel, 2016. "Fiat Value in the Theory of Value," Staff Report 530, Federal Reserve Bank of Minneapolis.
- Garcés Díaz Daniel, 2016. "Changes in Inflation Predictability in Major Latin American Countries," Working Papers 2016-20, Banco de México.
- 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.
- Gliksberg, Baruch, 2016. "Equilibria under monetary and fiscal policy interactions in a portfolio choice model," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 209-228.
- Miller, Steph & Hoarty, Blake, 2020. "On Regulation and Excess Reserves: The Case of Basel III," Working Papers 10243, George Mason University, Mercatus Center.
- 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.
- 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.
- 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.
- Bratsiotis, George, 2018.
"Credit Risk, Excess Reserves and Monetary Policy: The Deposits Channel,"
EconStor Preprints
172770, ZBW - Leibniz Information Centre for Economics, revised 2018.
- George Bratsiotis, 2018. "Credit Risk, Excess Reserves and Monetary Policy: The Deposits Channel," Centre for Growth and Business Cycle Research Discussion Paper Series 243, Economics, The University of Manchester.
- 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.
- 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.
- Edward C. Prescott & Ryan Wessel, 2018. "Money in the Production Function," Staff Report 562, Federal Reserve Bank of Minneapolis.
- 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.
- Massimiliano Marzo & Paolo Zagaglia, 2018. "Macroeconomic Stability in a Model with Bond Transaction Services," IJFS, MDPI, vol. 6(1), pages 1-27, February.
- 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.
- 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.
- Heon Lee, 2021. "Money Creation and Banking: Theory and Evidence," Papers 2109.15096, arXiv.org.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Michael D. Bordo, 2014. "Exiting from Low Interest Rates to Normality: An Historical Perspective," Economics Working Papers 14110, Hoover Institution, Stanford University.
- 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.
- 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.
- 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.
- John H. Cochrane, 2013.
"Finance: Function Matters, not Size,"
NBER Working Papers
18944, National Bureau of Economic Research, Inc.
- John H. Cochrane, 2013. "Finance: Function Matters, Not Size," Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 29-50, Spring.
Cited by:
- 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.
- Barras, Laurent & Scaillet, Olivier & Gagliardini, Patrick, 2021. "Skill, scale, and value creation in the mutual fund industry," Working Papers unige:150822, University of Geneva, Geneva School of Economics and Management.
- 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.
- 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.
- Gunther Capelle-Blancard, 2018. "What is the Point of (the Hundreds of Thousands of Billions of) Stock Transactions?," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(1), pages 15-33, March.
- Gunther Capelle-Blancard, 2018. "What is the Point of (the Hundreds of Thousands of Billions of) Stock Transactions?," Post-Print hal-03029284, HAL.
- Emmanuel Carré & Guillaume L’œillet, 2018.
"The Literature on the Finance–Growth Nexus in the Aftermath of the Financial Crisis: A Review,"
Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(1), pages 161-180, March.
- 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.
- Emmanuel Carré & Guillaume L’œillet, 2018. "The Literature on the Finance–Growth Nexus in the Aftermath of the Financial Crisis: A Review," Post-Print hal-03865193, HAL.
- 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.
- Nikolai Roussanov & Hongxun Ruan & Yanhao Wei, 2018. "Marketing Mutual Funds," NBER Working Papers 25056, National Bureau of Economic Research, Inc.
- Eduardo Davila, 2014.
"Optimal Financial Transaction Taxes,"
2014 Meeting Papers
114, Society for Economic Dynamics.
- Eduardo Dávila, 2020. "Optimal Financial Transaction Taxes," NBER Working Papers 27826, National Bureau of Economic Research, Inc.
- Eduardo Dávila, 2023. "Optimal Financial Transaction Taxes," Journal of Finance, American Finance Association, vol. 78(1), pages 5-61, February.
- 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.
- Yang Sun, 2021. "Index Fund Entry and Financial Product Market Competition," Management Science, INFORMS, vol. 67(1), pages 500-523, January.
- Kirill Shakhnov, 2022.
"The Allocation of Talent: Finance versus Entrepreneurship,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 46, pages 161-195, October.
- Kirill Shakhnov, 2020. "The Allocation OF Talent: Finance versus Entrepreneurship," School of Economics Discussion Papers 0420, School of Economics, University of Surrey.
- Shakhnov, Kirill, 2014. "The allocation of talent: finance versus entrepreneurship," Economics Working Papers ECO2014/13, European University Institute.
- Wang, Zijun, 2021. "The high volume return premium and economic fundamentals," Journal of Financial Economics, Elsevier, vol. 140(1), pages 325-345.
- Pablo Kurlat, 2019.
"The Social Value of Financial Expertise,"
American Economic Review, American Economic Association, vol. 109(2), pages 556-590, February.
- Pablo Kurlat, 2017. "The Social Value of Financial Expertise," 2017 Meeting Papers 134, Society for Economic Dynamics.
- Pablo Kurlat, 2016. "The Social Value of Financial Expertise," NBER Working Papers 22047, National Bureau of Economic Research, Inc.
- Kei Kawakami, 2014. "Excessive Dynamic Trading: Propagation of Belief Shocks in Small Markets," Department of Economics - Working Papers Series 1188, The University of Melbourne.
- Roger M. Gomis & Sameer Khatiwada, 2017.
"Debt and productivity: Evidence from rm-level data,"
IHEID Working Papers
04-2017, Economics Section, The Graduate Institute of International Studies.
- Gomis, Roger. & Khatiwada, Sameer., 2016. "Debt and productivity evidence from firm-level data," ILO Working Papers 994909333402676, International Labour Organization.
- 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.
- 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).
- 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.
- 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.
- 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.
- Emmanuel Carré & Guillaume L’Œillet, 2017. "Une revue de la littérature récente sur le nexus finance-croissance après la crise : apports, limites et pistes de recherche," Revue d'économie financière, Association d'économie financière, vol. 0(3), pages 271-290.
- 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.
- 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).
- Frolov, Daniil, 2019. "From transaction costs to transaction value: Overcoming the Coase-Williamson paradigm," MPRA Paper 95959, University Library of Munich, Germany.
- 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.
- 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).
- 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.
- 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.
- Gunther Capelle-Blancard, 2017. "À quoi servent les (centaines de milliers de milliards de) transactions boursières ?," Post-Print hal-03029280, HAL.
- Gunther Capelle-Blancard, 2017. "À quoi servent les (centaines de milliers de milliards de) transactions boursières ?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03029280, HAL.
- Francesco D'Acunto & Laurent Frésard, 2018. "Finance, Talent Allocation, and Growth," CESifo Working Paper Series 6883, CESifo.
- 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.
- 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.
- John H. Cochrane, 2013.
"A Mean-Variance Benchmark for Intertemporal Portfolio Theory,"
NBER Working Papers
18768, National Bureau of Economic Research, Inc.
- 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.
Cited by:
- 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.
- Kim Weston & Gordan Žitković, 2020. "An incomplete equilibrium with a stochastic annuity," Finance and Stochastics, Springer, vol. 24(2), pages 359-382, April.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Shuo Cao & Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2020.
"Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates,"
Staff Reports
934, Federal Reserve Bank of New York.
- 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.
- 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).
- 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.
- Kim Weston & Gordan Zitkovic, 2018. "An incomplete equilibrium with a stochastic annuity," Papers 1809.05947, arXiv.org.
- 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.
- 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.
- 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.
- 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.
- Zareei, Abalfazl, 2019. "Network origins of portfolio risk," Journal of Banking & Finance, Elsevier, vol. 109(C).
- Munk, Claus, 2020. "A mean-variance benchmark for household portfolios over the life cycle," Journal of Banking & Finance, Elsevier, vol. 116(C).
- 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.
- Boubaker, Sabri & Gounopoulos, Dimitrios & Nguyen, Duc Khuong & Paltalidis, Nikos, 2015. "Assessing the effects of unconventional monetary policy on pension funds risk incentives," MPRA Paper 73398, University Library of Munich, Germany, revised Aug 2016.
- 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.
- 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.
- John H. Cochrane, 2013.
"The New-Keynesian Liquidity Trap,"
NBER Working Papers
19476, National Bureau of Economic Research, Inc.
Cited by:
- 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.
- Marius Brülhart & Didier Dupertuis & Elodie Moreau, 2018. "Inheritance flows in Switzerland, 1911–2011," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-13, December.
- Brülhart, Marius & Dupertuis, Didier & Moreau, Elodie, 2017. "Inheritance Flows in Switzerland, 1911-2011," CEPR Discussion Papers 11768, C.E.P.R. Discussion Papers.
- Siddartha Chattopadhyay & Betty C. Daniel, 2018.
"Taylor-Rule Exit Policies for the Zero Lower Bound,"
International Journal of Central Banking, International Journal of Central Banking, vol. 14(5), pages 1-53, December.
- Chattopadhyay, Siddhartha & Daniel, Betty C., 2015. "Taylor-Rule Exit Policies for the Zero Lower Bound," MPRA Paper 66076, University Library of Munich, Germany.
- 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.
- Jordan Roulleau‐Pasdeloup, 2018. "The Government Spending Multiplier in a (Mis)Managed Liquidity Trap," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(2-3), pages 293-315, March.
- Jordan Roulleau-Pasdeloup, 2016. "The Government Spending Multiplier in a (Mis-)Managed Liquidity Trap," Cahiers de Recherches Economiques du Département d'économie 16.03, Université de Lausanne, Faculté des HEC, Département d’économie.
- Roberto Piazza, 2016.
"Self-fulfilling deflations,"
Temi di discussione (Economic working papers)
1080, Bank of Italy, Economic Research and International Relations Area.
- Piazza, Roberto, 2016. "Self-fulfilling deflations," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 18-40.
- 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.
- Bill Dupor & Rong Li, 2013. "The Expected Inflation Channel of Government Spending in the Postwar U.S," Working Papers 2013-026, Federal Reserve Bank of St. Louis.
- 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.
- Cochrane, John H., 2017. "The new-Keynesian liquidity trap," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 47-63.
- 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.
- S Borağan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2018. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(1), pages 87-118.
- S. Boragan Aruoba & Pablo A. Cuba-Borda & Frank Schorfheide, 2016. "Macroeconomic Dynamics Near the ZLB : A Tale of Two Countries," International Finance Discussion Papers 1163, Board of Governors of the Federal Reserve System (U.S.).
- S. Borağan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2013. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," NBER Working Papers 19248, National Bureau of Economic Research, Inc.
- Thorsten Drautzburg & Harald Uhlig, 2011.
"Fiscal Stimulus and Distortionary Taxation,"
NBER Working Papers
17111, National Bureau of Economic Research, Inc.
- Thorsten Drautzburg & Harald Uhlig, 2015. "Fiscal Stimulus and Distortionary Taxation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(4), pages 894-920, October.
- Thorsten Drautzburg & Harald Uhlig, 2011. "Fiscal Stimulus and Distortionary Taxation," 2011 Meeting Papers 481, Society for Economic Dynamics.
- Thorsten Drautzburg & Harald Uhlig, 2013. "Fiscal stimulus and distortionary taxation," Working Papers 13-46, Federal Reserve Bank of Philadelphia.
- Drautzburg, Thorsten & Uhlig, Harald, 2011. "Fiscal stimulus and distortionary taxation," ZEW Discussion Papers 11-037, ZEW - Leibniz Centre for European Economic Research.
- Thorsten Drautzburg & Harald Uhlig, 2011. "Fiscal stimulus and distortionary taxation," FRB Atlanta CQER Working Paper 2011-01, Federal Reserve Bank of Atlanta.
- Pontus Rendahl, 2014.
"Fiscal Policy in an Unemployment Crisis,"
Cambridge Working Papers in Economics
1456, Faculty of Economics, University of Cambridge.
- Pontus Rendahl, 2014. "Fiscal Policy in an Unemployment Crisis," Discussion Papers 1405, Centre for Macroeconomics (CFM).
- Rendahl, Pontus, 2014. "Fiscal Policy in an Unemployment Crisis," CEPR Discussion Papers 9992, C.E.P.R. Discussion Papers.
- 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.
- Paul Beaudry & Franck Portier, 2018.
"Real Keynesian Models and Sticky Prices,"
NBER Working Papers
24223, National Bureau of Economic Research, Inc.
- Portier, Franck & Beaudry, Paul, 2018. "Real Keynesian Models and Sticky Prices," CEPR Discussion Papers 12604, C.E.P.R. Discussion Papers.
- Paul Beaudry & Franck Portier, 2018. "Real Keynesian Models and Sticky Prices," 2018 Meeting Papers 61, Society for Economic Dynamics.
- 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.
- Jeffrey R. Campbell, 2014.
"Quantitative Easing in Joseph's Egypt with Keynesian Producers,"
Working Paper Series
WP-2014-15, Federal Reserve Bank of Chicago.
- Jeffrey Campbell, 2017. "Quantitative Easing in Joseph's Egypt with Keynesian Producers," 2017 Meeting Papers 1165, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- Müller, Gernot & Wolf, Martin & Kuvshinov, Dmitry, 2015. "Deleveraging, deflation and depreciation in the euro area," CEPR Discussion Papers 11015, C.E.P.R. Discussion Papers.
- 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.
- Gerhard Illing & Thomas Siemsen, 2016. "Forward Guidance at the Zero Lower Bound in a Model of Price-Level Targeting," CESifo Economic Studies, CESifo Group, vol. 62(1), pages 47-67.
- Chattopadhyay, Siddhartha & Daniel, Betty C., 2014. "The Inflation Target at the Zero Lower Bound," MPRA Paper 66096, University Library of Munich, Germany.
- Gerhard Illing & Thomas Siemsen, 2014.
"Forward Guidance in a Simple Model with a Zero Lower Bound,"
CESifo Working Paper Series
4702, CESifo.
- 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.
- 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.
- 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.
- Thorsten Drautzburg & Harald Uhlig, 2015.
"Online Appendix to "Fiscal Stimulus and Distortionary Taxation","
Online Appendices
14-44, Review of Economic Dynamics.
- Thorsten Drautzburg & Harald Uhlig, 2015. "Fiscal Stimulus and Distortionary Taxation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(4), pages 894-920, October.
- Athanasios Geromichalos & Lucas Herrenbrueck, 2017. "The Liquidity-Augmented Model of Macroeconomic Aggregates," Discussion Papers dp17-16, Department of Economics, Simon Fraser University.
- 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.
- John H. Cochrane, 2012.
"Continuous-Time Linear Models,"
NBER Working Papers
18181, National Bureau of Economic Research, Inc.
- Cochrane, John H., 2012. "Continuous-Time Linear Models," Foundations and Trends(R) in Finance, now publishers, vol. 6(3), pages 165-219, November.
Cited by:
- 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..
- Gustavo F. Dias & Marcelo Fernandes & Cristina M. Scherrer, 2021. "Price Discovery in a Continuous-Time Setting [Price Discovery and Common Factor Models]," Journal of Financial Econometrics, Oxford University Press, vol. 19(5), pages 985-1008.
- John H. Cochrane, 2011.
"Discount Rates,"
NBER Working Papers
16972, National Bureau of Economic Research, Inc.
Cited by:
- 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.
- Moench, Emanuel & Adrian, Tobias & Crump, Richard K., 2015. "Regression Based Estimation of Dynamic Asset Pricing Models," CEPR Discussion Papers 10449, C.E.P.R. Discussion Papers.
- Tobias Adrian & Richard K. Crump & Emanuel Moench, 2011. "Regression-based estimation of dynamic asset pricing models," Staff Reports 493, Federal Reserve Bank of New York.
- Schneider, Martin & Piazzesi, Monika, 2016.
"Housing and macroeconomics,"
CEPR Discussion Papers
11519, C.E.P.R. Discussion Papers.
- Piazzesi, M. & Schneider, M., 2016. "Housing and Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1547-1640, Elsevier.
- Monika Piazzesi & Martin Schneider, 2016. "Housing and Macroeconomics," NBER Working Papers 22354, National Bureau of Economic Research, Inc.
- Samuel Hanson & Andrei Shleifer & Jeremy C. Stein & Robert W. Vishny, "undated".
"Banks as patient fixed-income investors,"
Working Paper
238646, Harvard University OpenScholar.
- Samuel G. Hanson & Andrei Shleifer & Jeremy C. Stein & Robert W. Vishny, 2014. "Banks as Patient Fixed-Income Investors," NBER Working Papers 20288, National Bureau of Economic Research, Inc.
- Samuel G. Hanson & Andrei Shleifer & Jeremy C. Stein & Robert W. Vishny, 2014. "Banks as Patient Fixed Income Investors," Working Paper 151246, Harvard University OpenScholar.
- 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.
- Samuel Hanson & Andrei Shleifer & Jeremy C. Stein & Robert W. Vishny, 2014. "Banks as Patient Fixed Income Investors," Finance and Economics Discussion Series 2014-15, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- John H. Cochrane, 2013. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," NBER Working Papers 18768, National Bureau of Economic Research, Inc.
- 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.
- Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2012. "Convective Risk Flows in Commodity Futures Markets," NBER Working Papers 17921, National Bureau of Economic Research, Inc.
- Robinson, David T. & Sensoy, Berk A., 2016.
"Cyclicality, performance measurement, and cash flow liquidity in private equity,"
Journal of Financial Economics, Elsevier, vol. 122(3), pages 521-543.
- 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.
- 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.
- 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.
- 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.
- Dennis Fixler & Ryan Greenaway-McGrevy, 2012. "Valuation of Near-Market Endogenous Assets," BEA Working Papers 0083, Bureau of Economic Analysis.
- 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.).
- Lu Zhang & Howard Kung & Hang Bai, 2013. ""Shooting" the CAPM," 2013 Meeting Papers 905, Society for Economic Dynamics.
- 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.
- Robin Greenwood & Samuel Hanson, 2013. "Waves in Ship Prices and Investment," NBER Working Papers 19246, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Breinlich, Holger, 2014.
"Heterogeneous firm-level responses to trade liberalization: A test using stock price reactions,"
Journal of International Economics, Elsevier, vol. 93(2), pages 270-285.
- Breinlich, Holger, 2011. "Heterogeneous Firm-Level Responses to Trade Liberalization: A Test Using Stock Price Reactions," CEPR Discussion Papers 8600, C.E.P.R. Discussion Papers.
- 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.
- Breinlich, Holger, 2011. "Heterogeneous firm-level responses to trade liberalisation: a test using stock price reactions," LSE Research Online Documents on Economics 121748, London School of Economics and Political Science, LSE Library.
- 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.
- Møller, Stig V. & Sander, Magnus, 2017. "Dividends, earnings, and predictability," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 153-163.
- Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
- Joao Sousa Andrade & Irina Syssoyeva-Masson, 2016. "Investigating the presence of long memory in debt series and its relation with growth," EcoMod2016 9627, EcoMod.
- Cederburg, Scott & O’Doherty, Michael S., 2015. "Asset-pricing anomalies at the firm level," Journal of Econometrics, Elsevier, vol. 186(1), pages 113-128.
- 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.
- Hollstein, Fabian & Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2019.
"International tail risk and World Fear,"
Journal of International Money and Finance, Elsevier, vol. 93(C), pages 244-259.
- 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.
- 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.
- 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.
- John H. Cochrane, 2013.
"Finance: Function Matters, Not Size,"
Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 29-50, Spring.
- John H. Cochrane, 2013. "Finance: Function Matters, not Size," NBER Working Papers 18944, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- John H. Cochrane, 2010.
"Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic,"
NBER Working Papers
16087, National Bureau of Economic Research, Inc.
- 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.
Cited by:
- 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.
- Chiara Fratto & Harald Uhlig, 2014. "Accounting for Post-Crisis Inflation and Employment: A Retro Analysis," NBER Working Papers 20707, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Mario Coccia, 2018. "National debts and government deficits within European Monetary Union: Statistical evidence of economic issues," Papers 1806.07830, arXiv.org.
- 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.
- 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.
- Troy Davig & Eric M. Leeper & Todd B. Walker, 2010. "Inflation and the Fiscal Limit," NBER Working Papers 16495, National Bureau of Economic Research, Inc.
- Todd Walker & Eric Leeper & Troy Davig, 2010. "Inflation and the Fiscal Limit," 2010 Meeting Papers 837, Society for Economic Dynamics.
- Ippei Fujiwara & Yoshiyuki Nakazono & Kozo Ueda, 2015.
"Policy regime change against chronic deflation? Policy option under a long-term liquidity trap,"
Globalization Institute Working Papers
233, Federal Reserve Bank of Dallas.
- Fujiwara, Ippei & Nakazono, Yoshiyuki & Ueda, Kozo, 2015. "Policy regime change against chronic deflation? Policy option under a long-term liquidity trap," Journal of the Japanese and International Economies, Elsevier, vol. 37(C), pages 59-81.
- Kozo Ueda & Yoshiyuki Nakazono & Ippei Fujiwara, 2014. "Policy Regime Change against Chronic Deflation? Policy option under long-term liquidity trap," AJRC Working Papers 1402, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University.
- 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).
- 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.
- Berndt, Antje & Yeltekin, Şevin, 2015. "Monetary policy, bond returns and debt dynamics," Journal of Monetary Economics, Elsevier, vol. 73(C), pages 119-136.
- 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.
- Francesco Bianchi & Cosmin Ilut, 2014.
"Monetary/Fiscal Policy Mix and Agents' Beliefs,"
NBER Working Papers
20194, National Bureau of Economic Research, Inc.
- Francesco Bianchi & Cosmin Ilut, 2017. "Monetary/Fiscal Policy Mix and Agent's Beliefs," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 26, pages 113-139, October.
- Ilut, Cosmin & Bianchi, Francesco, 2013. "Monetary/Fiscal Policy Mix and Agents' Beliefs," CEPR Discussion Papers 9645, C.E.P.R. Discussion Papers.
- Francesco Bianchi, 2011. "Monetary/Fiscal Policy Mix and Agents' Beliefs," 2011 Meeting Papers 156, Society for Economic Dynamics.
- Mathieu Grobéty, 2017.
"Government Debt and Growth: The Role of Liquidity,"
Working Papers
2017-13, Swiss National Bank.
- Grobéty, Mathieu, 2018. "Government debt and growth: The role of liquidity," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 1-22.
- 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.
- Aliya Algozhina, 2012.
"Monetary and Fiscal Policy Interactions in an Emerging Open Economy: a Non-Ricardian DSGE Approach,"
FIW Working Paper series
094, FIW, revised Dec 2012.
- 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.
- Mitsuru Katagiri & Hideki Konishi & Kozo Ueda, 2014.
"Aging and Deflation from a Fiscal Perspective,"
Working Papers
1413, Waseda University, Faculty of Political Science and Economics.
- 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.
- Mitsuru Katagiri & Hideki Konishi & Kozo Ueda, 2014. "Aging and deflation from a fiscal perspective," Globalization Institute Working Papers 218, Federal Reserve Bank of Dallas.
- Katagiri, Mitsuru & Konishi, Hideki & Ueda, Kozo, 2020. "Aging and deflation from a fiscal perspective," Journal of Monetary Economics, Elsevier, vol. 111(C), pages 1-15.
- Mitsuru Katagiri & Hideki Konishi & Kozo Ueda, 2014. "Aging and Deflation from a Fiscal Perspective," KIER Working Papers 905, Kyoto University, Institute of Economic Research.
- Francesco Bianchi & Leonardo Melosi, 2013.
"Dormant Shocks and Fiscal Virtue,"
PIER Working Paper Archive
13-032, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Leonardo Melosi & Francesco Bianchi, 2012. "Dormant Shocks and Fiscal Virtue," 2012 Meeting Papers 44, Society for Economic Dynamics.
- Francesco Bianchi & Leonardo Melosi, 2013. "Dormant Shocks and Fiscal Virtue," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 1-46, National Bureau of Economic Research, Inc.
- Francesco Bianchi & Leonardo Melosi, 2013. "Dormant Shocks and Fiscal Virtue," Working Papers 13-12, Duke University, Department of Economics.
- Francesco Bianchi & Leonardo Melosi, 2014. "Dormant Shocks and Fiscal Virtue," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 1-46.
- 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.
- Alessandro Piergallini & Giorgio Rodano, 2012.
"Public Debt, Distortionary Taxation, and Monetary Policy,"
Rivista italiana degli economisti, Società editrice il Mulino, issue 2, pages 225-248.
- Piergallini, Alessandro & Rodano, Giorgio, 2010. "Public Debt, Distortionary Taxation, and Monetary Policy," MPRA Paper 26318, University Library of Munich, Germany.
- Alessandro Piergallini & Giorgio Rodano, 2012. "Public Debt, Distortionary Taxation, and Monetary Policy," CEIS Research Paper 220, Tor Vergata University, CEIS, revised 07 Feb 2012.
- Piergallini, Alessandro & Rodano, Giorgio, 2009. "Public Debt, Distortionary Taxation, and Monetary Policy," MPRA Paper 15348, University Library of Munich, Germany.
- Algozhina, Aliya, 2022.
"Monetary policy rule, exchange rate regime, and fiscal policy cyclicality in a developing oil economy,"
Energy Economics, Elsevier, vol. 112(C).
- Algozhina, Aliya, 2016. "Monetary Policy Rule, Exchange Rate Regime, and Fiscal Policy Cyclicality in a Developing Oil Economy," Dynare Working Papers 49, CEPREMAP.
- Aliya Algozhina, 2016. "Monetary Policy Rule, Exchange Rate Regime, and Fiscal Policy Cyclicality in a Developing Oil Economy," CERGE-EI Working Papers wp572, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Albrecht Ritschl, 2012.
"Reparations, Deficits, and Debt Default: the Great Depression in Germany,"
CEP Discussion Papers
dp1149, Centre for Economic Performance, LSE.
- 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.
- 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.
- 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.
- Ugo Panizza & Andrea F. Presbitero, 2013. "Public Debt and Economic Growth in Advanced Economies: A Survey," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 149(II), pages 175-204, June.
- Ippei Fujiwara & Yoshiyuki Nakazono & Kozo Ueda, 2015. "Policy Regime Change Against Chronic Deflation?," Working Papers halshs-01545830, HAL.
- 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.
- 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.
- 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," Cambridge Working Papers in Economics 1350, Faculty of Economics, University of Cambridge.
- 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," Working Papers 817, Economic Research Forum, revised Dec 2013.
- 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," Globalization Institute Working Papers 162, Federal Reserve Bank of Dallas.
- Themba Gilbert Chirwa & Nicholas M. Odhiambo, 2020.
"Public Debt and Economic Growth Nexus in the Euro Area: A Dynamic Panel ARDL Approach,"
Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67(3), pages 291-310, September.
- 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.
- Chirwa, Themba G & Odhiambo, Nicholas M, 2020. "Public debt and economic growth nexus in the euro area: A dynamic panel ARDL approach," Working Papers 26644, University of South Africa, Department of Economics.
- 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.
- Eric M. Leeper & Todd B. Walker, 2011. "Fiscal Limits in Advanced Economies," NBER Working Papers 16819, National Bureau of Economic Research, Inc.
- 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.
- Megersa, kelbesa, 2014. "The laffer curve and the debt-growth link in low-income Sub-Saharan African economies," MPRA Paper 54362, University Library of Munich, Germany.
- 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.
- Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "“On the bi-directional causal relationship between public debt and economic growth in EMU countries”," IREA Working Papers 201512, University of Barcelona, Research Institute of Applied Economics, revised May 2015.
- 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.
- Eric M. Leeper, 2010.
"Monetary science, fiscal alchemy,"
Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 361-434.
- Eric M. Leeper, 2010. "Monetary Science, Fiscal Alchemy," NBER Working Papers 16510, National Bureau of Economic Research, Inc.
- 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.
- Roberto Martino & Phu Nguyen-Van, 2015. "Labour market regulation and fiscal parameters: a structural model for European regions," Discussion Papers 2015/200, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
- Bi, Huixin, 2012.
"Sovereign default risk premia, fiscal limits, and fiscal policy,"
European Economic Review, Elsevier, vol. 56(3), pages 389-410.
- Huixin Bi, 2011. "Sovereign Default Risk Premia, Fiscal Limits and Fiscal Policy," Staff Working Papers 11-10, Bank of Canada.
- 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.
- 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.
- Laurence Seidman, 2011. "Keynesian Fiscal Stimulus: What Have We Learned from the Great Recession?," Working Papers 11-11, University of Delaware, Department of Economics.
- Konzelmann, S., 2012. "The Economics of Austerity," Working Papers wp434, Centre for Business Research, University of Cambridge.
- 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.
- Polito, Vito & Wickens, Michael, 2015.
"Sovereign credit ratings in the European Union: A model-based fiscal analysis,"
European Economic Review, Elsevier, vol. 78(C), pages 220-247.
- 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.
- 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.
- Saungweme, Talknice & Odhiambo, Nicholas M, 2019. "The impact of domestic and foreign public debt on economic growth: Empirical evidence from Zimbabwe," Working Papers 25663, University of South Africa, Department of Economics.
- 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.
- Betty Daniel & Christos Shiamptanis, 2012.
"Pushing the Limit? Fiscal Policy in the European Monetary Union,"
Working Papers
033, Ryerson University, Department of Economics.
- Daniel, Betty C. & Shiamptanis, Christos, 2013. "Pushing the limit? Fiscal policy in the European Monetary Union," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2307-2321.
- 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).
- Nicola Limodio, 2015. "The Development Impact of Financial Regulation: Evidence from Ethiopia and Antebellum USA," 2015 Meeting Papers 355, Society for Economic Dynamics.
- John H. Cochrane, 2014.
"Monetary Policy with Interest on Reserves,"
NBER Working Papers
20613, National Bureau of Economic Research, Inc.
- Cochrane, John H., 2014. "Monetary policy with interest on reserves," Journal of Economic Dynamics and Control, Elsevier, vol. 49(C), pages 74-108.
- Panizza, Ugo & Fatás, Antonio & Ghosh, Atish R. & ,, 2019.
"The Motives to Borrow,"
CEPR Discussion Papers
13735, C.E.P.R. Discussion Papers.
- A. Fatas & Mr. Atish R. Ghosh & Ugo Panizza & Mr. Andrea F Presbitero, 2019. "The Motives to Borrow," IMF Working Papers 2019/101, International Monetary Fund.
- 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.
- Alexander Chudik & M. Hashem Pesaran & Kamiar Mohaddes, 2019. "Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR," CESifo Working Paper Series 7454, CESifo.
- Alexander Chudik & Mohammad Hashem Pesaran & Kamiar Mohaddes, 2019. "Identifying Global and National Output and Fiscal Policy ShocksUsing a GVAR," Working Papers 1286, Economic Research Forum, revised 2019.
- Alexander Chudik & Kamiar Mohaddes & M. Hashem Pesaran, 2018. "Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR," Globalization Institute Working Papers 351, Federal Reserve Bank of Dallas.
- Alexander Chudik & M. Hashem Pesaran & Kamiar Mohaddes, 2019. "Identifying global and national output and fiscal policy shocks using a GVAR," CAMA Working Papers 2019-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Alexander Chudik & M. Hashem Pesaran & Kamiar Mohaddes, 2020. "Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR," Advances in Econometrics, in: Essays in Honor of Cheng Hsiao, volume 41, pages 143-189, Emerald Group Publishing Limited.
- 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.
- 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.
- Kazumasa Oguro & Motohiro Sato, 2014.
"Public debt accumulation and fiscal consolidation,"
Applied Economics, Taylor & Francis Journals, vol. 46(7), pages 663-673, March.
- Oguro, Kazumasa & Sato, Motohiro, 2011. "Public Debt Accumulation and Fiscal Consolidation," CIS Discussion paper series 517, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
- 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.
- Marta Gómez-Puig & Simón Javier Sosvilla-Rivero, 2016. "Debt-growth linkages in EMU across countries and time horizons," Working Papers del Instituto Complutense de Estudios Internacionales 1602, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
- 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.
- 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.
- Fukunaga,Ichiro & Komatsuzaki,Takuji & Matsuoka,Hideaki, 2020.
"Inflation and Public Debt Reversals in Advanced Economies,"
Policy Research Working Paper Series
9129, The World Bank.
- Ichiro Fukunaga & Takuji Komatsuzaki & Hideaki Matsuoka, 2022. "Inflation and public debt reversals in advanced economies," Contemporary Economic Policy, Western Economic Association International, vol. 40(1), pages 124-137, January.
- Ichiro Fukunaga & Mr. Takuji Komatsuzaki & Hideaki Matsuoka, 2019. "Inflation and Public Debt Reversals in Advanced Economies," IMF Working Papers 2019/297, International Monetary Fund.
- Lukas Schmid & Andres Schneider & Mikhail Chernov, 2016.
"A macrofinance view of US Sovereign CDS premiums,"
2016 Meeting Papers
432, Society for Economic Dynamics.
- Mikhail Chernov & Lukas Schmid & Andres Schneider, 2020. "A Macrofinance View of U.S. Sovereign CDS Premiums," Journal of Finance, American Finance Association, vol. 75(5), pages 2809-2844, October.
- Chernov, Mikhail & Schmid, Lukas & Schneider, Andres, 2016. "A Macrofinance View of U.S. Sovereign CDS Premiums," CEPR Discussion Papers 11576, C.E.P.R. Discussion Papers.
- 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).
- 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.
- Gliksberg, Baruch, 2013.
"Monetary policy and fiscal limits with no-default,"
European Economic Review, Elsevier, vol. 64(C), pages 285-304.
- Gliksberg, Baruch, "undated". "Monetary Policy and Fiscal Limits with No-Default," Working Papers WP2012/6, University of Haifa, Department of Economics.
- 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.
- Wang, Ling, 2018. "Monetary-fiscal policy interactions under asset purchase programs: Some comparative evidence," Economic Modelling, Elsevier, vol. 73(C), pages 208-221.
- Hilscher, Jens & Raviv, Alon & Reis, Ricardo, 2022.
"Inflating away the public debt? An empirical assessment,"
LSE Research Online Documents on Economics
107543, London School of Economics and Political Science, LSE Library.
- Jens Hilscher & Alon Raviv & Ricardo Reis, 2014. "Inflating Away the Public Debt? An Empirical Assessment," Working Papers 74, Brandeis University, Department of Economics and International Business School.
- Jens Hilscher & Alon Raviv & Ricardo Reis, 2014. "Inflating Away the Public Debt? An Empirical Assessment," NBER Working Papers 20339, National Bureau of Economic Research, Inc.
- 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.
- Hilscher, Jens & Raviv, Alon, 2014. "Inflating Away the Public Debt? An Empirical Assessment," CEPR Discussion Papers 10078, C.E.P.R. Discussion Papers.
- 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.
- Simone Salotti & Carmine Trecroci, 2012. "Even worse than you thought: The effects of government debt on investment and productivity," EcoMod2012 4200, EcoMod.
- Chiara Fratto & Harald Uhlig, 2019.
"Online Appendix to "Accounting for Post-Crisis Inflation: A Retro Analysis","
Online Appendices
18-217, Review of Economic Dynamics.
- Chiara Fratto & Harald Uhlig, 2020. "Accounting for Post-Crisis Inflation: A Retro Analysis," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 35, pages 133-153, January.
- Rutayisire, J.Musoni, 2021. "Public debt dynamics and nonlinear effects on economic growth : evidence from Rwanda," MPRA Paper 110931, University Library of Munich, Germany.
- Markus Eberhardt & Andrea F. Presbitero, 2013.
"This Time They’re Different: Heterogeneity and Nonlinearity in the Relationship between Debt and Growth,"
Discussion Papers
2013/10, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
- 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.
- Markus Eberhardt & Andrea Filippo Presbitero, 2013. "This Time They're Different: Heterogeneity;and Nonlinearity in the Relationship;between Debt and Growth," Mo.Fi.R. Working Papers 92, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
- Nikolaos Antonakakis, 2014.
"Sovereign Debt and Economic Growth Revisited: The Role of (Non-)Sustainable Debt Thresholds,"
Department of Economics Working Papers
wuwp187, Vienna University of Economics and Business, Department of Economics.
- 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.
- 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.
- Christos Shiamptanis, 2014.
"Risk Assessment Under A Nonlinear Fiscal Policy Rule,"
LCERPA Working Papers
lm0063, Laurier Centre for Economic Research and Policy Analysis, revised Jun 2014.
- Christos Shiamptanis, 2015. "Risk Assessment Under A Nonlinear Fiscal Policy Rule," Economic Inquiry, Western Economic Association International, vol. 53(3), pages 1539-1555, July.
- 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.
- 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.
- 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.
- 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 –.
- 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.
- Panizza, Ugo & Presbitero, Andrea F., 2014. "Public debt and economic growth: Is there a causal effect?," Journal of Macroeconomics, Elsevier, vol. 41(C), pages 21-41.
- Ugo Panizza & Andrea Filippo Presbitero, 2012. "Public Debt and Economic Growth: Is There a Causal Effect?," Mo.Fi.R. Working Papers 65, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
- Alexander W. Richter, 2013.
"The Fiscal Limit and Non-Ricardian Consumers,"
Auburn Economics Working Paper Series
auwp2013-19, Department of Economics, Auburn University.
- Richter, Alexander W., 2015. "Finite lifetimes, long-term debt and the fiscal limit," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 180-203.
- 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.
- 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.
- 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.
- 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.
- Daniel, Betty C. & Shiamptanis, Christos, 2012.
"Fiscal risk in a monetary union,"
European Economic Review, Elsevier, vol. 56(6), pages 1289-1309.
- Betty Daniel & Christos Shiamptanis, 2008. "Fiscal Risk in a Monetary Union," Discussion Papers 08-12, University at Albany, SUNY, Department of Economics.
- 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.
- Puonti, Päivi, 2022. "Public Debt and Economic Growth," ETLA Reports 127, The Research Institute of the Finnish Economy.
- 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.
- 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.
- Sergey Pekarski, 2017. "Tight Money and the Sustainability of Public Debt," International Journal of Central Banking, International Journal of Central Banking, vol. 13(1), pages 191-223, February.
- 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.
- Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2017.
"Heterogeneity in the debt-growth nexus: Evidence from EMU countries,"
International Review of Economics & Finance, Elsevier, vol. 51(C), pages 470-486.
- 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.
- Polito, Vito & Wickens, Mike, 2014.
"Modelling the U.S. sovereign credit rating,"
Journal of Banking & Finance, Elsevier, vol. 46(C), pages 202-218.
- Wickens, Michael R. & Polito, Vito, 2012. "Modelling the U.S. sovereign credit rating," CEPR Discussion Papers 9150, C.E.P.R. Discussion Papers.
- Cochrane, John H., 2018. "Stepping on a rake: The fiscal theory of monetary policy," European Economic Review, Elsevier, vol. 101(C), pages 354-375.
- 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.
- Sokolova, Anna, 2015. "Fiscal limits and monetary policy: default vs. inflation," Economic Modelling, Elsevier, vol. 48(C), pages 189-198.
- Peter Sinclair, 2011. "Deficits, Debts and Defaults - Past, Present and Future," Discussion Papers 11-20, Department of Economics, University of Birmingham.
- Howard Kung & Gonzalo Morales & Alexandre Corhay, 2017. "Fiscal Discount Rates and Debt Maturity," 2017 Meeting Papers 840, Society for Economic Dynamics.
- Huixin Bi & Eric M. Leeper, 2013. "Analyzing Fiscal Sustainability," Staff Working Papers 13-27, Bank of Canada.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Ferre De Graeve & Konstantinos Theodoridis, 2016. "Forward Guidance, Quantitative Easing, or both?," Working Paper Research 305, National Bank of Belgium.
- De Graeve, Ferre & Queijo von Heideken, Virginia, 2013.
"Identifying Fiscal Inflation,"
Working Paper Series
273, Sveriges Riksbank (Central Bank of Sweden).
- De Graeve, Ferre & Queijo von Heideken, Virginia, 2015. "Identifying fiscal inflation," European Economic Review, Elsevier, vol. 80(C), pages 83-93.
- 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.
- Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2015. "“Sovereigns and banks in the euro area: a tale of two crises”," IREA Working Papers 201504, University of Barcelona, Research Institute of Applied Economics, revised Jan 2015.
- Kumhof, Michael, 2018. "On the theory of international currency portfolios," European Economic Review, Elsevier, vol. 101(C), pages 376-396.
- 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.
- Sokolova, A., 2014. "Sovereign Risk and Monetary Policy," Journal of the New Economic Association, New Economic Association, vol. 21(1), pages 56-82.
- Frederic S. Mishkin, 2011. "Monetary Policy Strategy: Lessons from the Crisis," NBER Working Papers 16755, National Bureau of Economic Research, Inc.
- Lim, Jamus Jerome, 2019. "Growth in the shadow of debt," Journal of Banking & Finance, Elsevier, vol. 103(C), pages 98-112.
- 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.
- Attahir Babaji Abubakar, 2020. "Does fiscal tightening (loosening) reduce public debt?," African Development Review, African Development Bank, vol. 32(4), pages 528-539, December.
- Christos Shiamptanis, 2012. "Risk Assessment Under a Non-linear Fiscal Rule," Working Papers 038, Ryerson University, Department of Economics.
- Attard, Juergen, 2019. "Public Debt and Economic Growth nexus: A Dynamic Panel ARDL approach," MPRA Paper 96023, University Library of Munich, Germany.
- 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.
- Nicola Limodio & Francesco Strobbe, 2018. "Financial Regulation and Government Revenue: The Effects of a Policy Change in Ethiopia," BAFFI CAREFIN Working Papers 1880, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- 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.
- 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.
- 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.
- 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.
- Takeda Tatsuya, 2015. "A Fiscal Perspective on the Sustainability of Japanese Government Debt," GRIPS Discussion Papers 15-02, National Graduate Institute for Policy Studies.
- 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.
- 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.
- 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.
- Kaiji Chenz & Ayse Imrohoroglu, 2014. "Debt in the U.S. Economy," Koç University-TUSIAD Economic Research Forum Working Papers 1401, Koc University-TUSIAD Economic Research Forum.
- Ayse Imrohoroglu & Kaiji Chen, 2012. "Debt and the U.S. Economy," 2012 Meeting Papers 229, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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).
- 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.
- 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).
- Arne Heise, 2018. "Reclaiming the University: transforming economics as a discipline," The Journal of Philosophical Economics, Bucharest Academy of Economic Studies, The Journal of Philosophical Economics, vol. 11(2), pages 37-66, May.
- 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.
- 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.
- 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.
- 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.
- António Afonso & João Tovar Jalles, 2016. "The Fiscal Consequences of Deflation: Evidence from the Golden Age of Globalization," Working Papers Department of Economics 2016/23, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- 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).
- 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.
- 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.
- 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.
- 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.
- Shahrzad Ghourchian & Hakan Yilmazkuday, 2020.
"Government consumption, government debt and economic growth,"
Review of Development Economics, Wiley Blackwell, vol. 24(2), pages 589-605, May.
- Shahrzad Ghourchian & Hakan Yilmazkuday, 2020. "Government Consumption, Government Debt and Economic Growth," Working Papers 2003, Florida International University, Department of Economics.
- 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.
- John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
- 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).
- 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.
- Yutaka KURIHARA, 2015. "Debt and Economic Growth: The Case of Japan," Journal of Economics Library, KSP Journals, vol. 2(2), pages 45-52, June.
- 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.
- Monika Piazzesi & John Cochrane, 2009.
"Decomposing the Yield Curve,"
2009 Meeting Papers
18, Society for Economic Dynamics.
Cited by:
- Dewachter, Hans & Iania, Leonardo, 2012.
"An Extended Macro-Finance Model with Financial Factors,"
LIDAM Reprints LFIN
2012001, Université catholique de Louvain, Louvain Finance (LFIN).
- Dewachter, Hans & Iania, Leonardo, 2009. "An Extended Macro-Finance Model with Financial Factors," MPRA Paper 17634, University Library of Munich, Germany.
- Dewachter, Hans & Iania, Leonardo, 2011. "An Extended Macro-Finance Model with Financial Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(6), pages 1893-1916, December.
- Hans Dewachter & Leonardo Iania, 2010. "An Extended Macro-Finance Model with Financial Factors," CESifo Working Paper Series 2950, CESifo.
- Dewachter, Hans & Iania, Leonardo, 2009. "An Extended Macro-Finance Model with Financial Factors," MPRA Paper 18840, University Library of Munich, Germany.
- Hans DEWACHTER & Leonardo IANIA, 2009. "An extended macro-finance model with financial factors," Working Papers of Department of Economics, Leuven ces09.19, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Inoue, Atsushi & Rossi, Barbara, 2019.
"The effects of conventional and unconventional monetary policy on exchange rates,"
Journal of International Economics, Elsevier, vol. 118(C), pages 419-447.
- Atsushi Inoue & Barbara Rossi, 2018. "The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates," NBER Chapters, in: NBER International Seminar on Macroeconomics 2018, pages 419-447, National Bureau of Economic Research, Inc.
- 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.
- Atsushi Inoue & Barbara Rossi, 2018. "The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates," Working Papers 1078, Barcelona School of Economics.
- Atsushi Inoue & Barbara Rossi, 2018. "The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates," NBER Working Papers 25021, National Bureau of Economic Research, Inc.
- 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.
- Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis.
- Liu, Yan & Wu, Jing Cynthia, 2021.
"Reconstructing the yield curve,"
Journal of Financial Economics, Elsevier, vol. 142(3), pages 1395-1425.
- Yan Liu & Jing Cynthia Wu, 2020. "Reconstructing the Yield Curve," NBER Working Papers 27266, National Bureau of Economic Research, Inc.
- Byrne, JP & Cao, S & Korobilis, D, 2016.
"Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty,"
Essex Finance Centre Working Papers
18195, University of Essex, Essex Business School.
- Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers 2015_08, Business School - Economics, University of Glasgow.
- Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," MPRA Paper 63844, University Library of Munich, Germany.
- P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers 2015-71, Scottish Institute for Research in Economics (SIRE).
- 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.
- Anella Munro, 2014. "Exchange rates, expected returns and risk," Reserve Bank of New Zealand Discussion Paper Series DP2014/01, Reserve Bank of New Zealand.
- 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.
- Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2015.
"Co-Movement, Spillovers and Excess Returns in Global Bond Markets,"
SIRE Discussion Papers
2015-75, Scottish Institute for Research in Economics (SIRE).
- 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.
- Markus Pelger & Ruoxuan Xiong, 2018.
"State-Varying Factor Models of Large Dimensions,"
Papers
1807.02248, arXiv.org, revised Oct 2020.
- Markus Pelger & Ruoxuan Xiong, 2022. "State-Varying Factor Models of Large Dimensions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1315-1333, June.
- 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.
- Dreher, Ferdinand & Gräb, Johannes & Kostka, Thomas, 2018. "From carry trades to curvy trades," Working Paper Series 2149, European Central Bank.
- 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.
- James D. Hamilton & Jing Cynthia Wu, 2012. "Identification and Estimation of Gaussian Affine Term Structure Models," NBER Working Papers 17772, National Bureau of Economic Research, Inc.
- 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.
- James D. Hamilton & Jing Cynthia Wu, 2013. "Risk Premia in Crude Oil Futures Prices," NBER Working Papers 19056, National Bureau of Economic Research, Inc.
- James D. Hamilton & Jing Cynthia Wu, 2011.
"Testable Implications of Affine Term Structure Models,"
NBER Working Papers
16931, National Bureau of Economic Research, Inc.
- Hamilton, James D. & Wu, Jing Cynthia, 2014. "Testable implications of affine term structure models," Journal of Econometrics, Elsevier, vol. 178(P2), pages 231-242.
- 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.
- 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.
- Stefano Giglio & Bryan Kelly, 2016. "Excess Volatility: Beyond Discount Rates," NBER Working Papers 22045, National Bureau of Economic Research, Inc.
- 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.
- 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).
- Sihvonen, Markus, 2021. "Yield curve momentum," Bank of Finland Research Discussion Papers 15/2021, Bank of Finland.
- 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.
- 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.
- Anne Balter & Antoon Pelsser & Peter Schotman, 2013. "Extrapolating the term structure of interest rates with parameter uncertainty," Papers 1312.5073, arXiv.org.
- 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.
- 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.
- 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.
- Dewachter, Hans & Iania, Leonardo, 2012.
"An Extended Macro-Finance Model with Financial Factors,"
LIDAM Reprints LFIN
2012001, Université catholique de Louvain, Louvain Finance (LFIN).
- John H. Cochrane, 2009.
"Can Learnability Save New-Keynesian Models?,"
NBER Working Papers
15459, National Bureau of Economic Research, Inc.
- Cochrane, John H., 2009. "Can learnability save new-Keynesian models?," Journal of Monetary Economics, Elsevier, vol. 56(8), pages 1109-1113, November.
Cited by:
- Marco Airaudo & Salvatore Nisticò & Luis‐Felipe Zanna, 2015.
"Learning, Monetary Policy, and Asset Prices,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(7), pages 1273-1307, October.
- Airaudo, Marco & Nisticò, Salvatore & Zanna, Luis-Felipe, 2012. "Learning, Monetary Policy and Asset Prices," School of Economics Working Paper Series 2012-12, LeBow College of Business, Drexel University.
- Mr. Marco Airaudo & Salvatore Nisticò & Luis-Felipe Zanna, 2015. "Learning, Monetary Policy and Asset Prices," IMF Working Papers 2015/016, International Monetary Fund.
- Marco Airaudo & Salvatore Nisticò & Luis-Felipe Zanna, 2014. "Learning, Monetary Policy and Asset Prices," Working Papers 4/14, Sapienza University of Rome, DISS.
- Jean Barthélemy & Eric Mengus, 2017.
"Credibility and Monetary Policy,"
Working Papers
hal-03457527, HAL.
- Jean Barthélemy & Eric Mengus, 2017. "Credibility and Monetary Policy," SciencePo Working papers Main hal-03457527, HAL.
- Jean Barthélemy & Eric Mengus, 2017. "Credibility and Monetary Policy," Sciences Po publications 2017-01, Sciences Po.
- Jean Barthelemy & Eric Mengus, 2017. "Credibility and Monetary Policy," Working Papers hal-01970733, HAL.
- Roberto Piazza, 2016.
"Self-fulfilling deflations,"
Temi di discussione (Economic working papers)
1080, Bank of Italy, Economic Research and International Relations Area.
- Piazza, Roberto, 2016. "Self-fulfilling deflations," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 18-40.
- Minford, Patrick & Srinivasan, Naveen, 2011. "Ruling out unstable equilibria in New Keynesian models," Economics Letters, Elsevier, vol. 112(3), pages 247-249, September.
- 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.
- Christiano, Lawrence J. & Trabandt, Mathias & Walentin, Karl, 2010. "DSGE Models for Monetary Policy Analysis," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 7, pages 285-367, Elsevier.
- Lawrence J. Christiano & Mathias Trabandt & Karl Walentin, 2010. "DSGE Models for Monetary Policy Analysis," NBER Working Papers 16074, National Bureau of Economic Research, Inc.
- Mauersberger, Felix, 2021. "Monetary policy rules in a non-rational world: A macroeconomic experiment," Journal of Economic Theory, Elsevier, vol. 197(C).
- 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.
- William Barnett & Unal Eryilmaz, 2022. "Monetary Policy and Determinacy: An Inquiry in Open Economy New Keynesian Framework," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202203, University of Kansas, Department of Economics.
- Hiona Balfoussia & Sophocles N. Brissimis & Manthos D. Delis, 2011.
"The theoretical framework of monetary policy revisited,"
Working Papers
138, Bank of Greece.
- Balfoussia, Hiona & Brissimis, Sophocles & Delis, Manthos D, 2011. "The theoretical framework of monetary policy revisited," MPRA Paper 32236, University Library of Munich, Germany.
- 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.
- John Barrdear, 2015. "Towards a New Keynesian Theory of the Price Level," Discussion Papers 1509, Centre for Macroeconomics (CFM).
- Barrdear, John, 2015. "Towards a New Keynesian theory of the price level," Bank of England working papers 532, Bank of England.
- 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.
- Minford, Patrick & Srinivasan, Naveen, 2012. "Can the learnability criterion ensure determinacy in New Keynesian Models?," Cardiff Economics Working Papers E2012/16, Cardiff University, Cardiff Business School, Economics Section.
- Patrick Minford & Naveen Srinivasan, 2014. "Can the Learnability Criterion Ensure Determinacy in New Keynesian Models?," Working Papers 2014-087, Madras School of Economics,Chennai,India.
- Patrick Minford & Naveen Srinivasan, 2015. "Can the Learnability Criterion Ensure Determinacy in New Keynesian Models?," South Asian Journal of Macroeconomics and Public Finance, , vol. 4(1), pages 43-61, June.
- Evans, George W & McGough, Bruce, 2018. "Equilibrium selection, observability and backward-stable solutions," Journal of Monetary Economics, Elsevier, vol. 98(C), pages 1-10.
- Mengus, Eric & Barthelemy, Jean, 2017.
"Monetary Rules, Determinacy and Limited Enforcement,"
HEC Research Papers Series
1202, HEC Paris, revised 11 May 2019.
- Jean Barthélemy & Eric Mengus, 2017. "Credibility and Monetary Policy," Sciences Po publications 2017-01, Sciences Po.
- Jean Barthélemy & Eric Mengus, 2018. "Monetary Rules, Determinacy and Limited Enforcement," Working papers 700, Banque de France.
- 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.
- Pei Kuang, 2014. "Learning Dynamics with Data (Quasi-) Differencing," Discussion Papers 15-06, Department of Economics, University of Birmingham.
- Norman, Thomas W.L., 2020. "Market selection with an endogenous state," Journal of Mathematical Economics, Elsevier, vol. 91(C), pages 51-59.
- Bennett T. McCallum, 2012. "A Continuity Refinement for Rational Expectations Solutions," NBER Working Papers 18323, National Bureau of Economic Research, Inc.
- 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.
- Emanuel Gasteiger, 2014. "Heterogeneous Expectations, Optimal Monetary Policy, and the Merit of Policy Inertia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(7), pages 1535-1554, October.
- 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.
- Assenza, T. & Heemeijer, P. & Hommes, C.H. & Massaro, D., 2014. "Managing Self-organization of Expectations through Monetary Policy: a Macro Experiment," CeNDEF Working Papers 14-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Assenza, Tiziana & Heemeijer, P. & Hommes, C.H. & Massaro, D., 2018. "Managing Self-organization of Expectations through Monetary Policy: a Macro Experiment," TSE Working Papers 18-963, Toulouse School of Economics (TSE).
- Tiziana Assenza & P. Heemeijer & C.H. Hommes & D. Massaro, 2021. "Managing Self-organization of Expectations through Monetary Policy: a Macro Experiment," Post-Print hal-03176273, HAL.
- 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.
- Norman, Thomas W.L., 2015. "Learning, hypothesis testing, and rational-expectations equilibrium," Games and Economic Behavior, Elsevier, vol. 90(C), pages 93-105.
- Seitz, Franz & Schmidt, Markus A., 2014.
"Money in modern macro models: A review of the arguments,"
Weidener Diskussionspapiere
37, University of Applied Sciences Amberg-Weiden (OTH).
- 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.
- 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.
- Airaudo, Marco, 2013. "Monetary policy and stock price dynamics with limited asset market participation," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 1-22.
- Jan Filacek & Ivan Sutoris, 2019. "Inflation Targeting Flexibility: The CNB's Reaction Function under Scrutiny," Research and Policy Notes 2019/02, Czech National Bank.
- Suneetha M. S., 2014. "Perspectives on Valuation of Biodiversity," Working Papers 2014-088, Madras School of Economics,Chennai,India.
- Shesadri Banerjee, 2013. "Inflation Volatility and Activism of Monetary Policy," CEGAP Working Papers 2013_06, Durham University Business School.
- 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.
- Review, Blind, 2023. "The Cambridge capital controversies (CCC) as market and firm structure controversies: modern neoclassical interpretation," OSF Preprints xequg, Center for Open Science.
- Tom Holden, 2012. "Learning from learners," School of Economics Discussion Papers 1512, School of Economics, University of Surrey.
- McCallum, Bennett T., 2015. "Nominal GDP targeting: Policy rule or discretionary splurge?," Journal of Financial Stability, Elsevier, vol. 17(C), pages 76-80.
- John H. Cochrane, 2007.
"Determinacy and Identification with Taylor Rules,"
NBER Working Papers
13409, National Bureau of Economic Research, Inc.
- John H. Cochrane, 2011. "Determinacy and Identification with Taylor Rules," Journal of Political Economy, University of Chicago Press, vol. 119(3), pages 565-615.
- John H. Cochrane, 2007. "Determinacy and Identification with Taylor Rules," NBER Working Papers 13410, National Bureau of Economic Research, Inc.
Cited by:
- Piergallini, Alessandro, 2020.
"Is Fiscal Austerity Really Self-Defeating?,"
MPRA Paper
112071, University Library of Munich, Germany.
- Alessandro Piergallini, 2021. "Is fiscal austerity really self‐defeating?," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 23(6), pages 1228-1260, December.
- Canova, Fabio & Ferroni, Filippo & Matthes, Christian, 2013.
"Choosing the variables to estimate singular DSGE models,"
CEPR Discussion Papers
9381, C.E.P.R. Discussion Papers.
- Fabio Canova & Filippo Ferroni & Christian Matthes, 2014. "Choosing The Variables To Estimate Singular Dsge Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1099-1117, November.
- Canova, F. & Ferroni, F. & Matthes, C., 2013. "Choosing the variables to estimate singular DSGE models," Working papers 461, Banque de France.
- Reis, Ricardo, 2018.
"Central banks going long,"
LSE Research Online Documents on Economics
87618, London School of Economics and Political Science, LSE Library.
- Ricardo Reis, 2018. "Central Banks Going Long," CESifo Working Paper Series 6998, CESifo.
- Ricardo Reis, 2018. "Central Banks Going Long," Discussion Papers 1810, Centre for Macroeconomics (CFM).
- Ricardo Reis, 2019. "Central Banks Going Long," Central Banking, Analysis, and Economic Policies Book Series, in: Álvaro Aguirre & Markus Brunnermeier & Diego Saravia (ed.),Monetary Policy and Financial Stability: Transmission Mechanisms and Policy Implications, edition 1, volume 26, chapter 3, pages 043-081, Central Bank of Chile.
- Michael D. Bauer & Carolin E. Pflueger & Adi Sunderam, 2022.
"Perceptions about Monetary Policy,"
CESifo Working Paper Series
10182, CESifo.
- Bauer, Michael D. & Pflueger, Carolin E. & Sunderam, Adi, 2022. "Perceptions about monetary policy," IMFS Working Paper Series 176, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Bauer, Michael & Pflueger, Carolin & Sunderam, Adi, 2022. "Perceptions about Monetary Policy," CEPR Discussion Papers 17758, C.E.P.R. Discussion Papers.
- Bauer, Michael & Pflueger, Carolin & Sunderam, Adi, 2022. "Perceptions about Monetary Policy," CEPR Discussion Papers 17574, C.E.P.R. Discussion Papers.
- Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2023. "Perceptions about Monetary Policy," Working Paper Series 2023-31, Federal Reserve Bank of San Francisco.
- Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2022. "Perceptions about Monetary Policy," NBER Working Papers 30480, National Bureau of Economic Research, Inc.
- Arai, Natsuki, 2023.
"The FOMC’s new individual economic projections and macroeconomic theories,"
Journal of Banking & Finance, Elsevier, vol. 151(C).
- Natsuki Arai, 2020. "The FOMC’s New Individual Economic Projections and Macroeconomic Theories," Working Papers 2020-007, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Morris, Stephen D., 2020. "Is the Taylor principle still valid when rates are low?," Journal of Macroeconomics, Elsevier, vol. 64(C).
- Marco Airaudo & Salvatore Nisticò & Luis‐Felipe Zanna, 2015.
"Learning, Monetary Policy, and Asset Prices,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(7), pages 1273-1307, October.
- Airaudo, Marco & Nisticò, Salvatore & Zanna, Luis-Felipe, 2012. "Learning, Monetary Policy and Asset Prices," School of Economics Working Paper Series 2012-12, LeBow College of Business, Drexel University.
- Mr. Marco Airaudo & Salvatore Nisticò & Luis-Felipe Zanna, 2015. "Learning, Monetary Policy and Asset Prices," IMF Working Papers 2015/016, International Monetary Fund.
- Marco Airaudo & Salvatore Nisticò & Luis-Felipe Zanna, 2014. "Learning, Monetary Policy and Asset Prices," Working Papers 4/14, Sapienza University of Rome, DISS.
- 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.
- Luís Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares, 2016. "Estimating the Taylor Rule in the Time-Frequency Domain," CEF.UP Working Papers 1404, Universidade do Porto, Faculdade de Economia do Porto.
- Aguiar-Conraria, Luis & Martins, Manuel M.F. & Soares, Maria Joana, 2018. "Estimating the Taylor rule in the time-frequency domain," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 122-137.
- Jean-Bernard Chatelain & Kirsten Ralf, 2018.
"The Indeterminacy of Determinacy with Fiscal, Macro-prudential or Taylor Rules,"
Working Papers
halshs-01877766, HAL.
- Jean-Bernard Chatelain & Kirsten Ralf, 2018. "The Indeterminacy of Determinacy with Fiscal, Macro-prudential or Taylor Rules," PSE Working Papers halshs-01877766, HAL.
- 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.
- Bob Nobay & Ivan Paya & David A. Peel, 2007. "Inflation Dynamics in the US -A Nonlinear Perspective," FMG Discussion Papers dp601, Financial Markets Group.
- Christopher Gibbs, 2015.
"Forecast Combination, Non-linear Dynamics, and the Macroeconomy,"
Discussion Papers
2015-05, School of Economics, The University of New South Wales.
- Christopher G. Gibbs, 2017. "Forecast combination, non-linear dynamics, and the macroeconomy," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(3), pages 653-686, March.
- 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.
- David Backus & Mikhail Chernov & Stanley Zin, 2013. "Identifying Taylor Rules in Macro-finance Models," Working Papers 13-12, New York University, Leonard N. Stern School of Business, Department of Economics.
- Michael T. Kiley, 2014.
"Policy Paradoxes in the New Keynesian Model,"
Finance and Economics Discussion Series
2014-29, Board of Governors of the Federal Reserve System (U.S.).
- Michael Kiley, 2014. "Policy Paradoxes in the New-Keynesian Model," 2014 Meeting Papers 1065, Society for Economic Dynamics.
- Michael Kiley, 2016. "Policy Paradoxes in the New-Keynesian Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 21, pages 1-15, July.
- 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.
- Holden, Tom D., 2022.
"Existence and uniqueness of solutions to dynamic models with occasionally binding constraints,"
Discussion Papers
09/2022, Deutsche Bundesbank.
- Holden, Thomas, 2016. "Existence and uniqueness of solutions to dynamic models with occasionally binding constraints," EconStor Preprints 130142, ZBW - Leibniz Information Centre for Economics.
- 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.
- Holden, Tom D., 2019. "Existence and uniqueness of solutions to dynamic models with occasionally binding constraints," EconStor Preprints 144570, ZBW - Leibniz Information Centre for Economics, revised 2019.
- Marco Bassetto & Christopher Phelan, 2013.
"Speculative Runs on Interest Rate Pegs,"
NBER Working Papers
18864, National Bureau of Economic Research, Inc.
- Bassetto, Marco & Phelan, Christopher, 2015. "Speculative runs on interest rate pegs," Journal of Monetary Economics, Elsevier, vol. 73(C), pages 99-114.
- Dietmar Fehr & Frank Heinemann & Aniol Llorente-Saguer, 2013.
"The power of sunspots: an experimental analysis,"
Working Papers
13-2, Federal Reserve Bank of Boston.
- Heinemann, Frank & Llorente-Saguer, Aniol & Fehr, Dietmar, 2011. "The Power of Sunspots: An Experimental Analysis," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48724, Verein für Socialpolitik / German Economic Association.
- Dietmar Fehr & Frank Heinemann & Aniol Llorente-Saguer, 2011. "The Power of Sunspots: An Experimental Analysis," SFB 649 Discussion Papers SFB649DP2011-070, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Fehr, Dietmar & Heinemann, Frank & Llorente-Saguer, Aniol, 2017. "The Power of Sunspots: an Experimental Analysis," Rationality and Competition Discussion Paper Series 11, CRC TRR 190 Rationality and Competition.
- Dietmar Fehr & Frank Heinemann & Aniol Llorente-Saguer, 2011. "The Power of Sunspots: An Experimental Analysis," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2011_33, Max Planck Institute for Research on Collective Goods.
- Fehr, Dietmar & Heinemann, Frank & Llorente-Saguer, Aniol, 2019. "The power of sunspots: An experimental analysis," Journal of Monetary Economics, Elsevier, vol. 103(C), pages 123-136.
- 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.
- 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.
- Patrick Minford & Naveen Srinivasan, 2011. "Determinacy in New Keynesian Models: A Role for Money after All?," International Finance, Wiley Blackwell, vol. 14(2), pages 211-229, June.
- Minford, Patrick & Srinivasan, Naveen, 2009. "Determinacy in New Keynesian models: a role for money after all?," Cardiff Economics Working Papers E2009/21, Cardiff University, Cardiff Business School, Economics Section, revised Apr 2011.
- Khalaf, Lynda & Lin, Zhenjiang, 2021. "Projection-based inference with particle swarm optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
- Rousakis, Michael, 2012. "Expectations and Fluctuations: The Role of Monetary Policy," Economic Research Papers 270655, University of Warwick - Department of Economics.
- Bernd Funovits, 2014. "Implications of Stochastic Singularity in Linear Multivariate Rational Expectations Models," Vienna Economics Papers vie1405, University of Vienna, Department of Economics.
- Jean-Bernard Chatelain & Kirsten Ralf, 2022.
"Ramsey Optimal Policy in theNew-Keynesian Model with Public Debt,"
PSE-Ecole d'économie de Paris (Postprint)
halshs-03029890, HAL.
- Jean-Bernard Chatelain & Kirsten Ralf, 2019. "Ramsey Optimal Policy in the New-Keynesian Model with Public Debt," Working Papers halshs-02278781, HAL.
- Chatelain, Jean-Bernard & Ralf, Kirsten, 2020. "Ramsey Optimal Policy in the New-Keynesian Model with Public Debt," MPRA Paper 104536, University Library of Munich, Germany.
- Jean-Bernard Chatelain & Kirsten Ralf, 2022. "Ramsey Optimal Policy in theNew-Keynesian Model with Public Debt," Post-Print halshs-03029890, HAL.
- Jean-Bernard Chatelain & Kirsten Ralf, 2019. "Ramsey Optimal Policy in the New-Keynesian Model with Public Debt," PSE Working Papers halshs-02278781, HAL.
- 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.
- Bernard Dumas & Marcel R. Savioz, 2020.
"A theory of the nominal character of stock securities,"
Working Papers
2020-03, Swiss National Bank.
- Bernard Dumas & Marcel Savioz, 2020. "A Theory of the Nominal Character of Stock Securities," NBER Working Papers 28186, National Bureau of Economic Research, Inc.
- Dumas, Bernard & Savioz, Marcel René, 2020. "A Theory of the Nominal Character of Stock Securities," CEPR Discussion Papers 15507, C.E.P.R. Discussion Papers.
- Jean-Bernard Chatelain & Kirsten Ralf, 2019.
"Publish and Perish: Creative Destruction and Macroeconomic Theory,"
PSE Working Papers
halshs-01720655, HAL.
- Chatelain, Jean-Bernard & Ralf, Kirsten, 2018. "Publish and Perish: Creative Destruction and Macroeconomic Theory," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 46(2), pages 65-101.
- Jean-Bernard Chatelain & Kirsten Ralf, 2019. "Publish and Perish: Creative Destruction and Macroeconomic Theory," Papers 1908.10680, arXiv.org.
- Jean-Bernard Chatelain & Kirsten Ralf, 2019. "Publish and Perish: Creative Destruction and Macroeconomic Theory," Working Papers halshs-01720655, HAL.
- Jean-Bernard Chatelain & Kirsten Ralf, 2018. "Publish and Perish: Creative Destruction and Macroeconomic Theory," Post-Print hal-01465858, HAL.
- Chatelain, Jean-Bernard & Ralf, Kirsten, 2017. "Publish and Perish: Creative Destruction and Macroeconomic Theory," MPRA Paper 76825, University Library of Munich, Germany.
- Jean-Bernard Chatelain & Kirsten Ralf, 2018. "Publish and Perish: Creative Destruction and Macroeconomic Theory," PSE-Ecole d'économie de Paris (Postprint) hal-01465858, HAL.
- Chatelain, Jean-Bernard & Ralf, Kirsten, 2017. "Publish and Perish: Creative Destruction and Macroeconomic Theory," EconStor Preprints 149994, ZBW - Leibniz Information Centre for Economics.
- Hack, Lukas & Istrefi, Klodiana & Meier, Matthias, 2023.
"Identification of systematic monetary policy,"
Working Paper Series
2851, European Central Bank.
- Istrefi, Klodiana & Hack, Lukas & Meier, Matthias, 2023. "Identification of Systematic Monetary Policy," CEPR Discussion Papers 17999, C.E.P.R. Discussion Papers.
- Siddartha Chattopadhyay & Betty C. Daniel, 2018.
"Taylor-Rule Exit Policies for the Zero Lower Bound,"
International Journal of Central Banking, International Journal of Central Banking, vol. 14(5), pages 1-53, December.
- Chattopadhyay, Siddhartha & Daniel, Betty C., 2015. "Taylor-Rule Exit Policies for the Zero Lower Bound," MPRA Paper 66076, University Library of Munich, Germany.
- Taylor, John, 2018. "Taylor Rules and Forward Guidance: A Rule is not a Path," CEPR Discussion Papers 13383, C.E.P.R. Discussion Papers.
- Gaballo, Gaetano & Mengus, Eric, 2023.
"Myopic fiscal objectives and long-Run monetary efficiency,"
Journal of Monetary Economics, Elsevier, vol. 136(C), pages 1-17.
- Mengus, Eric & Gaballo, Gaetano, 2022. "Myopic Fiscal Objectives and Long-Run Monetary Efficiency," CEPR Discussion Papers 17360, C.E.P.R. Discussion Papers.
- John H. Cochrane, 2011.
"Determinacy and Identification with Taylor Rules,"
Journal of Political Economy, University of Chicago Press, vol. 119(3), pages 565-615.
- John H. Cochrane, 2007. "Determinacy and Identification with Taylor Rules," NBER Working Papers 13410, National Bureau of Economic Research, Inc.
- John H. Cochrane, 2007. "Determinacy and Identification with Taylor Rules," NBER Working Papers 13409, National Bureau of Economic Research, Inc.
- 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.
- Marco Bassetto & Wei Cui, 2017. "The Fiscal Theory of the Price Level in a World of Low Interest Rates," Discussion Papers 1731, Centre for Macroeconomics (CFM).
- Bassetto, Marco & Cui, Wei, 2017. "The fiscal theory of the price level in a world of low interest rates," LSE Research Online Documents on Economics 84951, London School of Economics and Political Science, LSE Library.
- Bassetto, Marco & Cui, Wei, 2018. "The fiscal theory of the price level in a world of low interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 89(C), pages 5-22.
- 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).
- Gregor Boehl & Philipp Lieberknecht, 2021. "The Hockey Stick Phillips Curve and the Zero Lower Bound," CRC TR 224 Discussion Paper Series crctr224_2021_266, University of Bonn and University of Mannheim, Germany.
- 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.
- 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.
- 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.
- Corsetti, Giancarlo & Dedola, Luca & Jarociński, Marek & Maćkowiak, Bartosz & Schmidt, Sebastian, 2016. "Macroeconomic stabilization, monetary-fiscal interactions, and Europe’s monetary union," Working Paper Series 1988, European Central Bank.
- Corsetti, Giancarlo & Dedola, Luca & Jarociński, Marek & Maćkowiak, Bartosz & Schmidt, Sebastian, 2019. "Macroeconomic stabilization, monetary-fiscal interactions, and Europe's monetary union," European Journal of Political Economy, Elsevier, vol. 57(C), pages 22-33.
- 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.
- Dongho Song, 2014. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," PIER Working Paper Archive 14-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Dongho Song, 2016. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," Boston College Working Papers in Economics 915, Boston College Department of Economics, revised 19 Jul 2016.
- 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.
- Corsetti, Giancarlo & Mavroeidi, Eleonora & Thwaites, Gregory & Wolf, Martin, 2017. "Step away from the zero lower bound: small open economies in a world of secular stagnation," Bank of England working papers 666, Bank of England.
- Corsetti, Giancarlo & Mavroeidi, Eleonora & Thwaites, Gregory & Wolf, Martin, 2017. "Step away from the zero lower bound: small open economies in a world of secular stagnation," CEPR Discussion Papers 12189, C.E.P.R. Discussion Papers.
- Giancarlo Corsetti & Eleonora Mavroeidi & Gregory Thwaites & Martin Wolf, 2017. "Step away from the zero lower bound: Small open economies in a world of secular stagnation," Discussion Papers 1722, Centre for Macroeconomics (CFM).
- Corsetti, Giancarlo & Mavroeidi, Eleonora & Thwaites, Gregory & Wolf, Martin, 2017. "Step away from the zero lower bound: Small open economies in a world of secular stagnation," LSE Research Online Documents on Economics 86153, London School of Economics and Political Science, LSE Library.
- Corsetti, Giancarlo & Mavroeidi, Eleonora & Thwaites, Gregory & Wolf, Martin, 2019. "Step away from the zero lower bound: Small open economies in a world of secular stagnation," Journal of International Economics, Elsevier, vol. 116(C), pages 88-102.
- Pablo Cuba-Borda & Sanjay R. Singh, 2022.
"Understanding Persistent ZLB: Theory and Assessment,"
Working Papers
346, University of California, Davis, Department of Economics.
- Pablo A. Cuba-Borda & Sanjay R. Singh, 2023. "Understanding Persistent ZLB: Theory and Assessment," Working Paper Series 2024-03, Federal Reserve Bank of San Francisco.
- 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.
- Jean-Bernard Chatelain & Kirsten Ralf, 2014.
"Stability and Identification with Optimal Macroprudential Policy Rules,"
Working Papers
hal-00978145, HAL.
- Jean-Bernard Chatelain & Kirsten Ralf, 2014. "Stability and Identification with Optimal Macroprudential Policy Rules," Post-Print halshs-01018490, HAL.
- Jean-Bernard Chatelain & Kirsten Ralf, 2014. "Stability and Identification with Optimal Macroprudential Policy Rules," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01018490, HAL.
- 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.
- Jean-Bernard Chatelain & Kirsten Ralf, 2014. "Stability and Identification with Optimal Macroprudential Policy Rules," Papers 1404.3347, arXiv.org.
- Chatelain, Jean-Bernard & Ralf, Kirsten, 2014. "Stability and Identification with Optimal Macroprudential Policy Rules," EconStor Preprints 95979, ZBW - Leibniz Information Centre for Economics.
- Jean-Bernard Chatelain & Kirsten Ralf, 2014. "Stability and Identification with Optimal Macroprudential Policy Rules," Documents de travail du Centre d'Economie de la Sorbonne 14034, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Chatelain, Jean-Bernard & Ralf, Kirsten, 2014. "Stability and Identification with Optimal Macroprudential Policy Rules," MPRA Paper 55282, University Library of Munich, Germany.
- John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014.
"Macroeconomic Drivers of Bond and Equity Risks,"
NBER Working Papers
20070, National Bureau of Economic Research, Inc.
- 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.
- John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2020. "Macroeconomic Drivers of Bond and Equity Risks," Journal of Political Economy, University of Chicago Press, vol. 128(8), pages 3148-3185.
- Stephen Morris, 2014. "The Statistical Implications of Common Identifying Restrictions for DSGE Models," 2014 Meeting Papers 738, Society for Economic Dynamics.
- Roberto Piazza, 2016.
"Self-fulfilling deflations,"
Temi di discussione (Economic working papers)
1080, Bank of Italy, Economic Research and International Relations Area.
- Piazza, Roberto, 2016. "Self-fulfilling deflations," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 18-40.
- 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.
- P. Herings, 2014.
"General equilibrium and the new neoclassical synthesis,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 57(3), pages 437-477, November.
- 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).
- Zhao, Junzhu, 2023. "Wealth in utility, the Taylor principle and determinacy," Journal of Macroeconomics, Elsevier, vol. 76(C).
- João Valle e Azevedo & João Ritto & Pedro Teles, 2022.
"The Neutrality Of Nominal Rates: How Long Is The Long Run?,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(4), pages 1745-1777, November.
- 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.
- Jean Barthélemy & Magali Marx, 2016.
"Solving Endogenous Regime Switching Models,"
Working Papers
hal-03393181, HAL.
- Barthélemy, Jean & Marx, Magali, 2017. "Solving endogenous regime switching models," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 1-25.
- Jean Barthélemy & Magali Marx, 2016. "Solving Endogenous Regime Switching Models," Sciences Po publications 2016-07, Sciences Po.
- Jean Barthélemy & Magali Marx, 2016. "Solving Endogenous Regime Switching Models," SciencePo Working papers Main hal-03393181, HAL.
- Jean Barthélemy & Magali Marx, 2017. "Solving Endogenous Regime Switching Models," Post-Print hal-03945922, HAL.
- Jean Barthélemy & Magali Marx, 2017. "Solving Endogenous Regime Switching Models," SciencePo Working papers Main hal-03945922, HAL.
- 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.
- Kocięcki, Andrzej & Kolasa, Marcin, 2023. "A solution to the global identification problem in DSGE models," Journal of Econometrics, Elsevier, vol. 236(2).
- Andrzej Kocięcki & Marcin Kolasa, 2023. "A solution to the global identification problem in DSGE models," KAE Working Papers 2023-083, Warsaw School of Economics, Collegium of Economic Analysis.
- 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.
- Terry Fitzgerald & Callum Jones & Mariano Kulish & Juan Pablo Nicolini, 2022. "Is There a Stable Relationship between Unemployment and Future Inflation?," Working Papers 159, Red Nacional de Investigadores en Economía (RedNIE).
- Minford, Patrick & Srinivasan, Naveen, 2011. "Ruling out unstable equilibria in New Keynesian models," Economics Letters, Elsevier, vol. 112(3), pages 247-249, September.
- 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.
- Barnett, William A. & Bella, Giovanni & Ghosh, Taniya & Mattana, Paolo & Venturi, Beatrice, 2019. "Shilnikov Chaos, Low Interest Rates, And New Keynesian Macroeconomics," Studies in Applied Economics 142, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
- Barnett, William A. & Bella, Giovanni & Ghosh, Taniya & Mattana, Paolo & Venturi, Beatrice, 2022. "Shilnikov chaos, low interest rates, and New Keynesian macroeconomics," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
- Barnett, William & Bella, Giobanni & Ghosh, Taniya & Mattana, Paolo & Venturi, Beatrice, 2020. "Shilnikov Chaos, Low Interest Rates, and New Keynesian Macroeconomics," MPRA Paper 98417, University Library of Munich, Germany.
- William A. Barnett & Giovanni Bella & Taniya Ghosh & Paolo Mattana & Beatrice Venturi, 2020. "Shilnikov chaos, low interest rates, and new Keynesian macroeconomics," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2020-006, Indira Gandhi Institute of Development Research, Mumbai, India.
- 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).
- 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.
- 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.
- Mauersberger, Felix, 2021. "Monetary policy rules in a non-rational world: A macroeconomic experiment," Journal of Economic Theory, Elsevier, vol. 197(C).
- 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.
- Del Negro, Marco & Sims, Christopher A., 2015. "When does a central bank׳s balance sheet require fiscal support?," Journal of Monetary Economics, Elsevier, vol. 73(C), pages 1-19.
- Christopher Sims & Marco Del Negro, 2014. "When does a central bank's balance sheet require fiscal support?," 2014 Meeting Papers 763, Society for Economic Dynamics.
- 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.
- Mariana García-Schmidt & Michael Woodford, 2016. "Are Low Interest Rates Deflationary? A Paradox of Perfect-Foresight Analysis," Working Papers Central Bank of Chile 797, Central Bank of Chile.
- Woodford, Michael & Garcia-Schmidt, Mariana, 2015. "Are Low Interest Rates Deflationary? A Paradox of Perfect-Foresight Analysis," CEPR Discussion Papers 10893, C.E.P.R. Discussion Papers.
- Mariana García-Schmidt & Michael Woodford, 2015. "Are Low Interest Rates Deflationary? A Paradox of Perfect-Foresight Analysis," NBER Working Papers 21614, National Bureau of Economic Research, Inc.
- Mariana García-Schmidt & Michael Woodford, 2019. "Are Low Interest Rates Deflationary? A Paradox of Perfect-Foresight Analysis," American Economic Review, American Economic Association, vol. 109(1), pages 86-120, January.
- Chatelain, Jean-Bernard & Ralf, Kirsten, 2017.
"Can we Identify the Fed's Preferences?,"
MPRA Paper
76831, University Library of Munich, Germany.
- Jean-Bernard Chatelain & Kirsten Ralf, 2017. "Can We Identify the Fed's Preferences?," PSE Working Papers halshs-01549908, HAL.
- Chatelain, Jean-Bernard & Ralf, Kirsten, 2017. "Can we Identify the Fed's Preferences?," EconStor Preprints 149993, ZBW - Leibniz Information Centre for Economics, revised 2017.
- Jean-Bernard Chatelain & Kirsten Ralf, 2017. "Can We Identify the Fed's Preferences?," Working Papers halshs-01549908, HAL.
- Cochrane, John H., 2017. "The new-Keynesian liquidity trap," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 47-63.
- O. Loisel, 2015.
"The Implementation of Stabilization Policy,"
Working papers
556, Banque de France.
- Olivier Loisel, 2016. "The Implementation of Stabilization Policy," 2016 Meeting Papers 16, Society for Economic Dynamics.
- Loisel, Olivier, 2021. "The implementation of stabilization policy," Theoretical Economics, Econometric Society, vol. 16(2), May.
- Olivier Loisel, 2013. "The Implementation of Stabilization Policy," Working Papers 2013-24, Center for Research in Economics and Statistics.
- 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.
- John Cochrane, 2021. "Code and data files for "The fiscal root of inflation"," Computer Codes 20-493, Review of Economic Dynamics.
- John H. Cochrane, 2019. "The Fiscal Roots of Inflation," NBER Working Papers 25811, National Bureau of Economic Research, Inc.
- John Cochrane, 2021. "Online Appendix to "The fiscal root of inflation"," Online Appendices 20-493, Review of Economic Dynamics.
- Reicher, Christopher Phillip, 2009. "Fiscal Taylor rules in the postwar United States," Kiel Working Papers 1509, Kiel Institute for the World Economy (IfW Kiel).
- de Haan, J. & Eijffinger, Sylvester, 2016.
"The Politics of Central Bank Independence,"
Other publications TiSEM
34d07610-3844-4cf9-baa5-9, Tilburg University, School of Economics and Management.
- de Haan, J. & Eijffinger, Sylvester, 2016. "The Politics of Central Bank Independence," Other publications TiSEM 54f2c3e3-46f2-4763-b1ac-b, Tilburg University, School of Economics and Management.
- de Haan, J. & Eijffinger, Sylvester, 2016. "The Politics of Central Bank Independence," Discussion Paper 2016-047, Tilburg University, Center for Economic Research.
- Patrick Fève & Julien Matheron & Jean-Guillaume Sahuc, 2010.
"Inflation Target Shocks and Monetary Policy Inertia in the Euro Area,"
Post-Print
hal-01612708, HAL.
- Patrick Fève & Julien Matheron & Jean-Guillaume Sahuc, 2010. "Inflation Target Shocks and Monetary Policy Inertia in the Euro Area," Economic Journal, Royal Economic Society, vol. 120(547), pages 1100-1124, September.
- Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2009. "Inflation Target Shocks and Monetary Policy Inertia in the Euro Area," TSE Working Papers 09-060, Toulouse School of Economics (TSE).
- 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.
- Fève,P. & Matheron,J. & Sahuc, J-G., 2009. "Inflation Target Shocks and Monetary Policy Inertia in the Euro Area," Working papers 243, Banque de France.
- 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.
- 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.
- Fernando M. Duarte, 2016. "How to escape a liquidity trap with interest rate rules," Staff Reports 776, Federal Reserve Bank of New York.
- 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.
- Pierpaolo Benigno, 2020.
"A Central Bank Theory of Price Level Determination,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 12(3), pages 258-283, July.
- Benigno, Pierpaolo, 2017. "A Central Bank Theory of Price Level Determination," CEPR Discussion Papers 11966, C.E.P.R. Discussion Papers.
- Marco Bassetto & Gherardo Gennaro Caracciolo, 2021. "Monetary/Fiscal Interactions with Forty Budget Constraints," Working Papers 788, Federal Reserve Bank of Minneapolis.
- 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.
- Ragna Alstadheim & Øistein Røisland, 2016. "When preferences for a stable interest rate become self-defeating," Working Paper 2016/8, Norges Bank.
- 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.
- David Backus & Mikhail Chernov & Stanley E. Zin & Irina Zviadadze, 2021. "Monetary Policy Risk: Rules vs. Discretion," NBER Working Papers 28983, National Bureau of Economic Research, Inc.
- Hippolyte d'Albis & Emmanuelle Augeraud-Véron & Hermen Jan Hupkes, 2014.
"Bounded interest rate feedback rules in continuous-time,"
Post-Print
hal-01015388, HAL.
- Hippolyte d'Albis & Emmanuelle Augeraud-Véron & Hermen Jan Hupkes, 2014. "Bounded interest rate feedback rules in continuous-time," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01015388, HAL.
- d'Albis, Hippolyte & Augeraud-Véron, Emmanuelle & Hupkes, Hermen Jan, 2013. "Bounded Interest Rate Feedback Rules in Continuous-Time," MPRA Paper 45424, University Library of Munich, Germany.
- d'Albis, Hippolyte & Augeraud-Véron, Emmanuelle & Hupkes, Hermen Jan, 2014. "Bounded interest rate feedback rules in continuous-time," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 227-236.
- Jordi Galí, 2018.
"The State of New Keynesian Economics: A Partial Assessment,"
NBER Working Papers
24845, National Bureau of Economic Research, Inc.
- Jordi Galí, 2018. "The State of New Keynesian Economics: A Partial Assessment," Journal of Economic Perspectives, American Economic Association, vol. 32(3), pages 87-112, Summer.
- GalÃ, Jordi, 2018. "The State of New Keynesian Economics: A Partial Assessment," CEPR Discussion Papers 13095, C.E.P.R. Discussion Papers.
- 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.
- Altug, Sumru & Çakmaklı, Cem, 2016. "Forecasting inflation using survey expectations and target inflation: Evidence for Brazil and Turkey," International Journal of Forecasting, Elsevier, vol. 32(1), pages 138-153.
- Bos, I. & Pot, E.A. & Peeters, R.J.A.P., 2010.
"Competition versus collusion: the impact of consumer inertia,"
Research Memorandum
024, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Bos, A.M. & Peeters, R.J.A.P. & Pot, E.A., 2012. "Competition versus collusion: the impact of consumer inertia," Research Memorandum 046, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- 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.
- 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.
- Jeffrey Campbell & Jacob Weber, 2021. "Discretion rather than rules: Equilibrium uniqueness and forward guidance with inconsistent optimal plans," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 243-254, July.
- 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.
- 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.
- Minford, Patrick & Ou, Zhirong & Wickens, Michael, 2012. "Revisiting the Great Moderation: policy or luck?," Cardiff Economics Working Papers E2012/9, Cardiff University, Cardiff Business School, Economics Section, revised Apr 2014.
- Böhl, Gregor & Lieberknecht, Philipp, 2021. "The hockey stick Phillips curve and the effective lower bound," Discussion Papers 55/2021, Deutsche Bundesbank.
- 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.
- S Borağan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2018. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(1), pages 87-118.
- S. Boragan Aruoba & Pablo A. Cuba-Borda & Frank Schorfheide, 2016. "Macroeconomic Dynamics Near the ZLB : A Tale of Two Countries," International Finance Discussion Papers 1163, Board of Governors of the Federal Reserve System (U.S.).
- S. Borağan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2013. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," NBER Working Papers 19248, National Bureau of Economic Research, Inc.
- Jean-Bernard, Chatelain & Kirsten, Ralf, 2017.
"Hopf Bifurcation from new-Keynesian Taylor rule to Ramsey Optimal Policy,"
MPRA Paper
79244, University Library of Munich, Germany.
- Jean-Bernard Chatelain & Kirsten Ralf, 2020. "Hopf Bifurcation from New-Keynesian Taylor Rule to Ramsey Optimal Policy," Working Papers halshs-01549929, HAL.
- Jean-Bernard Chatelain & Kirsten Ralf, 2020. "Hopf Bifurcation from New-Keynesian Taylor Rule to Ramsey Optimal Policy," PSE Working Papers halshs-01549929, HAL.
- 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.
- Chatelain, Jean-Bernard & Ralf, Kirsten, 2020. "Hopf Bifurcation from New-Keynesian Taylor Rule to Ramsey Optimal Policy," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue Forthcomi.
- Jean-Bernard Chatelain & Kirsten Ralf, 2021. "Hopf Bifurcation from new-Keynesian Taylor rule to Ramsey Optimal Policy," Post-Print hal-01527872, HAL.
- Jean-Bernard Chatelain & Kirsten Ralf, 2020. "Hopf Bifurcation from new-Keynesian Taylor rule to Ramsey Optimal Policy," Papers 2002.07479, arXiv.org.
- Jean-Bernard Chatelain & Kirsten Ralf, 2021. "Hopf Bifurcation from new-Keynesian Taylor rule to Ramsey Optimal Policy," PSE-Ecole d'économie de Paris (Postprint) hal-01527872, HAL.
- Chatelain, Jean-Bernard & Ralf, Kirsten, 2017. "Hopf Bifurcation from new-Keynesian Taylor rule to Ramsey Optimal Policy," EconStor Preprints 158001, ZBW - Leibniz Information Centre for Economics.
- Narayana R. Kocherlakota, 2017. "The L-Shaped Phillips Curve: Theoretical Justification and Empirical Implications," NBER Working Papers 24086, National Bureau of Economic Research, Inc.
- 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.
- John H. Cochrane, 2014.
"Monetary Policy with Interest on Reserves,"
NBER Working Papers
20613, National Bureau of Economic Research, Inc.
- Cochrane, John H., 2014. "Monetary policy with interest on reserves," Journal of Economic Dynamics and Control, Elsevier, vol. 49(C), pages 74-108.
- Mikhail Chernov & Ruslan Bikbov, 2009.
"Monetary Policy Regimes and the Term Structure of Interest Rates,"
2009 Meeting Papers
334, Society for Economic Dynamics.
- Bikbov, Ruslan & Chernov, Mikhail, 2013. "Monetary policy regimes and the term structure of interest rates," Journal of Econometrics, Elsevier, vol. 174(1), pages 27-43.
- Chernov, Mikhail & Bikbov, Ruslan, 2008. "Monetary Policy Regimes and the Term Structure of Interest Rates," CEPR Discussion Papers 7096, C.E.P.R. Discussion Papers.
- Chatelain, Jean-Bernard & Ralf Kirsten, 2016. "Countercyclical versus Procyclical Taylor Principles," EconStor Preprints 129796, ZBW - Leibniz Information Centre for Economics.
- 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.
- Ricardo Reis, 2017. "Comment on "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 246-260, National Bureau of Economic Research, Inc.
- Gliksberg, Baruch, "undated". "A Fixed-Point Theory of Price Level Determination in General Equilibrium," Working Papers WP2014/3, University of Haifa, Department of Economics.
- 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.
- 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.
- 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.
- Jean Barthélemy & Eric Mengus, 2017.
"Credibility and Monetary Policy,"
Sciences Po publications
2017-01, Sciences Po.
- Jean Barthélemy & Eric Mengus, 2017. "Credibility and Monetary Policy," SciencePo Working papers Main hal-03457527, HAL.
- Jean Barthélemy & Eric Mengus, 2018. "Monetary Rules, Determinacy and Limited Enforcement," Working papers 700, Banque de France.
- Jean Barthélemy & Eric Mengus, 2017. "Credibility and Monetary Policy," Working Papers hal-03457527, HAL.
- Jean Barthelemy & Eric Mengus, 2017. "Credibility and Monetary Policy," Working Papers hal-01970733, HAL.
- Mengus, Eric & Barthelemy, Jean, 2017. "Monetary Rules, Determinacy and Limited Enforcement," HEC Research Papers Series 1202, HEC Paris, revised 11 May 2019.
- Radwanski, Juliusz, 2020. "On the Purchasing Power of Money in an Exchange Economy," MPRA Paper 104244, University Library of Munich, Germany.
- 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).
- Homburg, Stefan, 2017.
"A Study in Monetary Macroeconomics,"
OUP Catalogue,
Oxford University Press, number 9780198807537.
- Stefan Homburg, 2017. "Programs for "A Study in Monetary Macroeconomics"," QM&RBC Codes 205, Quantitative Macroeconomics & Real Business Cycles.
- 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.
- Sophocles Mavroeidis & Mikkel Plagborg-Møller & James H. Stock, "undated". "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Working Paper 84656, Harvard University OpenScholar.
- Sophocles Mavroeidis & Mikkel Plagborg-Møller & James H. Stock, 2014. "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Journal of Economic Literature, American Economic Association, vol. 52(1), pages 124-188, March.
- Jesus Fernandez-Villaverde & Juan Rubio-RamÃrez & Frank Schorfheide, 2015.
"Solution and Estimation Methods for DSGE Models,"
PIER Working Paper Archive
15-042, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2015.
- Jesús Fernández-Villaverde & Juan F. Rubio Ramírez & Frank Schorfheide, 2016. "Solution and Estimation Methods for DSGE Models," NBER Working Papers 21862, National Bureau of Economic Research, Inc.
- Rubio-RamÃrez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
- Fernández-Villaverde, J. & Rubio-RamÃrez, 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.
- Efrem Castelnuovo & Salvatore Nisticò, 2010.
"Stock Market Conditions and Monetary Policy in a DSGE Model for the U.S,"
"Marco Fanno" Working Papers
0107, Dipartimento di Scienze Economiche "Marco Fanno".
- Efrem Castelnuovo & Salvatore Nisticò, 2010. "Stock market conditions and monetary policy in a DSGE model for the U.S," Post-Print hal-00732674, HAL.
- 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.
- Castelnuovo, Efrem & Nisticò, Salvatore, 2010. "Stock market conditions and monetary policy in a DSGE model for the U.S," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1700-1731, September.
- 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.
- 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.
- Goyal, Ashima & Tripathi, Shruti, 2014. "Stability and Transitions in Emerging Market Policy Rules," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 49(2), pages 153-172.
- Ashima Goyal, 2015. "Stability and Transitions in Emerging Market Policy Rules," Working Papers id:6577, eSocialSciences.
- 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.
- Robert King & Yang Lu & Ernesto Pastén, 2014. "Policy Design with Private Sector Skepticism in the Textbook New Keynesian Model," Working Papers Central Bank of Chile 717, Central Bank of Chile.
- 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.
- 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.
- Minford, Patrick & Srinivasan, Naveen, 2012. "Can the learnability criterion ensure determinacy in New Keynesian Models?," Cardiff Economics Working Papers E2012/16, Cardiff University, Cardiff Business School, Economics Section.
- Patrick Minford & Naveen Srinivasan, 2014. "Can the Learnability Criterion Ensure Determinacy in New Keynesian Models?," Working Papers 2014-087, Madras School of Economics,Chennai,India.
- Patrick Minford & Naveen Srinivasan, 2015. "Can the Learnability Criterion Ensure Determinacy in New Keynesian Models?," South Asian Journal of Macroeconomics and Public Finance, , vol. 4(1), pages 43-61, June.
- Evans, George W & McGough, Bruce, 2018. "Equilibrium selection, observability and backward-stable solutions," Journal of Monetary Economics, Elsevier, vol. 98(C), pages 1-10.
- 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.
- Peter Rupert & Roman Sustek, 2016.
"On the Mechanics of New Keynesian Models,"
Discussion Papers
1608, Centre for Macroeconomics (CFM), revised Mar 2016.
- Roman Sustek & Peter Rupert, 2016. "On the Mechanics of New-Keynesian Models," 2016 Meeting Papers 201, Society for Economic Dynamics.
- Peter Rupert & Roman Šustek, 2016. "On the Mechanics of New-Keynesian Models," Working Papers 784, Queen Mary University of London, School of Economics and Finance.
- Rupert, Peter & Šustek, Roman, 2019. "On the mechanics of New-Keynesian models," Journal of Monetary Economics, Elsevier, vol. 102(C), pages 53-69.
- Rupert, Peter & Šustek, Roman, 2016. "On the mechanics of New-Keynesian models," LSE Research Online Documents on Economics 86239, London School of Economics and Political Science, LSE Library.
- Kim, Minseong, 2021. "On global determinacy of New Keynesian models," OSF Preprints ygd9x, Center for Open Science.
- Jean-Bernard Chatelain & Kirsten Ralf, 2020.
"Ramsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary Interactions,"
PSE Working Papers
halshs-02278791, HAL.
- Jean-Bernard Chatelain & Kirsten Ralf, 2020. "Ramsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary Interactions," Working Papers halshs-02278791, HAL.
- Jean-Bernard Chatelain & Kirsten Ralf, 2020. "Ramsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary Interactions," Post-Print hal-02471593, HAL.
- Jean-Bernard Chatelain & Kirsten Ralf, 2020. "Ramsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary Interactions," PSE-Ecole d'économie de Paris (Postprint) hal-02471593, HAL.
- Jean-Bernard Chatelain & Kirsten Ralf, 2020. "Ramsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary Interactions," Economics Bulletin, AccessEcon, vol. 40(1), pages 140-147.
- 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.
- Chatelain, Jean-Bernard & Ralf, Kirsten, 2020. "Ramsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary Interactions," MPRA Paper 98554, University Library of Munich, Germany.
- Jean-Bernard Chatelain & Kirsten Ralf, 2020. "Ramsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary Interactions," Papers 2002.04508, arXiv.org.
- 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.
- Paulo Brito & Giancarlo Marini & Alessandro Piergallini, 2012. "House Prices and Monetary Policy," CEIS Research Paper 250, Tor Vergata University, CEIS, revised 01 Aug 2012.
- Brito, Paulo & Marini, Giancarlo & Piergallini, Alessandro, 2016. "House Prices and Monetary Policy," MPRA Paper 89577, University Library of Munich, Germany.
- 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.
- Gilles Dufrénot & Anwar Khayat, 2014. "Monetary Policy Switching in the Euro Area and Multiple Equilibria: An Empirical Investigation," Working Papers halshs-00973504, HAL.
- Giovanni P. Olivei & Silvana Tenreyro, 2010.
"Wage setting patterns and monetary policy: international evidence,"
Working Papers
10-8, Federal Reserve Bank of Boston.
- Giovanni Olivei & Silvana Tenreyro, 2008. "Wage Setting Patterns and Monetary Policy: International Evidence," CEP Discussion Papers dp0872, Centre for Economic Performance, LSE.
- Olivei, Giovanni & Tenreyro, Silvana, 2010. "Wage-setting patterns and monetary policy: International evidence," Journal of Monetary Economics, Elsevier, vol. 57(7), pages 785-802, October.
- Olivei, Giovanni & Tenreyro, Silvana, 2008. "Wage setting patterns and monetary policy: international evidence," LSE Research Online Documents on Economics 19572, London School of Economics and Political Science, LSE Library.
- Marco Bassetto, 2019.
"Forward guidance: communication, commitment, or both?,"
IFS Working Papers
W19/20, Institute for Fiscal Studies.
- Marco Bassetto, 2019. "Forward Guidance: Communication, Commitment, or Both?," Working Paper Series WP-2019-5, Federal Reserve Bank of Chicago.
- Marco Bassetto, 2015. "Forward Guidance: Communication, Commitment, or Both?," 2015 Meeting Papers 216, Society for Economic Dynamics.
- Bassetto, Marco, 2019. "Forward guidance: Communication, commitment, or both?," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 69-86.
- 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.
- Minford, Patrick & Ou, Zhirong, 2013. "Taylor Rule or optimal timeless policy? Reconsidering the Fed's behavior since 1982," Economic Modelling, Elsevier, vol. 32(C), pages 113-123.
- 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.
- Morrisy, Stephen D., 2017. "Efficient estimation of macroeconomic equations with unobservable states," Economic Modelling, Elsevier, vol. 60(C), pages 408-423.
- Kocherlakota, N., 2012. "Central bank independence and sovereign default," Financial Stability Review, Banque de France, issue 16, pages 151-154, April.
- 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.
- 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.
- 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.
- Richter Alexander W. & Throckmorton Nathaniel A., 2015. "The zero lower bound: frequency, duration, and numerical convergence," The B.E. Journal of Macroeconomics, De Gruyter, vol. 15(1), pages 1-26, January.
- Alexander W. Richter & Nathaniel A. Throckmorton, 2014. "The Zero Lower Bound: Frequency, Duration, and Numerical Convergence," Auburn Economics Working Paper Series auwp2014-09, Department of Economics, Auburn University.
- 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.
- 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.
- Barnett, William A. & Hu, Jingxian, 2019. "Capital Control, Exchange Rate Regime, And Monetary Policy: Indeterminacy And Bifurcation," Studies in Applied Economics 139, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
- William, Barnett & Hu, Jingxian, 2017. "Capital Control, Exchange Rate Regime, and Monetary Policy: Indeterminacy and Bifurcation," MPRA Paper 81450, University Library of Munich, Germany.
- 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.
- Franklin Allen & Gadi Barlevy & Douglas Gale, 2022. "Asset Price Booms and Macroeconomic Policy: A Risk-Shifting Approach," American Economic Journal: Macroeconomics, American Economic Association, vol. 14(2), pages 243-280, April.
- Ravn, Morten & Mertens, Karel, 2010.
"Fiscal Policy in an Expectations Driven Liquidity Trap,"
CEPR Discussion Papers
7931, C.E.P.R. Discussion Papers.
- Karel R. S. M. Mertens & Morten O. Ravn, 2014. "Fiscal Policy in an Expectations-Driven Liquidity Trap," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 81(4), pages 1637-1667.
- Mahir Binici & Yin-Wong Cheung, 2011.
"Exchange Rate Dynamics under Alternative Optimal Interest Rate Rules,"
CESifo Working Paper Series
3577, CESifo.
- Mahir Binici & Yin-Wong Cheung, 2011. "Exchange Rate Dynamics Under Alternative Optimal Interest Rate Rules," Working Papers 362011, Hong Kong Institute for Monetary Research.
- 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.
- Hippolyte d'Albis & Emmanuelle Augeraud-Véron & Hermen Jan Hupkes, 2014. "Bounded interest rate feedback rules in continuous-time," PSE - Labex "OSE-Ouvrir la Science Economique" hal-01015388, HAL.
- Hallett, Andrew Hughes & Acocella, Nicola, 2019. "Forward guidance reassessed: Stabilizability under endogenous policy rules," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 325-335.
- Behzad Diba & Olivier Loisel, 2023.
"Online Appendix to "Revisiting Speculative Hyperinflations in Monetary Models: A Rejoinder","
Online Appendices
23-182, Review of Economic Dynamics.
- 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.
- Morris, Stephen D., 2017. "DSGE pileups," Journal of Economic Dynamics and Control, Elsevier, vol. 74(C), pages 56-86.
- Jeffrey R. Campbell, 2014.
"Quantitative Easing in Joseph's Egypt with Keynesian Producers,"
Working Paper Series
WP-2014-15, Federal Reserve Bank of Chicago.
- Jeffrey Campbell, 2017. "Quantitative Easing in Joseph's Egypt with Keynesian Producers," 2017 Meeting Papers 1165, Society for Economic Dynamics.
- Gasteiger, Emanuel, 2018.
"Do Heterogeneous Expectations Constitute A Challenge For Policy Interaction?,"
Macroeconomic Dynamics, Cambridge University Press, vol. 22(8), pages 2107-2140, December.
- Gasteiger, Emanuel, 2016. "Do heterogeneous expectations constitute a challenge for policy interaction?," Discussion Papers 2016/14, Free University Berlin, School of Business & Economics.
- Emanuel Gasteiger, 2013. "Do heterogeneous expectations constitute a challenge for policy interaction?," Working Papers Series 2 13-02, ISCTE-IUL, Business Research Unit (BRU-IUL).
- Emanuel Gasteiger, 2015. "Do heterogeneous expectations constitute a challenge for policy interaction?," NBP Working Papers 214, Narodowy Bank Polski.
- Andrew Atkeson & V. V. Chari & Patrick J. Kehoe, 2009.
"Sophisticated monetary policies,"
Staff Report
419, Federal Reserve Bank of Minneapolis.
- Andrew Atkeson & Varadarajan V. Chari & Patrick J. Kehoe, 2010. "Sophisticated Monetary Policies," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 125(1), pages 47-89.
- Andrew Atkeson & V. V. Chari & Patrick J. Kehoe, 2008. "Sophisticated monetary policies," Working Papers 659, Federal Reserve Bank of Minneapolis.
- Andrew Atkeson & V. V. Chari & Patrick Kehoe, 2009. "Sophisticated Monetary Policies," NBER Working Papers 14883, National Bureau of Economic Research, Inc.
- Massaro, D., 2012. "Regime shifts: early warnings," CeNDEF Working Papers 12-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- 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.
- Zhongjun Qu, 2015.
"A Composite Likelihood Framework for Analyzing Singular DSGE Models,"
Boston University - Department of Economics - Working Papers Series
wp2015-002, Boston University - Department of Economics.
- 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.
- Norman, Thomas W.L., 2020. "Market selection with an endogenous state," Journal of Mathematical Economics, Elsevier, vol. 91(C), pages 51-59.
- Guido Ascari & Paolo Bonomolo Hedibert F. Lopes, 2016. "Rational Sunspots," Economics Series Working Papers 787, University of Oxford, Department of Economics.
- Manuel Arellano & Lars P. Hansen & Enrique Sentana, 2000.
"Underidentification?,"
Econometric Society World Congress 2000 Contributed Papers
1824, Econometric Society.
- Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification?," CeMMAP working papers CWP24/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Arellano, Manuel & Hansen, Lars Peter & Sentana, Enrique, 2012. "Underidentification?," Journal of Econometrics, Elsevier, vol. 170(2), pages 256-280.
- John H. Cochrane, 2009.
"Can Learnability Save New-Keynesian Models?,"
NBER Working Papers
15459, National Bureau of Economic Research, Inc.
- Cochrane, John H., 2009. "Can learnability save new-Keynesian models?," Journal of Monetary Economics, Elsevier, vol. 56(8), pages 1109-1113, November.
- Bennett T. McCallum, 2012. "A Continuity Refinement for Rational Expectations Solutions," NBER Working Papers 18323, National Bureau of Economic Research, Inc.
- 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).
- 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.
- Bennett T. McCallum & Edward Nelson, 2010. "Money and inflation: some critical issues," Finance and Economics Discussion Series 2010-57, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- William Barnett & Giovanni Bella & Taniya Ghosh & Paolo Mattana & Beatrice Venturi, 2022.
"Controlling Chaos in New Keynesian Macroeconomics,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
202202, University of Kansas, Department of Economics.
- 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.
- Barnett, William A. & Bella, Giovanni & Ghosh, Taniya & Mattana, Paolo & Venturi, Beatrice, 2022. "Controlling Chaos in New Keynesian Macroeconomics," MPRA Paper 111568, University Library of Munich, Germany.
- Bennett T. McCallum, 2008.
"Inflation Determination with Taylor Rules: Is New Keynesian Analysis Critically Flawed?,"
NBER Working Papers
14534, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- Olaf Posch, 2018.
"Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor Rule,"
CESifo Working Paper Series
6925, CESifo.
- Posch, Olaf, 2018. "Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor rule," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181616, Verein für Socialpolitik / German Economic Association.
- George-Marios Angeletos & Chen Lian, 2021. "Determinacy without the Taylor Principle," NBER Working Papers 28881, National Bureau of Economic Research, Inc.
- 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.
- Emanuel Gasteiger, 2014. "Heterogeneous Expectations, Optimal Monetary Policy, and the Merit of Policy Inertia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(7), pages 1535-1554, October.
- Nymoen, Ragnar & Rygh Swensen, Anders & Tveter, Eivind, 2011.
"Interpreting the evidence for New Keynesian models of inflation dynamics,"
Memorandum
23/2011, Oslo University, Department of Economics.
- 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.
- 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.
- Assenza, T. & Heemeijer, P. & Hommes, C.H. & Massaro, D., 2014. "Managing Self-organization of Expectations through Monetary Policy: a Macro Experiment," CeNDEF Working Papers 14-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Assenza, Tiziana & Heemeijer, P. & Hommes, C.H. & Massaro, D., 2018. "Managing Self-organization of Expectations through Monetary Policy: a Macro Experiment," TSE Working Papers 18-963, Toulouse School of Economics (TSE).
- Tiziana Assenza & P. Heemeijer & C.H. Hommes & D. Massaro, 2021. "Managing Self-organization of Expectations through Monetary Policy: a Macro Experiment," Post-Print hal-03176273, HAL.
- 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.
- Chattopadhyay, Siddhartha, 2019. "The Neo-Fisherianism to Escape Zero Lower Bound," MPRA Paper 92669, University Library of Munich, Germany.
- Holden, Tom D., 2023.
"Robust Real Rate Rules,"
EconStor Preprints
279481, ZBW - Leibniz Information Centre for Economics.
- Holden, Tom D., 2022. "Robust real rate rules," Discussion Papers 42/2022, Deutsche Bundesbank.
- 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.
- Magill, Michael & Quinzii, Martine, 2014. "Anchoring expectations of inflation," Journal of Mathematical Economics, Elsevier, vol. 50(C), pages 86-105.
- 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).
- Cochrane, John H., 2018. "Stepping on a rake: The fiscal theory of monetary policy," European Economic Review, Elsevier, vol. 101(C), pages 354-375.
- Gáti, Laura, 2023.
"Monetary policy & anchored expectations—An endogenous gain learning model,"
Journal of Monetary Economics, Elsevier, vol. 140(S), pages 37-47.
- Gáti, Laura, 2022. "Monetary policy & anchored expectations: an endogenous gain learning model," Working Paper Series 2685, European Central Bank.
- Dunbar, Kwamie & Owusu-Amoako, Johnson, 2021. "The impact of hedging on risk-averse agents’ output decisions," Economic Modelling, Elsevier, vol. 104(C).
- 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.
- Sokolova, Anna, 2015. "Fiscal limits and monetary policy: default vs. inflation," Economic Modelling, Elsevier, vol. 48(C), pages 189-198.
- 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.
- Piergallini, Alessandro, 2017.
"Fiscal policy and liquidity traps with heterogeneous agents,"
Economics Letters, Elsevier, vol. 157(C), pages 103-106.
- Piergallini, Alessandro, 2017. "Fiscal Policy and Liquidity Traps with Heterogeneous Agents," MPRA Paper 88798, University Library of Munich, Germany.
- 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.
- Pier dup Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2015. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Finance and Economics Discussion Series 2015-64, Board of Governors of the Federal Reserve System (U.S.).
- Eric M. Leeper, 2016. "Should Central Banks Care About Fiscal Rules?," NBER Working Papers 22800, National Bureau of Economic Research, Inc.
- 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.
- Daniel O. Beltran & David Draper, 2016. "Estimating Dynamic Macroeconomic Models : How Informative Are the Data?," International Finance Discussion Papers 1175, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- Roman Sustek, 2021. "Yield curve and the business cycle in conventional times," Discussion Papers 2122, Centre for Macroeconomics (CFM).
- Pierlauro Lopez, 2018.
"A New Keynesian Q Theory and the Link Between Inflation and the Stock Market,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 29, pages 85-105, July.
- Pierlauro Lopez, 2017. "Code and data files for "A New Keynesian Q Theory and the Link Between Inflation and the Stock Market"," Computer Codes 16-134, Review of Economic Dynamics.
- 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.
- Schmidt, Sebastian, 2015.
"Lack of confidence, the zero lower bound, and the virtue of fiscal rules,"
Working Paper Series
1795, European Central Bank.
- Schmidt, Sebastian, 2016. "Lack of confidence, the zero lower bound, and the virtue of fiscal rules," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 36-53.
- Neuenkirch, Matthias, 2014.
"Are public preferences reflected in monetary policy reaction functions?,"
Journal of Macroeconomics, Elsevier, vol. 40(C), pages 60-68.
- Matthias Neuenkirch, 2013. "Are Public Preferences Reflected in Monetary Policy Reaction Functions?," MAGKS Papers on Economics 201321, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Gasteiger, Emanuel, 2011. "Heterogeneous expectations, Taylor rules and the merit of monetary policy inertia," MPRA Paper 31004, University Library of Munich, Germany.
- 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.
- Jeffrey R. Campbell & Jacob P. Weber, 2018. "Open Mouth Operations," Working Paper Series WP-2018-3, Federal Reserve Bank of Chicago.
- 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.
- Davies, Ceri & Gillman, Max & Kejak, Michal, 2012. "Deriving the Taylor Principle when the Central Bank Supplies Money," Cardiff Economics Working Papers E2012/20, Cardiff University, Cardiff Business School, Economics Section.
- Ceri Davies & Max Gillman & Michal Kejak, 2012. "Deriving the Taylor Principle when the Central Bank Supplies Money," CERS-IE WORKING PAPERS 1225, Institute of Economics, Centre for Economic and Regional Studies.
- Chattopadhyay, Siddhartha & Daniel, Betty C., 2014. "The Inflation Target at the Zero Lower Bound," MPRA Paper 66096, University Library of Munich, Germany.
- Teryoshin, Yevgeniy, 2023. "Historical performance of rule-like monetary policy," Journal of International Money and Finance, Elsevier, vol. 130(C).
- Ireland, Peter N., 2015.
"Monetary policy, bond risk premia, and the economy,"
Journal of Monetary Economics, Elsevier, vol. 76(C), pages 124-140.
- Peter N. Ireland, 2015. "Monetary Policy, Bond Risk Premia, and the Economy," NBER Working Papers 21576, National Bureau of Economic Research, Inc.
- Peter N. Ireland, 2014. "Monetary Policy, Bond Risk Premia, and the Economy," Boston College Working Papers in Economics 852, Boston College Department of Economics.
- 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.
- 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.
- Sokolova, A., 2014. "Sovereign Risk and Monetary Policy," Journal of the New Economic Association, New Economic Association, vol. 21(1), pages 56-82.
- Bennett T. Mccallum, 2011.
"Causality, Structure And The Uniqueness Of Rational Expectations Equilibria,"
Manchester School, University of Manchester, vol. 79(s1), pages 551-566, June.
- Bennett T. McCallum, 2009. "Causality, Structure, and the Uniqueness of Rational Expectations Equilibria," NBER Working Papers 15234, National Bureau of Economic Research, Inc.
- 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.
- Gliksberg, Baruch, 2016. "Equilibria under monetary and fiscal policy interactions in a portfolio choice model," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 209-228.
- 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.
- Ragna Alstadheim, 2010.
"The zero lower bound on the interest rate and a Neo-Classical Phillips curve,"
Working Paper
2010/13, Norges Bank.
- Alstadheim, Ragna, 2016. "The zero lower bound on the interest rate and a Neoclassical Phillips curve," Journal of Macroeconomics, Elsevier, vol. 47(PA), pages 116-130.
- 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.
- 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.
- Alejandro Justiniano & Bruce Preston, 2009. "Monetary policy and uncertainty in an empirical small open economy model," Working Paper Series WP-09-21, Federal Reserve Bank of Chicago.
- 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, January.
- Narayana R. Kocherlakota, 2020. "21st Century Macro," NBER Working Papers 26791, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Seitz, Franz & Schmidt, Markus A., 2014.
"Money in modern macro models: A review of the arguments,"
Weidener Diskussionspapiere
37, University of Applied Sciences Amberg-Weiden (OTH).
- 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.
- 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.
- 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.
- Eunji Kim & Yoonhee Ha & Sangheon Kim, 2017. "Public Debt, Corruption and Sustainable Economic Growth," Sustainability, MDPI, vol. 9(3), pages 1-30, March.
- 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.
- 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.
- John Cochrane, 2021.
"Online Appendix to "A fiscal theory of monetary policy with partially repaid long-term debt","
Online Appendices
20-44, Review of Economic Dynamics.
- 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.
- Zhang, Bo & Dai, Wei, 2020. "Trend inflation and macroeconomic stability in a small open economy," Economic Modelling, Elsevier, vol. 91(C), pages 769-778.
- Maurice Obstfeld & Kenneth Rogoff, 2021.
"Revisiting speculative hyperinflations in monetary models,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 1-11, April.
- Obstfeld, Maurice & Rogoff, Kenneth, 2017. "Revisiting Speculative Hyperinflations in Monetary Models," CEPR Discussion Papers 12051, C.E.P.R. Discussion Papers.
- 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.
- Christina Anderl & Guglielmo Maria Caporale, 2024.
"Time-varying parameters in monetary policy rules: a GMM approach,"
Journal of Economic Studies, Emerald Group Publishing Limited, vol. 51(9), pages 148-176, January.
- Christina Anderl & Guglielmo Maria Caporale, 2023. "Time-Varying Parameters in Monetary Policy Rules: A GMM Approach," CESifo Working Paper Series 10451, CESifo.
- 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.
- Paolo Bonomolo & Guido Ascari, 2012. "Does Inflation Walk on Unstable Paths? Rational Sunspots and Drifting Parameters," 2012 Meeting Papers 743, Society for Economic Dynamics.
- 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.
- Mazali, Antonio Alberto & Divino, Jose Angelo, 2010.
"Real Wage Rigidity and the New Phillips Curve: The Brazilian Case,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 64(3), September.
- 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].
- Airaudo, Marco, 2013. "Monetary policy and stock price dynamics with limited asset market participation," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 1-22.
- Michael B. Devereux & Gregor W. Smith, 2018.
"Commodity Currencies and Monetary Policy,"
NBER Working Papers
25076, National Bureau of Economic Research, Inc.
- Michael B. Devereux & Gregor W. Smith, 2018. "Commodity Currencies And Monetary Policy," Working Paper 1408, Economics Department, Queen's University.
- 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.
- 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.
- Joshua R. Hendrickson, 2017. "Jürg Niehans and the Cashless Economy," The American Economist, Sage Publications, vol. 62(2), pages 149-164, October.
- Florin O. Bilbiie, 2022.
"Neo-Fisherian Policies and Liquidity Traps,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 14(4), pages 378-403, October.
- Bilbiie, Florin, 2018. "Neo-Fisherian Policies and Liquidity Traps," CEPR Discussion Papers 13334, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Jan Filacek & Ivan Sutoris, 2019. "Inflation Targeting Flexibility: The CNB's Reaction Function under Scrutiny," Research and Policy Notes 2019/02, Czech National Bank.
- 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.
- 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.
- 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).
- 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.
- John H. Cochrane, 2013. "The New-Keynesian Liquidity Trap," NBER Working Papers 19476, National Bureau of Economic Research, Inc.
- Athanasios Geromichalos & Lucas Herrenbrueck, 2017. "The Liquidity-Augmented Model of Macroeconomic Aggregates," Discussion Papers dp17-16, Department of Economics, Simon Fraser University.
- 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.
- Nückles, Marc, 2020. "Interest rate policy and interbank market breakdown," Economic Modelling, Elsevier, vol. 91(C), pages 779-789.
- Carvalho, Carlos & Nechio, Fernanda & Tristão, Tiago, 2021.
"Taylor rule estimation by OLS,"
Journal of Monetary Economics, Elsevier, vol. 124(C), pages 140-154.
- Carlos Carvalho & Fernanda Nechio & Tiago Tristao, 2021. "Taylor Rule Estimation by OLS," Working Paper Series 2018-11, Federal Reserve Bank of San Francisco.
- 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.
- 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.
- 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.
- Massaro, Domenico, 2013. "Heterogeneous expectations in monetary DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 680-692.
- Gerke, Rafael & Hauzenberger, Klemens, 2017. "The Fisher paradox: A primer," Discussion Papers 20/2017, Deutsche Bundesbank.
- 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.
- 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.
- Eric M. Leeper, 2009. "Anchors Away: How Fiscal Policy Can Undermine the Taylor Principle," NBER Working Papers 15514, National Bureau of Economic Research, Inc.
- Shesadri Banerjee, 2013. "Inflation Volatility and Activism of Monetary Policy," CEGAP Working Papers 2013_06, Durham University Business School.
- 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.
- Benigno, Pierpaolo, 2016. "Designing Central Banks for Inflation Stability," CEPR Discussion Papers 11402, C.E.P.R. Discussion Papers.
- 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.
- 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.
- 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.
- 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.
- Review, Blind, 2023. "The Cambridge capital controversies (CCC) as market and firm structure controversies: modern neoclassical interpretation," OSF Preprints xequg, Center for Open Science.
- Blake, Andrew P., 2012. "Determining optimal monetary speed limits," Economics Letters, Elsevier, vol. 116(2), pages 269-271.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
Cited by:
- Martin Lettau & Stijn Van Nieuwerburgh, 2006.
"Reconciling the Return Predictability Evidence,"
2006 Meeting Papers
29, Society for Economic Dynamics.
- Martin Lettau & Stijn Van Nieuwerburgh, 2008. "Reconciling the Return Predictability Evidence," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1607-1652, July.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," NBER Working Papers 12109, National Bureau of Economic Research, Inc.
- 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).
- 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.
- Moench, Emanuel & Adrian, Tobias & Crump, Richard K., 2015. "Regression Based Estimation of Dynamic Asset Pricing Models," CEPR Discussion Papers 10449, C.E.P.R. Discussion Papers.
- Tobias Adrian & Richard K. Crump & Emanuel Moench, 2011. "Regression-based estimation of dynamic asset pricing models," Staff Reports 493, Federal Reserve Bank of New York.
- 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.
- Ian Dew-Becker & Rhys Bidder, 2015.
"Long-Run Risk is the Worst-Case Scenario,"
2015 Meeting Papers
490, Society for Economic Dynamics.
- Rhys Bidder & Ian Dew-Becker, 2016. "Long-Run Risk is the Worst-Case Scenario," NBER Working Papers 22416, National Bureau of Economic Research, Inc.
- Rhys Bidder & Ian Dew-Becker, 2016. "Long-Run Risk Is the Worst-Case Scenario," American Economic Review, American Economic Association, vol. 106(9), pages 2494-2527, September.
- 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.
- 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.
- Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017.
"Noise Bubbles,"
Economic Journal, Royal Economic Society, vol. 127(604), pages 1940-1976, September.
- Lippi, Marco & Forni, Mario & Sala, Luca & Gambetti, Luca, 2013. "Noise Bubbles," CEPR Discussion Papers 9532, C.E.P.R. Discussion Papers.
- Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2014. "Noise Bubbles," Working Papers 532, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2014. "Noise Bubbles," Center for Economic Research (RECent) 096, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Valentin Haddad & Erik Loualiche & Matthew Plosser, 2013.
"Buyout activity: the impact of aggregate discount rates,"
Staff Reports
606, Federal Reserve Bank of New York.
- 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.
- Valentin Haddad & Erik Loualiche & Matthew Plosser, 2017. "Buyout Activity: The Impact of Aggregate Discount Rates," Journal of Finance, American Finance Association, vol. 72(1), pages 371-414, February.
- 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).
- 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.
- Amélie Charles & Olivier Darné & Jae Kim, 2022. "Stock Return Predictability: Evaluation based on interval forecasts," Post-Print hal-03656310, HAL.
- Yashiv, Eran, 2011. "The Joint Behavior of Hiring and Investment," CEPR Discussion Papers 8237, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Christian Bach & Peter O. Christensen, 2016. "Consumption-based equity valuation," Review of Accounting Studies, Springer, vol. 21(4), pages 1149-1202, December.
- 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.
- 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.
- Tom Engsted & Thomas Q. Pedersen, 2008. "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," CREATES Research Papers 2008-27, Department of Economics and Business Economics, Aarhus University.
- David G. McMillan, 2021. "Forecasting sector stock market returns," Journal of Asset Management, Palgrave Macmillan, vol. 22(4), pages 291-300, July.
- 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.
- Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113079, Verein für Socialpolitik / German Economic Association.
- Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," Kiel Working Papers 1987, Kiel Institute for the World Economy (IfW Kiel).
- Baetje, Fabian & Menkhoff, Lukas, 2016. "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1193-1207.
- 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.
- 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.
- 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.
- 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.
- Pham, Quynh Thi Thuy, 2021. "Stock Return Predictability: Evidence Across US Industries," Finance Research Letters, Elsevier, vol. 38(C).
- Faria, Gonçalo & Verona, Fabio, 2017.
"Forecasting the equity risk premium with frequency-decomposed predictors,"
Bank of Finland Research Discussion Papers
1/2017, Bank of Finland.
- 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.
- 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).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2015. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 763, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2014. "Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 753, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015. "Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
- 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.
- 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.
- Roberto Marfè, 2015.
"Income Insurance and the Equilibrium Term-Structure of Equity,"
Carlo Alberto Notebooks
407, Collegio Carlo Alberto.
- Roberto Marfè, 2017. "Income Insurance and the Equilibrium Term Structure of Equity," Journal of Finance, American Finance Association, vol. 72(5), pages 2073-2130, October.
- Roberto Marfè, 2016. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 459, Collegio Carlo Alberto.
- Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
- 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.
- Goetzmann, Will & Le Bris, David & Pouget, Sébastien, 2017. "The Present Value Relation Over Six Centuries: The Case of the Bazacle Company," TSE Working Papers 17-794, Toulouse School of Economics (TSE).
- le Bris, David & Goetzmann, William N. & Pouget, Sébastien, 2019. "The present value relation over six centuries: The case of the Bazacle company," Journal of Financial Economics, Elsevier, vol. 132(1), pages 248-265.
- 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).
- John Y. Campbell & Stefano Giglio & Christopher Polk, 2010.
"Hard Times,"
NBER Working Papers
16222, National Bureau of Economic Research, Inc.
- John Y. Campbell & Stefano Giglio & Christopher Polk, 2013. "Hard Times," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 3(1), pages 95-132.
- Campbell, John Y. & Giglio, Stefano & Polk, Christopher, 2013. "Hard Times," Scholarly Articles 12172786, Harvard University Department of Economics.
- 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.
- Barras, Laurent, 2019. "A large-scale approach for evaluating asset pricing models," Journal of Financial Economics, Elsevier, vol. 134(3), pages 549-569.
- 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.
- Li, Jiahan & Tsiakas, Ilias, 2017. "Equity premium prediction: The role of economic and statistical constraints," Journal of Financial Markets, Elsevier, vol. 36(C), pages 56-75.
- François Legendre & Djibril Togola, 2015.
"Explicit solutions to dynamic portfolio choice problems: A continuous-time detour,"
Working Papers
hal-01117787, HAL.
- Legendre, François & Togola, Djibril, 2016. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Economic Modelling, Elsevier, vol. 58(C), pages 627-641.
- Franc{c}ois Legendre & Djibril Togola, 2015. "Explicit solution to dynamic portfolio choice problem : The continuous-time detour," Papers 1504.03079, arXiv.org.
- François Legendre & Djibril Togola, 2016. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Post-Print hal-01342195, HAL.
- François Legendre & Djibril Togola, 2015. "Explicit solution to dynamic portfolio choice problem: the continuous-time detour," Erudite Working Paper 2015-01, Erudite.
- Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 235-256.
- 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.
- 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.
- Tom Engsted & Thomas Q. Pedersen, 2013. "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," CREATES Research Papers 2013-04, Department of Economics and Business Economics, Aarhus University.
- Kevin J. Lansing, 2011.
"Asset pricing with concentrated ownership of capital,"
Working Paper Series
2011-07, Federal Reserve Bank of San Francisco.
- Kevin J. Lansing, 2011. "Asset pricing with concentrated ownership of capital," Working Paper 2011/18, Norges Bank.
- Schrimpf, Andreas, 2008.
"International Stock Return Predictability Under Model Uncertainty,"
ZEW Discussion Papers
08-048, ZEW - Leibniz Centre for European Economic Research.
- Schrimpf, Andreas, 2010. "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1256-1282, November.
- 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.
- Ferreira, Miguel A. & Santa-Clara, Pedro, 2011. "Forecasting stock market returns: The sum of the parts is more than the whole," Journal of Financial Economics, Elsevier, vol. 100(3), pages 514-537, June.
- Davide Pettenuzzo & Francesco Ravazzolo, 2015.
"Optimal Portfolio Choice under Decision-Based Model Combinations,"
Working Papers
No 9/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal portfolio choice under decision-based model combinations," Working Paper 2014/15, Norges Bank.
- Davide Pettenuzzo & Francesco Ravazzolo, 2016. "Optimal Portfolio Choice Under Decision‐Based Model Combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1312-1332, November.
- Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers 80, Brandeis University, Department of Economics and International Business School.
- 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.
- Paolo Gelain & Kevin J. Lansing, 2013.
"House prices, expectations, and time-varying fundamentals,"
Working Paper
2013/05, Norges Bank.
- Gelain, Paolo & Lansing, Kevin J., 2014. "House prices, expectations, and time-varying fundamentals," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 3-25.
- Paolo Gelain & Kevin J. Lansing, 2013. "House Prices, Expectations, and Time-Varying Fundamentals," Working Paper Series 2013-03, Federal Reserve Bank of San Francisco.
- George Constantinides, 2012.
"The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth,"
2012 Meeting Papers
1197, Society for Economic Dynamics.
- Anisha Ghosh & George M. Constantinides, 2010. "The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth," NBER Working Papers 16183, National Bureau of Economic Research, Inc.
- 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.
- Jessica Wachter, 2010.
"Asset Allocation,"
NBER Working Papers
16255, National Bureau of Economic Research, Inc.
- Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December.
- Atanasov, Victoria, 2021. "Unemployment and aggregate stock returns," Journal of Banking & Finance, Elsevier, vol. 129(C).
- 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.
- Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2010. "Dividend predictability around the world," CREATES Research Papers 2010-03, Department of Economics and Business Economics, Aarhus University.
- Matteo Maggiori, 2013. "The U.S. Dollar Safety Premium," 2013 Meeting Papers 75, Society for Economic Dynamics.
- 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.
- 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.
- Kevin J. Lansing & Stephen F. LeRoy & Jun Ma, 2022. "Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?," Working Paper Series 2018-14, Federal Reserve Bank of San Francisco.
- 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.
- 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.
- 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.
- Laine, Olli-Matti, 2022. "Evidence about the transmission of monetary policy," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number e53.
- 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.
- Olli-Matti Laine, 2023.
"Monetary Policy and Stock Market Valuation,"
International Journal of Central Banking, International Journal of Central Banking, vol. 19(1), pages 365-416, March.
- Laine, Olli-Matti, 2020. "Monetary policy and stock market valuation," Bank of Finland Research Discussion Papers 16/2020, Bank of Finland.
- 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.
- 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.
- Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2014. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Working Papers 201422, University of Pretoria, Department of Economics.
- 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.
- 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.
- Tom Engsted & Thomas Q. Pedersen, 2012. "Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries," CREATES Research Papers 2012-58, Department of Economics and Business Economics, Aarhus University.
- François Gourio, 2013.
"Credit Risk and Disaster Risk,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
- Gourio, Francois, 2011. "Credit Risk and Disaster Risk," CEPR Discussion Papers 8201, C.E.P.R. Discussion Papers.
- François Gourio, 2012. "Credit risk and disaster risk," Working Paper Series WP-2012-07, Federal Reserve Bank of Chicago.
- Francois Gourio, 2011. "Credit Risk and Disaster Risk," NBER Working Papers 17026, National Bureau of Economic Research, Inc.
- Francois Gourio, 2010. "Credit risk and Disaster risk," 2010 Meeting Papers 112, Society for Economic Dynamics.
- Jules H. van Binsbergen & Ralph S.J. Koijen, 2015.
"The Term Structure of Returns: Facts and Theory,"
NBER Working Papers
21234, National Bureau of Economic Research, Inc.
- Koijen, Ralph & van Binsbergen, Jules, 2015. "The Term Structure of Returns: Facts and Theory," CEPR Discussion Papers 10633, C.E.P.R. Discussion Papers.
- 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.
- Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018.
"Market Timing with Moving Averages,"
Sustainability, MDPI, vol. 10(7), pages 1-25, June.
- 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.
- Straetmans, S.T.M. & Candelon, B. & Ahmed, J., 2012.
"Predicting and capitalizing on stock market bears in the U.S,"
Research Memorandum
019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- 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.
- 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.
- 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).
- 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.
- Tsiakas, Ilias & Li, Jiahan & Zhang, Haibin, 2020. "Equity premium prediction and the state of the economy," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 75-95.
- Amélie Charles & Olivier Darné & Jae H. Kim, 2016.
"Stock Return Predictability: Evaluation based on prediction intervals,"
Working Papers
hal-01295037, HAL.
- Charles, Amelie & Darne, Olivier & Kim, Jae, 2016. "Stock Return Predictability: Evaluation based on Prediction Intervals," MPRA Paper 70143, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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).
- 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.
- John Cochrane, 2021. "Code and data files for "The fiscal root of inflation"," Computer Codes 20-493, Review of Economic Dynamics.
- John H. Cochrane, 2019. "The Fiscal Roots of Inflation," NBER Working Papers 25811, National Bureau of Economic Research, Inc.
- John Cochrane, 2021. "Online Appendix to "The fiscal root of inflation"," Online Appendices 20-493, Review of Economic Dynamics.
- 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.
- Juan Antolín-Díaz & Ivan Petrella & Juan F. Rubio-Ramírez, 2021. "Dividend Momentum and Stock Return Predictability: A Bayesian Approach," Working Papers 2021-14, FEDEA.
- Rubio-RamÃrez, Juan Francisco & Petrella, Ivan & Antolin-Diaz, Juan, 2021. "Dividend Momentum and Stock Return Predictability: A Bayesian Approach," CEPR Discussion Papers 16613, C.E.P.R. Discussion Papers.
- Zhang, Yaojie & He, Mengxi & Wen, Danyan & Wang, Yudong, 2023. "Forecasting crude oil price returns: Can nonlinearity help?," Energy, Elsevier, vol. 262(PB).
- 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.).
- 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.
- Mahmoud Botshekan & Andre Lucas, 2012.
"Long-Term versus Short-Term Contingencies in Asset Allocation,"
Tinbergen Institute Discussion Papers
12-053/2/DSF34, Tinbergen Institute.
- 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.
- 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.
- Botshekan, Mahmoud & Kräussl, Roman & Lucas, André, 2010. "Cash flow and discount rate risk in up and down markets: What is actually priced?," CFS Working Paper Series 2010/20, Center for Financial Studies (CFS).
- Mahmoud Botshekan & Roman Kraeussl & Andre Lucas, 2010. "Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?," Tinbergen Institute Discussion Papers 10-116/2/DSF 3, Tinbergen Institute.
- 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.
- 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.
- Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Documentos de Trabajo del ICAE 2018-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Risks, MDPI, vol. 6(4), pages 1-18, September.
- 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.
- MGino Cenedese & Enrico Mallucci, 2015. "What moves international stock and bond markets?," Discussion Papers 1514, Centre for Macroeconomics (CFM).
- Gino Cenedese & Enrico Mallucci, 2015. "What moves international stock and bond markets?," Working Paper series 15-23, Rimini Centre for Economic Analysis.
- Cenedese, Gino & Mallucci, Enrico, 2015. "What moves international stock and bond markets?," Bank of England working papers 534, Bank of England.
- Cenedese, Gino & Mallucci, Enrico, 2016. "What moves international stock and bond markets?," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 94-113.
- Ian Martin, 2017.
"What is the Expected Return on the Market?,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(1), pages 367-433.
- Martin, Ian, 2015. "What is the Expected Return on the Market?," CEPR Discussion Papers 10715, C.E.P.R. Discussion Papers.
- 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.
- Martin, Ian, 2017. "What is the expected return on the market?," LSE Research Online Documents on Economics 67036, London School of Economics and Political Science, LSE Library.
- 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).
- 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..
- James Barth & Sunghoon Joo & Hyeongwoo Kim & Kang Bok Lee & Stevan Maglic & Xuan Shen, 2018. "Forecasting Net Charge-Off Rates of Banks: A PLS Approach," Auburn Economics Working Paper Series auwp2018-03, Department of Economics, Auburn University.
- 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).
- Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014.
"The scale of predictability,"
Working Papers
509, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Bandi, F.M. & Perron, B. & Tamoni, A. & Tebaldi, C., 2019. "The scale of predictability," Journal of Econometrics, Elsevier, vol. 208(1), pages 120-140.
- 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.
- Federico M. Bandi & Benoit Perron & Andrea Tamoni & Claudio Tebaldi, 2015. "The scale of predictability," CIRANO Working Papers 2015s-21, CIRANO.
- Timmermann, Allan & Pettenuzzo, Davide & Sabbatucci, Riccardo, 2019.
"Cash Flow News and Stock Price Dynamics,"
CEPR Discussion Papers
14117, C.E.P.R. Discussion Papers.
- Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2020. "Cash Flow News and Stock Price Dynamics," Journal of Finance, American Finance Association, vol. 75(4), pages 2221-2270, August.
- Fernando Alexandre & Vasco J. Gabriel & Pedro Bação, 2007.
"The Consumption-Wealth Ratio Under Asymmetric Adjustment,"
NIPE Working Papers
15/2007, NIPE - Universidade do Minho.
- Gabriel Vasco J. & Alexandre Fernando & Bação Pedro, 2008. "The Consumption-Wealth Ratio under Asymmetric Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-32, December.
- Vasco Gabriel & Fernando Alexandre & Pedro Bação, 2007. "The Consumption-Wealth Ratio Under Asymmetric Adjustment," GEMF Working Papers 2007-06, GEMF, Faculty of Economics, University of Coimbra.
- 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.
- 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.
- 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.
- Kim, Hyeongwoo & Ryu, Deockhyun, 2015. "Measuring the speed of convergence of stock prices: A nonparametric and nonlinear approach," Economic Modelling, Elsevier, vol. 51(C), pages 227-241.
- Hyeongwoo Kim & Deockhyun Ryu, 2013. "Measuring the Speed of Convergence of Stock Prices: A Nonparametric and Nonlinear Approach," Auburn Economics Working Paper Series auwp2013-06, Department of Economics, Auburn University.
- Mete Kilic & Ivan Shaliastovich, 2019. "Good and Bad Variance Premia and Expected Returns," Management Science, INFORMS, vol. 67(6), pages 2522-2544, June.
- Stijn Claessens & M. Ayhan Kose, 2017.
"Asset prices and macroeconomic outcomes: A survey,"
CAMA Working Papers
2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1718, Koc University-TUSIAD Economic Research Forum.
- Claessens,Stijn & Kose,Ayhan, 2017. "Asset prices and macroeconomic outcomes : a survey," Policy Research Working Paper Series 8259, The World Bank.
- Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
- Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
- 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.
- 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.
- 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.
- Olivier J Blanchard & Christopher G. Collins & Mohammad R. Jahan-Parvar & Thomas Pellet & Beth Anne Wilson, 2018.
"Why Has the Stock Market Risen So Much Since the US Presidential Election?,"
Policy Briefs
PB18-4, Peterson Institute for International Economics.
- 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.).
- 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.
- Faria, Gonçalo & Verona, Fabio, 2020. "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, vol. 50(C).
- 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.
- Avdis, Efstathios & Wachter, Jessica A., 2017. "Maximum likelihood estimation of the equity premium," Journal of Financial Economics, Elsevier, vol. 125(3), pages 589-609.
- 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.
- Favero, Carlo A. & Gozluklu, Arie E. & Tamoni, Andrea, 2011. "Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(5), pages 1493-1520, October.
- Favero, Carlo A. & Gozluklu, Arie & Tamoni, Andrea, 2010. "Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns," CEPR Discussion Papers 7734, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Tom Engsted & Simon J. Hviid & Thomas Q. Pedersen, 2015. "Explosive bubbles in house prices? Evidence from the OECD countries," CREATES Research Papers 2015-01, Department of Economics and Business Economics, Aarhus University.
- 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.
- 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.
- Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 201351, University of Pretoria, Department of Economics.
- Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 2013-20, Department of Research, Ipag Business School.
- Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2014. "Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?," Working Papers 2014-436, Department of Research, Ipag Business School.
- 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.
- Francois Gourio, 2012.
"Disaster Risk and Business Cycles,"
American Economic Review, American Economic Association, vol. 102(6), pages 2734-2766, October.
- François Gourio, 2009. "Disasters Risk and Business Cycles," NBER Working Papers 15399, National Bureau of Economic Research, Inc.
- Francois Gourio, 2009. "Disaster risk and business cycles," 2009 Meeting Papers 1176, Society for Economic Dynamics.
- 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.
- 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.
- Tom Engsted & Thomas Q. Pedersen, 2018. "Disappearing money illusion," CREATES Research Papers 2018-24, Department of Economics and Business Economics, Aarhus University.
- 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.
- Mykola Babiak & Jozef Barunik, 2020. "Deep Learning, Predictability, and Optimal Portfolio Returns," Papers 2009.03394, arXiv.org, revised Jul 2021.
- Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
- 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.
- 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.).
- Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
- Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Tzuo Hao & George Tauchen, 2008. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2008-48, Department of Economics and Business Economics, Aarhus University.
- 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).
- 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.
- Ricardo De la O & Sean Myers, 2018. "Subjective Cash Flows and Discount Rates," 2018 Meeting Papers 291, Society for Economic Dynamics.
- Paskalis Glabadanidis, 2015. "Market Timing With Moving Averages," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 387-425, September.
- Christopher L. Culp & Yoshio Nozawa & Pietro Veronesi, 2014. "Option-Based Credit Spreads," NBER Working Papers 20776, National Bureau of Economic Research, Inc.
- Martin, Ian & Nagel, Stefan, 2019.
"Market Efficiency in the Age of Big Data,"
CEPR Discussion Papers
14235, C.E.P.R. Discussion Papers.
- Ian Martin & Stefan Nagel, 2019. "Market Efficiency in the Age of Big Data," CESifo Working Paper Series 8015, CESifo.
- Martin, Ian W.R. & Nagel, Stefan, 2022. "Market efficiency in the age of big data," Journal of Financial Economics, Elsevier, vol. 145(1), pages 154-177.
- Ian Martin & Stefan Nagel, 2019. "Market Efficiency in the Age of Big Data," NBER Working Papers 26586, National Bureau of Economic Research, Inc.
- Martin, Ian W.R. & Nagel, Stefan, 2022. "Market efficiency in the age of big data," LSE Research Online Documents on Economics 112960, London School of Economics and Political Science, LSE Library.
- 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.
- 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.
- 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).
- Demetrescu, Matei & Rodrigues, Paulo MM & Taylor, AM Robert, 2022. "Transformed Regression-based Long-Horizon Predictability Tests," Essex Finance Centre Working Papers 30620, University of Essex, Essex Business School.
- 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.
- Walid Mensi & Shawkat Hammoudeh & Juan Carlos Reboredo & Duc Khuong Nguyen, 2014. "Do global factors impact BRICS stock markets? A quantile regression approach," Working Papers 2014-159, Department of Research, Ipag Business School.
- John C. Williams, 2013.
"Bubbles tomorrow and bubbles yesterday, but never bubbles today?,"
FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue sept23.
- John C. Williams, 2013. "Bubbles tomorrow and bubbles yesterday, but never bubbles today?," Speech 122, Federal Reserve Bank of San Francisco.
- Faria, Gonçalo & Verona, Fabio, 2018.
"Forecasting stock market returns by summing the frequency-decomposed parts,"
Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
- Gonçalo Faria & Fabio Verona, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
- 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.
- Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Bank of Finland Research Discussion Papers 29/2016, Bank of Finland.
- 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.
- 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.).
- 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.
- Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Evidence from the euro area, the U.K. and the U.S," Working Papers w201119, Banco de Portugal, Economics and Research Department.
- João M. Sousa & Ricardo M. Sousa, 2019. "Asset Returns Under Model Uncertainty: Evidence from the Euro Area, the US and the UK," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 139-176, June.
- 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.
- Guofu Zhou, 2018. "Measuring Investor Sentiment," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 239-259, November.
- 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.
- 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.
- 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.
- Mikhail Chernov & Drew D. Creal, 2018.
"Multihorizon Currency Returns and Purchasing Power Parity,"
NBER Working Papers
24563, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Creal, Drew, 2018. "Multihorizon Currency Returns and Purchasing Power Parity," CEPR Discussion Papers 12893, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Huang, Darien & Kilic, Mete, 2019. "Gold, platinum, and expected stock returns," Journal of Financial Economics, Elsevier, vol. 132(3), pages 50-75.
- 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.
- 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.
- Szymon Lis, 2022. "Investor Sentiment in Asset Pricing Models: A Review," Working Papers 2022-14, Faculty of Economic Sciences, University of Warsaw.
- Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
- Zhang, Han, 2021. "An inflation-based ICAPM in China," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
- 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.
- Massimo Guidolin & Francesco Chincoli, 2017.
"Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence,"
BAFFI CAREFIN Working Papers
1754, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- 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.
- Chen, Jian & Tang, Guohao & Yao, Jiaquan & Zhou, Guofu, 2023. "Employee sentiment and stock returns," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
- 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).
- 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.
- 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.
- 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.
- Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard, 2010. "Pitfalls in VAR based return decompositions: A clarification," CREATES Research Papers 2010-09, Department of Economics and Business Economics, Aarhus University.
- Martin Lettau & Jessica A. Wachter, 2009.
"The Term Structures of Equity and Interest Rates,"
NBER Working Papers
14698, National Bureau of Economic Research, Inc.
- Lettau, Martin & Wachter, Jessica A., 2011. "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, vol. 101(1), pages 90-113, July.
- 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.
- Koijen, Ralph S.J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017.
"The cross-section and time series of stock and bond returns,"
Journal of Monetary Economics, Elsevier, vol. 88(C), pages 50-69.
- Koijen, Ralph S. J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017. "The Cross-Section and Time Series of Stock and Bond Returns," Research Papers 3518, Stanford University, Graduate School of Business.
- Van Nieuwerburgh, Stijn & Lustig, Hanno & Koijen, Ralph, 2012. "The Cross-Section and Time-Series of Stock and Bond Returns," CEPR Discussion Papers 9024, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Hasler, Michael & Marfè, Roberto, 2016.
"Disaster recovery and the term structure of dividend strips,"
Journal of Financial Economics, Elsevier, vol. 122(1), pages 116-134.
- Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.
- Michael Hasler & Roberto Marfè, 2016. "Disaster recovery and the term structure of dividend strips?," Carlo Alberto Notebooks 458, Collegio Carlo Alberto.
- 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.
- Chang, C-L. & Hsu, S.-H. & McAleer, M.J., 2018.
"Asymmetric Risk Impacts of Chinese Tourists to Taiwan,"
Econometric Institute Research Papers
EI2018-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- 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.
- Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Guanhao Feng & Nicholas Polson, 2020. "Regularizing Bayesian predictive regressions," Journal of Asset Management, Palgrave Macmillan, vol. 21(7), pages 591-608, December.
- 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.
- 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.
- 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.
- 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.
- 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.
- Hui Chen & Nengjiu Ju & Jianjun Miao, 2014. "Dynamic Asset Allocation with Ambiguous Return Predictability," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(4), pages 799-823, October.
- Hui Chen & Nengjiu Ju & Jianjun Miao, 2008. "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-179, Boston University - Department of Economics, revised Feb 2009.
- Dahlquist, Magnus & Pénasse, Julien, 2022. "The missing risk premium in exchange rates," Journal of Financial Economics, Elsevier, vol. 143(2), pages 697-715.
- 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.
- Lin, Hai & Wang, Junbo & Wu, Chunchi, 2014. "Predictions of corporate bond excess returns," Journal of Financial Markets, Elsevier, vol. 21(C), pages 123-152.
- Lee, Hyun-Tak, 2016. "Dynamic consumption and portfolio choice with permanent learning," Finance Research Letters, Elsevier, vol. 19(C), pages 112-118.
- 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.
- Engsted, Tom & Pedersen, Thomas Q., 2010. "The dividend-price ratio does predict dividend growth: International evidence," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 585-605, September.
- Vassilis Polimenis & Ioannis Neokosmidis, 2019.
"Non-stationary dividend-price ratios,"
Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 552-567, December.
- Vassilis Polimenis & Ioannis Neokosmidis, 2019. "Non-Stationary Dividend-Price Ratios," Papers 1902.06053, arXiv.org.
- 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.).
- Chava, Sudheer & Gallmeyer, Michael & Park, Heungju, 2015. "Credit conditions and stock return predictability," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 117-132.
- 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.
- Bollerslev, Tim & Xu, Lai & Zhou, Hao, 2015. "Stock return and cash flow predictability: The role of volatility risk," Journal of Econometrics, Elsevier, vol. 187(2), pages 458-471.
- 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.
- 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.
- 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.
- Tom Roberts, 2017. "A Counterfactual Valuation of the Stock Index as a Predictor of Crashes," Staff Working Papers 17-38, Bank of Canada.
- John H. Cochrane, 2010.
"Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic,"
NBER Working Papers
16087, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Maio, Paulo, 2013. "Return decomposition and the Intertemporal CAPM," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4958-4972.
- 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.
- Ravi Jagannathan & Binying Liu, 2019.
"Dividend Dynamics, Learning, and Expected Stock Index Returns,"
Journal of Finance, American Finance Association, vol. 74(1), pages 401-448, February.
- Ravi Jagannathan & Binying Liu, 2015. "Dividend Dynamics, Learning, and Expected Stock Index Returns," NBER Working Papers 21557, National Bureau of Economic Research, Inc.
- Cheolbeom Park & Dong-hun Shin, 2014. "Stock Market Predictability: Global Evidence and an Explanation," Discussion Paper Series 1405, Institute of Economic Research, Korea University.
- 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.
- 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.
- 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.
- 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).
- 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.
- 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).
- Miguel Angel Iraola & Manuel S. Santos, 2009.
"Long-Term Asset Price Volatility and Macroeconomics Fluctations,"
Working Papers
0909, Centro de Investigacion Economica, ITAM.
- 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.
- Manuel S. Santos & Miguel A. Iraola, 2010. "Long-Term Asset Price Volatility and Macroeconomic Fluctuations," 2010 Meeting Papers 374, Society for Economic Dynamics.
- Manuel Santos & Miguel Iraola, 2014. "Long-Term Asset Price Volatility and Macroeconomic Fluctuations," 2014 Meeting Papers 559, Society for Economic Dynamics.
- 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).
- 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.
- 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.
- Karl Whelan, 2006.
"Consumption and expected asset returns without assumptions about unobservables,"
Open Access publications
10197/219, School of Economics, University College Dublin.
- Whelan, Karl, 2006. "Consumption and Expected Asset Returns Without Assumptions About Unobservables," Research Technical Papers 4/RT/06, Central Bank of Ireland.
- Whelan, Karl, 2008. "Consumption and expected asset returns without assumptions about unobservables," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1209-1221, October.
- Whelan, Karl, 2006. "Consumption and Expected Asset Returns without Assumptions About Unobservables," MPRA Paper 5891, University Library of Munich, Germany.
- Møller, Stig V. & Sander, Magnus, 2017. "Dividends, earnings, and predictability," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 153-163.
- 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.
- Leland E. Farmer & Lawrence Schmidt & Allan Timmermann, 2023.
"Pockets of Predictability,"
Journal of Finance, American Finance Association, vol. 78(3), pages 1279-1341, June.
- Timmermann, Allan & Farmer, Leland E. & Schmidt, Lawrence, 2018. "Pockets of Predictability," CEPR Discussion Papers 12885, C.E.P.R. Discussion Papers.
- Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016. "Beliefs Aggregation and Return Predictability," Working Papers w0231, New Economic School (NES).
- Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- Tom Engsted, 2014.
"Fama on bubbles,"
CREATES Research Papers
2014-28, Department of Economics and Business Economics, Aarhus University.
- Tom Engsted, 2016. "Fama On Bubbles," Journal of Economic Surveys, Wiley Blackwell, vol. 30(2), pages 370-376, April.
- Algaba, Andres & Boudt, Kris, 2017. "Generalized financial ratios to predict the equity premium," Economic Modelling, Elsevier, vol. 66(C), pages 244-257.
- 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.
- Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2018. "High-frequency Cash Flow Dynamics," Working Papers 120, Brandeis University, Department of Economics and International Business School.
- 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.
- 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.
- 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.
- 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.
- 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.
- Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan, 2015. "Can governance quality predict stock market returns? New global evidence," Working Papers fe_2015_04, Deakin University, Department of Economics.
- Jim Dolmas, 2013. "Disastrous disappointments: asset-pricing with disaster risk and disappointment aversion," Working Papers 1309, Federal Reserve Bank of Dallas.
- Gino Cenedese & Richard Payne & Lucio Sarno & Giorgio Valente, 2016.
"What Do Stock Markets Tell Us about Exchange Rates?,"
Review of Finance, European Finance Association, vol. 20(3), pages 1045-1080.
- 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.
- Cenedese, Gino & Payne, Richard & Sarno, Lucio & Valente, Giorgio, 2015. "What do stock markets tell us about exchange rates?," Bank of England working papers 537, Bank of England.
- 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.
- Jessica A. Wachter & Missaka Warusawitharana, 2011. "What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio," NBER Working Papers 17334, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Simon Oh & Jessica A. Wachter, 2018. "Cross-sectional Skewness," NBER Working Papers 25113, National Bureau of Economic Research, Inc.
- 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.
- Chen, Zhanhui, 2016. "Time-to-produce, inventory, and asset prices," Journal of Financial Economics, Elsevier, vol. 120(2), pages 330-345.
- 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.
- 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.
- Avino, Davide & Nneji, Ogonna, 2012. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," MPRA Paper 42848, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2010.
"Regime specific predictability in predictive regressions,"
UC3M Working papers. Economics
we097844, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 2010. "Regime Specific Predictability in Predictive Regressions," MPRA Paper 29190, University Library of Munich, Germany.
- Jesús Gonzalo & Jean-Yves Pitarakis, 2011. "Regime-Specific Predictability in Predictive Regressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 229-241, June.
- 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.
- 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.
- 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.
- 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.
- Andreas Neuhierl & Michael Weber, 2016.
"Monetary Policy and the Stock Market: Time-Series Evidence,"
NBER Working Papers
22831, National Bureau of Economic Research, Inc.
- Andreas Neuhierl & Michael Weber & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," CESifo Working Paper Series 6199, CESifo.
- Michael Weber & Andreas Neuhierl, 2017. "Monetary Policy and the Stock Market: Time Series Evidence," 2017 Meeting Papers 304, Society for Economic Dynamics.
- Yu, Deshui & Huang, Difang & Chen, Li & Li, Luyang, 2023. "Forecasting dividend growth: The role of adjusted earnings yield," Economic Modelling, Elsevier, vol. 120(C).
- Pierlauro Lopez, 2018.
"A New Keynesian Q Theory and the Link Between Inflation and the Stock Market,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 29, pages 85-105, July.
- Pierlauro Lopez, 2017. "Code and data files for "A New Keynesian Q Theory and the Link Between Inflation and the Stock Market"," Computer Codes 16-134, Review of Economic Dynamics.
- 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.
- 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.
- De Graeve, Ferre & Dossche, Maarten & Emiris, Marina & Sneessens, Henri & Wouters, Raf, 2010.
"Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model,"
Working Paper Series
236, Sveriges Riksbank (Central Bank of Sweden).
- Ferre De Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters, 2008. "Risk premiums and macroeconomic dynamics in a heterogeneous agent model," Working Paper Research 150, National Bank of Belgium.
- De Graeve, Ferre & Dossche, Maarten & Emiris, Marina & Sneessens, Henri & Wouters, Raf, 2010. "Risk premiums and macroeconomic dynamics in a heterogeneous agent model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1680-1699, September.
- 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.
- 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).
- Rytchkov, Oleg, 2010. "Expected returns on value, growth, and HML," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 552-565, September.
- Lan, Chunhua & Doan, Bao, 2022. "Stock price movements: Evidence from global equity markets," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 123-143.
- 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.
- John R. Graham, 2022. "Presidential Address: Corporate Finance and Reality," Journal of Finance, American Finance Association, vol. 77(4), pages 1975-2049, August.
- 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.
- 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.
- Maio, Paulo, 2016. "Cross-sectional return dispersion and the equity premium," Journal of Financial Markets, Elsevier, vol. 29(C), pages 87-109.
- Yu, Deshui & Huang, Difang, 2023. "Cross-sectional uncertainty and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 321-340.
- 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.
- Paolo Guasoni & Johannes Muhle-Karbe, 2012. "Portfolio Choice with Transaction Costs: a User's Guide," Papers 1207.7330, arXiv.org.
- 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.
- 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.
- Moreira, Alan & Muir, Tyler, 2019. "Should Long-Term Investors Time Volatility?," Journal of Financial Economics, Elsevier, vol. 131(3), pages 507-527.
- 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.
- 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.
- 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.
- Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2010.
"Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices,"
TSE Working Papers
10-187, Toulouse School of Economics (TSE).
- Marco Bonomo & René Garcia & Nour Meddahi & Roméo Tédongap, 2011. "Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 24(1), pages 82-122.
- 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.
- 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.
- Stambaugh, Robert F. & Pástor, Luboš, 2007.
"Predictive Systems: Living with Imperfect Predictors,"
CEPR Discussion Papers
6076, C.E.P.R. Discussion Papers.
- Ľuboš Pástor & Robert F. Stambaugh, 2009. "Predictive Systems: Living with Imperfect Predictors," Journal of Finance, American Finance Association, vol. 64(4), pages 1583-1628, August.
- Lubos Pastor & Robert F. Stambaugh, 2007. "Predictive Systems: Living with Imperfect Predictors," NBER Working Papers 12814, National Bureau of Economic Research, Inc.
- Lubos Pastor & Robert F. Stambaugh, 2008. "Predictive Systems: Living with Imperfect Predictors," NBER Working Papers 13804, National Bureau of Economic Research, Inc.
- 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.
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers CoFie-02-2011, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2014. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Management Science, INFORMS, vol. 60(7), pages 1772-1791, July.
- 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.
- Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016. "Beliefs Aggregation and Return Predictability," Working Papers w0231, Center for Economic and Financial Research (CEFIR).
- Jukka Ilomaki & Hannu Laurila & Michael McAleer, 2018.
"Simple Market Timing with Moving Averages,"
Tinbergen Institute Discussion Papers
18-048/III, Tinbergen Institute.
- Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018. "Simple Market Timing with Moving Averages," Econometric Institute Research Papers EI2018-19, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
- Zhu, Min, 2013. "Return distribution predictability and its implications for portfolio selection," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 209-223.
- 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.
- 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.
- 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.
- Stefano Giglio & Bryan Kelly, 2016. "Excess Volatility: Beyond Discount Rates," NBER Working Papers 22045, National Bureau of Economic Research, Inc.
- Atanasov, Victoria, 2018. "World output gap and global stock returns," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 181-197.
- Narayan, Paresh Kumar, 2019. "Can stale oil price news predict stock returns?," Energy Economics, Elsevier, vol. 83(C), pages 430-444.
- Kraeussl, Roman & Wiehenkamp, Christian, 2010.
"A call on Art investments,"
CFS Working Paper Series
2010/03, Center for Financial Studies (CFS).
- Roman Kraeussl & Christian Wiehenkamp, 2012. "A call on art investments," Review of Derivatives Research, Springer, vol. 15(1), pages 1-23, April.
- 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).
- 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.
- 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.
- Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Evidence from the euro area, the U.K. and the U.S," Working Papers w201119, Banco de Portugal, Economics and Research Department.
- 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.
- 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.
- 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.
- Florian Schulz, 2016. "On the Timing and Pricing of Dividends: Comment," American Economic Review, American Economic Association, vol. 106(10), pages 3185-3223, October.
- 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.
- 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.
- 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.
- 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.
- Harvey, David I & Leybourne, Stephen J & Sollis, Robert & Taylor, AM Robert, 2020. "Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium," Essex Finance Centre Working Papers 27775, University of Essex, Essex Business School.
- 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.
- Robin Greenwood & Andrei Shleifer, "undated". "Expectations of Returns and Expected Returns," Working Paper 102501, Harvard University OpenScholar.
- Greenwood, Robin Marc & Shleifer, Andrei, 2014. "Expectations of Returns and Expected Returns," Scholarly Articles 11880390, Harvard University Department of Economics.
- Robin Greenwood & Andrei Shleifer, 2013. "Expectations of Returns and Expected Returns," NBER Working Papers 18686, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- Michael W. McCracken & Giorgio Valente, 2018. "Asymptotic Inference for Performance Fees and the Predictability of Asset Returns," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(3), pages 426-437, July.
- Hammami, Yacine & Zhu, Jie, 2020. "Understanding time-varying short-horizon predictability✰," Finance Research Letters, Elsevier, vol. 32(C).
- 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.
- 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.
- 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.
- 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.
- 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.
- John Y. Campbell & Samuel B. Thompson, 2008. "Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1509-1531, July.
- 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.
- 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.
- Hsu, Po-Hsuan, 2009. "Technological innovations and aggregate risk premiums," Journal of Financial Economics, Elsevier, vol. 94(2), pages 264-279, November.
- 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.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2018.
"Predictability Hidden by Anomalous Observations,"
School of Economics Discussion Papers
0418, School of Economics, University of Surrey.
- Lorenzo Camponovo & O. Scaillet & Fabio Trojani, 2013. "Predictability Hidden by Anomalous Observations," Swiss Finance Institute Research Paper Series 13-05, Swiss Finance Institute.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2016. "Predictability Hidden by Anomalous Observations," Papers 1612.05072, arXiv.org.
- 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.
- 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.
- 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.
- Veronesi, Pietro & Nozawa, Yoshio & Culp, Christopher L., 2014. "Option-Based Credit Spreads," CEPR Discussion Papers 10318, C.E.P.R. Discussion Papers.
- 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.
- Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Discussion Papers 46/2020, Deutsche Bundesbank.
- Efstathios Avdis & Jessica A. Wachter, 2013. "Maximum likelihood estimation of the equity premium," NBER Working Papers 19684, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- Schmeling, Maik & Schrimpf, Andreas, 2011.
"Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?,"
European Economic Review, Elsevier, vol. 55(5), pages 702-719, June.
- 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.
- Jaime Casassus & Freddy Higuera, 2011. "Stock Return Predictability and Oil Prices," Documentos de Trabajo 406, Instituto de Economia. Pontificia Universidad Católica de Chile..
- 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).
- 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.
- 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.
- Carter Davis, 2023. "The Elasticity of Quantitative Investment," Papers 2303.14533, arXiv.org.
- Hongye Guo & Jessica A. Wachter, 2019. ""Superstitious" Investors," NBER Working Papers 25603, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Hollstein, Fabian & Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2019.
"International tail risk and World Fear,"
Journal of International Money and Finance, Elsevier, vol. 93(C), pages 244-259.
- 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.
- 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.
- Chen, Yong & Da, Zhi & Huang, Dayong, 2022. "Short selling efficiency," Journal of Financial Economics, Elsevier, vol. 145(2), pages 387-408.
- 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.
- Sydney C. Ludvigson, 2011. "Advances in Consumption-Based Asset Pricing: Empirical Tests," NBER Working Papers 16810, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Cenesizoglu, Tolga, 2022. "Return decomposition over the business cycle," Journal of Banking & Finance, Elsevier, vol. 143(C).
- 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.
- 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.
- 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.
- Yung, Julieta, 2021.
"Can interest rate factors explain exchange rate fluctuations?,"
Journal of Empirical Finance, Elsevier, vol. 61(C), pages 34-56.
- Julieta Yung, 2014. "Can interest rate factors explain exchange rate fluctuations?," Globalization Institute Working Papers 207, Federal Reserve Bank of Dallas.
- 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.
- 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.
- 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.
- 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.
- 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.
- Herculano, Miguel C. & Lütkebohmert, Eva, 2023. "Investor sentiment and global economic conditions," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 134-152.
- Costa, Carlos Eugênio da & Issler, João Victor & Matos, Paulo Rogério Faustino, 2013.
"A note on the forward and the equity-premium puzzles: two symptoms of the same illness?,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
743, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- 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.
- Carl Chiarella & Xue-Zhong He & Remco C.J. Zwinkels, 2014.
"Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500,"
Research Paper Series
344, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- 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).
- 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.
- 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.
- Li, Jun & Yu, Jianfeng, 2012. "Investor attention, psychological anchors, and stock return predictability," Journal of Financial Economics, Elsevier, vol. 104(2), pages 401-419.
- 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.
- 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.
- 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).
- 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).
- 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).
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2021. "Predicting returns and dividend growth - the role of non-Gaussian innovations," Working Papers 2021:10, Örebro University, School of Business.
- 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.
- Hamidi Sahneh, Mehdi, 2017. "News, Noise, and Tests of Present Value Models," MPRA Paper 82715, University Library of Munich, Germany.
- Dotsis, George, 2017. "The market price of risk of the variance term structure," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 41-52.
- Amélie Charles & Olivier Darné & Jae H Kim, 2017.
"International Stock Return Predictability: Evidence from New Statistical Tests,"
Post-Print
hal-01626101, HAL.
- Charles, Amélie & Darné, Olivier & Kim, Jae H., 2017. "International stock return predictability: Evidence from new statistical tests," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 97-113.
- 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.
- 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.
- 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.
- Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.
- Chen, Qinhua & Chi, Yeguang & Qiao, Xiao, 2020. "Follow the smart money: Factor forecasting in China," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
- Long Chen & Zhi Da & Richard Priestley, 2012. "Dividend Smoothing and Predictability," Management Science, INFORMS, vol. 58(10), pages 1834-1853, October.
- 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.
- 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.
- 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.
- Paolo Guasoni & Kwok Chuen Wong, 2020. "Asset prices in segmented and integrated markets," Finance and Stochastics, Springer, vol. 24(4), pages 939-980, October.
- 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.
- 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.
- 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.
- 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).
- Camba-Méndez, Gonzalo, 2020. "On the inflation risks embedded in sovereign bond yields," Working Paper Series 2423, European Central Bank.
- 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.
- 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.
- 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.
- Ball, Ray & Sadka, Gil, 2015. "Aggregate earnings and why they matter," Journal of Accounting Literature, Elsevier, vol. 34(C), pages 39-57.
- Ifrim, Adrian, 2023. "Sentimental Discount Rate Shocks," EconStor Preprints 268363, ZBW - Leibniz Information Centre for Economics.
- Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
- John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
- Golez, Benjamin & Koudijs, Peter, 2018. "Four centuries of return predictability," Journal of Financial Economics, Elsevier, vol. 127(2), pages 248-263.
- Dai, Zhifeng & Kang, Jie & Wen, Fenghua, 2021. "Predicting stock returns: A risk measurement perspective," International Review of Financial Analysis, Elsevier, vol. 74(C).
- 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.
- 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).
- Guanhao Feng & Jingyu He, 2019. "Factor Investing: A Bayesian Hierarchical Approach," Papers 1902.01015, arXiv.org, revised Sep 2020.
- 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.
- 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.
- 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.
- Gozluklu, Arie & Morin, Annaïg, 2019. "Stock vs. Bond yields and demographic fluctuations," Journal of Banking & Finance, Elsevier, vol. 109(C).
- Turtle, H.J. & Wang, Kainan, 2016. "The benefits of improved covariance estimation," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 233-246.
- 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.
- Lin, Qi & Lin, Xi, 2021. "Cash conversion cycle and aggregate stock returns," Journal of Financial Markets, Elsevier, vol. 52(C).
- 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.
- John Cochrane, 2005.
"Financial Markets and the Real Economy,"
NBER Working Papers
11193, National Bureau of Economic Research, Inc.
- 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.
Cited by:
- 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.
- Ekaterini Panopoulou & Sarantis Kalyvitis, 2012. "Estimating C-CAPM and the Equity Premium over the Frequency Domain," DEOS Working Papers 1216, Athens University of Economics and Business.
- 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.
- Baltzer, Markus & Koehl, Alexandra & Reitz, Stefan, 2019.
"Procyclical leverage in Europe and its role in asset pricing,"
Discussion Papers
10/2019, Deutsche Bundesbank.
- Baltzer, Markus & Koehl, Alexandra & Reitz, Stefan, 2020. "Procyclical leverage in Europe and its role in asset pricing," Journal of International Money and Finance, Elsevier, vol. 107(C).
- Bernard Dumas & Marcel R. Savioz, 2020.
"A theory of the nominal character of stock securities,"
Working Papers
2020-03, Swiss National Bank.
- Bernard Dumas & Marcel Savioz, 2020. "A Theory of the Nominal Character of Stock Securities," NBER Working Papers 28186, National Bureau of Economic Research, Inc.
- Dumas, Bernard & Savioz, Marcel René, 2020. "A Theory of the Nominal Character of Stock Securities," CEPR Discussion Papers 15507, C.E.P.R. Discussion Papers.
- 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.
- Parra-Alvarez, Juan Carlos, 2018.
"A Comparison Of Numerical Methods For The Solution Of Continuous-Time Dsge Models,"
Macroeconomic Dynamics, Cambridge University Press, vol. 22(6), pages 1555-1583, September.
- 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.
- 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.
- Schrimpf, Andreas, 2008.
"International Stock Return Predictability Under Model Uncertainty,"
ZEW Discussion Papers
08-048, ZEW - Leibniz Centre for European Economic Research.
- Schrimpf, Andreas, 2010. "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1256-1282, November.
- Wilson, Matthew S., 2020. "Disaggregation and the equity premium puzzle," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 1-18.
- 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.
- George von Furstenberg & Ulf von Kalckreuth, 2007.
"Dependence on External Finance by Manufacturing Sector: Examining the Measure and its Properties,"
CAEPR Working Papers
2007-001, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- 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.
- Nitschka, Thomas, 2006.
"The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability,"
Technical Reports
2006,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- 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.
- Kuang-Liang Chang & Nan-Kuang Chen & Charles Leung, 2011.
"Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock,"
The Journal of Real Estate Finance and Economics, Springer, vol. 43(1), pages 221-257, July.
- 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.
- Sainan Jin & Liangjun Su & Yonghui Zhang, 2014.
"Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models,"
Working Papers
09-2014, Singapore Management University, School of Economics.
- 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.
- 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.
- Bacchetta, Philippe & Mertens, Elmar & van Wincoop, Eric, 2009. "Predictability in financial markets: What do survey expectations tell us?," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 406-426, April.
- Bacchetta, Philippe & van Wincoop, Eric & Mertens, Elmar, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," CEPR Discussion Papers 5770, C.E.P.R. Discussion Papers.
- Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers 06.04, Swiss National Bank, Study Center Gerzensee.
- Philippe Bacchetta & Elmar Mertens & Eric VanvWincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Swiss Finance Institute Research Paper Series 06-15, Swiss Finance Institute, revised Jun 2006.
- Mikael C. Bergbrant & Patrick J. Kelly, 2015.
"Macroeconomic Expectations and the Size, Value and Momentum Factors,"
Working Papers
w0214, New Economic School (NES).
- Mikael C. Bergbrant & Patrick J. Kelly, 2016. "Macroeconomic Expectations and the Size, Value, and Momentum Factors," Financial Management, Financial Management Association International, vol. 45(4), pages 809-844, December.
- Mikael C. Bergbrant & Patrick J. Kelly, 2015. "Macroeconomic Expectations and the Size, Value and Momentum Factors," Working Papers w0214, Center for Economic and Financial Research (CEFIR).
- 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.
- Dison, Will & Theodoridis, Konstantinos, 2017. "Do macro shocks matter for equities?," Bank of England working papers 692, Bank of England.
- Francois Gourio, 2012.
"Disaster Risk and Business Cycles,"
American Economic Review, American Economic Association, vol. 102(6), pages 2734-2766, October.
- François Gourio, 2009. "Disasters Risk and Business Cycles," NBER Working Papers 15399, National Bureau of Economic Research, Inc.
- Francois Gourio, 2009. "Disaster risk and business cycles," 2009 Meeting Papers 1176, Society for Economic Dynamics.
- 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.
- Pagano Patrizio & Pisani Massimiliano, 2009. "Risk-Adjusted Forecasts of Oil Prices," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-28, June.
- Pagano, Patrizio & Pisani, Massimiliano, 2009. "Risk-adjusted forecasts of oil prices," Working Paper Series 999, European Central Bank.
- 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.
- García-Verdú Santiago, 2010. "Equilibrium yield curves under regime switching," Working Papers 2010-08, Banco de México.
- 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.
- Giorgio E. Primiceri & Ernst Schaumburg & Andrea Tambalotti, 2006.
"Intertemporal Disturbances,"
NBER Working Papers
12243, National Bureau of Economic Research, Inc.
- Giorgio Primiceri & Ernst Schaumburg & Andrea Tambalotti, 2006. "Intertemporal disturbances," 2006 Meeting Papers 355, Society for Economic Dynamics.
- 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.
- 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.
- Hanno Lustig & Adrien Verdelhan, 2006.
"The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk,"
Boston University - Department of Economics - Working Papers Series
WP2006-045, Boston University - Department of Economics.
- Lustig, H. & Verdelhan, A., 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Working papers 155, Banque de France.
- Hanno Lustig & Adrien Verdelhan, 2004. "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk," 2004 Meeting Papers 136c, Society for Economic Dynamics.
- Hanno Lustig & Adrien Verdelhan, 2007. "The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk," American Economic Review, American Economic Association, vol. 97(1), pages 89-117, March.
- Adrien Verdelhan & Hanno Lustig, 2005. "The Cross-Section Of Foreign Currency Risk Premia And Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series WP2005-019, Boston University - Department of Economics.
- Georg Kaltenbrunner & Lars Lochstoer, 2007. "Long-Run Risk through Consumption Smoothing," 2007 Meeting Papers 25, Society for Economic Dynamics.
- 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.
- Frederico Belo & Jun Li & Xiaoji Lin & Xiaofei Zhao, 2017. "Labor-Force Heterogeneity and Asset Prices: The Importance of Skilled Labor," The Review of Financial Studies, Society for Financial Studies, vol. 30(10), pages 3669-3709.
- 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.
- Carlo Favero, 2005. "Consumption, Wealth, the Elasticity of Intertemporal Substitution and Long-Run Stock Market Returns," Working Papers 291, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Rangvid, Jesper, 2006. "Output and expected returns," Journal of Financial Economics, Elsevier, vol. 81(3), pages 595-624, September.
- 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.
- Nitschka, Thomas, 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, Elsevier, vol. 22(3), pages 118-124.
- 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.
- Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2014. "Capital Share Risk in U.S. Asset Pricing," NBER Working Papers 20744, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2018. "Capital Share Risk in U.S. Asset Pricing," CEPR Discussion Papers 12628, C.E.P.R. Discussion Papers.
- 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).
- 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.
- Thomas Nitschka, 2007.
"International evidence for return predictability and the implications for long-run covariation of the G7 stock markets,"
IEW - Working Papers
338, Institute for Empirical Research in Economics - University of Zurich.
- 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.
- Nitschka Thomas, 2010. "International Evidence for Return Predictability and the Implications for Long-Run Covariation of the G7 Stock Markets," German Economic Review, De Gruyter, vol. 11(4), pages 527-544, December.
- 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.
- 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.
- Charles Leung, 2007.
"Equilibrium Correlations of Asset Price and Return,"
The Journal of Real Estate Finance and Economics, Springer, vol. 34(2), pages 233-256, February.
- Charles Ka Yui Leung, 2005. "Equilibrium Correlation of Asset Price and Return," Discussion Papers 00017, Chinese University of Hong Kong, Department of Economics.
- Charles Ka Yui Leung, 2005. "Equilibrium Correlation of Asset Price and Return," Departmental Working Papers _175, Chinese University of Hong Kong, Department of Economics.
- Yulei Luo, 2006. "Rational Inattention, Portfolio Choice, and the Equity Premium," Computing in Economics and Finance 2006 56, Society for Computational Economics.
- 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.
- Byrne, Joseph & Fu, Rong, 2016. "Stock Return Prediction with Fully Flexible Models and Coefficients," MPRA Paper 75366, University Library of Munich, Germany.
- Ghattassi, Imen, 2008. "On the predictive power of the surplus consumption ratio," Finance Research Letters, Elsevier, vol. 5(1), pages 21-31, March.
- Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
- 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.
- Tiago Severo & Mr. Marcello M. Estevão, 2010. "Financial Shocks and TFP L4318Growth," IMF Working Papers 2010/023, International Monetary Fund.
- 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.
- 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.
- Martin Bijsterbosch & Tatjana Dahlhaus, 2015. "Key features and determinants of credit-less recoveries," Empirical Economics, Springer, vol. 49(4), pages 1245-1269, December.
- 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.
- 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.
- Helena Chuliá & Montserrat Guillén & Jorge M. Uribe, 2015. "“Measuaring Uncertainty in the Stock Market”," IREA Working Papers 201524, University of Barcelona, Research Institute of Applied Economics, revised Nov 2015.
- 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.
- 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).
- Veronica Guerrieri & Peter Kondor, 2010.
"Fund managers, career concerns, and asset price volatility,"
Staff Report
446, Federal Reserve Bank of Minneapolis.
- Veronica Guerrieri & Péter Kondor, 2009. "Fund Managers, Career Concerns, and Asset Price Volatility," NBER Working Papers 14898, National Bureau of Economic Research, Inc.
- Veronica Guerrieri & Peter Kondor, 2012. "Fund Managers, Career Concerns, and Asset Price Volatility," American Economic Review, American Economic Association, vol. 102(5), pages 1986-2017, August.
- Kondor, Péter & Guerrieri, Veronica, 2011. "Fund Managers, Career Concerns, and Asset Price Volatility," CEPR Discussion Papers 8454, C.E.P.R. Discussion Papers.
- Ivan Jaccard, 2006.
"Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle,"
2006 Meeting Papers
574, Society for Economic Dynamics.
- Ivan Jaccard, 2007. "Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle," Swiss Finance Institute Research Paper Series 07-19, Swiss Finance Institute.
- 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.
- 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.
- 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.
- Hong Lan & Alexander Meyer-Gohde, 2013. "Decomposing Risk in Dynamic Stochastic General Equilibrium," SFB 649 Discussion Papers SFB649DP2013-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Tervala, Juha, 2009. "Export pricing and the cross-country correlation of stock prices," Bank of Finland Research Discussion Papers 28/2009, Bank of Finland.
- 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.
- 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.
- 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.
- 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.
- Huynh, Nhan, 2023. "Unemployment beta and the cross-section of stock returns: Evidence from Australia," International Review of Financial Analysis, Elsevier, vol. 86(C).
- 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.
- 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.
- 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.
- 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).
- Helena Chuliá & Jorge A. Muñoz-Mendoza & Jorge M. Uribe, 2022. ""Energy Firms in Emerging Markets: Systemic Risk and Diversification Opportunities"," IREA Working Papers 202216, University of Barcelona, Research Institute of Applied Economics, revised Oct 2022.
- 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.
- 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.
- 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).
- 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.
- 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.
- Ivan Jaccard, 2007. "Real Estate Prices in Production Economies," 2007 Meeting Papers 645, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Bekiros, Stelios & Shahzad, Syed Jawad Hussain & Arreola-Hernandez, Jose & Ur Rehman, Mobeen, 2018. "Directional predictability and time-varying spillovers between stock markets and economic cycles," Economic Modelling, Elsevier, vol. 69(C), pages 301-312.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
Cited by:
- 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.
- Sylvain, Serginio, 2014. "Does Human Capital Risk Explain The Value Premium Puzzle?," MPRA Paper 54551, University Library of Munich, Germany.
- Nicolas Coeurdacier & Stéphane Guibaud, 2005.
"A dynamic equilibrium model of imperfectly integrated financial markets,"
Working Papers
halshs-00590775, HAL.
- Harjoat Bhamra & Nicolas Coeurdacier & Stéphane Guibaud, 2014. "A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets," Post-Print hal-03393013, HAL.
- Nicolas Coeurdacier & Stéphane Guibaud, 2005. "A dynamic equilibrium model of imperfectly integrated financial markets," PSE Working Papers halshs-00590775, HAL.
- Bhamra, Harjoat S. & Coeurdacier, Nicolas & Guibaud, Stéphane, 2014. "A dynamic equilibrium model of imperfectly integrated financial markets," Journal of Economic Theory, Elsevier, vol. 154(C), pages 490-542.
- Coeurdacier, Nicolas & Guibaud, Stéphane, 2006. "A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets," ESSEC Working Papers DR 06014, ESSEC Research Center, ESSEC Business School.
- Tarek Alexander Hassan, 2012.
"Country Size, Currency Unions, and International Asset Returns,"
NBER Working Papers
18057, National Bureau of Economic Research, Inc.
- Hassan, Tarek, 2012. "Country Size, Currency Unions, and International Asset Returns," CEPR Discussion Papers 8991, C.E.P.R. Discussion Papers.
- Tarek A. Hassan, 2009. "Country Size, Currency Unions, and International Asset Returns," Working Papers 154, Oesterreichische Nationalbank (Austrian Central Bank).
- Tarek A. Hassan, 2013. "Country Size, Currency Unions, and International Asset Returns," Journal of Finance, American Finance Association, vol. 68(6), pages 2269-2308, December.
- Nicolas Coeurdacier & Stéphane Guibaud, 2011.
"International portfolio diversification is better than you think,"
Post-Print
hal-03602483, HAL.
- 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.
- Coeurdacier, Nicolas & Guibaud, Stéphane, 2006. "International Portfolio Diversification Is Better Than You Think," ESSEC Working Papers DR 06013, ESSEC Research Center, ESSEC Business School.
- Nikolai Roussanov, 2010.
"Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns,"
NBER Working Papers
16073, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Harjoat Bhamra & Nicolas Coeurdacier & Stéphane Guibaud, 2014.
"A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets,"
SciencePo Working papers Main
hal-03393013, HAL.
- Harjoat Bhamra & Nicolas Coeurdacier & Stéphane Guibaud, 2014. "A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets," Post-Print hal-03393013, HAL.
- Bhamra, Harjoat S. & Coeurdacier, Nicolas & Guibaud, Stéphane, 2014. "A dynamic equilibrium model of imperfectly integrated financial markets," Journal of Economic Theory, Elsevier, vol. 154(C), pages 490-542.
- 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.
- Tarek Alexander Hassan, 2010. "Country Size, Currency Areas, and International Asset Returns," 2010 Meeting Papers 365, Society for Economic Dynamics.
- 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.
- Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu, 2015. "Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion," American Economic Review, American Economic Association, vol. 105(7), pages 1979-2010, July.
- Stavros Panageas & Jianfeng Yu & Nicolae Garleanu, 2014. "Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion," 2014 Meeting Papers 711, Society for Economic Dynamics.
- 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.
- Curatola, Giuliano, 2017. "Portfolio choice and asset prices when preferences are interdependent," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 197-223.
- 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.
- 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.
- John H Cochrane, 2003.
"Where is the Market Going: Uncertain Facts and Novel Theories,"
Levine's Working Paper Archive
618897000000000762, David K. Levine.
- 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.
- John H. Cochrane, 1998. "Where is the Market Going? Uncertain Facts and Novel Theories," NBER Working Papers 6207, National Bureau of Economic Research, Inc.
Cited by:
- Lin, Xiaoji, 2012.
"Endogenous Technological Progress and the Cross Section of Stock Returns,"
Working Paper Series
2012-22, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Lin, Xiaoji, 2012. "Endogenous technological progress and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 103(2), pages 411-427.
- Lin, Xiaoji, 2009. "Endogenous technological progress and the cross section of stock returns," LSE Research Online Documents on Economics 29047, London School of Economics and Political Science, LSE Library.
- Lin, Xiaoji, 2009. "Endogenous technological progress and the cross section of stock returns," MPRA Paper 14829, University Library of Munich, Germany.
- Xiaoji Lin, 2009. "Endogenous Technological Progress and the Cross Section of Stock Returns," FMG Discussion Papers dp634, Financial Markets Group.
- Pascal St-Amour, 2004. "Ratchet vs Blasé Investors and Asset Markets," CIRANO Working Papers 2004s-11, CIRANO.
- John H. Cochrane, 1999.
"New facts in finance,"
Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
- John H. Cochrane, 1999. "New Facts in Finance," CRSP working papers 490, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- John H. Cochrane, 1999. "New Facts in Finance," NBER Working Papers 7169, National Bureau of Economic Research, Inc.
- Amit Goyal & Ivo Welch & Athanasse Zafirov, 2021.
"A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II,"
Swiss Finance Institute Research Paper Series
21-85, Swiss Finance Institute.
- Amit Goval & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers 10483, National Bureau of Economic Research, Inc.
- 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.
- Ivo Welch & Amit Goyal, 2008. "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
- Horváth, Ferenc, 2017. "Essays on robust asset pricing," Other publications TiSEM e54d7b33-1f27-4b0e-9f84-f, Tilburg University, School of Economics and Management.
- Gene Amromin & Steven A. Sharpe, 2005.
"From the horse’s mouth: gauging conditional expected stock returns from investor surveys,"
Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- 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.).
- Fielding, David & Stracca, Livio, 2007.
"Myopic loss aversion, disappointment aversion, and the equity premium puzzle,"
Journal of Economic Behavior & Organization, Elsevier, vol. 64(2), pages 250-268, October.
- Stracca, Livio & Fielding, David, 2003. "Myopic loss aversion, disappointment aversion, and the equity premium puzzle," Working Paper Series 203, European Central Bank.
- Claudio Campanale, 2008.
"Learning, Ambiguity and Life-cycle Portfolio Allocation,"
CeRP Working Papers
80, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- Claudio Campanale, 2011. "Learning, Ambiguity and Life-Cycle Portfolio Allocation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(2), pages 339-367, April.
- Claudio Campanale, 2009. "Learning, Ambiguity and Life-Cycle Portfolio Allocation," 2009 Meeting Papers 38, Society for Economic Dynamics.
- Olivier Passet, 1999. "Menace américaine sur l'équilibre financier mondial," Revue de l'OFCE, Programme National Persée, vol. 68(1), pages 165-192.
- 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.
- Longstaff, Francis A. & Piazzesi, Monika, 2004.
"Corporate earnings and the equity premium,"
Journal of Financial Economics, Elsevier, vol. 74(3), pages 401-421, December.
- Francis Longstaff & Monika Piazzesi, 2003. "Corporate Earnings and the Equity Premium," NBER Working Papers 10054, National Bureau of Economic Research, Inc.
- Hugo Benítez-Silva, 2003. "Labor Supply Flexibility and Portfolio Choice: An Empirical Analysis," Working Papers wp056, University of Michigan, Michigan Retirement Research Center.
- Sujoy Mukerji & Han N Ozsoylev & Jean‐marc Tallon, 2023.
"Trading ambiguity: a tale of two heterogeneities,"
Post-Print
halshs-03962563, HAL.
- Sujoy Mukerji & Han N Ozsoylev & Jean-Marc Tallon, 2018. "Trading ambiguity: a tale of two heterogeneities," Working Papers halshs-01935319, HAL.
- 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.
- Martin Browning & Thomas F. Crossley, 2000.
"The Life Cycle Model of Consumption and Saving,"
Social and Economic Dimensions of an Aging Population Research Papers
28, McMaster University.
- 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.
- Martin Browning & Thomas Crossley, 2001. "The life-cycle model of consumption and saving," IFS Working Papers W01/15, Institute for Fiscal Studies.
- 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.
- Marco Taboga, 2002.
"The Realized Equity Premium has been Higher than Expected: Further Evidence,"
CeRP Working Papers
29, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- Marco Taboga, 2002. "The realized equity premium has been higher than expected: further evidence," Finance 0210004, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- Lars Peter Hansen & Thomas J Sargent, 2014.
"Doubts or Variability?,"
World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 7, pages 217-256,
World Scientific Publishing Co. Pte. Ltd..
- Barillas, Francisco & Hansen, Lars Peter & Sargent, Thomas J., 2009. "Doubts or variability?," Journal of Economic Theory, Elsevier, vol. 144(6), pages 2388-2418, November.
- 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.
- Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
- 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.
- Lettau, Martin & Ludvigson, Sydney, 2002.
"Expected Returns and Expected Dividend Growth,"
CEPR Discussion Papers
3507, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney Ludvigson, 2003. "Expected Returns and Expected Dividend Growth," NBER Working Papers 9605, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney C., 2005. "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June.
- Rajnish Mehra, 2006. "The Equity Premium in India," NBER Working Papers 12434, National Bureau of Economic Research, Inc.
- 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.
- Laurent Calvet & Martin Gonzalez-Eiras & Paolo Sodini, 2001.
"Financial Innovation, Market Participation and Asset Prices,"
Harvard Institute of Economic Research Working Papers
1928, Harvard - Institute of Economic Research.
- Calvet, Laurent & Gonzalez-Eiras, MartÃn & 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.
- Calvet, Laurent & Gonzalez-Eiras, Martin & Sodini, Paolo, 2001. "Financial Innovation, Market Participation and Asset Prices," SSE/EFI Working Paper Series in Economics and Finance 464, Stockholm School of Economics.
- Laurent Calvet & Martin Gonzalez-Eiras & Paolo Sodini, 2003. "Financial Innovation, Market Participation and Asset Prices," NBER Working Papers 9840, National Bureau of Economic Research, Inc.
- Laurent-Emmanuel Calvet & Martin Gonzales-Eiras & Paolo Sodini, 2004. "Financial Innovation, Market Participation, and Asset Prices," Post-Print hal-00478480, HAL.
- Martin Gonzalez Eiras & Laurent Calvet & Paolo Sodini, 2004. "Financial Innovation, Market Participation, and Asset Prices," Working Papers 76, Universidad de San Andres, Departamento de Economia, revised Sep 2004.
- 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.
- 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.
- 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.
- Dean Croushore, 1999. "How useful are forecasts of corporate profits?," Business Review, Federal Reserve Bank of Philadelphia, issue Sep, pages 3-12.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002.
"Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence,"
Journal of Political Economy, University of Chicago Press, vol. 110(4), pages 793-824, August.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, "undated". "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Rodney L. White Center for Financial Research Working Papers 23-99, Wharton School Rodney L. White Center for Financial Research.
- 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.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 8822, National Bureau of Economic Research, Inc.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 7406, National Bureau of Economic Research, Inc.
- John H. Cochrane, 1999.
"Portfolio advice of a multifactor world,"
Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 59-78.
- 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.
- John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," NBER Working Papers 7170, National Bureau of Economic Research, Inc.
- Amit Goyal & Ivo Welch, 2002.
"Predicting the Equity Premium With Dividend Ratios,"
NBER Working Papers
8788, National Bureau of Economic Research, Inc.
- Amit Goyal & Ivo Welch, 1999. "Predicting the Equity Premium with Dividend Ratios," Yale School of Management Working Papers amz2437, Yale School of Management, revised 01 Nov 2002.
- Amit Goyal & Ivo Welch, 2003. "Predicting the Equity Premium with Dividend Ratios," Management Science, INFORMS, vol. 49(5), pages 639-654, May.
- Marmer, Vadim, 2009.
"Nonlinearity, Nonstationarity, and Spurious Forecasts,"
Microeconomics.ca working papers
vadim_marmer-2009-60, Vancouver School of Economics, revised 03 Nov 2009.
- Marmer, Vadim, 2008. "Nonlinearity, nonstationarity, and spurious forecasts," Journal of Econometrics, Elsevier, vol. 142(1), pages 1-27, January.
- Vadim Marmer, 2005. "Nonlinearity, Nonstationarity and Spurious Forecasts," Econometrics 0503002, University Library of Munich, Germany, revised 15 Dec 2005.
- 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.
- 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.
- George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, August.
- 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.
- 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.
- Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 806-830, October.
- Nicholas Barberis & Ming Huang & Tano Santos, "undated".
"Prospect Theory and Asset Prices,"
CRSP working papers
494, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Nicholas BARBERIS & Ming HUANG & Tano SANTOS, 2000. "Prospect Theory and Asset Prices," FAME Research Paper Series rp16, International Center for Financial Asset Management and Engineering.
- Nicholas Barberis & Ming Huang & Tano Santos, 1999. "Prospect Theory and Asset Prices," NBER Working Papers 7220, National Bureau of Economic Research, Inc.
- Cenesizoglu, Tolga, 2022. "Return decomposition over the business cycle," Journal of Banking & Finance, Elsevier, vol. 143(C).
- 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.
- Andreas Hornstein & Harald Uhlig, 2000. "What is the Real Story for Interest Rate Volatility?," German Economic Review, Verein für Socialpolitik, vol. 1(1), pages 43-67, February.
- Andreas Hornstein & Harald Uhlig, 1999. "What is the real story for interest rate volatility?," Working Paper 99-09, Federal Reserve Bank of Richmond.
- 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.
- Algaba, Andres & Boudt, Kris, 2017. "Generalized financial ratios to predict the equity premium," Economic Modelling, Elsevier, vol. 66(C), pages 244-257.
- 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.
- 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.
- 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.
- Prat, Georges, 2013.
"Equity risk premium and time horizon: What do the U.S. secular data say?,"
Economic Modelling, Elsevier, vol. 34(C), pages 76-88.
- Georges Prat, 2012. "Equity risk premium and time horizon: what do the U.S. secular data say?," Working Papers 12-06, Association Française de Cliométrie (AFC).
- 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.
- Engen, Eric & Gale, William & Uccello, Cori, 1999. "The Adequacy of Household Saving," MPRA Paper 56442, University Library of Munich, Germany.
- Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc.
- Alain Abou & Georges Prat, 2009. "The dynamics of U.S. equity risk premia: lessons from professionals'view," Working Papers hal-04140869, HAL.
- 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.
- 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.
- 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.
- 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.
- Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho.
- 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.
- 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.
- 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.
- 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.
- 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.).
- 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.
- Mehra, Rajnish & Prescott, Edward C., 2003.
"The equity premium in retrospect,"
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 14, pages 889-938,
Elsevier.
- Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
- 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.
- Ravi Jagannathan & Ellen R. McGrattan & Anna Scherbina, 2000.
"The declining U.S. equity premium,"
Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 24(Fall), pages 3-19.
- Ravi Jagannathan & Ellen R. McGrattan & Anna Scherbina, 2001. "The Declining U.S. Equity Premium," NBER Working Papers 8172, National Bureau of Economic Research, Inc.
- George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.).
- 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.
- Monika Piazzesi, 2001. "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects," NBER Working Papers 8246, National Bureau of Economic Research, Inc.
- 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.
- Brian McCulloch & Jane Frances, 2001. "Financing New Zealand Superannuation," Treasury Working Paper Series 01/20, New Zealand Treasury.
- Gene Amromin & Steven A. Sharpe, 2009.
"Expectations of risk and return among household investors: Are their Sharpe ratios countercyclical?,"
Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
- 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.).
- 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.
- 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.
- 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.
- 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.
- John H. Cochrane & Francis Longstaff, 2004. "Two Trees: Asset Price Dynamics Induced by Market Clearing," 2004 Meeting Papers 126, Society for Economic Dynamics.
Cited by:
- Theodoros Diasakos, 2008. "Comparative Statics of Asset Prices," Carlo Alberto Notebooks 72, Collegio Carlo Alberto, revised 2011.
- Frieder, Laura, 2008. "Investor and price response to patterns in earnings surprises," Journal of Financial Markets, Elsevier, vol. 11(3), pages 259-283, August.
- Johnson, Timothy C., 2006. "Dynamic liquidity in endowment economies," Journal of Financial Economics, Elsevier, vol. 80(3), pages 531-562, June.
- Francis A. Longstaff, 2004. "Financial Claustrophobia: Asset Pricing in Illiquid Markets," NBER Working Papers 10411, National Bureau of Economic Research, Inc.
- 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:
- 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.
- Amil Dasgupta & Andrea Prat & Michela Verardo, 2011.
"The Price Impact of Institutional Herding,"
The Review of Financial Studies, Society for Financial Studies, vol. 24(3), pages 892-925.
- Amil Dasgupta & Andrea Prat & Michela Verardo, 2010. "The Price Impact of Institutional Herding," FMG Discussion Papers dp652, Financial Markets Group.
- Prat, Andrea & Dasgupta, Amil & Verardo, Michela, 2010. "The Price Impact of Institutional Herding," CEPR Discussion Papers 7804, C.E.P.R. Discussion Papers.
- 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.
- Jianping Mei & Jose A. Scheinkman & Wei Xiong, 2009. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," CEMA Working Papers 504, China Economics and Management Academy, Central University of Finance and Economics.
- Jianping Mei & Jose A. Scheinkman & Wei Xiong, 2009. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 225-255, November.
- 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.
- Harrison Hong & Jose Scheinkman & Wei Xiong, 2005. "Asset Float and Speculative Bubbles," NBER Working Papers 11367, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Rocheteau, Guillaume & Wright, Randall, 2013.
"Liquidity and asset-market dynamics,"
Journal of Monetary Economics, Elsevier, vol. 60(2), pages 275-294.
- Guillaume Rocheteau & Randall Wright, 2010. "Liquidity and asset market dynamics," Working Papers (Old Series) 1016, Federal Reserve Bank of Cleveland.
- Randall Wright & Guillaume Rocheteau, 2011. "Liquidity and Asset Market Dynamics," 2011 Meeting Papers 103, Society for Economic Dynamics.
- 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.
- Owen A. Lamont & Richard H. Thaler, 2003. "Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs," Journal of Political Economy, University of Chicago Press, vol. 111(2), pages 227-268, April.
- Owen A. Lamont & Richard H. Thaler, 2001. "Can the Market Add and Subtract? Mispricing in Tech Stock Carve-Outs," NBER Working Papers 8302, National Bureau of Economic Research, Inc.
- Malcolm Baker & Jeffrey Wurgler, 2004.
"Investor Sentiment and the Cross-Section of Stock Returns,"
NBER Working Papers
10449, National Bureau of Economic Research, Inc.
- Malcolm Baker & Jeffrey Wurgler, 2006. "Investor Sentiment and the Cross‐Section of Stock Returns," Journal of Finance, American Finance Association, vol. 61(4), pages 1645-1680, August.
- Zeng, Yeqin, 2016. "Institutional investors: Arbitrageurs or rational trend chasers," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 240-262.
- Milo Bianchi & Philippe Jehiel, 2008.
"Bubbles and crashes with partially sophisticated investors,"
Working Papers
halshs-00586045, HAL.
- Milo Bianchi & Philippe Jehiel, 2010. "Bubbles and Crashes with Partially Sophisticated Investors," Levine's Working Paper Archive 122247000000002180, David K. Levine.
- Milo Bianchi & Philippe Jehiel, 2008. "Bubbles and crashes with partially sophisticated investors," PSE Working Papers halshs-00586045, HAL.
- 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.
- Alankar, Ashwin & Blaustein, Peter & Scholes, Myron S., 2014. "The Cost of Constraints: Risk Management, Agency Theory and Asset Prices," Research Papers 3086, Stanford University, Graduate School of Business.
- J. Scheinkman & W. Xiong, 2002. "Overconfidence, Short-Sale Constraints and Bubbles," Princeton Economic Theory Working Papers 98734966f1c1a57373801367f, David K. Levine.
- 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.
- 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.
- Eric Zwick & Charles Nathanson & Anthony DeFusco, 2017. "Speculative Dynamics of Prices and Volume," 2017 Meeting Papers 239, Society for Economic Dynamics.
- DeFusco, Anthony A. & Nathanson, Charles G. & Zwick, Eric, 2022. "Speculative dynamics of prices and volume," Journal of Financial Economics, Elsevier, vol. 146(1), pages 205-229.
- 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.
- 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.
- 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.
- 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).
- Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012.
"Global, local, and contagious investor sentiment,"
Journal of Financial Economics, Elsevier, vol. 104(2), pages 272-287.
- Malcolm Baker & Jeffrey Wurgler & Yu Yuan, 2009. "Global, local, and contagious investor sentiment," Globalization Institute Working Papers 37, Federal Reserve Bank of Dallas.
- Powers, Eric & Xiao, Gang, 2014. "Mispricing of Chinese warrants," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 62-86.
- 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.
- 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.
- 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.
- Bidian, Florin, 2015. "Portfolio constraints, differences in beliefs and bubbles," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 317-326.
- Chaim, Pedro & Laurini, Márcio P., 2019. "Is Bitcoin a bubble?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 222-232.
- Bejan, Camelia & Bidian, Florin, 2014. "Bubbles and trading in incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 137-144.
- 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.
- Harrison Hong & Jose Scheinkman & Wei Xiong, 2005. "Asset Float and Speculative Bubbles," Levine's Bibliography 122247000000000861, UCLA Department of Economics.
- Marcel Nutz & José A. Scheinkman, 2020. "Shorting in Speculative Markets," Journal of Finance, American Finance Association, vol. 75(2), pages 995-1036, April.
- 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.
- Robe, Michel A., 2022. "The dollar’s ”Convenience Yield”," Finance Research Letters, Elsevier, vol. 48(C).
- 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.
- Patrick Bolton & Jose A. Scheinkman & Wei Xiong, 2003. "Executive Compensation and Short-termist Behavior in Speculative Markets," Levine's Working Paper Archive 506439000000000124, David K. Levine.
- Patrick Bolton & Jose Scheinkman & Wei Xiong, 2003. "Executive Compensation and Short-termist Behavior in Speculative Markets," NBER Working Papers 9722, National Bureau of Economic Research, Inc.
- Marcel Nutz & José A. Scheinkman, 2017. "Supply and Shorting in Speculative Markets," NBER Working Papers 23751, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
Cited by:
- 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.
- Ferrero, Giuseppe & Nobili, Andrea, 2008. "Futures contract rates as monetary policy forecasts," Working Paper Series 979, European Central Bank.
- Ben S. Bernanke & Kenneth N. Kuttner, 2004.
"What Explains the Stock Market's Reaction to Federal Reserve Policy?,"
NBER Working Papers
10402, National Bureau of Economic Research, Inc.
- 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.
- Ben S. Bernanke & Kenneth N. Kuttner, 2004. "What explains the stock market's reaction to Federal Reserve policy?," Finance and Economics Discussion Series 2004-16, Board of Governors of the Federal Reserve System (U.S.).
- Ben S. Bernanke & Kenneth N. Kuttner, 2003. "What explains the stock market's reaction to Federal Reserve policy?," Staff Reports 174, Federal Reserve Bank of New York.
- Ben S. Bernanke & Kenneth N. Kuttner, 2003. "What explains the stock market's reaction to Federal Reserve policy?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Corsetti, G. & Duarte, J. B. & Mann, S., 2018.
"One Money, Many Markets - A Factor Model Approach to Monetary Policy in the Euro Area with High-Frequency Identification,"
Cambridge Working Papers in Economics
1816, Faculty of Economics, University of Cambridge.
- 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.
- 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.
- Xin Zhang & Christoph Bertsch & Isaiah Hull, 2017. "Monetary Normalizations and Consumer Credit: Evidence from Fed Liftoff and Online Lending," 2017 Meeting Papers 442, Society for Economic Dynamics.
- Michael D. Bauer & Carolin E. Pflueger & Adi Sunderam, 2022.
"Perceptions about Monetary Policy,"
CESifo Working Paper Series
10182, CESifo.
- Bauer, Michael D. & Pflueger, Carolin E. & Sunderam, Adi, 2022. "Perceptions about monetary policy," IMFS Working Paper Series 176, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Bauer, Michael & Pflueger, Carolin & Sunderam, Adi, 2022. "Perceptions about Monetary Policy," CEPR Discussion Papers 17758, C.E.P.R. Discussion Papers.
- Bauer, Michael & Pflueger, Carolin & Sunderam, Adi, 2022. "Perceptions about Monetary Policy," CEPR Discussion Papers 17574, C.E.P.R. Discussion Papers.
- Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2023. "Perceptions about Monetary Policy," Working Paper Series 2023-31, Federal Reserve Bank of San Francisco.
- Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2022. "Perceptions about Monetary Policy," NBER Working Papers 30480, National Bureau of Economic Research, Inc.
- 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.
- Schmeling, Maik & Schrimpf, Paul & Kroencke, Tim, 2019.
"The FOMC Risk Shift,"
CEPR Discussion Papers
14037, C.E.P.R. Discussion Papers.
- Kroencke, Tim-Alexander & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC risk shift," SAFE Working Paper Series 302, Leibniz Institute for Financial Research SAFE.
- Kroencke, Tim A. & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC Risk Shift," Journal of Monetary Economics, Elsevier, vol. 120(C), pages 21-39.
- Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005.
"Taylor rules, McCallum rules and the term structure of interest rates,"
Journal of Monetary Economics, Elsevier, vol. 52(5), pages 921-950, July.
- 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.
- Michael Gallmeyer & Burton Hollifield & Stanley E. Zin, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," NBER Working Papers 11276, National Bureau of Economic Research, Inc.
- 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.
- 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).
- Paul Hubert & Fabien Labondance, 2019.
"Central bank tone and the dispersion of views within monetary policy committees,"
Working Papers
hal-03403256, HAL.
- Paul Hubert & Fabien Labondance, 2020. "Central Bank Tone and the Dispersion of Views within Monetary Policy Committees," Sciences Po publications 02/2020, Sciences Po.
- Paul Hubert & Fabien Labondance, 2019. "Central bank tone and the dispersion of views within monetary policy committees," Working Papers 2019-08, CRESE.
- Paul Hubert & Fabien Labondance, 2020. "Central Bank Tone and the Dispersion of Views within Monetary Policy Committees," SciencePo Working papers Main hal-03403074, HAL.
- Paul Hubert & Fabien Labondance, 2020. "Central Bank Tone and the Dispersion of Views within Monetary Policy Committees," Documents de Travail de l'OFCE 2020-02, Observatoire Francais des Conjonctures Economiques (OFCE).
- Paul Hubert & Fabien Labondance, 2019. "Central bank tone and the dispersion of views within monetary policy committees," Sciences Po publications 2019 – 08, Sciences Po.
- Paul Hubert & Fabien Labondance, 2020. "Central Bank Tone and the Dispersion of Views within Monetary Policy Committees," Working Papers hal-03403074, HAL.
- Paul Hubert & Fabien Labondance, 2019. "Central bank tone and the dispersion of views within monetary policy committees," SciencePo Working papers Main hal-03403256, HAL.
- 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.
- Elías Albagli & Luis Ceballos & Sebastián Claro & Damián Romero, 2015. "Channels of US Monetary Policy Spillovers into International Bond Markets," Working Papers Central Bank of Chile 771, Central Bank of Chile.
- Elias Albagli & Luis Ceballos & Sebastián Claro & Damian Romero, 2018. "Channels of US monetary policy spillovers to international bond markets," BIS Working Papers 719, Bank for International Settlements.
- Paul Hubert & Fabien Labondance, 2016.
"Central Bank sentiment and policy expectations,"
Documents de Travail de l'OFCE
2016-29, Observatoire Francais des Conjonctures Economiques (OFCE).
- Hubert, Paul & Labondance, Fabien, 2017. "Central bank sentiment and policy expectations," Bank of England working papers 648, Bank of England.
- Paul Hubert & Fabien Labondance, 2016. "Central Bank Sentiment and Policy Expectations," Working Papers hal-01374710, HAL.
- Fabien Labondance & Paul Hubert, 2017. "Central Bank sentiment and policy expectations," Sciences Po publications 648, Sciences Po.
- Paul Hubert & Fabien Labondance, 2016. "Central Bank Sentiment and Policy Expectations," Working Papers 2016-07, CRESE.
- Paul Hubert & Fabien Labondance, 2016. "Central Bank Sentiment and Policy Expectations," Working Papers hal-03459227, HAL.
- Fabien Labondance & Paul Hubert, 2017. "Central Bank sentiment and policy expectations," SciencePo Working papers Main hal-03457514, HAL.
- Paul Hubert & Fabien Labondance, 2016. "Central Bank Sentiment and Policy Expectations," Sciences Po publications 2016-29, Sciences Po.
- Fabien Labondance & Paul Hubert, 2017. "Central Bank sentiment and policy expectations," Working Papers hal-03457514, HAL.
- Paul Hubert & Fabien Labondance, 2016. "Central Bank Sentiment and Policy Expectations," SciencePo Working papers Main hal-03459227, HAL.
- Paul Hubert & Fabien Labondance, 2016. "Central Bank Sentiment and Policy Expectations," Sciences Po publications 2016-29, Sciences Po.
- Cécile Couharde & Hamza Bennani & Yoan Wallois, 2021.
"Do IMF Reports Affect Market Expectations ? A Sentiment Analysis Approach,"
EconomiX Working Papers
2021-6, University of Paris Nanterre, EconomiX.
- Cécile Couharde & Hamza Bennani & Yoan Wallois, 2021. "Do IMF Reports Affect Market Expectations ? A Sentiment Analysis Approach," Working Papers hal-04159751, HAL.
- 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.
- 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.
- Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson, 2002. "Market-based measures of monetary policy expectations," Finance and Economics Discussion Series 2002-40, Board of Governors of the Federal Reserve System (U.S.).
- Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson, 2006. "Market-based measures of monetary policy expectations," Working Paper Series 2006-04, Federal Reserve Bank of San Francisco.
- 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.
- Caio Almeida & José Vicente, 2008. "Are Interest Rate Options Important for the Assessment of Interest Rate Risk?," Working Papers Series 179, Central Bank of Brazil, Research Department.
- Piazzesi, Monika & Swanson, Eric T., 2008.
"Futures prices as risk-adjusted forecasts of monetary policy,"
Journal of Monetary Economics, Elsevier, vol. 55(4), pages 677-691, May.
- Monika Piazzesi & Eric T. Swanson, 2006. "Futures prices as risk-adjusted forecasts of monetary policy," Working Paper Series 2006-23, Federal Reserve Bank of San Francisco.
- Monika Piazzesi & Eric Swanson, 2004. "Futures Prices as Risk-adjusted Forecasts of Monetary Policy," NBER Working Papers 10547, National Bureau of Economic Research, Inc.
- Monika Piazzesi & Eric T. Swanson, 2004. "Future prices as risk-adjusted forecasts of monetary policy," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Jonathan A. Parker, 2011.
"On Measuring the Effects of Fiscal Policy in Recessions,"
NBER Working Papers
17240, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- Hack, Lukas & Istrefi, Klodiana & Meier, Matthias, 2023.
"Identification of systematic monetary policy,"
Working Paper Series
2851, European Central Bank.
- Istrefi, Klodiana & Hack, Lukas & Meier, Matthias, 2023. "Identification of Systematic Monetary Policy," CEPR Discussion Papers 17999, C.E.P.R. Discussion Papers.
- Maik Schmeling & Andreas Schrimpf & Sigurd A. M. Steffensen, 2022.
"Monetary policy expectation errors,"
BIS Working Papers
996, Bank for International Settlements.
- Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
- 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.
- 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.
- 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.
- Ricardo Nunes & Ali Ozdagli & Jenny Tang, 2022.
"Interest Rate Surprises: A Tale of Two Shocks,"
Working Papers
22-2, Federal Reserve Bank of Boston.
- Ricardo Nunes & Ali Ozdagli & Jenny Tang, 2023. "Interest Rate Surprises: A Tale of Two Shocks," Discussion Papers 2320, Centre for Macroeconomics (CFM).
- Ricardo Nunes & Ali Ozdagli & Jenny Tang, 2023. "Interest Rate Surprises: A Tale of Two Shocks," School of Economics Discussion Papers 0923, School of Economics, University of Surrey.
- Ricardo Nunes & Ali Ozdagli & Jenny Tang, 2022. "Interest Rate Surprises: A Tale of Two Shocks," Working Papers 2213, Federal Reserve Bank of Dallas.
- 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.
- Yuan Yuan, 2014. "Funding Liquidity and Market Liquidity," DETU Working Papers 1406, Department of Economics, Temple University.
- Rosa, Carlo, 2011. "Words that shake traders," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 915-934.
- 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.
- Cesa-Bianchi, Ambrogio & Thwaites, Gregory & Vicondoa, Alejandro, 2016. "Monetary policy transmission in an open economy: new data and evidence from the United Kingdom," Bank of England working papers 615, Bank of England.
- Ambrogio Cesa-Bianchi & Gregory Thwaites & Alejandro Vicondoa, 2016. "Monetary Policy Transmission in an Open Economy: New Data and Evidence from the United Kingdom," Discussion Papers 1612, Centre for Macroeconomics (CFM), revised Aug 2016.
- Mark Gertler & Peter Karadi, 2014.
"Monetary Policy Surprises, Credit Costs and Economic Activity,"
NBER Working Papers
20224, National Bureau of Economic Research, Inc.
- Peter Karadi & Mark Gertler, 2015. "Monetary Policy Surprises, Credit Costs, and Economic Activity," 2015 Meeting Papers 447, Society for Economic Dynamics.
- Gertler, Mark & Karadi, Peter, 2014. "Monetary Policy Surprises, Credit Costs and Economic Activity," CEPR Discussion Papers 9824, C.E.P.R. Discussion Papers.
- Mark Gertler & Peter Karadi, 2013. "Monetary Policy Surprises, Credit Costs and Economic Activity," NBER Chapters, in: Lessons from the Financial Crisis for Monetary Policy, National Bureau of Economic Research, Inc.
- 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.
- Koeniger, Winfried & Ramelet, Marc-Antoine, 2018.
"Home ownership and monetary policy transmission,"
CFS Working Paper Series
615, Center for Financial Studies (CFS).
- Koeniger, Winfried & Lennartz, Benedikt & Ramelet, Marc-Antoine, 2022. "On the transmission of monetary policy to the housing market," European Economic Review, Elsevier, vol. 145(C).
- Winfried Koeniger & Marc-Antoine Ramelet, 2018. "Home Ownership and Monetary Policy Transmission," SOEPpapers on Multidisciplinary Panel Data Research 1007, DIW Berlin, The German Socio-Economic Panel (SOEP).
- Winfried Koeniger & Marc-Antoine Ramelet, 2018. "Home Ownership and Monetary Policy Transmission," CESifo Working Paper Series 7361, CESifo.
- Koeniger, Winfried & Ramelet, Marc-Antoine, 2018. "Home Ownership and Monetary Policy Transmission," Economics Working Paper Series 1814, University of St. Gallen, School of Economics and Political Science.
- Koeniger, Winfried & Ramelet, Marc-Antoine, 2018. "Home Ownership and Monetary Policy Transmission," IZA Discussion Papers 11950, Institute of Labor Economics (IZA).
- 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.
- 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.
- Priit Jeenas & Ricardo Lagos, 2024.
"Q-Monetary Transmission,"
Journal of Political Economy, University of Chicago Press, vol. 132(3), pages 971-1012.
- Priit Jeenas & Ricardo Lagos, 2022. "Q-Monetary Transmission," NBER Working Papers 30023, National Bureau of Economic Research, Inc.
- Priit Jeenas & Ricardo Lagos, 2022. "Q-Monetary Transmission," Working Papers 1348, Barcelona School of Economics.
- Priit Jeenas & Ricardo Lagos, 2022. "Q-Monetary Transmission," Economics Working Papers 1839, Department of Economics and Business, Universitat Pompeu Fabra.
- 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.
- 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.
- Carlo Rosa & Giovanni Verga, 2006. "The Impact of Central Bank Announcements on Asset Prices in Real Time: Testing the Efficiency of the Euribor Futures Market," CEP Discussion Papers dp0764, Centre for Economic Performance, LSE.
- Holtemöller, Oliver & Kriwoluzky, Alexander & Kwak, Boreum, 2020.
"Exchange rates and the information channel of monetary policy,"
IWH Discussion Papers
17/2020, Halle Institute for Economic Research (IWH).
- 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.
- 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.
- 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.
- Christophe Blot & Caroline Bozou & Jérôme Creel & Paul Hubert, 2021. "Are all Central Bank Asset Purchases the Same? Different Rationales, Different Effects," Working Papers hal-03554141, HAL.
- Kandil, Magda, 2005. "Money, interest, and prices: Some international evidence," International Review of Economics & Finance, Elsevier, vol. 14(2), pages 129-147.
- 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).
- Joost Bats & Massimo Giuliodori & Aerdt Houben, 2020. "Monetary policy effects in times of negative interest rates: What do bank stock prices tell us?," Working Papers 694, DNB.
- 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.
- Simon Gilchrist & J. David López-Salido & Egon Zakrajšek, 2014. "Monetary Policy and Real Borrowing Costs at the Zero Lower Bound," Finance and Economics Discussion Series 2014-03, Board of Governors of the Federal Reserve System (U.S.).
- Simon Gilchrist & J. David López-Salido & Egon Zakrajšek, 2014. "Monetary Policy and Real Borrowing Costs at the Zero Lower Bound," Finance and Economics Discussion Series 2014-39, Board of Governors of the Federal Reserve System (U.S.).
- Simon Gilchrist & David López-Salido & Egon Zakrajšek, 2013. "Monetary Policy and Real Borrowing Costs at the Zero Lower Bound," NBER Chapters, in: Lessons from the Financial Crisis for Monetary Policy, National Bureau of Economic Research, Inc.
- Simon Gilchrist & David López-Salido & Egon Zakrajšek, 2014. "Monetary Policy and Real Borrowing Costs at the Zero Lower Bound," NBER Working Papers 20094, National Bureau of Economic Research, Inc.
- Gilchrist, Simon & López-Salido, J David & Zakrajsek, Egon, 2014. "Monetary Policy and Real Borrowing Costs at the Zero Lower Bound," CEPR Discussion Papers 9971, C.E.P.R. Discussion Papers.
- Christophe Blot & Paul Hubert & Jérôme Creel & Caroline Bozou, 2023.
"The conditionality of monetary policy instruments,"
Working Papers
hal-04159848, HAL.
- Christophe Blot & Paul Hubert & Jérôme Creel & Caroline Bozou, 2023. "The conditionality of monetary policy instruments," EconomiX Working Papers 2023-15, University of Paris Nanterre, EconomiX.
- Sophocles N. Brissimis & Nicholas S. Magginas, 2004.
"Forward-Looking Information in VAR Models and the Price Puzzle,"
Working Papers
10, Bank of Greece.
- Brissimis, Sophocles N. & Magginas, Nicholas S., 2006. "Forward-looking information in VAR models and the price puzzle," Journal of Monetary Economics, Elsevier, vol. 53(6), pages 1225-1234, September.
- 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.
- Ricardo Lagos & Shengxing Zhang, 2016.
"Turnover Liquidity and the Transmission of Monetary Policy,"
Working Papers
734, Federal Reserve Bank of Minneapolis.
- Shengxing Zhang & Ricardo Lagos, 2016. "Turnover Liquidity and the Transmission of Monetary Policy," 2016 Meeting Papers 1569, Society for Economic Dynamics.
- 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.
- Ricardo Lagos & Shengxing Zhang, 2020. "Turnover Liquidity and the Transmission of Monetary Policy," American Economic Review, American Economic Association, vol. 110(6), pages 1635-1672, June.
- Ricardo Lagos & Shengxing Zhang, 2018. "Turnover Liquidity and the Transmission of Monetary Policy," NBER Working Papers 25106, National Bureau of Economic Research, Inc.
- Wong, Arlene, 2014. "Population Aging and the Aggregate Effects of Monetary Policy," MPRA Paper 57096, University Library of Munich, Germany.
- 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.).
- Hanson, Samuel G. & Stein, Jeremy C., 2015. "Monetary policy and long-term real rates," Journal of Financial Economics, Elsevier, vol. 115(3), pages 429-448.
- 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.
- Giancarlo Corsetti & Romain Lafarguette & Arnaud Mehl, 2019. "Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market," Discussion Papers 1914, Centre for Macroeconomics (CFM).
- Corsetti, Giancarlo & Lafarguette, Romain & Mehl, Arnaud, 2019. "Fast trading and the virtue of entropy: evidence from the foreign exchange market," Working Paper Series 2300, European Central Bank.
- 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.
- Daniel L. Thornton, 2009. "The identification of the response of interest rates to monetary policy actions using market-based measures of monetary policy shocks," Working Papers 2009-037, Federal Reserve Bank of St. Louis.
- 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.
- di Giovanni, Julian & Rogers, John, 2022. "The Impact of U.S. Monetary Policy on Foreign Firms," CEPR Discussion Papers 17682, C.E.P.R. Discussion Papers.
- Julian di Giovanni & John H. Rogers, 2022. "The Impact of U.S. Monetary Policy on Foreign Firms," Staff Reports 1039, Federal Reserve Bank of New York.
- Simon Gilchrist & Vivian Z. Yue & Egon Zakrajšek, 2018.
"US Monetary Policy and International Bond Markets,"
Finance and Economics Discussion Series
2018-014, Board of Governors of the Federal Reserve System (U.S.).
- Simon Gilchrist & Vivian Yue & Egon Zakrajšek, 2019. "US Monetary Policy and International Bond Markets," NBER Working Papers 26012, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Filippo Ferroni, 2018.
"Delphic and Odyssean monetary policy shocks: Evidence from the euro-area,"
2018 Meeting Papers
60, Society for Economic Dynamics.
- Philippe Andrade & Filippo Ferroni, 2019. "Delphic and Odyssean Monetary Policy Shocks: Evidence from the Euro Area," Working Papers 19-17, Federal Reserve Bank of Boston.
- Philippe Andrade & Filippo Ferroni, 2016. "Delphic and Odyssean monetary policy shocks: Evidence from the euro-area," School of Economics Discussion Papers 1216, School of Economics, University of Surrey.
- Andrade, Philippe & Ferroni, Filippo, 2021. "Delphic and odyssean monetary policy shocks: Evidence from the euro area," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 816-832.
- 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.
- 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.
- 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.
- 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.
- Emi Nakamura & Jón Steinsson, 2013. "High Frequency Identification of Monetary Non-Neutrality: The Information Effect," NBER Working Papers 19260, National Bureau of Economic Research, Inc.
- Jung, Alexander & Uhlig, Harald, 2019. "Monetary policy shocks and the health of banks," Working Paper Series 2303, European Central Bank.
- 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.
- Masahiko Shibamoto, 2016.
"Source of Underestimation of the Monetary Policy Effect: Re-Examination of the Policy Effectiveness in Japan's 1990s,"
Manchester School, University of Manchester, vol. 84(6), pages 795-810, December.
- 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.
- 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.
- Gonçalves, Sílvia & Herrera, Ana María & Kilian, Lutz & Pesavento, Elena, 2021.
"Impulse response analysis for structural dynamic models with nonlinear regressors,"
Journal of Econometrics, Elsevier, vol. 225(1), pages 107-130.
- 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.
- 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.
- Valerie A. Ramey, 2016.
"Macroeconomic Shocks and Their Propagation,"
NBER Working Papers
21978, National Bureau of Economic Research, Inc.
- Ramey, V.A., 2016. "Macroeconomic Shocks and Their Propagation," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 71-162, Elsevier.
- Ramey, VA, 2016. "Macroeconomic Shocks and Their Propagation," University of California at San Diego, Economics Working Paper Series qt5mb353t2, Department of Economics, UC San Diego.
- Saleem A. Bahaj, 2014.
"Systemic Sovereign Risk: Macroeconomic Implications in the Euro Area,"
Working Papers
191, Oesterreichische Nationalbank (Austrian Central Bank).
- Bahaj, Saleem A., 2014. "Systemic sovereign risk: macroeconomic implications in the euro area," LSE Research Online Documents on Economics 58110, London School of Economics and Political Science, LSE Library.
- Saleem Bahaj, 2014. "Systemic Sovereign Risk: Macroeconomic Implications in the Euro Area," Discussion Papers 1406, Centre for Macroeconomics (CFM).
- Bennani, Hamza, 2019.
"Does People's Bank of China communication matter? Evidence from stock market reaction,"
Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.
- Hamza Bennani, 2019. "Does People's Bank of China Communication Matter? Evidence from Stock Market Reaction," Post-Print hal-02127840, HAL.
- Bennani, Hamza, 2019. "Does People's Bank of China communication matter? Evidence from stock market reaction," BOFIT Discussion Papers 9/2019, Bank of Finland Institute for Emerging Economies (BOFIT).
- 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).
- Olivier Coibion & Yuriy Gorodnichenko & Lorenz Kueng & John Silvia, 2020. "Innocent Bystanders? Monetary Policy and Inequality in the U.S," Swiss Finance Institute Research Paper Series 20-36, Swiss Finance Institute.
- Mr. John Silvia & Mr. Lorenz Kueng & Mr. Olivier Coibion & Mr. Yuriy Gorodnichenko, 2012. "Innocent Bystanders? Monetary Policy and Inequality in the U.S," IMF Working Papers 2012/199, International Monetary Fund.
- Olivier Coibion & Yuriy Gorodnichenko & Lorenz Kueng & John Silvia, 2012. "Innocent Bystanders? Monetary Policy and Inequality in the U.S," NBER Working Papers 18170, National Bureau of Economic Research, Inc.
- Entorf, Horst & Steiner, Christian, 2006.
"Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose,"
Publications of Darmstadt Technical University, Institute for Business Studies (BWL)
36782, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- 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.
- Entorf, Horst & Steiner, Christian, 2006. "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose," Darmstadt Discussion Papers in Economics 159, Darmstadt University of Technology, Department of Law and Economics.
- Entorf, Horst & Steiner, Christian, 2009. "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77415, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- 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.
- Giancarlo Corsetti & Joao B. Duarte & Samuel Mann, 2020. "One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area," IMF Working Papers 2020/108, International Monetary Fund.
- 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).
- Ruediger Bachmann & Isabel Gödl-Hanisch & Eric R. Sims, 2021. "Identifying Monetary Policy Shocks Using the Central Bank's Information Set," NBER Working Papers 29572, National Bureau of Economic Research, Inc.
- Georgiadis, Georgios & Jarociński, Marek, 2023. "Global spillovers from multi-dimensional US monetary policy," Working Paper Series 2881, European Central Bank.
- 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..
- Vicondoa, Alejandro, 2016. "Monetary News, U.S. Interest Rate and Business Cycles in Emerging Economies," Economics Working Papers ECO2016/10, European University Institute.
- 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.
- 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.
- Giannone, Domenico & Altavilla, Carlo & Lenza, Michele, 2014.
"The financial and macroeconomic effects of OMT announcements,"
Working Paper Series
1707, European Central Bank.
- Carlo Altavilla & Domenico Giannone & Michele Lenza, 2014. "The Financial and Macroeconomic Effects of the OMT Announcements," CSEF Working Papers 352, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Carlo Altavilla & Domenico Giannone & Michele Lenza, 2016. "The Financial and Macroeconomic Effects of the OMT Announcements," International Journal of Central Banking, International Journal of Central Banking, vol. 12(3), pages 29-57, September.
- Giannone, Domenico & Lenza, Michele & Altavilla, Carlo, 2014. "The Financial and Macroeconomic Effects of OMT Announcements," CEPR Discussion Papers 10025, C.E.P.R. Discussion Papers.
- Michele Lenza, 2015. "The financial and macroeconomic effects of OMT announcements," Research Bulletin, European Central Bank, vol. 22, pages 12-16.
- Carlo Altavilla & Domenico Giannone & Michèle Lenza, 2014. "The Financial and Macroeconomic Effects of OMT Announcements," Working Papers ECARES ECARES 2014-31, ULB -- Universite Libre de Bruxelles.
- Miranda-Agrippino, Silvia, 2016.
"Unsurprising shocks: information, premia, and the monetary transmission,"
Bank of England working papers
626, Bank of England.
- Miranda-Agrippino, Silvia, 2016. "Unsurprising shocks: information, Premia, and the Monetary Transmission," LSE Research Online Documents on Economics 86234, London School of Economics and Political Science, LSE Library.
- Silvia Miranda-Agrippino, 2015. "Unsurprising Shocks: Information, Premia, and the Monetary Transmission," Discussion Papers 1613, Centre for Macroeconomics (CFM), revised Apr 2016.
- Ehrmann, Michael & Fratzscher, Marcel, 2007.
"Explaining monetary policy in press conferences,"
Working Paper Series
767, European Central Bank.
- Michael Ehrmann & Marcel Fratzscher, 2009. "Explaining Monetary Policy in Press Conferences," International Journal of Central Banking, International Journal of Central Banking, vol. 5(2), pages 42-84, June.
- 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.
- 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.
- Kliem, Martin & Meyer-Gohde, Alexander, 2019.
"(Un)expected monetary policy shocks and term premia,"
IMFS Working Paper Series
137, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Martin Kliem & Alexander Meyer‐Gohde, 2022. "(Un)expected monetary policy shocks and term premia," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 477-499, April.
- Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected monetary policy shocks and term premia," Discussion Papers 30/2017, Deutsche Bundesbank.
- Martin Kliem & Alexander Meyer-Gohde, 2017. "(Un)expected Monetary Policy Shocks and Term Premia," SFB 649 Discussion Papers SFB649DP2017-015, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Martin Kliem & Alexander Meyer-Gohde, 2018. "(Un)expected Monetary Policy Shocks and Term Premia," 2018 Meeting Papers 102, Society for Economic Dynamics.
- Neville Francis, 2012. "The Low-Frequency Impact of Daily Monetary Policy Shock," 2012 Meeting Papers 198, Society for Economic Dynamics.
- Badye Essid & Tolga Cenesizoglu, 2010. "The Effect of Monetary Policy on Credit Spreads," 2010 Meeting Papers 1139, Society for Economic Dynamics.
- 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.
- Kliem, Martin & Kriwoluzky, Alexander, 2013.
"Reconciling narrative monetary policy disturbances with structural VAR model shocks?,"
Economics Letters, Elsevier, vol. 121(2), pages 247-251.
- Kliem, Martin & Kriwoluzky, Alexander, 2013. "Reconciling narrative monetary policy disturbances with structural VAR model shocks?," Discussion Papers 23/2013, Deutsche Bundesbank.
- Bjørn-Roger Wilhelmsen & Andrea Zaghini, 2011.
"Monetary policy predictability in the euro area: an international comparison,"
Applied Economics, Taylor & Francis Journals, vol. 43(20), pages 2533-2544.
- Bjørn-Roger Wilhelmsen & Andrea Zaghini, 2005. "Monetary policy predictability in the euro area: An international comparison," Working Paper 2005/7, Norges Bank.
- Zaghini, Andrea & Wilhelmsen, Björn-Roger, 2005. "Monetary policy predictability in the euro area: an international comparison," Working Paper Series 504, European Central Bank.
- 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.
- Vithessonthi, Chaiporn & Schwaninger, Markus & Müller, Matthias O., 2017. "Monetary policy, bank lending and corporate investment," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 129-142.
- Pinchetti, Marco & Szczepaniak, Andrzej, 2021. "Global spillovers of the Fed information effect," Bank of England working papers 952, Bank of England.
- Jon Faust & Eric T. Swanson & Jonathan H. Wright, 2002.
"Identifying vars based on high frequency futures data,"
International Finance Discussion Papers
720, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- Gorea, Denis & Kryvtsov, Oleksiy & Kudlyak, Marianna, 2022.
"House Price Responses to Monetary Policy Surprises: Evidence from the U.S. Listings Data,"
IZA Discussion Papers
15481, Institute of Labor Economics (IZA).
- 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.
- Denis Gorea & Oleksiy Kryvtsov & Marianna Kudlyak, 2022. "House Price Responses to Monetary Policy Surprises: Evidence from the U.S. Listings Data," Working Paper Series 2022-16, Federal Reserve Bank of San Francisco.
- Denis Gorea & Oleksiy Kryvtsov & Marianna Kudlyak, 2022. "House Price Responses to Monetary Policy Surprises: Evidence from the U.S. Listings Data," Staff Working Papers 22-39, Bank of Canada.
- Federico A. Bugni & Jia Li & Qiyuan Li, 2020. "Permutation-based tests for discontinuities in event studies," Papers 2007.09837, arXiv.org, revised Jul 2022.
- 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.
- Weber, Enzo & Wolters, Jürgen, 2010.
"Risk and Policy Shocks on the US Term Structure,"
University of Regensburg Working Papers in Business, Economics and Management Information Systems
438, University of Regensburg, Department of Economics.
- 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.
- 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.
- Aaron Drew & Özer Karagedikli, 2008. "Some benefits of monetary policy transparency in New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2008/01, Reserve Bank of New Zealand.
- 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).
- Hubert, Paul & Labondance, Fabien, 2021. "The signaling effects of central bank tone," European Economic Review, Elsevier, vol. 133(C).
- 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.
- Pfarrhofer, Michael & Niko , Hauzenberger, 2019.
"Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy,"
Working Papers in Economics
2019-6, University of Salzburg.
- Niko Hauzenberger & Michael Pfarrhofer, 2021. "Bayesian State‐Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy," Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(4), pages 1261-1291, October.
- 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.
- 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.
- Pablo Ottonello & Wenting Song, 2022.
"Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification,"
Staff Working Papers
22-24, Bank of Canada.
- 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.
- 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.
- Dimitrios Kanelis & Pierre L. Siklos, 2022. "Emotion in Euro Area Monetary Policy Communication and Bond Yields: The Draghi Era," CQE Working Papers 10322, Center for Quantitative Economics (CQE), University of Muenster.
- 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.
- 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.
- 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.
- 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.
- Peter Tillmann, 2020. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 803-833, June.
- Peter Tillmann, 2017. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," MAGKS Papers on Economics 201724, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- 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.
- 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.
- Marcello Pericoli & Giovanni Veronese, 2018. "Monetary Policy Surprises over Time," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(01), pages 1-60, March.
- Paul Whelan & Gyuri Venter & Andrea Vedolin & Matteo Leombroni, 2017. "Central Bank Communication and the Yield Curve," 2017 Meeting Papers 844, Society for Economic Dynamics.
- Hanson, Samuel G., 2014. "Mortgage convexity," Journal of Financial Economics, Elsevier, vol. 113(2), pages 270-299.
- Céline Gimet & Marie-Hélène Gagnon, 2013.
"The impacts of standard monetary and budgetary policies on liquidity and financial markets: International evidence from the credit freeze crisis,"
Post-Print
halshs-00976740, HAL.
- 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.
- Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson, 2004.
"Do actions speak louder than words? the response of asset prices to monetary policy actions and statements,"
Finance and Economics Discussion Series
2004-66, Board of Governors of the Federal Reserve System (U.S.).
- Gurkaynak, Refet S & Sack, Brian & Swanson, Eric T, 2005. "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," MPRA Paper 820, University Library of Munich, Germany.
- Refet S Gürkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," International Journal of Central Banking, International Journal of Central Banking, vol. 1(1), May.
- 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.
- Refet Gürkaynak & Brian Sack, 2005. "Do Actions Speak Louder Than Words?The Response of Asset Prices to Monetary Policy Actions and Statements," Computing in Economics and Finance 2005 323, Society for Computational Economics.
- Gregor, Jiri & Melecky, Martin, 2018.
"The Pass-Through of Monetary Policy Rate to Lending Rates: The Role of Macro-financial Factors,"
MPRA Paper
84048, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- 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.
- Kurov, Alexander & Olson, Eric & Zaynutdinova, Gulnara R., 2022. "When does the fed care about stock prices?," Journal of Banking & Finance, Elsevier, vol. 142(C).
- 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.
- 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.
- 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.
- Schupp, Fabian & Geiger, Felix, 2018. "With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181529, Verein für Socialpolitik / German Economic Association.
- 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.).
- Gregory Bauer & Clara Vega, 2004. "The Monetary Origins of Asymmetric Information in International Equity Markets," Staff Working Papers 04-47, Bank of Canada.
- 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.
- 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.
- Emi Nakamura & Jón Steinsson, 2018.
"Identification in Macroeconomics,"
Journal of Economic Perspectives, American Economic Association, vol. 32(3), pages 59-86, Summer.
- Emi Nakamura & Jón Steinsson, 2017. "Identification in Macroeconomics," NBER Working Papers 23968, National Bureau of Economic Research, Inc.
- 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.
- Dmitry Matveev & Francisco Ruge-Murcia, 2021.
"Tariffs and the Exchange Rate: Evidence from Twitter,"
Staff Working Papers
21-36, Bank of Canada.
- Dmitry Matveev & Francisco Ruge-Murcia, 2020. "Tariffs and the Exchange Rate : Evidence from Twitter," Cahiers de recherche 19-2020, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Chen, Zhengyang, 2019.
"The Long-term Rate and Interest Rate Volatility in Monetary Policy Transmission,"
MPRA Paper
96339, University Library of Munich, Germany.
- Chen, Zhengyang, 2019. "The Long-term Rate and Interest Rate Volatility in Monetary Policy Transmission," EconStor Preprints 204579, ZBW - Leibniz Information Centre for Economics.
- Zhengyang Chen, 2019. "The Long-term Rate and Interest Rate Volatility in Monetary Policy Transmission," 2019 Papers pch1858, Job Market Papers.
- 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.
- Carlo Altavilla & Domenico Giannone & Michèle Modugno, 2014.
"Low Frequency Effects of Macroeconomic News on Government Bond Yields,"
Working Papers ECARES
ECARES 2014-34, ULB -- Universite Libre de Bruxelles.
- Altavilla, Carlo & Giannone, Domenico & Modugno, Michele, 2017. "Low frequency effects of macroeconomic news on government bond yields," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 31-46.
- 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.).
- Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," CSEF Working Papers 372, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- 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.
- 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.
- 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.
- 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.).
- Bu, Chunya & Rogers, John & Wu, Wenbin, 2021. "A unified measure of Fed monetary policy shocks," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 331-349.
- 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.
- Jon Faust & John H. Rogers & Eric T. Swanson & Jonathan H. Wright, 2002. "Identifying the effects of monetary policy shocks on exchange rates using high frequency data," International Finance Discussion Papers 739, Board of Governors of the Federal Reserve System (U.S.).
- Faust, Jon & Rogers, John H. & Swanson, Eric & Wright, Jonathan H., 2002. "Identifying the effects of monetary policy shocks on exchange rates using high frequency data," Working Paper Series 167, European Central Bank.
- 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," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1031-1057, September.
- 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.
- Marfatia, Hardik A. & Gupta, Rangan & Cakan, Esin, 2017. "The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 640-653.
- 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).
- 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.
- 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.
- 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).
- Koichiro Kamada & Tetsuo Kurosaki & Ko Miura & Tetsuya Yamada, 2018. "Central Bank Policy Announcements and Changes in Trading Behavior: Evidence from Bond Futures High Frequency Price Data," IMES Discussion Paper Series 18-E-02, Institute for Monetary and Economic Studies, Bank of Japan.
- 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.
- 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).
- 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.
- Giancarlo Corsetti & Joao B. Duarte & Samuel Mann, 2018.
"One Money, Many Markets,"
Discussion Papers
1805, Centre for Macroeconomics (CFM).
- Giancarlo Corsetti & Joao B Duarte & Samuel Mann, 2022. "One Money, Many Markets [Fixed Rate Versus Adjustable Rate Mortgages: Evidence from Euro Area Banks]," Journal of the European Economic Association, European Economic Association, vol. 20(1), pages 513-548.
- 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.
- Wang, Zijun, 2012. "The causal structure of bond yields," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 93-102.
- Andrejs Zlobins, 2021. "On the Time-varying Effects of the ECB's Asset Purchases," Working Papers 2021/02, Latvijas Banka.
- 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.
- Koeniger, Winfried & Lennartz, Benedikt & Ramelet, Marc-Antoine, 2022. "On the transmission of monetary policy to the housing market," European Economic Review, Elsevier, vol. 145(C).
- 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.
- 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.
- 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.
- Rebelo, Sérgio & Anderson, Eric & Wong, Arlene, 2020. "Markups Across Space and Time," CEPR Discussion Papers 15513, C.E.P.R. Discussion Papers.
- Valentin Jouvanceau & Ieva Mikaliunaite, 2020. "Euro Area Monetary Communications: Excess Sensitivity and Perception Shocks," Bank of Lithuania Working Paper Series 79, Bank of Lithuania.
- 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.
- 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.
- 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.
- Gabriel Pérez Quirós & Jorge Sicilia, 2002.
"Is the European Central Bank (and the United States Federal Reserve) predictable?,"
Working Papers
0229, Banco de España.
- 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.
- Podshivalov, Georgii, 2019. "Observing the Evolution in Macroeconomic Theory," MPRA Paper 97657, University Library of Munich, Germany.
- Eric Anderson & Sergio Rebelo & Arlene Wong, 2020. "Markups Across Space and Time," Working Papers 2020-6, Princeton University. Economics Department..
- Kenneth B. Petersen & Vladimir Pozdnyakov, 2008. "Predicting the Fed," Working papers 2008-07, University of Connecticut, Department of Economics.
- Kerssenfischer, Mark & Schmeling, Maik, 2022. "What moves markets?," Discussion Papers 16/2022, Deutsche Bundesbank.
- 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.
- 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).
- Holm-Hadulla, Fédéric & Thürwächter, Claire, 2021.
"Heterogeneity in corporate debt structures and the transmission of monetary policy,"
European Economic Review, Elsevier, vol. 136(C).
- Holm-Hadulla, Fédéric & Thürwächter, Claire, 2020. "Heterogeneity in corporate debt structures and the transmission of monetary policy," Working Paper Series 2402, European Central Bank.
- 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.
- 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.
- Hamilton, James D., 2008. "Daily monetary policy shocks and new home sales," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1171-1190, October.
- 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.
- Kerssenfischer, Mark, 2019. "Information effects of euro area monetary policy: New evidence from high-frequency futures data," Discussion Papers 07/2019, Deutsche Bundesbank.
- Renne, J-P., 2012.
"A model of the euro-area yield curve with discrete policy rates,"
Working papers
395, Banque de France.
- Renne Jean-Paul, 2017. "A model of the euro-area yield curve with discrete policy rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 99-116, February.
- 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.
- Jung, Alexander, 2023. "Are monetary policy shocks causal to bank health? Evidence from the euro area," Journal of Macroeconomics, Elsevier, vol. 75(C).
- Bachmeier, Lance, 2008. "Monetary policy and the transmission of oil shocks," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1738-1755, December.
- 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.
- Emanuele Bacchiocchi & Andrea Bastianin & Alessandro Missale & Eduardo Rossi, 2018.
"Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows,"
Papers
1802.00793, arXiv.org.
- Emanuele BACCHIOCCHI & Andrea BASTIANIN & Alessandro MISSALE & Eduardo ROSSI, 2016. "Structural Analysis With Mixed Frequency: Monetary Policy, Uncertainty And Gross Capital Flows," Departmental Working Papers 2016-11, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- 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.
- 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).
- 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.
- Seibert, Armin & Sirchenko, Andrei & Müller, Gernot, 2021.
"A model for policy interest rates,"
Journal of Economic Dynamics and Control, Elsevier, vol. 124(C).
- Armin Seibert & Andrei Sirchenko & Gernot Muller, 2018. "A Model for Policy Interest Rates," HSE Working papers WP BRP 192/EC/2018, National Research University Higher School of Economics.
- Jung, Alexander, 2023. "US monetary policy spillovers to European banks," Working Paper Series 2876, European Central Bank.
- Alexandros Kontonikas & Paulo Maio & Zivile Zekaite, 2016.
"Monetary Policy and Corporate Bond Returns,"
Working Papers
2016_05, Business School - Economics, University of Glasgow.
- Kontonikas, A & Maio, P & Zekaite, Z, 2017. "Monetary Policy and Corporate Bond Returns," Essex Finance Centre Working Papers 20571, University of Essex, Essex Business School.
- Jung, Alexander & Kühl, Patrick, 2021.
"Can central bank communication help to stabilise inflation expectations?,"
Working Paper Series
2547, European Central Bank.
- Alexander Jung & Patrick Kuehl, 2021. "Can central bank communication help to stabilise inflation expectations?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(3), pages 298-321, July.
- Motto, Roberto & Özen, Kadir, 2022. "Market-stabilization QE," Working Paper Series 2640, European Central Bank.
- 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.
- 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.
- 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).
- Fornari, Fabio & Zaghini, Andrea, 2022. "It’s not time to make a change: Sovereign fragility and the corporate credit risk," Journal of International Money and Finance, Elsevier, vol. 128(C).
- Fornari, Fabio & Zaghini, Andrea, 2022. "It’s not time to make a change: sovereign fragility and the corporate credit risk," Working Paper Series 2740, European Central Bank.
- 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.
- 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.
- 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.
- 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.
- 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).
- 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.
- Pascal Paul, 2019. "The Time-Varying Effect of Monetary Policy on Asset Prices," Working Paper Series 2017-09, Federal Reserve Bank of San Francisco.
- 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.
- 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.
- Simon Gilchrist & Egon Zakrajšek & Vivian Z. Yue, 2016. "The response of sovereign bond yields to U.S. monetary policy," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 19(2), pages 102-106, August.
- Kilian, Lutz, 2011.
"Structural Vector Autoregressions,"
CEPR Discussion Papers
8515, C.E.P.R. Discussion Papers.
- Lutz Kilian, 2013. "Structural vector autoregressions," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 22, pages 515-554, Edward Elgar Publishing.
- Christophe Blot & Caroline Bozou & Jérôme Creel & Paul Hubert, 2022. "The Conditional Path of Central Bank Asset Purchases," Working papers 885, Banque de France.
- 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.
- 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).
- 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.
- 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.
- Bianchi, Francesco & Kind, Thilo & Kung, Howard, 2019. "Threats to Central Bank Independence: High-Frequency Identification with Twitter," CEPR Discussion Papers 14021, C.E.P.R. Discussion Papers.
- 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.
- 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.
- 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.
- Oscar Jorda, 2003.
"Model-Free Impulse Responses,"
Working Papers
305, University of California, Davis, Department of Economics.
- Oscar Jorda, 2004. "Model-Free Impulse Responses," Working Papers 87, University of California, Davis, Department of Economics.
- Oscar Jorda, 2004. "Model-Free Impulse Responses," Macroeconomics 0403016, University Library of Munich, Germany.
- 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.
- Karnaukh, Nina & Vokata, Petra, 2022. "Growth forecasts and news about monetary policy," Journal of Financial Economics, Elsevier, vol. 146(1), pages 55-70.
- 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.
- Kerssenfischer, Mark, 2022. "Information effects of euro area monetary policy," Economics Letters, Elsevier, vol. 216(C).
- 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.
- 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.
- John H. Cochrane & Monika Piazzesi, 2002.
"Bond Risk Premia,"
NBER Working Papers
9178, National Bureau of Economic Research, Inc.
- John H. Cochrane & Monika Piazzesi, 2005. "Bond Risk Premia," American Economic Review, American Economic Association, vol. 95(1), pages 138-160, March.
Cited by:
- 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.
- Josh Stillwagon, 2014. "Testing the Expectations Hypothesis with Survey Forecasts: The Impacts of Consumer Sentiment and the Zero Lower Bound in an I(2) CVAR," Working Papers 1401, Trinity College, Department of Economics.
- 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.
- Orphanides, Athanasios & Breach, Tomas & D'Amico, Stefania, 2016. "The Term Structure and Inflation Uncertainty," CEPR Discussion Papers 11730, C.E.P.R. Discussion Papers.
- Tomas Breach & Stefania D'Amico & Athanasios Orphanides, 2016. "The Term Structure and Inflation Uncertainty," Working Paper Series WP-2016-22, Federal Reserve Bank of Chicago.
- Kurz, Mordecai & Motolese, Maurizio, 2006. "Risk Premia, diverse belief and beauty contests," MPRA Paper 247, University Library of Munich, Germany.
- Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2014.
"Information in the yield curve: A macro-finance approach,"
LIDAM Reprints LFIN
2014007, Université catholique de Louvain, Louvain Finance (LFIN).
- Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011. "Information in the Yield Curve: A Macro-Finance Approach," Insper Working Papers wpe_230, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014. "Information in the yield curve: A Macro-Finance approach," Working Paper Research 254, National Bank of Belgium.
- Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014. "Information In The Yield Curve: A Macro‐Finance Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 42-64, January.
- Michael D. Bauer, 2015.
"Restrictions on Risk Prices in Dynamic Term Structure Models,"
CESifo Working Paper Series
5241, CESifo.
- Michael D. Bauer, 2011. "Restrictions on Risk Prices in Dynamic Term Structure Models," Working Paper Series 2011-03, Federal Reserve Bank of San Francisco.
- 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.
- 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.
- Görtz, Christoph & Tsoukalas, John D., 2012.
"News and Financial Intermediation in Aggregate and Sectoral Fluctuations,"
Dynare Working Papers
12, CEPREMAP.
- Görtz, Christoph & Tsoukalas, John, 2011. "News and financial intermediation in aggregate and sectoral fluctuations," MPRA Paper 40442, University Library of Munich, Germany, revised Jul 2012.
- Christoph Gortz & John D Tsoukalas, 2012. "News and Financial Intermediation in Aggregate and Sectoral Fluctuations," Discussion Papers 12-10, Department of Economics, University of Birmingham.
- 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.
- 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.
- 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.
- Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2016. "Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds," CEPR Discussion Papers 11401, C.E.P.R. Discussion Papers.
- Tobias Adrian & Richard K. Crump & Erik Vogt, 2015. "Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds," Staff Reports 723, Federal Reserve Bank of New York.
- Sekkel, Rodrigo, 2011. "International evidence on bond risk premia," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 174-181, January.
- Isaac Kleshchelski & Nicolas Vincent, 2009.
"Robust Equilibrium Yield Curves,"
Cahiers de recherche
0907, CIRPEE.
- Nicolas Vincent & Isaac Kleshchelski, 2008. "Robust Equilibrium Yield Curves," 2008 Meeting Papers 486, Society for Economic Dynamics.
- Isaac Kleshchelski & Nicolas Vincent, 2007. "Robust Equilibrium Yield Curves," Cahiers de recherche 08-02, HEC Montréal, Institut d'économie appliquée.
- 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.
- Küçük, Ugur N., 2009. "Emerging Market Local Currency Bond Market, Too Risky to Invest?," MPRA Paper 21878, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2005. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2004. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series 2004-56, Board of Governors of the Federal Reserve System (U.S.).
- Bollerslev, Tim & Gibson, Michael & Zhou, Hao, 2011. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Journal of Econometrics, Elsevier, vol. 160(1), pages 235-245, January.
- 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.
- Moench, Emanuel & Soofi-Siavash, Soroosh, 2022.
"What moves treasury yields?,"
Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
- Soroosh Soofi-Siavash & Emanuel Moench, 2021. "What Moves Treasury Yields?," Bank of Lithuania Working Paper Series 88, Bank of Lithuania.
- Moench, Emanuel & Soofi Siavash, Soroosh, 2022. "What Moves Treasury Yields?," CEPR Discussion Papers 15978, C.E.P.R. Discussion Papers.
- Driffill, John & Rotondi, Zeno, 2007.
"Inertia in Taylor Rules,"
CEPR Discussion Papers
6570, C.E.P.R. Discussion Papers.
- John Driffill & Zeno Rotondi, 2007. "Inertia in Taylor Rules," WEF Working Papers 0032, ESRC World Economy and Finance Research Programme, Birkbeck, University of London.
- John Driffill & Zeno Rotondi, 2007. "Inertia in Taylor Rules," Birkbeck Working Papers in Economics and Finance 0720, Birkbeck, Department of Economics, Mathematics & Statistics.
- Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014.
"Bond Return Predictability: Economic Value and Links to the Macroeconomy,"
Working Papers
75R, Brandeis University, Department of Economics and International Business School, revised Jul 2016.
- Antonio Gargano & Davide Pettenuzzo & Allan Timmermann, 2019. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Management Science, INFORMS, vol. 65(2), pages 508-540, February.
- 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.
- Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Business School.
- 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.
- Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap, 2012. "Risk Premium, Variance Premium and the Maturity Structure of Uncertainty," Staff Working Papers 12-11, Bank of Canada.
- Feunou, Bruno & Fontaine, Jean-Sébastien & Taamouti, Abderrahim & Tédongap, Roméo, 2011. "Risk premium, variance premium and the maturity structure of uncertainty," UC3M Working papers. Economics we1144, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Eran Hoffmann, 2018. "The Cyclical Composition of Startups," 2018 Meeting Papers 553, Society for Economic Dynamics.
- 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.
- Jules H. van Binsbergen & William F. Diamond & Marco Grotteria, 2019. "Risk-Free Interest Rates," NBER Working Papers 26138, National Bureau of Economic Research, Inc.
- van Binsbergen, Jules & Diamond, William & Grotteria, Marco, 2019. "Risk-Free Interest Rates," CEPR Discussion Papers 13899, C.E.P.R. Discussion Papers.
- Verdelhan, Adrien & Van Nieuwerburgh, Stijn & Lustig, Hanno, 2012.
"The Wealth-Consumption Ratio,"
CEPR Discussion Papers
9022, C.E.P.R. Discussion Papers.
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc.
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2013. "The Wealth-Consumption Ratio," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 3(1), pages 38-94.
- 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.
- Elías Albagli & Luis Ceballos & Sebastián Claro & Damián Romero, 2015. "Channels of US Monetary Policy Spillovers into International Bond Markets," Working Papers Central Bank of Chile 771, Central Bank of Chile.
- Elias Albagli & Luis Ceballos & Sebastián Claro & Damian Romero, 2018. "Channels of US monetary policy spillovers to international bond markets," BIS Working Papers 719, Bank for International Settlements.
- 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.
- Bartram, Söhnke & Grinblatt, Mark & Nozawa, Yoshio, 2022. "Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns," CEPR Discussion Papers 17592, C.E.P.R. Discussion Papers.
- 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).
- Junko Koeda & Atushi Sekine, 2021. "Nelson-Siegel Decay Factor and Term Premia in Japan," Working Papers 2106, Waseda University, Faculty of Political Science and Economics.
- Alain Monfort & Fulvio Pegoraro, 2007.
"Switching VARMA Term Structure Models - Extended Version,"
Working Papers
2007-19, Center for Research in Economics and Statistics.
- Monfort, A. & Pegoraro, F., 2007. "Switching VARMA Term Structure Models - Extended Version," Working papers 191, Banque de France.
- Tobias Adrian & Daniel M. Covitz & J. Nellie Liang, 2014.
"Financial Stability Monitoring,"
FEDS Notes
2014-08-04, Board of Governors of the Federal Reserve System (U.S.).
- Tobias Adrian & Daniel M. Covitz & J. Nellie Liang, 2013. "Financial stability monitoring," Staff Reports 601, Federal Reserve Bank of New York.
- Tobias Adrian & Daniel M. Covitz & J. Nellie Liang, 2013. "Financial stability monitoring," Finance and Economics Discussion Series 2013-21, Board of Governors of the Federal Reserve System (U.S.).
- Daniel Covitz & Nellie Liang & Tobias Adrian, 2015. "Financial Stability Monitoring," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 357-395, December.
- Andrew Ang & Geert Bekaert & Min Wei, 2007.
"The Term Structure of Real Rates and Expected Inflation,"
NBER Working Papers
12930, National Bureau of Economic Research, Inc.
- Andrew Ang & Geert Bekaert, 2004. "The term structure of real rates and expected inflation," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Bekaert, Geert & Ang, Andrew, 2004. "The Term Structure of Real Rates and Expected Inflation," CEPR Discussion Papers 4518, C.E.P.R. Discussion Papers.
- Andrew Ang & Geert Bekaert & Min Wei, 2008. "The Term Structure of Real Rates and Expected Inflation," Journal of Finance, American Finance Association, vol. 63(2), pages 797-849, April.
- RUGE-MURCIA, Francisco J., 2012.
"Skewness Risk and Bond Prices,"
Cahiers de recherche
2012-14, Universite de Montreal, Departement de sciences economiques.
- Francisco Ruge‐Murcia, 2017. "Skewness Risk and Bond Prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 379-400, March.
- Francisco Ruge-Murcia, 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 17-2012, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Lloyd, Simon & Marin, Emile, 2020.
"Exchange rate risk and business cycles,"
Bank of England working papers
872, Bank of England.
- Lloyd, S. P. & Marin, E. A., 2019. "Exchange Rate Risk and Business Cycles," Cambridge Working Papers in Economics 1996, Faculty of Economics, University of Cambridge.
- 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.
- Campbell, Sean D. & Diebold, Francis X., 2009.
"Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 266-278.
- Campbell, Sean D. & Diebold, Francis X., 2005. "Stock returns and expected business conditions: Half a century of direct evidence," CFS Working Paper Series 2005/22, Center for Financial Studies (CFS).
- 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.
- Sean D. Campbell & Francis X. Diebold, 2005. "Stock returns and expected business conditions: half a century of direct evidence," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Sean D. Campbell & Francis X. Diebold, 2005. "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," PIER Working Paper Archive 05-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 16 Sep 2005.
- 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.
- Robin Greenwood & Samuel Hanson & Jeremy C. Stein, 2010.
"A Gap‐Filling Theory of Corporate Debt Maturity Choice,"
Journal of Finance, American Finance Association, vol. 65(3), pages 993-1028, June.
- 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.
- Piazzesi, Monika & Swanson, Eric T., 2008.
"Futures prices as risk-adjusted forecasts of monetary policy,"
Journal of Monetary Economics, Elsevier, vol. 55(4), pages 677-691, May.
- Monika Piazzesi & Eric T. Swanson, 2006. "Futures prices as risk-adjusted forecasts of monetary policy," Working Paper Series 2006-23, Federal Reserve Bank of San Francisco.
- Monika Piazzesi & Eric Swanson, 2004. "Futures Prices as Risk-adjusted Forecasts of Monetary Policy," NBER Working Papers 10547, National Bureau of Economic Research, Inc.
- Monika Piazzesi & Eric T. Swanson, 2004. "Future prices as risk-adjusted forecasts of monetary policy," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Robin Greenwood & Dimitri Vayanos, 2014.
"Bond Supply and Excess Bond Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 663-713.
- Robin Greenwood & Dimitri Vayanos, 2008. "Bond Supply and Excess Bond Returns," NBER Working Papers 13806, National Bureau of Economic Research, Inc.
- Greenwood, Robin & Vayanos, Dimitri, 2008. "Bond supply and excess bond returns," LSE Research Online Documents on Economics 24425, London School of Economics and Political Science, LSE Library.
- Vayanos, Dimitri & Greenwood, Robin, 2008. "Bond Supply and Excess Bond Returns," CEPR Discussion Papers 6694, C.E.P.R. Discussion Papers.
- Dimitri Vayanos & Robin Greenwood, 2008. "Bond Supply and Excess Bond Returns," FMG Discussion Papers dp607, Financial Markets Group.
- Casiraghi, Marco & Miccoli, Marcello, 2019. "Inflation risk premia and risk-adjusted expectations of inflation," Economics Letters, Elsevier, vol. 175(C), pages 36-39.
- Berndt, Antje & Yeltekin, Şevin, 2015. "Monetary policy, bond returns and debt dynamics," Journal of Monetary Economics, Elsevier, vol. 73(C), pages 119-136.
- 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.
- Catte, Pietro & Cova, Pietro & Pagano, Patrizio & Visco, Ignazio, 2011. "The role of macroeconomic policies in the global crisis," Journal of Policy Modeling, Elsevier, vol. 33(6), pages 787-803.
- Zhang, Yugui & Zhu, Jie & Zhu, Xiaoneng, 2021. "Global bond risk premia under falling stars," Finance Research Letters, Elsevier, vol. 42(C).
- Dewachter, Hans & Iania, Leonardo, 2012.
"An Extended Macro-Finance Model with Financial Factors,"
LIDAM Reprints LFIN
2012001, Université catholique de Louvain, Louvain Finance (LFIN).
- Dewachter, Hans & Iania, Leonardo, 2009. "An Extended Macro-Finance Model with Financial Factors," MPRA Paper 17634, University Library of Munich, Germany.
- Dewachter, Hans & Iania, Leonardo, 2011. "An Extended Macro-Finance Model with Financial Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(6), pages 1893-1916, December.
- Hans Dewachter & Leonardo Iania, 2010. "An Extended Macro-Finance Model with Financial Factors," CESifo Working Paper Series 2950, CESifo.
- Dewachter, Hans & Iania, Leonardo, 2009. "An Extended Macro-Finance Model with Financial Factors," MPRA Paper 18840, University Library of Munich, Germany.
- Hans DEWACHTER & Leonardo IANIA, 2009. "An extended macro-finance model with financial factors," Working Papers of Department of Economics, Leuven ces09.19, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- 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.
- Caio Almeida & Axel Simonsen & José Valentim Vicente, 2012. "Forecasting Bond Yields with Segmented Term Structure Models," Working Papers Series 288, Central Bank of Brazil, Research Department.
- Maik Schmeling & Andreas Schrimpf & Sigurd A. M. Steffensen, 2022.
"Monetary policy expectation errors,"
BIS Working Papers
996, Bank for International Settlements.
- Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
- 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.
- Bauer, Michael D. & Neely, Christopher J., 2014. "International channels of the Fed's unconventional monetary policy," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 24-46.
- Michael D. Bauer & Christopher J. Neely, 2012. "International channels of the Fed’s unconventional monetary policy," Working Papers 2012-028, Federal Reserve Bank of St. Louis.
- 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.
- Urban Jermann, 2013.
"A Production-Based Model for the Term Structure,"
NBER Working Papers
18774, National Bureau of Economic Research, Inc.
- Jermann, Urban J., 2013. "A production-based model for the term structure," Journal of Financial Economics, Elsevier, vol. 109(2), pages 293-306.
- 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.
- 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.
- 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.
- Taylor, Alan M. & Davis, Josh & Fuenzalida, Cristian, 2019. "The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r," CEPR Discussion Papers 14201, C.E.P.R. Discussion Papers.
- Lutzenberger, Fabian T., 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, vol. 23(3), pages 120-130.
- 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.
- Dongho Song, 2014. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," PIER Working Paper Archive 14-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Dongho Song, 2016. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," Boston College Working Papers in Economics 915, Boston College Department of Economics, revised 19 Jul 2016.
- 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.
- Brand, Claus & Goy, Gavin & Lemke, Wolfgang, 2021.
"Natural rate chimera and bond pricing reality,"
Working Paper Series
2612, European Central Bank.
- 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.
- 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].
- 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.).
- Byrne, Joseph P & Nagayasu, Jun, 2011.
"Common factors of the exchange risk premium in emerging European markets,"
MPRA Paper
31393, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- Beber, Alessandro & Brandt, Michael W., 2006. "The effect of macroeconomic news on beliefs and preferences: Evidence from the options market," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1997-2039, November.
- Alessandro BEBER & Michael W. BRANDT, 2004. "The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market," FAME Research Paper Series rp105, International Center for Financial Asset Management and Engineering.
- Clive G. Bowsher & Roland Meeks, 2006.
"High Dimensional Yield Curves: Models and Forecasting,"
OFRC Working Papers Series
2006fe11, Oxford Financial Research Centre.
- Clive Bowsher & Roland Meeks, 2006. "High Dimensional Yield Curves: Models and Forecasting," Economics Papers 2006-W12, Economics Group, Nuffield College, University of Oxford.
- 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.
- Tobias Adrian & Emanuel Moench, 2008.
"Pricing the term structure with linear regressions,"
Staff Reports
340, Federal Reserve Bank of New York.
- Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2013. "Pricing the term structure with linear regressions," Journal of Financial Economics, Elsevier, vol. 110(1), pages 110-138.
- Glenn D. Rudebusch, 2010.
"Macro‐Finance Models Of Interest Rates And The Economy,"
Manchester School, University of Manchester, vol. 78(s1), pages 25-52, September.
- Glenn D. Rudebusch, 2010. "Macro-finance models of interest rates and the economy," Working Paper Series 2010-01, Federal Reserve Bank of San Francisco.
- 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.
- Robin Greenwood & Samuel G. Hanson, 2010. "Issuer Quality and Corporate Bond Returns," Harvard Business School Working Papers 11-065, Harvard Business School.
- 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.).
- Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2021. "Macro risks and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 141(2), pages 479-504.
- Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2016. "Macro Risks and the Term Structure of Interest Rates," NBER Working Papers 22839, National Bureau of Economic Research, Inc.
- Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2014. "Forecasting recessions in real time," Working Paper 2014/02, Norges Bank.
- Christian D. Dick & Maik Schmeling & Andreas Schrimpf, 2010.
"Macro Expectations, Aggregate Uncertainty, and Expected Term Premia,"
CREATES Research Papers
2010-49, Department of Economics and Business Economics, Aarhus University.
- Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2013. "Macro-expectations, aggregate uncertainty, and expected term premia," European Economic Review, Elsevier, vol. 58(C), pages 58-80.
- 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.
- 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.
- 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.
- Rudebusch, Glenn D. & Swanson, Eric T., 2008. "Examining the bond premium puzzle with a DSGE model," Journal of Monetary Economics, Elsevier, vol. 55(Supplemen), pages 111-126, October.
- C.Jardet & A. Monks, 2014. "Euro Area monetary policy shocks: impact on financial asset prices during the crisis?," Working papers 512, Banque de France.
- Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis.
- Koijen, Ralph S.J. & Hemert, Otto Van & Nieuwerburgh, Stijn Van, 2009.
"Mortgage timing,"
Journal of Financial Economics, Elsevier, vol. 93(2), pages 292-324, August.
- Ralph S.J. Koijen & Otto Van Hemert & Stijn Van Nieuwerburgh, 2007. "Mortgage Timing," NBER Working Papers 13361, National Bureau of Economic Research, Inc.
- 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.
- Czech, Robert & Huang, Shiyang & Lou, Dong & Wang, Tianyu, 2021. "Informed trading in government bond markets," LSE Research Online Documents on Economics 108504, London School of Economics and Political Science, LSE Library.
- Czech, Robert & Huang, Shiyang & Lou, Dong & Wang, Tianyu, 2021. "Informed trading in government bond markets," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1253-1274.
- Czech, Robert & Huang, Shiyang & Lou, Dong & Wang, Tianyu, 2020. "Informed trading in government bond markets," Bank of England working papers 871, Bank of England.
- 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).
- Hautsch, Nikolaus & Ou, Yangguoyi, 2012. "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2988-3007.
- 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.
- Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
- Andrew Ang & Geert Bekaert & Min Wei, 2006. "Do macro variables, asset markets, or surveys forecast inflation better?," Finance and Economics Discussion Series 2006-15, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- Harald Kinateder & Vassilios G. Papavassiliou, 2019. "Sovereign bond return prediction with realized higher moments," Open Access publications 10197/11286, Research Repository, University College Dublin.
- 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.
- Michael D. Bauer & Glenn D. Rudebusch, 2020.
"Interest Rates under Falling Stars,"
American Economic Review, American Economic Association, vol. 110(5), pages 1316-1354, May.
- Michael D. Bauer & Glenn D. Rudebusch, 2017. "Interest Rates Under Falling Stars," CESifo Working Paper Series 6571, CESifo.
- Michael D. Bauer & Glenn D. Rudebusch, 2019. "Interest Rates Under Falling Stars," Working Paper Series 2017-16, Federal Reserve Bank of San Francisco.
- James McNeil, 2020. "Estimation of Impulse response functions with term structure local projections," Working Papers daleconwp2020-05, Dalhousie University, Department of Economics.
- Laborda, Ricardo & Laborda, Juan, 2017. "Can tree-structured classifiers add value to the investor?," Finance Research Letters, Elsevier, vol. 22(C), pages 211-226.
- Liu, Yan & Wu, Jing Cynthia, 2021.
"Reconstructing the yield curve,"
Journal of Financial Economics, Elsevier, vol. 142(3), pages 1395-1425.
- Yan Liu & Jing Cynthia Wu, 2020. "Reconstructing the Yield Curve," NBER Working Papers 27266, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Adrian, Tobias & Liang, Nellie, 2016.
"Monetary Policy, Financial Conditions, and Financial Stability,"
CEPR Discussion Papers
11394, C.E.P.R. Discussion Papers.
- Tobias Adrian & Nellie Liang, 2018. "Monetary Policy, Financial Conditions, and Financial Stability," International Journal of Central Banking, International Journal of Central Banking, vol. 14(1), pages 73-131, January.
- Tobias Adrian & Nellie Liang, 2014. "Monetary Policy, Financial Conditions, and Financial Stability," IMES Discussion Paper Series 14-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
- Tobias Adrian & J. Nellie Liang, 2014. "Monetary policy, financial conditions, and financial stability," Staff Reports 690, Federal Reserve Bank of New York.
- 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.).
- Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Staff Working Papers 14-13, Bank of Canada.
- Fujiwara, Ippei & Körber, Lena Mareen & Nagakura, Daisuke, 2013.
"Asymmetry in government bond returns,"
Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3218-3226.
- Daisuke Nagakura & Lena Mareen Korber & Ippei Fujiwara, 2013. "Asymmetry in government bond returns," AJRC Working Papers 1301, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University.
- Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura, 2013. "Asymmetry in Government Bond Returns," Macroeconomics Working Papers 23399, East Asian Bureau of Economic Research.
- Ippei Fujiwara & Lena Mareen Korber & Daisuke Nagakura, 2013. "Asymmetry in Government Bond Returns," CAMA Working Papers 2013-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura, 2013. "Asymmetry in Government Bond Returns," Finance Working Papers 23399, East Asian Bureau of Economic Research.
- Reynard, Samuel, 2007.
"Maintaining low inflation: Money, interest rates, and policy stance,"
Journal of Monetary Economics, Elsevier, vol. 54(5), pages 1441-1471, July.
- Dr. Samuel Reynard, 2007. "Maintaining Low Inflation: Money, Interest Rates, and Policy Stance," Working Papers 2007-05, Swiss National Bank.
- Reynard, Samuel, 2007. "Maintaining low inflation: money, interest rates, and policy stance," Working Paper Series 756, European Central Bank.
- Vladislav Kargin & Alexei Onatski, 2004.
"Dynamics of Interest Rate Curve by Functional Auto-Regression,"
Macroeconomics
0404008, University Library of Munich, Germany, revised 28 Oct 2004.
- Alexei Onatski & Slava Kargin, 2004. "Dynamics of Interest Rate Curve by Functional Auto-regression," Econometric Society 2004 North American Summer Meetings 229, Econometric Society.
- 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.
- Vayanos, Dimitri & ,, 2009.
"A Preferred-Habitat Model of the Term Structure of Interest Rates,"
CEPR Discussion Papers
7547, C.E.P.R. Discussion Papers.
- Dimitri Vayanos & Jean-Luc Vila, 2009. "A Preferred-Habitat Model of the Term Structure of Interest Rates," NBER Working Papers 15487, National Bureau of Economic Research, Inc.
- Jean-Luc Vila & Dimitri Vayanos, 2009. "A Preferred-Habitat Model of the Term Structure of Interest Rates," FMG Discussion Papers dp641, Financial Markets Group.
- Vayanos, Dimitri & Vila, Jean-Luc, 2009. "A preferred-habitat model of the term structure of interest rates," LSE Research Online Documents on Economics 29308, London School of Economics and Political Science, LSE Library.
- Vayanos, Dimitri & Vila, Jean-Luc, 2021. "A preferred-habitat model of the term structure of interest rates," LSE Research Online Documents on Economics 106509, London School of Economics and Political Science, LSE Library.
- 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.
- Joyce, Michael A. S. & Relleen, Jonathan & Sorensen, Steffen, 2008.
"Measuring monetary policy expectations from financial market instruments,"
Working Paper Series
978, European Central Bank.
- Joyce, Michael & Relleen, Jonathan & Sorensen, Steffen, 2008. "Measuring monetary policy expectations from financial market instruments," Bank of England working papers 356, Bank of England.
- Ravi Bansal & George Tauchen & Hao Zhou, 2003.
"Regime-shifts, risk premiums in the term structure, and the business cycle,"
Finance and Economics Discussion Series
2003-21, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- Oguzhan Cepni & Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2019.
"Time-Varying Risk Aversion and the Predictability of Bond Premia,"
Working Papers
201906, University of Pretoria, Department of Economics.
- 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).
- 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.
- Andrew Atkeson & Patrick J. Kehoe, 2009. "On the Need for a New Approach to Analyzing Monetary Policy," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 389-425, National Bureau of Economic Research, Inc.
- Andrew Atkeson & Patrick J. Kehoe, 2008. "On the need for a new approach to analyzing monetary policy," Staff Report 412, Federal Reserve Bank of Minneapolis.
- Andrew Atkeson & Patrick J. Kehoe, 2008. "On the Need for a New Approach to Analyzing Monetary Policy," NBER Working Papers 14260, National Bureau of Economic Research, Inc.
- Hibiki Ichiue, 2004.
"Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with an Affine Term Structure Model,"
Bank of Japan Working Paper Series
04-E-11, Bank of Japan.
- 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.
- 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.
- Andrew Ang & Sen Dong & Monika Piazzesi, 2007.
"No-Arbitrage Taylor Rules,"
NBER Working Papers
13448, National Bureau of Economic Research, Inc.
- Andrew Ang & Sen Dong, 2005. "No-Arbitrage Taylor Rules," 2005 Meeting Papers 22, Society for Economic Dynamics.
- Andrew Ang & Sen Dong & Monika Piazzesi, 2005. "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco.
- 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.
- Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015.
"Disagreement about inflation and the yield curve,"
Working Papers
1532, Banco de España.
- Ehling, Paul & Gallmeyer, Michael & Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2018. "Disagreement about inflation and the yield curve," Journal of Financial Economics, Elsevier, vol. 127(3), pages 459-484.
- 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.
- 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.
- 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.
- Byrne, Joseph P. & Nagayasu, Jun, 2008.
"Common and Idiosyncratic Factors of the Exchange Risk Premium in Emerging European Markets,"
SIRE Discussion Papers
2008-49, Scottish Institute for Research in Economics (SIRE).
- 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.
- 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.
- 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.
- 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.
- MGino Cenedese & Enrico Mallucci, 2015. "What moves international stock and bond markets?," Discussion Papers 1514, Centre for Macroeconomics (CFM).
- Gino Cenedese & Enrico Mallucci, 2015. "What moves international stock and bond markets?," Working Paper series 15-23, Rimini Centre for Economic Analysis.
- Cenedese, Gino & Mallucci, Enrico, 2015. "What moves international stock and bond markets?," Bank of England working papers 534, Bank of England.
- Cenedese, Gino & Mallucci, Enrico, 2016. "What moves international stock and bond markets?," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 94-113.
- 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.
- 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.
- 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.
- 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.
- Bacchetta, Philippe & Mertens, Elmar & van Wincoop, Eric, 2009. "Predictability in financial markets: What do survey expectations tell us?," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 406-426, April.
- Bacchetta, Philippe & van Wincoop, Eric & Mertens, Elmar, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," CEPR Discussion Papers 5770, C.E.P.R. Discussion Papers.
- Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers 06.04, Swiss National Bank, Study Center Gerzensee.
- Philippe Bacchetta & Elmar Mertens & Eric VanvWincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Swiss Finance Institute Research Paper Series 06-15, Swiss Finance Institute, revised Jun 2006.
- Kozak, Serhiy & Santosh, Shrihari, 2020. "Why do discount rates vary?," Journal of Financial Economics, Elsevier, vol. 137(3), pages 740-751.
- Lettau, Martin & Ludvigson, Sydney, 2002.
"Expected Returns and Expected Dividend Growth,"
CEPR Discussion Papers
3507, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney Ludvigson, 2003. "Expected Returns and Expected Dividend Growth," NBER Working Papers 9605, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney C., 2005. "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June.
- 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.
- 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).
- 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.).
- Hanson, Samuel G. & Stein, Jeremy C., 2015. "Monetary policy and long-term real rates," Journal of Financial Economics, Elsevier, vol. 115(3), pages 429-448.
- Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2016. "Overseas unspanned factors and domestic bond returns," Bank of England working papers 618, Bank of England.
- 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.
- 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.
- 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.
- Fricke, Christoph & Menkhoff, Lukas, 2014. "Financial conditions, macroeconomic factors and (un)expected bond excess returns," Discussion Papers 35/2014, Deutsche Bundesbank.
- 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.
- Christensen, Bent Jesper & Kjær, Mads Markvart & Veliyev, Bezirgen, 2023. "The incremental information in the yield curve about future interest rate risk," Journal of Banking & Finance, Elsevier, vol. 155(C).
- Chadha, J.S. & Corrado, L. & Holly, S., 2008.
"Reconnecting Money to Inflation: The Role of the External Finance Premium,"
Cambridge Working Papers in Economics
0852, Faculty of Economics, University of Cambridge.
- 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.
- 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.
- 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.
- 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.
- Aglietta, Michel & Brière, Marie & Rigot, Sandra & Signori, Ombretta, 2012.
"Rehabilitating the role of active management for pension funds,"
Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2565-2574.
- 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.
- 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.
- Howard Kung, 2014. "Macroeconomic linkages between monetary policy and the term structure of interest rates," 2014 Meeting Papers 560, Society for Economic Dynamics.
- 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.
- Christiane Baumeister, 2021.
"Measuring Market Expectations,"
Working Papers
202163, University of Pretoria, Department of Economics.
- Christiane Baumeister, 2021. "Measuring Market Expectations," CESifo Working Paper Series 9305, CESifo.
- Christiane Baumeister, 2021. "Measuring Market Expectations," NBER Working Papers 29232, National Bureau of Economic Research, Inc.
- Baumeister, Christiane, 2021. "Measuring Market Expectations," CEPR Discussion Papers 16520, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007.
"How Sovereign is Sovereign Credit Risk?,"
NBER Working Papers
13658, National Bureau of Economic Research, Inc.
- 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.
- Gräb, Johannes & Kostka, Thomas, 2018. "Predicting risk premia in short-term interest rates and exchange rates," Working Paper Series 2131, European Central Bank.
- 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.
- 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.
- Michael D. Bauer & James D. Hamilton, 2015.
"Robust bond risk premia,"
Working Paper Series
2015-15, Federal Reserve Bank of San Francisco.
- Michael D. Bauer & James D. Hamilton, 2015. "Robust Bond Risk Premia," CESifo Working Paper Series 5541, CESifo.
- Michael D. Bauer & James D. Hamilton, 2018. "Robust Bond Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 399-448.
- Michael D. Bauer & James D. Hamilton, 2017. "Robust Bond Risk Premia," NBER Working Papers 23480, National Bureau of Economic Research, Inc.
- 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.
- Aslanidis, Nektarios & Christiansen, Charlotte, 2014. "Quantiles of the realized stock–bond correlation and links to the macroeconomy," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 321-331.
- 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.
- Carboni, Giacomo, 2014. "Term premia implications of macroeconomic regime changes," Working Paper Series 1694, European Central Bank.
- 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.
- 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.
- Eric Ghysels & Casidhe Horan & Emanuel Moench, 2012. "Forecasting through the rear-view mirror: data revisions and bond return predictability," Staff Reports 581, Federal Reserve Bank of New York.
- 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.
- Lenz, Rainer, 2010. "Yield Curve Analysis: Choosing the optimal maturity date of investments and financing," MPRA Paper 27781, University Library of Munich, Germany.
- De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).
- Vázquez, Jesús & Aguilar, Pablo, 2021. "Adaptive learning with term structure information," European Economic Review, Elsevier, vol. 134(C).
- 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.
- 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.
- Pagano Patrizio & Pisani Massimiliano, 2009. "Risk-Adjusted Forecasts of Oil Prices," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-28, June.
- Pagano, Patrizio & Pisani, Massimiliano, 2009. "Risk-adjusted forecasts of oil prices," Working Paper Series 999, European Central Bank.
- Martin Schneider & Monika Piazzesi, 2008.
"Bond Positions, Expectations, and the Yield Curve,"
2008 Meeting Papers
268, Society for Economic Dynamics.
- Monika Piazzesi & Martin Schneider, 2008. "Bond positions, expectations, and the yield curve," FRB Atlanta Working Paper 2008-02, Federal Reserve Bank of Atlanta.
- 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.
- 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.
- Mikhail Chernov & Ruslan Bikbov, 2009.
"Monetary Policy Regimes and the Term Structure of Interest Rates,"
2009 Meeting Papers
334, Society for Economic Dynamics.
- Bikbov, Ruslan & Chernov, Mikhail, 2013. "Monetary policy regimes and the term structure of interest rates," Journal of Econometrics, Elsevier, vol. 174(1), pages 27-43.
- Chernov, Mikhail & Bikbov, Ruslan, 2008. "Monetary Policy Regimes and the Term Structure of Interest Rates," CEPR Discussion Papers 7096, C.E.P.R. Discussion Papers.
- 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.
- Yun, Tack & Kim, Jinsook & Ko, Eunmi, 2012. "The Role of Bounded Rationality in Macro-Finance Affine Term-Structure Models," MPRA Paper 44212, University Library of Munich, Germany.
- Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
- Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
- 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.
- 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.).
- Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
- Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Tzuo Hao & George Tauchen, 2008. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2008-48, Department of Economics and Business Economics, Aarhus University.
- 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.
- Ferstl, Robert & Weissensteiner, Alex, 2009.
"Asset-Liability Management under time-varying Investment Opportunities,"
MPRA Paper
15068, University Library of Munich, Germany.
- Ferstl, Robert & Weissensteiner, Alex, 2011. "Asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 182-192, January.
- García-Verdú Santiago, 2010. "Equilibrium yield curves under regime switching," Working Papers 2010-08, Banco de México.
- 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.
- Daniel L. Thornton, 2012.
"Monetary policy: why money matters, and interest rates don’t,"
Working Papers
2012-020, Federal Reserve Bank of St. Louis.
- Thornton, Daniel L., 2014. "Monetary policy: Why money matters (and interest rates don’t)," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 202-213.
- Daniel L. Thornton, 2008. "Monetary policy: why money matters and interest rates don't," Working Papers 2008-011, Federal Reserve Bank of St. Louis.
- Philippe Mueller & Andrea Vedolin & Yu-min Yen, 2012. "Bond Variance Risk Premia," FMG Discussion Papers dp699, Financial Markets Group.
- 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.
- John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2019. "The risk premium of gold," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 140-159.
- Yunus Aksoy & Henrique S. Basso, 2015.
"Securitization and asset prices,"
Working Papers
1526, Banco de España.
- Yunus Aksoy & Henrique S. Basso, 2015. "Securitization and Asset Prices," CESifo Working Paper Series 5213, CESifo.
- Yunus Aksoy & Henrique S. Basso, 2014. "Securitization and Asset Prices," Birkbeck Working Papers in Economics and Finance 1411, Birkbeck, Department of Economics, Mathematics & Statistics.
- 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).
- 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.
- Dimitris A. Georgoutsos & Petros Migiakis, 2012. "Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?," Working Papers 143, Bank of Greece.
- Wei Xiong & Hongjun Yan, 2006.
"Heterogeneous Expectations and Bond Markets,"
NBER Working Papers
12781, National Bureau of Economic Research, Inc.
- 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.
- Wei Xiong & Hongjun Yan & Review Financial, 2007. "Heterogeneous Expectations and Bond Markets," Yale School of Management Working Papers amz2614, Yale School of Management, revised 01 Jun 2009.
- 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).
- Moon, Seongman & Velasco, Carlos, 2013. "Tests for m-dependence based on sample splitting methods," Journal of Econometrics, Elsevier, vol. 173(2), pages 143-159.
- Fan, Jianqing & Ke, Yuan & Liao, Yuan, 2021.
"Augmented factor models with applications to validating market risk factors and forecasting bond risk premia,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 269-294.
- 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.
- Barbara Rossi, 2007. "Expectations hypotheses tests at Long Horizons," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 554-579, November.
- Ravi Bansal & Ivan Shaliastovich, 2012.
"A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets,"
NBER Working Papers
18357, National Bureau of Economic Research, Inc.
- Ivan Shaliastovich & Ravi Bansal, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," 2012 Meeting Papers 778, Society for Economic Dynamics.
- 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.
- 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.
- Taboga, Marco & Pericoli, Marcello, 2008.
"Bond risk premia, macroeconomic fundamentals and the exchange rate,"
MPRA Paper
9523, University Library of Munich, Germany.
- Marcello Pericoli & Marco Taboga, 2009. "Bond risk premia, macroeconomic fundamentals and the exchange rate," Temi di discussione (Economic working papers) 699, Bank of Italy, Economic Research and International Relations Area.
- Pericoli, Marcello & Taboga, Marco, 2012. "Bond risk premia, macroeconomic fundamentals and the exchange rate," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 42-65.
- Glenn D. Rudebusch & Eric T. Swanson, 2008.
"The bond premium in a DSGE model with long-run real and nominal risks,"
Working Paper Series
2008-31, Federal Reserve Bank of San Francisco.
- 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.
- Glenn D. Rudebusch & Eric T. Swanson, 2012. "The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(1), pages 105-143, January.
- 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.
- Malik, Sheheryar & Meldrum, Andrew, 2014. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Bank of England working papers 518, Bank of England.
- Urga, Giovanni & Wang, Fa, 2022.
"Estimation and inference for high dimensional factor model with regime switching,"
MPRA Paper
113172, University Library of Munich, Germany.
- Giovanni Urga & Fa Wang, 2022. "Estimation and Inference for High Dimensional Factor Model with Regime Switching," Papers 2205.12126, arXiv.org, revised Apr 2023.
- 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.
- Levin, Andrew & Gürkaynak, Refet & Swanson, Eric T., 2006. "Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from Long-Term Bond Yields in the US, UK and Sweden," CEPR Discussion Papers 5808, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Constantino Hevia & Martin Sola, 2018.
"Bond Risk Premia and Restrictions on Risk Prices,"
JRFM, MDPI, vol. 11(4), pages 1-22, October.
- Constantino Hevia & Martin Sola, 2018. "Bond risk premia and restrictions on risk prices," Department of Economics Working Papers 2018_03, Universidad Torcuato Di Tella.
- 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.
- 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.
- 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.
- Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
- A. Carriero & S. Mouabbi & E. Vangelista, 2016.
"UK term structure decompositions at the zero lower bound,"
Working papers
589, Banque de France.
- Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2018. "UK term structure decompositions at the zero lower bound," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 643-661, August.
- Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2015. "UK Term Structure Decompositions at the Zero Lower Bound," Working Papers 755, Queen Mary University of London, School of Economics and Finance.
- 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.).
- Menno Middeldorp, 2011.
"FOMC communication policy and the accuracy of Fed Funds futures,"
Staff Reports
491, Federal Reserve Bank of New York.
- M.H. Middeldorp, 2011. "FOMC Communication Policy and the Accuracy of Fed Funds Futures," Working Papers 11-13, Utrecht School of Economics.
- Mikhail Chernov & Drew D. Creal, 2018.
"Multihorizon Currency Returns and Purchasing Power Parity,"
NBER Working Papers
24563, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Creal, Drew, 2018. "Multihorizon Currency Returns and Purchasing Power Parity," CEPR Discussion Papers 12893, C.E.P.R. Discussion Papers.
- 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.
- Malkhozov, Aytek & Mueller, Philippe & Vedolin, Andrea & Venter, Gyuri, 2016.
"Mortgage risk and the yield curve,"
LSE Research Online Documents on Economics
64915, London School of Economics and Political Science, LSE Library.
- Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2016. "Mortgage Risk and the Yield Curve," The Review of Financial Studies, Society for Financial Studies, vol. 29(5), pages 1220-1253.
- Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2015. "Mortgage risk and the yield curve," BIS Working Papers 532, Bank for International Settlements.
- 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.
- 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.
- Francis X. Diebold & Canlin Li, 2003. "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers 10048, National Bureau of Economic Research, Inc.
- Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
- Diebold, Francis X. & Li, Canlin, 2003. "Forecasting the term structure of government bond yields," CFS Working Paper Series 2004/09, Center for Financial Studies (CFS).
- 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.
- 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.
- 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.
- Markus Pelger & Ruoxuan Xiong, 2018.
"State-Varying Factor Models of Large Dimensions,"
Papers
1807.02248, arXiv.org, revised Oct 2020.
- Markus Pelger & Ruoxuan Xiong, 2022. "State-Varying Factor Models of Large Dimensions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1315-1333, June.
- 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.
- 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.
- Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," Working Papers 662, Queen Mary University of London, School of Economics and Finance.
- Zhang, Han, 2021. "An inflation-based ICAPM in China," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
- Luis Ceballos & Alberto Naudon & Damián Romero, 2016.
"Nominal term structure and term premia: evidence from Chile,"
Applied Economics, Taylor & Francis Journals, vol. 48(29), pages 2721-2735, June.
- 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.
- Ceballos, Luis & Naudon, Alberto & Romero, Damian, 2014. "Nominal Term Structure and Term Premia. Evidence from Chile," MPRA Paper 60911, University Library of Munich, Germany.
- 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.
- Andr? Kurmann & Christopher Otrok, 2013. "News Shocks and the Slope of the Term Structure of Interest Rates," American Economic Review, American Economic Association, vol. 103(6), pages 2612-2632, October.
- André Kurmann & Christopher Otrok, 2010. "News Shocks and the Slope of the Term Structure of Interest Rates," Cahiers de recherche 1005, CIRPEE.
- Christopher Otrok & Andre Kurmann, 2010. "News Shocks and the Slope of the Term Structure of Interest Rates," 2010 Meeting Papers 72, Society for Economic Dynamics.
- 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).
- Iania, Leonardo & Tretiakov, Pavel & Wouters, Rafael, 2023. "The risk premium in New Keynesian DSGE models: The cost of inflation channel," LIDAM Reprints LFIN 2023013, Université catholique de Louvain, Louvain Finance (LFIN).
- Iania, Leonardo & Tretiakov, Pavel & Wouters, Rafael, 2023. "The risk premium in New Keynesian DSGE models: The cost of inflation channel," Journal of Economic Dynamics and Control, Elsevier, vol. 155(C).
- 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.
- Luis M. Viceira & Adi Sunderam & John Y. Campbell, 2008. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," 2008 Meeting Papers 355, Society for Economic Dynamics.
- John Y. Campbell & Adi Sunderam & Luis M. Viceira, 2009. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," NBER Working Papers 14701, National Bureau of Economic Research, Inc.
- 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.
- Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
- Adrian, Tobias & , & Shin, Hyun Song, 2016.
"Dynamic Leverage Asset Pricing,"
CEPR Discussion Papers
11466, C.E.P.R. Discussion Papers.
- Tobias Adrian & Emanuel Moench & Hyun Song Shin, 2013. "Dynamic Leverage Asset Pricing," Staff Reports 625, Federal Reserve Bank of New York.
- Almeida, Caio & Vicente, José, 2008.
"The role of no-arbitrage on forecasting: Lessons from a parametric term structure model,"
Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2695-2705, December.
- 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).
- Claudio Barbieri & Mattia Guerini & Mauro Napoletano, 2021.
"The anatomy of government bond yields synchronization in the Eurozone,"
Working Papers
hal-03373853, HAL.
- 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.
- Claudio Barbieri & Mattia Guerini & Mauro Napoletano, 2021. "The Anatomy of Government Bond Yields Synchronization in the Eurozone," GREDEG Working Papers 2021-08, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Claudio Barbieri & Mattia Guerini & Mauro Napoletano, 2021. "The anatomy of government bond yields synchronization in the Eurozone," SciencePo Working papers Main hal-03373853, HAL.
- Antonio Diez de los Rios, 2013.
"A New Linear Estimator for Gaussian Dynamic Term Structure Models,"
Staff Working Papers
13-10, Bank of Canada.
- Antonio Diez de Los Rios, 2015. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 282-295, April.
- Matteo Modena, 2008.
"The Term Structure and the Expectations Hypothesis: a Threshold Model,"
Working Papers
2008_36, Business School - Economics, University of Glasgow.
- Modena, Matteo, 2008. "The term structure and the expectations hypothesis: a threshold model," MPRA Paper 9611, University Library of Munich, Germany.
- 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.
- 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.
- Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2020.
"Factor Timing,"
NBER Working Papers
26708, National Bureau of Economic Research, Inc.
- 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.
- Ethan Struby, 2018. "Macroeconomic Disagreement in Treasury Yields," Working Papers 2018-04, Carleton College, Department of Economics.
- 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.
- Abrahams, Michael & Adrian, Tobias & Crump, Richard K. & Moench, Emanuel & Yu, Rui, 2016. "Decomposing real and nominal yield curves," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 182-200.
- Martin Lettau & Jessica A. Wachter, 2009.
"The Term Structures of Equity and Interest Rates,"
NBER Working Papers
14698, National Bureau of Economic Research, Inc.
- Lettau, Martin & Wachter, Jessica A., 2011. "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, vol. 101(1), pages 90-113, July.
- Guihai Zhao, 2020. "Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields," Staff Working Papers 20-14, Bank of Canada.
- 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.
- Dreher, Ferdinand & Gräb, Johannes & Kostka, Thomas, 2018. "From carry trades to curvy trades," Working Paper Series 2149, European Central Bank.
- Koijen, Ralph S.J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017.
"The cross-section and time series of stock and bond returns,"
Journal of Monetary Economics, Elsevier, vol. 88(C), pages 50-69.
- Koijen, Ralph S. J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017. "The Cross-Section and Time Series of Stock and Bond Returns," Research Papers 3518, Stanford University, Graduate School of Business.
- Van Nieuwerburgh, Stijn & Lustig, Hanno & Koijen, Ralph, 2012. "The Cross-Section and Time-Series of Stock and Bond Returns," CEPR Discussion Papers 9024, C.E.P.R. Discussion Papers.
- 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.
- Lenz, Rainer, 2010. "Analyse der Renditestrukturkurve: Zur Laufzeitenstruktur von Investitions- und Finanzierungsentscheidungen [Yield curve analysis]," MPRA Paper 26621, University Library of Munich, Germany.
- 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.
- Li, Yulin, 2021. "Investor sentiment and sovereign bonds," Journal of International Money and Finance, Elsevier, vol. 115(C).
- 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.
- 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.
- 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.
- Bach, Christian & Møller, Stig V., 2011. "Habit-based asset pricing with limited participation consumption," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2891-2901, November.
- Guanhao Feng & Nicholas Polson, 2020. "Regularizing Bayesian predictive regressions," Journal of Asset Management, Palgrave Macmillan, vol. 21(7), pages 591-608, December.
- Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
- 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.
- Junko Koeda, 2017.
"Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan,"
The Japanese Economic Review, Japanese Economic Association, vol. 68(4), pages 443-457, December.
- 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.
- Junko Koeda, 2017. "Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan," The Japanese Economic Review, Springer, vol. 68(4), pages 443-457, December.
- Zhao, Guihai, 2017. "Confidence, bond risks, and equity returns," Journal of Financial Economics, Elsevier, vol. 126(3), pages 668-688.
- 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.
- Massimo Guidolin & Allan Timmerman, 2007. "Forecasts of U.S. short-term interest rates: a flexible forecast combination approach," Working Papers 2005-059, Federal Reserve Bank of St. Louis.
- Guidolin, Massimo & Timmermann, Allan, 2009. "Forecasts of US short-term interest rates: A flexible forecast combination approach," Journal of Econometrics, Elsevier, vol. 150(2), pages 297-311, June.
- Stanislav Anatolyev & Nikolay Gospodinov, 2015.
"Multivariate return decomposition: theory and implications,"
FRB Atlanta Working Paper
2015-7, Federal Reserve Bank of Atlanta.
- Stanislav Anatolyev & Nikolay Gospodinov, 2019. "Multivariate Return Decomposition: Theory and Implications," Econometric Reviews, Taylor & Francis Journals, vol. 38(5), pages 487-508, May.
- 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.
- Pavol Povala & Anna Cieslak, 2012. "Understanding bond risk premia," 2012 Meeting Papers 771, Society for Economic Dynamics.
- Lin, Hai & Wang, Junbo & Wu, Chunchi, 2014. "Predictions of corporate bond excess returns," Journal of Financial Markets, Elsevier, vol. 21(C), pages 123-152.
- 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.
- 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.
- 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.
- 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.
- Rajmund MIRDALA, 2015. "Decomposing Euro Area Sovereign Debt Yields into Inflation Expectations and Expected Real Interest Rates," Journal of Advanced Research in Law and Economics, ASERS Publishing, vol. 6(4), pages 714-737.
- Fernando D. Chague, 2013. "Conditional Betas and Investor Uncertainty," Working Papers, Department of Economics 2013_04, University of São Paulo (FEA-USP).
- 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.
- 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.
- Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & 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 903, Banco de la Republica de Colombia.
- Chernov, Mikhail & Mueller, Philippe, 2012.
"The term structure of inflation expectations,"
Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
- Philippe Mueller & Mikhail Chernov, 2008. "The Term Structure of Inflation Expectations," 2008 Meeting Papers 346, Society for Economic Dynamics.
- Chernov, Mikhail & Mueller, Philippe, 2008. "The Term Structure of Inflation Expectations," CEPR Discussion Papers 6809, C.E.P.R. Discussion Papers.
- Laborda, Ricardo & Olmo, Jose, 2014. "Investor sentiment and bond risk premia," Journal of Financial Markets, Elsevier, vol. 18(C), pages 206-233.
- 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.
- Valentin Haddad & David A. Sraer, 2019.
"The Banking View of Bond Risk Premia,"
NBER Working Papers
26369, National Bureau of Economic Research, Inc.
- David Sraer & Valentin Haddad, 2016. "The Banking View of Bond Risk Premia," 2016 Meeting Papers 814, Society for Economic Dynamics.
- Valentin Haddad & David Sraer, 2020. "The Banking View of Bond Risk Premia," Journal of Finance, American Finance Association, vol. 75(5), pages 2465-2502, October.
- Sraer, David & Haddad, Valentin, 2019. "The Banking View of Bond Risk Premia," CEPR Discussion Papers 14207, C.E.P.R. Discussion Papers.
- 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.
- Guidolin, Massimo & Thornton, Daniel L., 2018. "Predictions of short-term rates and the expectations hypothesis," International Journal of Forecasting, Elsevier, vol. 34(4), pages 636-664.
- 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.
- Møller, Stig V., 2014. "GDP growth and the yield curvature," Finance Research Letters, Elsevier, vol. 11(1), pages 1-7.
- 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.
- 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.
- 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.
- Platanakis, Emmanouil & Sutcliffe, Charles, 2016. "Pension scheme redesign and wealth redistribution between the members and sponsor: The USS rule change in October 2011," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 14-28.
- Kenneth Kuttner, 2006. "Can Central Banks Target Bond Prices?," NBER Working Papers 12454, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- Carl Chiarella & Chih-Ying Hsiao & Thuy-Duong To, 2011. "Stochastic Correlation and Risk Premia in Term Structure Models," Research Paper Series 298, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- 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.).
- 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.
- Yusho Kagraoka & Zakaria Moussa, 2010. "Quantitative Easing, Credibility and the Time-Varying Dynamics of the Term Structure of Interest rate in Japan," Working Papers halshs-00543010, HAL.
- Mitsuru Katagiri, 2018. "Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy," IMF Working Papers 2018/242, International Monetary Fund.
- Croce, Mariano & Schlag, Christian & Marchuk, Tatyana, 2018. "The Leading Premium," CEPR Discussion Papers 12631, C.E.P.R. Discussion Papers.
- Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006.
"The bond yield \"conundrum\" from a macro-finance perspective,"
Working Paper Series
2006-16, Federal Reserve Bank of San Francisco.
- 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.
- Modena, Matteo, 2008. "Yield curve, time varying term premia, and business cycle fluctuations," MPRA Paper 8873, University Library of Munich, Germany.
- 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.
- 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.
- Carlo Altavilla & Riccardo Costantini & Raffaella Giacomini, 2013.
"Bond returns and market expectations,"
CeMMAP working papers
20/13, Institute for Fiscal Studies.
- Carlo Altavilla & Riccardo Costantini & Raffaella Giacomini, 2013. "Bond returns and market expectations," CeMMAP working papers CWP20/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Carlo Altavilla & Raffaella Giacomini & Riccardo Costantini, 2014. "Bond Returns and Market Expectations," Journal of Financial Econometrics, Oxford University Press, vol. 12(4), pages 708-729.
- 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.).
- Hanson, Samuel G., 2014. "Mortgage convexity," Journal of Financial Economics, Elsevier, vol. 113(2), pages 270-299.
- 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.
- Anatolyev, Stanislav, 2009.
"Dynamic modeling under linear-exponential loss,"
Economic Modelling, Elsevier, vol. 26(1), pages 82-89, January.
- Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, New Economic School (NES).
- Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, Center for Economic and Financial Research (CEFIR).
- 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.
- Martin Lettau & Matteo Maggiori & Michael Weber, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," NBER Working Papers 18844, National Bureau of Economic Research, Inc.
- Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2014. "Conditional risk premia in currency markets and other asset classes," Journal of Financial Economics, Elsevier, vol. 114(2), pages 197-225.
- 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.
- 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.
- Tracy Yue Wang & David Hirshleifer & Bing Han, 2010.
"Investor Overconfidence and the Forward Discount Puzzle,"
2010 Meeting Papers
1201, Society for Economic Dynamics.
- Han, Bing & Hirshleifer, David & Wang, Tracy Yue, 2005. "Investor Overconfidence and the Forward Discount Puzzle," Working Paper Series 2005-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- 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.
- 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.
- Lloyd, Simon P., 2020. "Estimating nominal interest rate expectations: Overnight indexed swaps and the term structure," Journal of Banking & Finance, Elsevier, vol. 119(C).
- Lloyd, Simon, 2018. "Estimating nominal interest rate expectations: overnight indexed swaps and the term structure," Bank of England working papers 763, Bank of England.
- Christoffel, Kai & Kilponen, Juha & Jaccard, Ivan, 2011. "Government bond risk premia and the cyclicality of fiscal policy," Working Paper Series 1411, European Central Bank.
- Kučera, Adam, 2020. "Identification of triggers of U.S. yield curve movements," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Espinosa-Torres, Juan Andrés & Gomez-Gonzalez, Jose Eduardo & Melo-Velandia, Luis Fernando & Moreno-Gutiérrez, José Fernando, 2016.
"The international transmission of risk: Causal relations among developed and emerging countries’ term premia,"
Research in International Business and Finance, Elsevier, vol. 37(C), pages 646-654.
- 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 12609, Banco de la Republica.
- 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.
- 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.
- 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.
- 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.).
- Beltran, Daniel O. & Kretchmer, Maxwell & Marquez, Jaime & Thomas, Charles P., 2013. "Foreign holdings of U.S. Treasuries and U.S. Treasury yields," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1120-1143.
- 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.
- Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2006. "Macroeconomic implications of changes in the term premium," Working Paper Series 2006-46, Federal Reserve Bank of San Francisco.
- 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.
- 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.
- 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.
- 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.
- 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.
- Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," Harvard Business School Working Papers 11-094, Harvard Business School, revised Sep 2013.
- 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.
- 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.
- Greg Duffee, 2011.
"Information in (and not in) the term structure,"
Economics Working Paper Archive
577, The Johns Hopkins University,Department of Economics.
- Gregory R. Duffee, 2011. "Information in (and not in) the Term Structure," The Review of Financial Studies, Society for Financial Studies, vol. 24(9), pages 2895-2934.
- Bretscher, Lorenzo & Hsu, Alex & Tamoni, Andrea, 2020. "Fiscal policy driven bond risk premia," Journal of Financial Economics, Elsevier, vol. 138(1), pages 53-73.
- 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.
- Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2011. "Demographics and The Behaviour of Interest Rates," Working Papers 388, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Dockner, Engelbert J. & Mayer, Manuel & Zechner, Josef, 2013.
"Sovereign bond risk premiums,"
CFS Working Paper Series
2013/28, Center for Financial Studies (CFS).
- Engelbert Dockner & Manuel Mayer & Josef Zechner, 2017. "Sovereign Bond Risk Premiums," Working Papers 217, Oesterreichische Nationalbank (Austrian Central Bank).
- 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.
- JULES H. Van BINSBERGEN & MICHAEL W. BRANDT & RALPH S. J. KOIJEN, 2008. "Optimal Decentralized Investment Management," Journal of Finance, American Finance Association, vol. 63(4), pages 1849-1895, August.
- Tatyana Marchuk & Christian Schlag & Mariano Croce, 2017. "The Leading Premium," 2017 Meeting Papers 1251, Society for Economic Dynamics.
- 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.
- Avino, Davide & Nneji, Ogonna, 2012. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," MPRA Paper 42848, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- Gregory R. Duffee, 2012.
"Forecasting interest rates,"
Economics Working Paper Archive
599, The Johns Hopkins University,Department of Economics.
- Duffee, Gregory, 2013. "Forecasting Interest Rates," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 385-426, Elsevier.
- 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.
- Andrew Ang & Monika Piazzesi & Min Wei, 2003. "What does the yield curve tell us about GDP growth?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Andrew Ang & Monika Piazzesi & Min Wei, 2004. "What Does the Yield Curve Tell us about GDP Growth?," NBER Working Papers 10672, National Bureau of Economic Research, Inc.
- 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.
- Rebecca Hellerstein, 2011. "Global bond risk premiums," Staff Reports 499, Federal Reserve Bank of New York.
- Carlo Altavilla & Domenico Giannone & Michèle Modugno, 2014.
"Low Frequency Effects of Macroeconomic News on Government Bond Yields,"
Working Papers ECARES
ECARES 2014-34, ULB -- Universite Libre de Bruxelles.
- Altavilla, Carlo & Giannone, Domenico & Modugno, Michele, 2017. "Low frequency effects of macroeconomic news on government bond yields," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 31-46.
- 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.).
- Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," CSEF Working Papers 372, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- 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).
- Oguzhan Cepni & Selcuk Gul & Rangan Gupta, 2019. "Local Currency Bond Risk Premia of Emerging Markets: The Role of Local and Global Factors," Working Papers 201901, University of Pretoria, Department of Economics.
- 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.
- 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.
- 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.
- 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.
- Mordecai Kurz & Maurizio Motolese, 2007. "Diverse Beliefs and Time Variability of Risk Premia," Discussion Papers 06-044, Stanford Institute for Economic Policy Research.
- 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.
- 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.
- 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.
- 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.
- Lena Mareen Koerber & Daisuke Nagakura & Ippei Fujiwara, 2011. "How much Asymmetry is there in Bond Returns and Exchange Rates?," Bank of Japan Working Paper Series 11-E-10, Bank of Japan.
- Subhani, Muhammad Imtiaz & Osman, Ms. Amber, 2012.
"Relationship between Consumer Price Index (CPI) and Government Bonds,"
MPRA Paper
40385, University Library of Munich, Germany.
- Subhani, Muhammad Imtiaz, 2009. "Relationship between Consumer Price Index (CPI) and Government Bonds," MPRA Paper 36161, University Library of Munich, Germany.
- Roskelley, Kenneth D., 2016. "Augmenting the Taylor rule: Monetary policy and the bond market," Economics Letters, Elsevier, vol. 144(C), pages 64-67.
- Mirco Rubin & Dario Ruzzi, 2020. "Equity Tail Risk in the Treasury Bond Market," Papers 2007.05933, arXiv.org.
- 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).
- 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.
- Ireland, Peter N., 2015.
"Monetary policy, bond risk premia, and the economy,"
Journal of Monetary Economics, Elsevier, vol. 76(C), pages 124-140.
- Peter N. Ireland, 2015. "Monetary Policy, Bond Risk Premia, and the Economy," NBER Working Papers 21576, National Bureau of Economic Research, Inc.
- Peter N. Ireland, 2014. "Monetary Policy, Bond Risk Premia, and the Economy," Boston College Working Papers in Economics 852, Boston College Department of Economics.
- 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.
- Zaremba, Adam & Czapkiewicz, Anna, 2017. "The cross section of international government bond returns," Economic Modelling, Elsevier, vol. 66(C), pages 171-183.
- Al-Zoubi, Haitham A., 2019. "Bond and option prices with permanent shocks," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 272-290.
- Kozak, Serhiy, 2022. "Dynamics of bond and stock returns," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 188-209.
- 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.
- Cieslak, Anna & Pang, Hao, 2021. "Common shocks in stocks and bonds," Journal of Financial Economics, Elsevier, vol. 142(2), pages 880-904.
- 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.
- 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.
- 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.
- Istrefi, Klodiana & Mouabbi, Sarah, 2018. "Subjective interest rate uncertainty and the macroeconomy: A cross-country analysis," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 296-313.
- S. Fries & J.-S. Mésonnier & S. Mouabbi & J.-P. Renne, 2016. "National natural rates of interest and the single monetary policy in the Euro Area," Working papers 611, Banque de France.
- Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2015. "UK Term Structure Decompositions at the Zero Lower Bound," Working Papers 755, Queen Mary University of London, School of Economics and Finance.
- 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.
- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2017. "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 110-129, January.
- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2015. "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Working Papers 550, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- 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.
- 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.
- 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.
- David K. Backus & Jonathan H. Wright, 2007. "Cracking the Conundrum," Working Papers 07-21, New York University, Leonard N. Stern School of Business, Department of Economics.
- David K. Backus & Jonathan H. Wright, 2007. "Cracking the conundrum," Finance and Economics Discussion Series 2007-46, Board of Governors of the Federal Reserve System (U.S.).
- David K. Backus & Jonathan H. Wright, 2007. "Cracking the Conundrum," NBER Working Papers 13419, National Bureau of Economic Research, Inc.
- Martin, Ian & Ross, Steve, 2019.
"Notes on the yield curve,"
LSE Research Online Documents on Economics
90208, London School of Economics and Political Science, LSE Library.
- Martin, Ian & Ross, Stephen, 2018. "Notes on the Yield Curve," CEPR Discussion Papers 13176, C.E.P.R. Discussion Papers.
- Martin, Ian W. R. & Ross, Stephen A., 2019. "Notes on the yield curve," Journal of Financial Economics, Elsevier, vol. 134(3), pages 689-702.
- 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.
- Ayşe İmrohoroğlu & Şelale Tüzel, 2014.
"Firm-Level Productivity, Risk, and Return,"
Management Science, INFORMS, vol. 60(8), pages 2073-2090, August.
- Ayse Imrohoroglu & Selale Tuzel, 2011. "Firm Level Productivity, Risk, and Return," 2011 Meeting Papers 21, Society for Economic Dynamics.
- 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.
- Till Strohsal & Enzo Weber, 2011. "Mean-Variance Cointegration and the Expectations Hypothesis," SFB 649 Discussion Papers SFB649DP2011-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Till Strohsal & Enzo Weber, 2014. "Mean-variance cointegration and the expectations hypothesis," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1983-1997, November.
- Petar Sabtchevsky & Paul Whelan & Andrea Vedolin & Philippe Mueller, 2017. "Variance Risk Premia on Stocks and Bonds," 2017 Meeting Papers 1161, Society for Economic Dynamics.
- 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.
- Buraschi, Andrea & Jiltsov, Alexei, 2005. "Inflation risk premia and the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 75(2), pages 429-490, February.
- 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.
- 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.
- 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(s1), pages 3-46, February.
- James D. Hamilton & Jing Cynthia Wu, 2011. "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment," NBER Working Papers 16956, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Sydney Ludvigson & Serena Ng, 2006. "The Empirical Risk-Return Relation: a factor analysis approach," 2006 Meeting Papers 236, Society for Economic Dynamics.
- Ludvigson, Sydney C. & Ng, Serena, 2007. "The empirical risk-return relation: A factor analysis approach," Journal of Financial Economics, Elsevier, vol. 83(1), pages 171-222, January.
- 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.
- 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.
- Dimitris A. Georgoutsos & Petros Migiakis, 2010. "European sovereign bond spreads: monetary unification, market conditions and financial integration," Working Papers 115, Bank of Greece.
- 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.
- 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.
- 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.
- 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.
- Zhengyang Jiang, 2019. "US Fiscal Cycle and the Dollar," 2019 Meeting Papers 667, Society for Economic Dynamics.
- 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.
- Siem Jan Koopman & Michel van der Wel, 2011. "Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model," Tinbergen Institute Discussion Papers 11-063/4, Tinbergen Institute.
- 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.
- Entrop, Oliver & Memmel, Christoph & Ruprecht, Benedikt & Wilkens, Marco, 2012. "Determinants of bank interest margins: Impact of maturity transformation," Discussion Papers 17/2012, Deutsche Bundesbank.
- Beniak, Patrycja, 2019. "The emerging market reaction to Fed tightening," MPRA Paper 96545, University Library of Munich, Germany, revised 29 Oct 2019.
- 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.
- 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.
- Manuel Moreno & Alfonso Novales & Federico Platania, 2019. "A term structure model under cyclical fluctuations in interest rates," Documentos de Trabajo del ICAE 2019-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- 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.
- 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.
- 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.
- Wang, Zijun, 2012. "The causal structure of bond yields," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 93-102.
- 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.
- 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.
- 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.
- Oguzhan Cepni & Rangan Gupta & I. Ethem Güney & M. Yilmaz, 2020. "Forecasting local currency bond risk premia of emerging markets: The role of cross‐country macrofinancial linkages," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 966-985, September.
- Hansen, Anne Lundgaard, 2021. "Modeling persistent interest rates with double-autoregressive processes," Journal of Banking & Finance, Elsevier, vol. 133(C).
- 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).
- Elie Bouri & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2019. "Gold, Platinum and the Predictability of Bond Risk Premia," Working Papers 201967, University of Pretoria, Department of Economics.
- 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.
- 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.
- 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.).
- Beechey, Meredith & Hjalmarsson, Erik & sterholm, Pr, 2009. "Testing the expectations hypothesis when interest rates are near integrated," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 934-943, May.
- Kucuk, Ugur N., 2009. "Dynamic Sources of Sovereign Bond Market Liquidity," MPRA Paper 19677, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Nikolaus Hautsch & Fuyu Yang, 2010. "Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model," SFB 649 Discussion Papers SFB649DP2010-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Daniel L. Thornton, 2012. "Evidence on the portfolio balance channel of quantitative easing," Working Papers 2012-015, Federal Reserve Bank of St. Louis.
- 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.
- Granziera, Eleonora & Sihvonen, Markus, 2020. "Bonds, currencies and expectational errors," Bank of Finland Research Discussion Papers 7/2020, Bank of Finland.
- Callum Jones & Mariano Kulish, 2011.
"Long-term Interest Rates, Risk Premia and Unconventional Monetary Policy,"
RBA Research Discussion Papers
rdp2011-02, Reserve Bank of Australia.
- 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.
- Ricardo M. Sousa, 2010. "Collateralizable Wealth, Asset Returns, and Systemic Risk: International Evidence," NIPE Working Papers 15/2010, NIPE - Universidade do Minho.
- 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.
- Samuel Hanson & David O. Lucca & Jonathan H. Wright, 2017. "Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates," Staff Reports 810, Federal Reserve Bank of New York.
- 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.
- Kenneth B. Petersen & Vladimir Pozdnyakov, 2008. "Predicting the Fed," Working papers 2008-07, University of Connecticut, Department of Economics.
- 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.
- Disyatat, Piti & Rungcharoenkitkul, Phurichai, 2017.
"Monetary policy and financial spillovers: Losing traction?,"
Journal of International Money and Finance, Elsevier, vol. 74(C), pages 115-136.
- Piti Disyatat & Phurichai Rungcharoenkitkul, 2015. "Monetary policy and financial spillovers: losing traction?," BIS Working Papers 518, Bank for International Settlements.
- Piti Disyatat & Phurichai Rungcharoenkitkul, 2015. "Monetary Policy and Financial Spillovers: Losing Traction?," PIER Discussion Papers 9, Puey Ungphakorn Institute for Economic Research.
- 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.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin, 2005.
"A framework for exploring the macroeconomic determinants of systematic risk,"
CFS Working Paper Series
2005/04, Center for Financial Studies (CFS).
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," NBER Working Papers 11134, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," PIER Working Paper Archive 05-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- 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.
- 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.
- Xavier Gabaix, 2012. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 127(2), pages 645-700.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Jian Chen & Jiaquan Yao & Qunzi Zhang & Xiaoneng Zhu, 2023. "Global Disaster Risk Matters," Management Science, INFORMS, vol. 69(1), pages 576-597, January.
- Miyanishi, Masako, 2012. "Testing the single-factor model in the presence of persistent regressors," Economics Letters, Elsevier, vol. 116(3), pages 634-636.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010.
"Countercyclical Currency Risk Premia,"
NBER Working Papers
16427, National Bureau of Economic Research, Inc.
- Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien, 2014. "Countercyclical currency risk premia," Journal of Financial Economics, Elsevier, vol. 111(3), pages 527-553.
- 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.
- Moench, Emanuel, 2008.
"Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach,"
Journal of Econometrics, Elsevier, vol. 146(1), pages 26-43, September.
- 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.
- 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.
- Sihvonen, Markus, 2021. "Yield curve momentum," Bank of Finland Research Discussion Papers 15/2021, Bank of Finland.
- Greg Duffee, 2010. "Sharpe ratios in term structure models," Economics Working Paper Archive 575, The Johns Hopkins University,Department of Economics.
- 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.
- 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.
- 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.
- Kristoffer Nimark, 2009.
"Speculative dynamics in the term structure of interest rates,"
Economics Working Papers
1194, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2012.
- Kristoffer Nimark, 2012. "Speculative Dynamics in the Term Structure of Interest Rates," Working Papers 430, Barcelona School of Economics.
- 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.
- Jardet, C., 2006. "Term Structure Anomalies: Term Premium or Peso problem?," Working papers 143, Banque de France.
- 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.
- 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.
- Jules van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez, 2010.
"The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences,"
NBER Working Papers
15890, National Bureau of Economic Research, Inc.
- Rubio-RamÃrez, 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.
- van Binsbergen, Jules H. & Fernández-Villaverde, Jesús & Koijen, Ralph S.J. & Rubio-Ramírez, Juan, 2012. "The term structure of interest rates in a DSGE model with recursive preferences," Journal of Monetary Economics, Elsevier, vol. 59(7), pages 634-648.
- Jules H. van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-RamÃrez, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," PIER Working Paper Archive 10-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- 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.
- Balcilar, Mehmet & Gupta, Rangan & Wang, Shixuan & Wohar, Mark E., 2020. "Oil price uncertainty and movements in the US government bond risk premia," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Paulo Maio, 2013. "Intertemporal CAPM with Conditioning Variables," Management Science, INFORMS, vol. 59(1), pages 122-141, April.
- 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).
- Guo, Bin & Huang, Fuzhe & Li, Kai, 2020.
"Time to build and bond risk premia,"
Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
- Guo, Bin & Huang, Fuzhe & Li, Kai, 2022. "Time to build and bond risk premia," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
- 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).
- 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.
- 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.
- Kola Akinsomi & Goodness C. Aye & Vassilios Babalos & Fotini Economou & Rangan Gupta, 2014. "Real Estate Returns Predictability Revisited: Novel Evidence from the US REITs Market," Working Papers 201454, University of Pretoria, Department of Economics.
- Gregory R. Duffee, 2012.
"Bond pricing and the macroeconomy,"
Economics Working Paper Archive
598, The Johns Hopkins University,Department of Economics.
- Duffee, Gregory R., 2013. "Bond Pricing and the Macroeconomy," 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 907-967, Elsevier.
- Qiang Dai & Thomas Philippon, 2005. "Fiscal Policy and the Term Structure of Interest Rates," NBER Working Papers 11574, National Bureau of Economic Research, Inc.
- Spencer, Simon & Bredin, Don, 2019. "Agreement matters: OPEC announcement effects on WTI term structure," Energy Economics, Elsevier, vol. 80(C), pages 589-609.
- 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.
- 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.
- Guihai Zhao, 2018.
"Ambiguity, Nominal Bond Yields and Real Bond Yields,"
Staff Working Papers
18-24, Bank of Canada.
- Guihai Zhao, 2020. "Ambiguity, Nominal Bond Yields, and Real Bond Yields," American Economic Review: Insights, American Economic Association, vol. 2(2), pages 177-192, June.
- 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.
- Menno Middeldorp, 2011.
"Central bank transparency, the accuracy of professional forecasts, and interest rate volatility,"
Staff Reports
496, Federal Reserve Bank of New York.
- M. Middeldorp, 2011. "Central Bank Transparency, the Accuracy of Professional Forecasts, and Interest Rate Volatility," Working Papers 11-12, Utrecht School of Economics.
- Marcin Dec, 2021. "Parsimonious yield curve modeling in less liquid markets," GRAPE Working Papers 52, GRAPE Group for Research in Applied Economics.
- Li, Yulin & Wald, John K. & Wang, Zijun, 2020. "Sovereign bonds, coskewness, and monetary policy regimes," Journal of Financial Stability, Elsevier, vol. 50(C).
- 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.
- 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.
- Philipp Karl Illeditsch, 2018. "Residual Inflation Risk," Management Science, INFORMS, vol. 64(11), pages 5289-5314, November.
- Chadwick, Meltem, 2010. "Modelling Time-varying Bond Risk Premia for Utilities Industry," MPRA Paper 75840, University Library of Munich, Germany.
- Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, University Library of Munich, Germany.
- 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.
- Gaus, Eric & Sinha, Arunima, 2018.
"What does the yield curve imply about investor expectations?,"
Journal of Macroeconomics, Elsevier, vol. 57(C), pages 248-265.
- Eric Gaus & Arunima Sinha, 2014. "What does the Yield Curve imply about Investor Expectations?," Working Papers 14-02, Ursinus College, Department of Economics.
- 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.
- 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.
- Dahlquist, Magnus & Hasseltoft, Henrik, 2013. "International Bond Risk Premia," Journal of International Economics, Elsevier, vol. 90(1), pages 17-32.
- 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.
- 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.
- 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.
- Ciccarelli, Matteo & Osbat, Chiara, 2017. "Low inflation in the euro area: Causes and consequences," Occasional Paper Series 181, European Central Bank.
- 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.
- 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.
- 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.
- Xu, Yuan, 2015. "Robustness to model uncertainty and the nominal term premium puzzle," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 124-137.
- 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.
- 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.
- M. Max Croce & Tatyana Marchuk & Christian Schlag, 2019. "The Leading Premium," NBER Working Papers 25633, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Eric Swanson & Glenn Rudebusch, 2008. "Long-Run Inflation Risk and the Postwar Term Premium," 2008 Meeting Papers 988, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- Sanjay K. Nawalkha & Xiaoyang Zhuo, 2020. "A Theory of Equivalent Expectation Measures for Contingent Claim Returns," Papers 2006.15312, arXiv.org, revised May 2022.
- 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.
- 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.
- 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.
- 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.
- 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).
- 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.
- 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.
- A. Onatski & V. Karguine, 2005.
"Curve Forecasting by Functional Autoregression,"
Computing in Economics and Finance 2005
59, Society for Computational Economics.
- Kargin, V. & Onatski, A., 2008. "Curve forecasting by functional autoregression," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2508-2526, November.
- Jon Faust & Jonathan H. Wright, 2008.
"Efficient Prediction of Excess Returns,"
NBER Working Papers
14169, National Bureau of Economic Research, Inc.
- Jon Faust & Jonathan H. Wright, 2011. "Efficient Prediction of Excess Returns," The Review of Economics and Statistics, MIT Press, vol. 93(2), pages 647-659, May.
- 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.
- 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.
- 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.
- 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.
- 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.
- Kessler, Stephan & Scherer, Bernd, 2009. "Varying risk premia in international bond markets," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1361-1375, August.
- 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.
- Tom Engsted & Stuart Hyde & Stig V. Møller, 2007. "Habit Formation, Surplus Consumption and Return Predictability: International Evidence," CREATES Research Papers 2007-31, Department of Economics and Business Economics, Aarhus University.
- 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.
- Görtz, Christoph & Tsoukalas, John, 2011.
"News and Financial Intermediation in Aggregate Fluctuations,"
MPRA Paper
34113, University Library of Munich, Germany, revised Oct 2011.
- Christoph Görtz & John D. Tsoukalas, 2017. "News and Financial Intermediation in Aggregate Fluctuations," The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 514-530, July.
- 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.
- 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.
- 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.
- 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.
- 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.
- Eric Jondeau & Benoit Mojon & Jean-Guillaume Sahuc, 2020. "Bank Funding Cost and Liquidity Supply Regimes," BIS Working Papers 854, Bank for International Settlements.
- 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.
- 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.
- 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.
- John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
- 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.
- David Bolder, 2006. "Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective," Staff Working Papers 06-48, Bank of Canada.
- 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.
- John H. Cochrane, 2017.
"Macro-Finance,"
Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
- John H. Cochrane, 2016. "Macro-Finance," NBER Working Papers 22485, National Bureau of Economic Research, Inc.
- 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).
- Rodrigo Alfaro & Marco Piña, 2021. "Estimates of the US Shadow-Rate," Working Papers Central Bank of Chile 923, Central Bank of Chile.
- 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.
- 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).
- 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).
- Florian Gunsilius & Susanne M. Schennach, 2019. "Independent nonlinear component analysis," CeMMAP working papers CWP46/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- 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.).
- 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.
- 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.
- Brandt, Michael W. & Cochrane, John H. & Santa-Clara, Pedro, 2001. "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)," Working Papers 01-2, University of Pennsylvania, Wharton School, Weiss Center.
- Michael W. Brandt & John H. Cochrane & Pedro Santa-Clara, 2001. "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)," NBER Working Papers 8404, National Bureau of Economic Research, Inc.
Cited by:
- 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.
- Tom Doan, "undated". "RATS programs to replicate Perron-Wada state space model," Statistical Software Components RTZ00133, Boston College Department of Economics.
- Pierre Perron† & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP?," Boston University - Department of Economics - Working Papers Series WP2005-031, Boston University - Department of Economics, revised Oct 2005.
- Pierre Perron & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP," Boston University - Department of Economics - Working Papers Series wp2009-006, Boston University - Department of Economics, revised Feb 2009.
- Narayana R. Kocherlakota & Luigi Pistaferri, 2006.
"Household heterogeneity and real exchange rates,"
Staff Report
372, Federal Reserve Bank of Minneapolis.
- Pistaferri, Luigi & Kocherlakota, Narayana, 2007. "Household Heterogeneity and Real Exchange Rates," CEPR Discussion Papers 6192, C.E.P.R. Discussion Papers.
- Narayana R. Kocherlakota & Luigi Pistaferri, 2006. "Household Heterogeneity and Real Exchange Rates," Levine's Bibliography 122247000000001275, UCLA Department of Economics.
- Narayana R. Kocherlakota & Luigi Pistaferri, 2007. "Household Heterogeneity and Real Exchange Rates," Economic Journal, Royal Economic Society, vol. 117(519), pages 1-25, March.
- Pavlova, Anna & Rigobon, Roberto, 2004.
"Asset Prices and Exchange Rates,"
Working papers
4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Pavlova, Anna & Rigobon, Roberto, 2003. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Anna Pavlova & Roberto Rigobon, 2003. "Asset Prices and Exchange Rates," NBER Working Papers 9834, National Bureau of Economic Research, Inc.
- Anna Pavlova & Roberto Rigobon, 2007. "Asset Prices and Exchange Rates," The Review of Financial Studies, Society for Financial Studies, vol. 20(4), pages 1139-1180.
- Roberto Rigobon & Anna Pavlova, 2004. "Asset Prices and Exchange Rates," Econometric Society 2004 North American Winter Meetings 579, Econometric Society.
- Ravi Bansal, 2007.
"Long-Run Risks and Financial Markets,"
NBER Working Papers
13196, National Bureau of Economic Research, Inc.
- Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 283-300.
- 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.
- Timothy K. Chue, 2004. "The Spirit of Capitalism and International Risk Sharing," Econometric Society 2004 Far Eastern Meetings 589, Econometric Society.
- Shu Wu, 2005.
"Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
200519, University of Kansas, Department of Economics, revised Oct 2005.
- 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.
- 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.
- 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.
- 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.
- Brandt, Michael W. & Santa-Clara, Pedro, 2002. "Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets," Journal of Financial Economics, Elsevier, vol. 63(2), pages 161-210, February.
- Cappiello, Lorenzo & De Santis, Roberto A., 2005. "Explaining exchange rate dynamics: the uncovered equity return parity condition," Working Paper Series 529, European Central Bank.
- Nikolaos Panigirtzoglou, 2004. "Implied Foreign Exchange Risk Premia," European Financial Management, European Financial Management Association, vol. 10(2), pages 321-338, June.
- John H. Cochrane, 2001.
"A Rehabilitation of Stochastic Discount Factor Methodology,"
NBER Working Papers
8533, National Bureau of Economic Research, Inc.
Cited by:
- Peter Smith & Michael Wickens, 2002.
"Asset Pricing with Observable Stochastic Discount Factors,"
Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 397-446, July.
- Peter N Smith & Michael R Wickens, "undated". "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers 02/03, Department of Economics, University of York.
- 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.
- 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.
- Bansal, Ravi & Dahlquist, Magnus, 2002. "Expropriation Risk and Return in Global Equity Markets," SIFR Research Report Series 8, Institute for Financial Research.
- 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.
- 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.
- 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.
- Laurinaityte, Nora & Meinerding, Christoph & Schlag, Christian & Thimme, Julian, 2020. "GMM weighting matrices incross-sectional asset pricing tests," Discussion Papers 62/2020, Deutsche Bundesbank.
- 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.
- 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.
- 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.
- 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.
- Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers 3145, C.E.P.R. Discussion Papers.
- Peter Smith & Michael Wickens, 2002.
"Asset Pricing with Observable Stochastic Discount Factors,"
Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 397-446, July.
- 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:
- Harashima, Taiji, 2006. "The Sustainability of Budget Deficits in an Inflationary Economy," MPRA Paper 905, University Library of Munich, Germany.
- Willem Buiter, 2000.
"The Fallacy of the Fiscal Theory of the Price Level, Again,"
CESifo Working Paper Series
303, CESifo.
- Willem H. Buiter, 2001. "The fallacy of the fiscal theory of the price level, again," Bank of England working papers 141, Bank of England.
- Minford, Patrick & Fan, Jingwen, 2010.
"Can the Fiscal Theory of the price level explain UK inflation in the 1970s?,"
CEPR Discussion Papers
7630, C.E.P.R. Discussion Papers.
- 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.
- Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
- Jérôme Creel & Henri Sterdyniak, 2000.
"La théorie budgétaire du niveau des prix, un bilan critique,"
Working Papers
hal-00972874, HAL.
- Jérôme Creel & Henri Sterdyniak, 2000. "La théorie budgétaire du niveau des prix, un bilan critique," SciencePo Working papers Main hal-00972874, HAL.
- Jérôme Creel & Henri Sterdyniak, 2000. "La théorie budgétaire du niveau des prix, un bilan critique," Sciences Po publications 2000-03, Sciences Po.
- Jérôme Creel & Henri Sterdyniak, 2001. "La théorie budgétaire du niveau des prix, un bilan critique," Revue d'économie politique, Dalloz, vol. 111(6), pages 909-939.
- Jérôme Creel & Henri Sterdyniak, 2001. "La théorie budgétaire du niveau des prix, un bilan critique," SciencePo Working papers Main hal-03416639, HAL.
- Jérôme Creel & Henri Sterdyniak, 2001. "La théorie budgétaire du niveau des prix, un bilan critique," Post-Print hal-03416639, HAL.
- Mr. Michael Kumhof & Mr. Ricardo C Nunes & Mrs. Irina Yakadina, 2007.
"Simple Monetary Rules Under Fiscal Dominance,"
IMF Working Papers
2007/271, International Monetary Fund.
- Michael Kumhof & Ricardo Nunes & Irina Yakadina, 2010. "Simple Monetary Rules under Fiscal Dominance," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 63-92, February.
- Michael, Kumhof & Ricardo, Nunes & Irina, Yakadina, 2007. "Simple Monetary Rules under Fiscal Dominance," MPRA Paper 4462, University Library of Munich, Germany.
- Michael Kumhof & Ricardo Nunes & Irina Yakadina, 2010. "Simple Monetary Rules under Fiscal Dominance," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 63-92, February.
- Michael Kumhof & Ricardo Nunes & Irina Yakadina, 2008. "Simple monetary rules under fiscal dominance," International Finance Discussion Papers 937, Board of Governors of the Federal Reserve System (U.S.).
- Stijn Claessens & M. Ayhan Kose, 2017.
"Asset prices and macroeconomic outcomes: A survey,"
CAMA Working Papers
2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1718, Koc University-TUSIAD Economic Research Forum.
- Claessens,Stijn & Kose,Ayhan, 2017. "Asset prices and macroeconomic outcomes : a survey," Policy Research Working Paper Series 8259, The World Bank.
- Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
- Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
- 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.
- 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.
- António Afonso, 2002. "Disturbing the fiscal theory of the price level: Can it fit the eu-15?," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B4-3, International Conferences on Panel Data.
- Michael Kumhof, 2004.
"Fiscal Crisis Resolution: Taxation Versus Inflation,"
2004 Meeting Papers
874, Society for Economic Dynamics.
- Michael Kumhof, 2004. "Fiscal Crisis Resolution: Taxation versus Inflation," Working Papers 102004, Hong Kong Institute for Monetary Research.
- 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.
- Bennett T. McCallum, "undated".
"Is The Fiscal Theory of the Price Level Learnable?,"
GSIA Working Papers
2003-24, Carnegie Mellon University, Tepper School of Business.
- Bennett T. McCallum, 2003. "Is the Fiscal Theory of the Price Level Learnable?," NBER Working Papers 9961, National Bureau of Economic Research, Inc.
- Bennett T. Mccallum, 2003. "Is The Fiscal Theory of the Price Level Learnable?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 50(5), pages 634-649, November.
- Harashima, Taiji, 2007. "Why should central banks be independent?," MPRA Paper 1838, University Library of Munich, Germany, revised 19 Feb 2007.
- 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.
- 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).
- Thams, Andreas, 2007. "The Relevance of the fiscal Theory of the Price Level revisited," MPRA Paper 1645, University Library of Munich, Germany.
- 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.
- Olivier Mesly & Imed Chkir & François-Éric Racicot, 2018. "Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?," Post-Print hal-01924972, HAL.
- 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.
- M. Marzo, 2001. "Evaluating Monetary Policy Regimes: the Role of Nominal Rigidities," Working Papers 411, Dipartimento Scienze Economiche, Universita' di Bologna.
- 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.
- 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.
- Tödter, Karl-Heinz, 2002. "Monetary indicators and policy rules in the P-star model," Discussion Paper Series 1: Economic Studies 2002,18, Deutsche Bundesbank.
- 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.
- Lawrence J. Christiano & Terry J. Fitzgerald, 2000. "Understanding the fiscal theory of the price level," Economic Review, Federal Reserve Bank of Cleveland, issue Q II, pages 2-38.
- 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.
- Keiichiro KOBAYASHI, 2002.
"Fiscal Consequences of Inflationary Policies,"
Discussion papers
02010, Research Institute of Economy, Trade and Industry (RIETI).
- Kobayashi, Keiichiro, 2005. "Fiscal consequences of inflationary policies," Journal of the Japanese and International Economies, Elsevier, vol. 19(3), pages 386-393, September.
- Keiichiro Kobayashi, 2003. "A Theory of Banking Crises (Part 1)," Discussion papers 03016, Research Institute of Economy, Trade and Industry (RIETI).
- Andreas Thams, 2006. "Fiscal Policy Effects in the European Union," SFB 649 Discussion Papers SFB649DP2006-016, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- 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.
- Cochrane, John H., 2005. "The risk and return of venture capital," Journal of Financial Economics, Elsevier, vol. 75(1), pages 3-52, January.
- John H. Cochrane, 2001. "The Risk and Return of Venture Capital," NBER Working Papers 8066, National Bureau of Economic Research, Inc.
Cited by:
- Phalippou, Ludovic, 2010. "Venture capital funds: Flow-performance relationship and performance persistence," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 568-577, March.
- 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.
- Dirk Bergemann & Ulrich Hege & Liang Peng, 2009.
"Venture Capital and Sequential Investments,"
Levine's Working Paper Archive
814577000000000046, David K. Levine.
- Dirk Bergemann & Ulrich Hege & Liang Peng, 2008. "Venture Capital and Sequential Investments," Cowles Foundation Discussion Papers 1682R, Cowles Foundation for Research in Economics, Yale University, revised Mar 2009.
- Ulrich Hege, 2009. "Venture Capital and Sequential Investments," Post-Print hal-00496178, HAL.
- Ulrich Hege, 2010. "Venture Capital and Sequential Investments," Post-Print hal-00554148, HAL.
- Ulrich Hege, 2011. "Venture Capital and Sequential Investments," Post-Print hal-00577896, HAL.
- Ulrich Hege, 2011. "Venture Capital and Sequential Investments," Post-Print hal-00577892, HAL.
- 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.
- Ulrich Hege, 2011. "Venture Capital and Sequential Investments," Post-Print hal-00577880, HAL.
- Dirk Bergemann & Ulrich Hege & Liang Peng, 2008. "Venture Capital and Sequential Investments," Cowles Foundation Discussion Papers 1682R2, Cowles Foundation for Research in Economics, Yale University, revised Oct 2009.
- Ulrich Hege & Dirk Bergemann & Liang Peng, 2012. "Venture Capital and Sequential Investments," Working Papers hal-00759784, HAL.
- 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.
- 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.
- William Gornall & Ilya A. Strebulaev, 2017. "Squaring Venture Capital Valuations with Reality," NBER Working Papers 23895, National Bureau of Economic Research, Inc.
- Groh, Alexander P. & Gottschalg, Oliver, 2009. "The opportunity cost of capital of US buyouts," IESE Research Papers D/780, IESE Business School.
- 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.
- 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.
- 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.
- 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.
- Barber, Brad M. & Yasuda, Ayako, 2014. "Interim Fund Performand and Fundraising in Private Equity," Working Papers 14-18, University of Pennsylvania, Wharton School, Weiss Center.
- Achleitner, A.-K. & Bock, Carolin & Watzinger, Martin, 2011.
"The Capital Gains Tax: A Curse but also a Blessing for Venture Capital Investment,"
Publications of Darmstadt Technical University, Institute for Business Studies (BWL)
77259, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Achleitner, A.-K. & Bock, Carolin & Watzinger, M., 2012. "The Capital Gains Tax: A Curse but also a Blessing for Venture Capital Investment," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77328, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Achleitner, A.-K. & Bock, Carolin & Watzinger, M., 2012. "The Capital Gains Tax: A Curse but also a Blessing for Venture Capital Investment," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77324, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Carolin Bock & Martin Watzinger, 2019. "The Capital Gains Tax: A Curse but Also a Blessing for Venture Capital Investment," Journal of Small Business Management, Taylor & Francis Journals, vol. 57(4), pages 1200-1231, October.
- Bock, Carolin & Watzinger, Martin, 2019. "The Capital Gains Tax: A Curse but also a Blessing for Venture Capital Investment," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 88133, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Bock, Carolin & Watzinger, Martin, 2017. "The Capital Gains Tax: A Curse but Also a Blessing for Venture Capital Investment," Rationality and Competition Discussion Paper Series 30, CRC TRR 190 Rationality and Competition.
- 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).
- Achleitner, Ann-Kristin & Bock, Carolin & Watzinger, Martin, 2011. "The capital gains tax: A curse but also a blessing for venture capital investment," CEFS Working Paper Series 2011-04, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
- 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.
- Zhang, Junfu, 2007.
"The Advantage of Experienced Start-Up Founders in Venture Capital Acquisition: Evidence from Serial Entrepreneurs,"
IZA Discussion Papers
2964, Institute of Labor Economics (IZA).
- 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.
- 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.
- 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.
- 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.
- Hu, Yunzhi, 2022. "A dynamic theory of bank lending, firm entry, and investment fluctuations," Journal of Economic Theory, Elsevier, vol. 204(C).
- 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.
- Gompers, Paul & Kovner, Anna & Lerner, Josh & Scharfstein, David, 2008. "Venture capital investment cycles: The impact of public markets," Journal of Financial Economics, Elsevier, vol. 87(1), pages 1-23, January.
- Elisabeth Mueller, 2010.
"Returns to Private Equity - Idiosyncratic Risk Does Matter!,"
Review of Finance, European Finance Association, vol. 15(3), pages 545-574.
- Müller, Elisabeth, 2009. "Returns to private equity: idiosyncratic risk does matter!," ZEW Discussion Papers 04-29 [rev.2], ZEW - Leibniz Centre for European Economic Research.
- 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.
- Müller, Elisabeth, 2007. "Returns to Private Equity: Idiosyncratic Risk Does Matter!," ZEW Discussion Papers 04-29 [rev.], ZEW - Leibniz Centre for European Economic Research.
- 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.
- Cumming, D. & Johan, S.A., 2006.
"Regulatory harmonization and the development of private equity markets,"
Discussion Paper
2006-001, Tilburg University, Tilburg Law and Economic Center.
- 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.
- 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.
- Yan Alperovych & Georges Hübner, 2013.
"Incremental impact of venture capital financing,"
Small Business Economics, Springer, vol. 41(3), pages 651-666, October.
- Yan Alperovych & Georges Hübner, 2013. "Incremental impact of venture capital financing," Post-Print hal-02312949, HAL.
- 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.
- 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.
- Yan Alperovych & Georges Hübner & Fabrice Lobet, 2015.
"How does governmental versus private venture capital backing affect a firm's efficiency? Evidence from Belgium,"
Post-Print
hal-02313248, HAL.
- 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.
- 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.
- GIOT, Pierre & SCHWIENBACHER, Armin, 2007.
"IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis,"
LIDAM Reprints CORE
1983, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- GIOT, Pierre & SCHWIENBACHER, Armin, 2005. "IPOs, trade sales and liquidations: modelling venture capital exits using survival analysis," LIDAM Discussion Papers CORE 2005013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- Pierre Giot & Armin Schwienbacher, 2003. "IPOs, Trade Sales and Liquidations: Modelling Venture Capital Exits Using Survival Analysis," Finance 0312006, University Library of Munich, Germany.
- 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).
- 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.
- 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.
- 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.
- GIOT, Pierre & HEGE, Ulrich & SCHWIENBACHER, Armin, 2014.
"Are novice private equity funds risk-takers? Evidence from a comparison with established funds,"
LIDAM Reprints CORE
2585, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- 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.
- Zhang, Junfu, 2007.
"A Study of Academic Entrepreneurs Using Venture Capital Data,"
IZA Discussion Papers
2992, Institute of Labor Economics (IZA).
- Junfu Zhang, 2006. "A Study of Academic Entrepreneurs Using Venture Capital Data," PPIC Working Papers 2006.01, Public Policy Institute of California.
- 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.
- Bozkaya, Ant & Kerr, William R., 2013.
"Labor regulations and European venture capital,"
Bank of Finland Research Discussion Papers
30/2013, Bank of Finland.
- 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.
- 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.
- Ant Bozkaya & William R. Kerr, 2009.
"Labor Regulations and European Private Equity,"
Working Papers CEB
09-055.RS, ULB -- Universite Libre de Bruxelles.
- Ant Bozkaya & William R. Kerr, 2009. "Labor Regulations and European Private Equity," NBER Working Papers 15627, National Bureau of Economic Research, Inc.
- Alexander Ljungqvist & Matthew Richardson & Daniel Wolfenzon, 2008.
"The Investment Behavior of Buyout Funds: Theory and Evidence,"
NBER Working Papers
14180, National Bureau of Economic Research, Inc.
- 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.
- Dominique Guellec, 2020.
"Digital Innovation and the Distribution of Income,"
NBER Chapters, in: Measuring and Accounting for Innovation in the Twenty-First Century, pages 323-370,
National Bureau of Economic Research, Inc.
- Dominique Guellec & Caroline Paunov, 2017. "Digital Innovation and the Distribution of Income," NBER Working Papers 23987, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Pehr-Johan Norbäck & Lars Persson, 2009.
"The Organization of the Innovation Industry: Entrepreneurs, Venture Capitalists, and Oligopolists,"
Journal of the European Economic Association, MIT Press, vol. 7(6), pages 1261-1290, December.
- 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.
- Norbäck, Pehr-Johan & Persson, Lars, 2009. "The Organization of the Innovation Industry: Entrepreneurs, Venture Capitalists and Oligopolists," Working Paper Series 783, Research Institute of Industrial Economics.
- Persson, Lars & Norbäck, Pehr-Johan, 2006. "The Organization of the Innovation Industry: Entrepreneurs, Venture Capitalists and Oligopolists," CEPR Discussion Papers 5449, C.E.P.R. Discussion Papers.
- 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.
- Jegadeesh, Narasimhan & Kräussl, Roman & Pollet, Joshua, 2010.
"Risk and expected returns of private equity investments: Evidence based on market prices,"
CFS Working Paper Series
2010/04, Center for Financial Studies (CFS).
- Narasimhan Jegadeesh & Roman Kräussl & Joshua M. Pollet, 2015. "Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices," The Review of Financial Studies, Society for Financial Studies, vol. 28(12), pages 3269-3302.
- 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.
- Narasimhan Jegadeesh & Roman Kräussl & Joshua Pollet, 2009. "Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices," NBER Working Papers 15335, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Da Rin, M. & Hellmann, T. & Puri, M.L., 2011. "A Survey of Venture Capital Research," Other publications TiSEM eb956105-daa7-4a03-8392-6, Tilburg University, School of Economics and Management.
- Rin, Marco Da & Hellmann, Thomas & Puri, Manju, 2013. "A Survey of Venture Capital Research," 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 573-648, Elsevier.
- Da Rin, M. & Hellmann, T. & Puri, M.L., 2011. "A Survey of Venture Capital Research," Discussion Paper 2011-111, Tilburg University, Center for Economic Research.
- Kraeussl, R. & Krause, S., 2011.
"Has Europe Been Catching Up? An Industry Level Analysis of Venture Capital Success over 1985 - 2009,"
Working papers
327, Banque de France.
- 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.
- Kräussl, Roman & Krause, Stefan, 2012. "Has Europe been catching up? An industry level analysis of venture capital success over 1985 - 2009," CFS Working Paper Series 2012/16, Center for Financial Studies (CFS).
- 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.
- Liang Peng, 2001. "Building A Venture Capital Index," Yale School of Management Working Papers ysm221, Yale School of Management, revised 01 Oct 2001.
- Andrew Metrick & Ayako Yasuda, 2011.
"Venture Capital and Other Private Equity: a Survey,"
European Financial Management, European Financial Management Association, vol. 17(4), pages 619-654, September.
- Metrick, Andrew & Yasuda, Ayako, 2010. "Venture Capital and Other Private Equity: A Survey," Working Papers 11-06, University of Pennsylvania, Wharton School, Weiss Center.
- Andrew Metrick & Ayako Yasuda, 2010. "Venture Capital and Other Private Equity: A Survey," NBER Working Papers 16652, National Bureau of Economic Research, Inc.
- Adeline Saillard & Thomas Url, 2011. "Venture Capital in Bank- and Market-based Economies," WIFO Working Papers 389, WIFO.
- 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.
- Kaserer, Christoph & Wagner, Niklas & Achleitner, Ann-Kristin, 2003.
"Managing investment risks of institutional private equity investors: The challenge of illiquidity,"
CEFS Working Paper Series
2003-01, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
- 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.
- 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.
- 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.
- HEGE, Ulrich & BERGEMANN, Dirk, 2002.
"The value of benchmarking,"
HEC Research Papers Series
752, HEC Paris.
- Dirk Bergemann & Ulrich Hege, 2002. "The Value of Benchmarking," Cowles Foundation Discussion Papers 1379, Cowles Foundation for Research in Economics, Yale University, revised Oct 2002.
- Ulrich Hege & D. Bergemann, 2004. "The Value of Benchmarking," Post-Print hal-00759765, HAL.
- 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.
- 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.
- Cora Barnhart & Gerald P. Dwyer, 2008. "Returns to investors in stocks in new industries," FRB Atlanta Working Paper 2008-21, Federal Reserve Bank of Atlanta.
- Bronwyn H. Hall & Josh Lerner, 2009.
"The Financing of R&D and Innovation,"
NBER Working Papers
15325, National Bureau of Economic Research, Inc.
- Hall, Bronwyn H. & Lerner, Josh, 2010. "The Financing of R&D and Innovation," MERIT Working Papers 2010-012, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
- Hall, Bronwyn H. & Lerner, Josh, 2010. "The Financing of R&D and Innovation," Handbook of the Economics of Innovation, in: Bronwyn H. Hall & Nathan Rosenberg (ed.), Handbook of the Economics of Innovation, edition 1, volume 1, chapter 0, pages 609-639, Elsevier.
- 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.
- Paul Gompers & Anna Kovner & Josh Lerner, 2007. "Specialization and Success: Evidence from Venture Capital," NBER Chapters, in: Entrepreneurship: Strategy and Structure, National Bureau of Economic Research, Inc.
- Arthur Korteweg & Stefan Nagel, 2013.
"Risk-Adjusting the Returns to Venture Capital,"
NBER Working Papers
19347, National Bureau of Economic Research, Inc.
- Arthur Korteweg & Stefan Nagel, 2016. "Risk‐Adjusting the Returns to Venture Capital," Journal of Finance, American Finance Association, vol. 71(3), pages 1437-1470, June.
- Nagel, Stefan & Korteweg, Arthur, 2013. "Risk-Adjusting the Returns to Venture Capital," CEPR Discussion Papers 9610, C.E.P.R. Discussion Papers.
- 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.
- 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.
- 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.
- 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.
- Andrew Y. Chen & Chukwuma Dim, 2023. "High-Throughput Asset Pricing," Papers 2311.10685, arXiv.org, revised Mar 2024.
- Shumiao Ouyang & Jiaheng Yu & Ravi Jagannathan, 2020. "Return to Venture Capital in the Aggregate," NBER Working Papers 27690, National Bureau of Economic Research, Inc.
- Yao-Wen Hsu, 2010. "Staging of venture capital investment: a real options analysis," Small Business Economics, Springer, vol. 35(3), pages 265-281, October.
- 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.
- Wang, Lanfang & Wang, Susheng, 2012. "Endogenous networks in investment syndication," Journal of Corporate Finance, Elsevier, vol. 18(3), pages 640-663.
- Gill, Andrej & Walz, Uwe, 2016. "Are VC-backed IPOs delayed trade sales?," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 356-374.
- Michael Ewens & Charles Jones & Matthew Rhodes-Kropf, "undated".
"The Price of Diversifiable Risk in Venture Capital and Private Equity,"
GSIA Working Papers
2012-E55, Carnegie Mellon University, Tepper School of Business.
- 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.
- 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.
- Fabrizi, Simona & Lippert, Steffen & Norback, Pehr-Johan & Persson, Lars, 2007. "Venture Capitalists, Asymmetric Information and Ownership in the Innovation Process," MPRA Paper 6265, University Library of Munich, Germany.
- Persson, Lars & Norbäck, Pehr-Johan & Lippert, Steffen & Fabrizi, Simona, 2011. "Venture Capital, Patenting, and Usefulness of Innovations," CEPR Discussion Papers 8392, C.E.P.R. Discussion Papers.
- 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.
- Sybrand Schim van der Loeff & Pierre Mohnen & Franz Palm & Amaresh K. Tiwari, 2008.
"Financial Constraints and other Obstacles: Are they a Threat to Innovation Activity?,"
CESifo Working Paper Series
2204, CESifo.
- 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.
- Mohnen, Pierre & Palm, Franz & Schim van der Loeff, Sybrand & Tiwari, Amaresh, 2008. "Financial Constraints and Other Obstacles: Are they a Threat to Innovation Activity?," MERIT Working Papers 2008-006, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
- 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.
- Ivelin Elenchev & Aleksandar Vasilev, 2019. "Forecasting the Success Rate of Reward Based Crowdfunding Projects," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 17(1 (Spring), pages 51-77.
- Elenchev, Ivelin & Vasilev, Aleksandar, 2017. "Forecasting the Success Rate of Reward Based Crowdfunding Projects," EconStor Preprints 170681, ZBW - Leibniz Information Centre for Economics.
- 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.
- Tursoy, Turgut & Berk, Niyazi, 2020. "Stock Return and Risk Premium: Evidence from Turkey," MPRA Paper 98877, University Library of Munich, Germany.
- 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.
- Van Nieuwerburgh, Stijn & Gupta, Arpit, 2019.
"Valuing Private Equity Strip by Strip,"
CEPR Discussion Papers
14241, C.E.P.R. Discussion Papers.
- Arpit Gupta & Stijn Van Nieuwerburgh, 2019. "Valuing Private Equity Strip by Strip," NBER Working Papers 26514, National Bureau of Economic Research, Inc.
- Steven Kaplan & Antoinette Schoar, 2003. "Private Equity Performance: Returns, Persistence and Capital," NBER Working Papers 9807, National Bureau of Economic Research, Inc.
- Yan Alperovych & Georges Hübner, 2011.
"Explaining returns on venture capital backed companies : Evidence from Belgium,"
Post-Print
hal-02312726, HAL.
- 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.
- 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.
- Ljungqvist, Alexander & Chemla, Gilles & Habib, Michel, 2002. "An Analysis of Shareholder Agreements," CEPR Discussion Papers 3457, C.E.P.R. Discussion Papers.
- Shawn Cole & Martin Melecky & Florian Mölders & Tristan Reed, 2020.
"Long-run Returns to Impact Investing in Emerging Markets and Developing Economies,"
NBER Working Papers
27870, National Bureau of Economic Research, Inc.
- 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.
- Jason Roderick Donaldson & Giorgia Piacentino & Anjan Thakor, 2019.
"Intermediation Variety,"
NBER Working Papers
25946, National Bureau of Economic Research, Inc.
- Jason Roderick Donaldson & Giorgia Piacentino & Anjan Thakor, 2021. "Intermediation Variety," Journal of Finance, American Finance Association, vol. 76(6), pages 3103-3152, December.
- 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.
- Pascal François & Georges Hübner, 2010. "A Portfolio Approach to Venture Capital Financing," Cahiers de recherche 1046, CIRPEE.
- Wang, Lanfang & Wang, Susheng, 2012. "Economic freedom and cross-border venture capital performance," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 26-50.
- 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.
- Bottazzi, Laura & Da Rin, Marco & Hellmann, Thomas, 2008. "Who are the active investors?: Evidence from venture capital," Journal of Financial Economics, Elsevier, vol. 89(3), pages 488-512, September.
- L. Bottazzi & M. Da Rin & T. Hellmann, 2007. "Who are the active investors? Evidence from Venture Capital," Working Papers 611, Dipartimento Scienze Economiche, Universita' di Bologna.
- Becsky-Nagy PatrÃcia & 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.
- Swaminathan Balasubramaniam & Armando Gomes & SangMok Lee, 2019. "Mergers and Acquisitions with Private Equity Intermediation," 2019 Meeting Papers 1121, Society for Economic Dynamics.
- Simona Mateut, 2018. "Subsidies, financial constraints and firm innovative activities in emerging economies," Small Business Economics, Springer, vol. 50(1), pages 131-162, January.
- 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.
- 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.
- Armin Schwienbacher, 2008.
"Innovation and Venture Capital Exits,"
Economic Journal, Royal Economic Society, vol. 118(533), pages 1888-1916, November.
- Armin Schwienbacher, 2008. "Innovation and Venture Capital Exits," Economic Journal, Royal Economic Society, vol. 118(533), pages 1888-1916, November.
- Armin SCHWIENBACHER, 2001. "Innovation And Venture Capital Exits," Finance 0111005, University Library of Munich, Germany.
- 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.
- 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.
- 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).
- Brian Boyer & Taylor D. Nadauld & Keith P. Vorkink & Michael S. Weisbach, 2018.
"Private Equity Indices Based on Secondary Market Transactions,"
NBER Working Papers
25207, National Bureau of Economic Research, Inc.
- 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.
- Walz, Uwe & Cumming, Douglas, 2004.
"Private equity returns and disclosure around the world,"
CFS Working Paper Series
2004/05, Center for Financial Studies (CFS).
- Douglas Cumming & Uwe Walz, 2010. "Private equity returns and disclosure around the world," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 41(4), pages 727-754, May.
- Nahata, Rajarishi, 2008. "Venture capital reputation and investment performance," Journal of Financial Economics, Elsevier, vol. 90(2), pages 127-151, November.
- 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.
- Morten Sorensen & Neng Wang & Jinqiang Yang, 2014.
"Valuing Private Equity,"
The Review of Financial Studies, Society for Financial Studies, vol. 27(7), pages 1977-2021.
- Morten Sorensen & Neng Wang & Jinqiang Yang, 2013. "Valuing Private Equity," NBER Working Papers 19612, National Bureau of Economic Research, Inc.
- 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.
- 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).
- 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).
- 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.
- 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.
- Boyan Jovanovic & Balàzs Szentes, 2007. "On the Return to Venture Capital," NBER Working Papers 12874, National Bureau of Economic Research, Inc.
- Chambers, David & , & Spaenjers, Christophe, 2020.
"Art as an Asset: Evidence from Keynes the Collector,"
CEPR Discussion Papers
14357, C.E.P.R. Discussion Papers.
- 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.
- 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.
- 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.
- 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.
- Guglielmo Maria Caporale & Luis A. Gil-Alana & Francisco Puertolas, 2022.
"Modelling Profitability of Private Equity: A Fractional Integration Approach,"
CESifo Working Paper Series
9843, CESifo.
- 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).
- 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.
- 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.
- 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.
- Dorra Najar, 2014. "Fund Managers Fees: Estimation and Sensitivity Analysis Using Monte Carlo Simulation," Working Papers 2014-195, Department of Research, Ipag Business School.
- 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.
- 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.
- 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.
- 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.
- Ramon P. DeGennaro & Gerald P. Dwyer, 2014.
"Expected Returns to Stock Investments by Angel Investors in Groups,"
European Financial Management, European Financial Management Association, vol. 20(4), pages 739-755, September.
- 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.
- David T. Robinson & Berk A. Sensoy, 2013.
"Do Private Equity Fund Managers Earn Their Fees? Compensation, Ownership, and Cash Flow Performance,"
The Review of Financial Studies, Society for Financial Studies, vol. 26(11), pages 2760-2797.
- 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.
- 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.
- 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.
- 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.
- Bernardo, Antonio E. & Chowdhry, Bhagwan, 2002. "Resources, real options, and corporate strategy," Journal of Financial Economics, Elsevier, vol. 63(2), pages 211-234, February.
- 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.
- 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).
- 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.
- 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.
- 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.
- Kwon, Sungjoung & Lowry, Michelle & Qian, Yiming, 2020. "Mutual fund investments in private firms," Journal of Financial Economics, Elsevier, vol. 136(2), pages 407-443.
- 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.
- 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.
- 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.
- 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.
- 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).
- 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.
- 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.
- Alexander Peter Groh & Oliver Gottschalg, 2008. "The Opportunity Cost of Capital of US Buyouts," NBER Working Papers 14148, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Robinson, David T. & Sensoy, Berk A., 2016. "Cyclicality, performance measurement, and cash flow liquidity in private equity," Journal of Financial Economics, Elsevier, vol. 122(3), pages 521-543.
- 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.
- 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.
- Joost Driessen & Tse-Chun Lin & Ludovic Phalippou, 2008. "A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds," NBER Working Papers 14144, National Bureau of Economic Research, Inc.
- 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.
- Liang Peng, 2001. "Building A Venture Capital Index," Yale School of Management Working Papers ysm221, Yale School of Management, revised 01 Oct 2001.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Kim, Jin-Hyuk & Wagman, Liad, 2016. "Early-stage entrepreneurial financing: A signaling perspective," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 12-22.
- 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.
- Ali, Heba, 2019. "Does downside risk matter more in asset pricing? Evidence from China," Emerging Markets Review, Elsevier, vol. 39(C), pages 154-174.
- 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.
- 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.
- 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.
- 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.
- 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.
- Douglas Cumming & Grant Fleming & Armin Schwienbacher, 2009. "Corporate Relocation in Venture Capital Finance," Entrepreneurship Theory and Practice, , vol. 33(5), pages 1121-1155, September.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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).
- 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.
- 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.
- Li, Yong & Mahoney, Joseph T., 2011. "When are venture capital projects initiated?," Journal of Business Venturing, Elsevier, vol. 26(2), pages 239-254, March.
- 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.
- Lahr, Henry, 2023. "Fat tails in private equity fund returns: The smooth double Pareto distribution," International Review of Financial Analysis, Elsevier, vol. 86(C).
- 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.
- 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.
- Jürgen Marchart & Thomas Url, 2008. "Hemmnisse für die Finanzierung von Frühphasen- oder Venture-Capital-Fonds in Österreich," WIFO Studies, WIFO, number 32579, February.
- 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.
- 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.
- 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.
- 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.
- Birz, Gene, 2017. "Stale economic news, media and the stock market," Journal of Economic Psychology, Elsevier, vol. 61(C), pages 87-102.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Ramana Nanda & Sampsa Samila & Olav Sorenson, 2017.
"The Persistent Effect of Initial Success: Evidence from Venture Capital,"
Harvard Business School Working Papers
17-065, Harvard Business School, revised Jun 2019.
- 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.
- Ramana Nanda & Sampsa Samila & Olav Sorenson, 2018. "The Persistent Effect of Initial Success: Evidence from Venture Capital," NBER Working Papers 24887, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- Richard Kum-yew Lai, 2005.
"Why Funds of Funds?,"
Finance
0509005, University Library of Munich, Germany.
- Lai, Richard, 2006. "Why Funds of Funds?," MPRA Paper 4762, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Janeway, W. & Nanda, R. & Rhodes-Kropf, M., 2021. "Venture Capital Booms and Startup Financing," Cambridge Working Papers in Economics 2147, Faculty of Economics, University of Cambridge.
- 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.
- 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.
- 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.
- Farrelly, Kieran & Stevenson, Simon, 2019. "The risk and return of private equity real estate funds," Global Finance Journal, Elsevier, vol. 42(C).
- Arthur Korteweg & Morten Sorensen, 2012. "Estimating Loan-to-Value and Foreclosure Behavior," NBER Working Papers 17882, National Bureau of Economic Research, Inc.
- 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).
- 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.
- 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.
- 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.
- Ljungqvist, Alexander & Bircan, Cagatay & Biesinger, Markus, 2020. "Value Creation in Private Equity," CEPR Discussion Papers 14676, C.E.P.R. Discussion Papers.
- 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.
- 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.
- 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.
- 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.
- 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.
- Hege, Ulrich & Palomino, Frederic & Schwienbacher, Armin, 2009. "Venture capital performance: the disparity between Europe and the United States," MPRA Paper 39551, University Library of Munich, Germany.
- 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.
- Martin Meier & Leopold Sögner, 2023. "Hunting for superstars," Mathematics and Financial Economics, Springer, volume 17, number 1, June.
- Cumming, Douglas, 2007. "Government policy towards entrepreneurial finance: Innovation investment funds," Journal of Business Venturing, Elsevier, vol. 22(2), pages 193-235, March.
- Juan M. Ortner & Martin C. Schmalz, 2018. "Disagreement and Optimal Security Design," CESifo Working Paper Series 6906, CESifo.
- 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.
- 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.
- 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).
- 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.
- 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.
- 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).
- 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).
- 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.
- 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.
- 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.
- Schmalz, Martin & Ortner, Juan, 2018. "Disagreement and Security Design," CEPR Discussion Papers 12596, C.E.P.R. Discussion Papers.
- 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).
- 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.
- Buchner, Axel & Mohamed, Abdulkadir & Schwienbacher, Armin, 2020. "Herd behaviour in buyout investments," Journal of Corporate Finance, Elsevier, vol. 60(C).
- 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.
- 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).
- Andrew Metrick, 2010.
"The Economics of Private Equity Funds,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(6), pages 2303-2341, June.
- Andrew Metrick & Ayako Yasuda, 2007. "The economics of private equity funds," Proceedings, Federal Reserve Bank of San Francisco, issue Oct.
- 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).
- 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.
- 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.
- Edwards, Alexander & Todtenhaupt, Maximilian, 2020. "Capital gains taxation and funding for start-ups," Journal of Financial Economics, Elsevier, vol. 138(2), pages 549-571.
- 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.
- 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.
- 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.
- Cumming, Douglas & Fleming, Grant & Schwienbacher, Armin, 2006. "Legality and venture capital exits," Journal of Corporate Finance, Elsevier, vol. 12(2), pages 214-245, January.
- 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.
- 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).
- Gornall, Will & Strebulaev, Ilya A., 2020. "Squaring venture capital valuations with reality," Journal of Financial Economics, Elsevier, vol. 135(1), pages 120-143.
- 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.
- 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).
- Andrew Y. Chen, 2022. "Do t-Statistic Hurdles Need to be Raised?," Papers 2204.10275, arXiv.org, revised Apr 2024.
- 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.
- 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.
- 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.
- Campbell, John & Cochrane, John, 2000.
"Explaining the Poor Performance of Consumption-Based Asset Pricing Models,"
Scholarly Articles
3163265, Harvard University Department of Economics.
- 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.
- John Y. Campbell & John H. Cochrane, 1999. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," NBER Working Papers 7237, National Bureau of Economic Research, Inc.
Cited by:
- Kirill Sossunov, 2002. "A Real Business Cycle Model with Changing Sentiments," Macroeconomics 0210005, University Library of Munich, Germany.
- 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.
- 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.
- Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2016. "Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds," CEPR Discussion Papers 11401, C.E.P.R. Discussion Papers.
- Tobias Adrian & Richard K. Crump & Erik Vogt, 2015. "Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds," Staff Reports 723, Federal Reserve Bank of New York.
- 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.
- 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.
- Fry, John, 2013. "Bubbles, shocks and elementary technical trading strategies," MPRA Paper 47052, University Library of Munich, Germany.
- Joseph P. Byrne & Boulis M. Ibrahim & Xiaoyu Zong, 2020.
"Asset Prices and Capital Share Risks: Theory and Evidence,"
Papers
2006.14023, arXiv.org.
- Byrne, Joseph P & Ibrahim, Boulis Maher & Zong, Xiaoyu, 2020. "Asset Prices and Capital Share Risks: Theory and Evidence," MPRA Paper 101781, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- Chen, Long & Petkova, Ralitsa & Zhang, Lu, 2008.
"The expected value premium,"
Journal of Financial Economics, Elsevier, vol. 87(2), pages 269-280, February.
- Long Chen & Ralitsa Petkova & Lu Zhang, 2006. "The Expected Value Premium," NBER Working Papers 12183, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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).
- Ferrari Massimo, & Pagliari Maria Sole,, 2021. "No country is an island. International cooperation and climate change," Working papers 815, Banque de France.
- Pagliari, Maria Sole & Ferrari Minesso, Massimo, 2021. "No country is an island: international cooperation and climate change," Working Paper Series 2568, European Central Bank.
- 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.
- Malcolm Baker & Jeffrey Wurgler, 2004.
"Investor Sentiment and the Cross-Section of Stock Returns,"
NBER Working Papers
10449, National Bureau of Economic Research, Inc.
- Malcolm Baker & Jeffrey Wurgler, 2006. "Investor Sentiment and the Cross‐Section of Stock Returns," Journal of Finance, American Finance Association, vol. 61(4), pages 1645-1680, August.
- 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.
- Campbell, John, 2000.
"Asset Pricing at the Millennium,"
Scholarly Articles
3294737, Harvard University Department of Economics.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
- Jin-Chuan Duan & Weiqi Zhang, 2014. "Forward-Looking Market Risk Premium," Management Science, INFORMS, vol. 60(2), pages 521-538, February.
- Kliem, Martin & Uhlig, Harald, 2013. "Bayesian estimation of a DSGE model with asset prices," Discussion Papers 37/2013, Deutsche Bundesbank.
- 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.
- Onishchenko, Kateryna, 2011. "Can a pure real business cycle model explain the real exchange rate: the case of Ukraine," Cardiff Economics Working Papers E2011/17, Cardiff University, Cardiff Business School, Economics Section.
- Kateryna Onishchenko, 2012. "Can a pure real business cycle model explain the real exchange rate: the case of Ukraine," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 4(2), pages 111-135.
- 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.
- 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.
- Hénin, Pierre-Yves & Weitzenblum, Thomas, 2003. "Employment protection and the stock market: The common shock case," CEPREMAP Working Papers (Couverture Orange) 0306, CEPREMAP.
- 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.
- Nikolai Roussanov, 2010. "Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns," NBER Working Papers 16073, National Bureau of Economic Research, Inc.
- Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society.
- Gurdip Bakshi, 2009. "Du subjectiv expectations explain asset pricing puzzles?," 2009 Meeting Papers 1234, Society for Economic Dynamics.
- 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.
- 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.
- Grüne, Lars & Semmler, Willi, 2008. "Asset pricing with loss aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3253-3274, October.
- 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.
- 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.
- 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.
- Kan, Raymond & Robotti, Cesare, 2008. "Specification tests of asset pricing models using excess returns," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 816-838, December.
- 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.
- John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
- Michael Nwogugu, 2020. "Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences," Papers 2005.01709, arXiv.org.
- Fan, Jianqing & Ke, Yuan & Liao, Yuan, 2021.
"Augmented factor models with applications to validating market risk factors and forecasting bond risk premia,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 269-294.
- 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.
- 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.
- Carrasco-Gutierrez, Carlos Enrique & Piazza, Wagner, 2011.
"Evaluating Asset Pricing Models in a Simulated Multifactor Approach,"
MPRA Paper
66063, University Library of Munich, Germany, revised 2012.
- 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.
- Massimo Guidolin & Francesco Chincoli, 2017.
"Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence,"
BAFFI CAREFIN Working Papers
1754, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- 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.
- 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.
- Yu Ren & Katsumi Shimotsu, 2007.
"Improvement In Finite Sample Properties Of The Hansen-jagannathan Distance Test,"
Working Paper
1126, Economics Department, Queen's University.
- 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.
- 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.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002.
"Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence,"
Journal of Political Economy, University of Chicago Press, vol. 110(4), pages 793-824, August.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, "undated". "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Rodney L. White Center for Financial Research Working Papers 23-99, Wharton School Rodney L. White Center for Financial Research.
- 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.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 8822, National Bureau of Economic Research, Inc.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 7406, National Bureau of Economic Research, Inc.
- Smoluk, H. J. & VanderLinden, David, 2004. "Catching up with the Americans," Review of Financial Economics, Elsevier, vol. 13(3), pages 211-229.
- 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.
- 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.
- Lars Grüne & Willi Semmler, 2007. "Asset pricing with dynamic programming," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 233-265, May.
- 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.
- 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.
- Elena Márquez de la Cruz, 2004. "La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales 04-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- 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.
- Willi Semmler & Lars Grüne, 2004. "Asset Pricing with Delayed Consumption Decisions," Computing in Economics and Finance 2004 59, Society for Computational Economics.
- 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.
- 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.
- 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.
- Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
- 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.
- 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).
- 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.
- 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.
- 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.
- Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2019.
"The Total Risk Premium Puzzle,"
NBER Working Papers
25653, National Bureau of Economic Research, Inc.
- Taylor, Alan M. & Jordà , Òscar & Schularick, Moritz, 2019. "The Total Risk Premium Puzzle," CEPR Discussion Papers 13595, C.E.P.R. Discussion Papers.
- Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2019. "The Total Risk Premium Puzzle?," Working Paper Series 2019-10, Federal Reserve Bank of San Francisco.
- 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.
- 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.
- 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.
- Yamin Ahmad, 2002.
"Money Market Rates and Implied CCAPM Rates: Some International Evidence,"
Working Papers
gueconwpa~02-02-06, Georgetown University, Department of Economics.
- Ahmad, Yamin, 2005. "Money market rates and implied CCAPM rates: some international evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 699-729, September.
- Yamin Ahmad, 2004. "Money market rates and implied CCAPM rates: some international evidence," Money Macro and Finance (MMF) Research Group Conference 2003 1, Money Macro and Finance Research Group.
- 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.
- 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.
- Dunbar, Kwamie & Owusu-Amoako, Johnson, 2021. "The impact of hedging on risk-averse agents’ output decisions," Economic Modelling, Elsevier, vol. 104(C).
- 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.
- Gomes, Joao & Kogan, Leonid & Zhang, Lu, 2002. "Equilibrium Cross-Section of Returns," CEPR Discussion Papers 3482, C.E.P.R. Discussion Papers.
- Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society.
- 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.
- 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.
- Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- 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.
- Struck, Clemens C., 2014. "Habit persistence and the long-run labor supply," Economics Letters, Elsevier, vol. 124(2), pages 243-247.
- 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.
- 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.
- Xu, Yuewu & Yao, Xiangkun, 2019. "Extending the Hansen–Jagannathan distance measure of model misspecification," Finance Research Letters, Elsevier, vol. 29(C), pages 384-392.
- 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.
- 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.
- Lettau, Martin & Ludvigson, Sydney, 2005.
"Euler Equation Errors,"
CEPR Discussion Papers
5245, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson, 2005. "Euler Equation Errors," NBER Working Papers 11606, National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney Ludvigson, 2009. "Euler Equation Errors," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(2), pages 255-283, April.
- Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 4922, C.E.P.R. Discussion Papers.
- Sydney C. Ludvigson & Martin Lettau, 2005. "Euler Equation Errors," 2005 Meeting Papers 487, Society for Economic Dynamics.
- Samih Azar, 2011. "Retesting the CCAPM Euler equations," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(4), pages 324-346, September.
- Hodrick, Robert J. & Zhang, Xiaoyan, 2001.
"Evaluating the specification errors of asset pricing models,"
Journal of Financial Economics, Elsevier, vol. 62(2), pages 327-376, November.
- Robert J. Hodrick & Xiaoyan Zhang, 2000. "Evaluating the Specification Errors of Asset Pricing Models," NBER Working Papers 7661, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Coudert, Virginie & Gex, Mathieu, 2008. "Does risk aversion drive financial crises? Testing the predictive power of empirical indicators," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 167-184, March.
- Willi Semmler, 2006.
"Asset Prices, Booms and Recessions,"
Springer Books,
Springer,
edition 0, number 978-3-540-24696-1, June.
- Willi Semmler, 2011. "Asset Prices, Booms and Recessions," Springer Books, Springer, number 978-3-642-20680-1, June.
- 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.
- Martin Lettau & Sydney C. Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York.
- 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.
- 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.
- J. Stephen Ferris, 2010. "Fiscal Policy from a Public Choice Perspective," Carleton Economic Papers 10-10, Carleton University, Department of Economics.
- 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.
- Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
- 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.
- 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.
- Jules van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez, 2010.
"The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences,"
NBER Working Papers
15890, National Bureau of Economic Research, Inc.
- Rubio-RamÃrez, 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.
- van Binsbergen, Jules H. & Fernández-Villaverde, Jesús & Koijen, Ralph S.J. & Rubio-Ramírez, Juan, 2012. "The term structure of interest rates in a DSGE model with recursive preferences," Journal of Monetary Economics, Elsevier, vol. 59(7), pages 634-648.
- Jules H. van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-RamÃrez, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," PIER Working Paper Archive 10-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Chulsoo Kim, 2004. "Is There Irrational Exuberance?," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 29(2), pages 65-80, December.
- 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.
- 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.
- 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.
- Sydney Ludvigson & Xiaohong Chen, 2004. "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models," 2004 Meeting Papers 692, Society for Economic Dynamics.
- 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, November.
- 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.
- 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.
- 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.
- 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.
- Sydney C. Ludvigson, 2011. "Advances in Consumption-Based Asset Pricing: Empirical Tests," NBER Working Papers 16810, National Bureau of Economic Research, Inc.
- 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.
- Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, University Library of Munich, Germany.
- H.J Smoluk & David VanderLinden, 2004. "Catching up with the Americans," Review of Financial Economics, John Wiley & Sons, vol. 13(3), pages 211-229.
- 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.
- Johdo, Wataru, 2009. "Habit persistence and stagnation," Economic Modelling, Elsevier, vol. 26(5), pages 1110-1114, September.
- 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.
- Bourdeau-Brien, Michael & Kryzanowski, Lawrence, 2020. "Natural disasters and risk aversion," Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 818-835.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
- Emara, Noha & Ma, Jinpeng, 2019. "An Analysis of the Seasonal Cycle and the Business Cycle," MPRA Paper 99310, University Library of Munich, Germany.
- Jessica A. Wachter, 2005.
"Solving Models with External Habit,"
NBER Working Papers
11559, National Bureau of Economic Research, Inc.
- Wachter, Jessica A., 2005. "Solving models with external habit," Finance Research Letters, Elsevier, vol. 2(4), pages 210-226, December.
- John H. Cochrane, 2017.
"Macro-Finance,"
Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
- John H. Cochrane, 2016. "Macro-Finance," NBER Working Papers 22485, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- John H. Cochrane, 1999.
"Portfolio Advice for a Multifactor World,"
NBER Working Papers
7170, National Bureau of Economic Research, Inc.
- John H. Cochrane, 1999. "Portfolio advice of a multifactor world," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 59-78.
- 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.
Cited by:
- 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.
- 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.
- Sarno, Lucio & Valente, Giorgio & Leon, Hyginus, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," CEPR Discussion Papers 5527, C.E.P.R. Discussion Papers.
- Lucio Sarno & Giorgio Valente & Hyginus Leon, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," Review of Finance, European Finance Association, vol. 10(3), pages 443-482, September.
- 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.
- Dagfinn Rime & Lucio Sarno & Elvira Sojli, 2007. "Exchange rate forecasting, order flow and macroeconomic information," Working Paper 2007/02, Norges Bank.
- Sarno, Lucio & Rime, Dagfinn & Sojli, Elvira, 2009. "Exchange Rate Forecasting, Order Flow and Macroeconomic Information," CEPR Discussion Papers 7225, C.E.P.R. Discussion Papers.
- 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.
- Nikolai Roussanov & Hongxun Ruan & Yanhao Wei, 2018. "Marketing Mutual Funds," NBER Working Papers 25056, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Jessica Wachter, 2010.
"Asset Allocation,"
NBER Working Papers
16255, National Bureau of Economic Research, Inc.
- Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December.
- 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.
- 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.
- Georges Prat, 2012.
"Equity risk premium and time horizon: what do the U.S. secular data say?,"
Working Papers
12-06, Association Française de Cliométrie (AFC).
- Prat, Georges, 2013. "Equity risk premium and time horizon: What do the U.S. secular data say?," Economic Modelling, Elsevier, vol. 34(C), pages 76-88.
- 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.
- 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.
- 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.
- 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.
- Prat, Georges & Uctum, Remzi, 2013. "Modeling the horizon-dependent ex-ante risk premium in the foreign exchange market: Evidence from survey data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 33-54.
- Georges Prat & Remzi Uctum, 2012. "Modeling the horizon-dependent ex-ante risk premium in the foreign exchange market: evidence from survey data," Post-Print hal-01411732, HAL.
- 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.
- Lai, Wan-Ni, 2016. "Do academic investment insights benefit society?," Research in International Business and Finance, Elsevier, vol. 38(C), pages 172-176.
- Richard M. Levich & Valerio Poti, 2008.
"Predictability and 'Good Deals' in Currency Markets,"
NBER Working Papers
14597, National Bureau of Economic Research, Inc.
- Levich, Richard M. & Potì, Valerio, 2015. "Predictability and ‘good deals’ in currency markets," International Journal of Forecasting, Elsevier, vol. 31(2), pages 454-472.
- 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.
- 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.
- 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.
- 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.
- Jessica A. Wachter & Missaka Warusawitharana, 2007.
"Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?,"
NBER Working Papers
13165, National Bureau of Economic Research, Inc.
- Wachter, Jessica A. & Warusawitharana, Missaka, 2009. "Predictable returns and asset allocation: Should a skeptical investor time the market?," Journal of Econometrics, Elsevier, vol. 148(2), pages 162-178, February.
- 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.
- 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).
- 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.
- 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.
- 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.
- Potì, Valerio, 2018. "A new tight and general bound on return predictability," Economics Letters, Elsevier, vol. 162(C), pages 140-145.
- Hoang, Khoa & Cannavan, Damien & Gaunt, Clive & Huang, Ronghong, 2019. "Is that factor just lucky? Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
- 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.
- Lioui, Abraham & Poncet, Patrice, 2019. "Long horizon predictability: An asset allocation perspective," European Journal of Operational Research, Elsevier, vol. 278(3), pages 961-975.
- Cappiello, Lorenzo & Guéné, Stéphane, 2005. "Measuring market and inflation risk premia in France and in Germany," Working Paper Series 436, European Central Bank.
- 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.
- 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).
- 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.).
- 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.
- 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.
- 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.
- 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.
- Gianni Amisano & Roberto Savona, 2007. "Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing Systematic Risk," Working Papers 0706, University of Brescia, Department of Economics.
- Okhrin, Yarema & Schmid, Wolfgang, 2006. "Distributional properties of portfolio weights," Journal of Econometrics, Elsevier, vol. 134(1), pages 235-256, September.
- Sakkas, Athanasios & Tessaromatis, Nikolaos, 2020. "Factor based commodity investing," Journal of Banking & Finance, Elsevier, vol. 115(C).
- 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.
- 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.
- 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.
- 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.
- 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).
- Itamar Drechsler & Amir Yaron, 2008. "What's Vol Got to Do With It," 2008 Meeting Papers 282, Society for Economic Dynamics.
- 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.
- Xu, Yexiao, 2004. "Small levels of predictability and large economic gains," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 247-275, March.
- 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.
- 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.
- 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.
- 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.
- Favero, Carlo A. & Aiolfi, Marco, 2003. "Model Uncertainty, Thick Modelling and the Predictability of Stock Returns," CEPR Discussion Papers 3997, C.E.P.R. Discussion Papers.
- Jennie Bai, 2010. "Equity premium predictions with adaptive macro indexes," Staff Reports 475, Federal Reserve Bank of New York.
- 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.
- Guillard, Michel & Sosa Navarro, Ramiro, 2009. "Fiscal Imbalances, Inflation and Sovereign Default Dynamics," MPRA Paper 24075, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Bartram, Söhnke & Djuranovik, Leslie & Garratt, Anthony, 2021. "Currency Anomalies," CEPR Discussion Papers 15653, C.E.P.R. Discussion Papers.
- Bing Han & Gang Li, 2021. "Information Content of Aggregate Implied Volatility Spread," Management Science, INFORMS, vol. 67(2), pages 1249-1269, February.
- Potì, Valerio & Siddique, Akhtar, 2013. "What drives currency predictability?," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 86-106.
- 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).
- 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.
- John H. Cochrane, 1999.
"New Facts in Finance,"
NBER Working Papers
7169, National Bureau of Economic Research, Inc.
- John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
- John H. Cochrane, 1999. "New Facts in Finance," CRSP working papers 490, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
Cited by:
- 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.
- 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).
- Giannetti, Mariassunta & Simonov, Andrei, 2002. "Which Investors Fear Expropriation?," SIFR Research Report Series 10, Institute for Financial Research.
- Andrew Coleman, 2019. "Liquidity, the government balance sheet, and the public sector discount rate," Working Papers 19_13, Motu Economic and Public Policy Research.
- Peter Blair Henry, 2007.
"Capital Account Liberalization: Theory, Evidence, and Speculation,"
Journal of Economic Literature, American Economic Association, vol. 45(4), pages 887-935, December.
- Henry, Peter B., 2007. "Capital Account Liberalization: Theory, Evidence, and Speculation," Research Papers 1974, Stanford University, Graduate School of Business.
- Peter Blair Henry, 2006. "Capital account liberalization: theory, evidence, and speculation," Working Paper Series 2007-32, Federal Reserve Bank of San Francisco.
- Peter Blair Henry, 2006. "Capital Account Liberalization: Theory, Evidence, and Speculation," NBER Working Papers 12698, National Bureau of Economic Research, Inc.
- Henry, Peter B., 2006. "Capital Account Liberalization: Theory, Evidence, and Speculation," Research Papers 1951, Stanford University, Graduate School of Business.
- Fernando Broner & Guido Lorenzoni & Sergio Schmuckler, 2006.
"Why Do Emerging Economies Borrow Short Term?,"
2006 Meeting Papers
841, Society for Economic Dynamics.
- Broner, Fernando A. & Lorenzoni, Guido & Schmukler, Sergio L., 2004. "Why do emerging economies borrow short term?," Policy Research Working Paper Series 3389, The World Bank.
- Schmukler, Sergio & Broner, Fernando & Lorenzoni, Guido, 2007. "Why Do Emerging Economies Borrow Short Term?," CEPR Discussion Papers 6249, C.E.P.R. Discussion Papers.
- Fernando A. Broner & Guido Lorenzoni & Sergio L. Schmukler, 2013. "Why Do Emerging Economies Borrow Short Term?," Journal of the European Economic Association, European Economic Association, vol. 11, pages 67-100, January.
- Fernando Broner & Guido Lorenzoni & Sergio L. Schmukler, 2003. "Why do emerging economies borrow short term?," Economics Working Papers 838, Department of Economics and Business, Universitat Pompeu Fabra, revised Dec 2011.
- Fernando Broner & Guido Lorenzoni & Sergio L. Schmukler, "undated". "Why Do Emerging Economies Borrow Short Term?," Working Papers 308, Barcelona School of Economics.
- Fernando A. Broner & Guido Lorenzoni & Sergio L. Schmukler, 2007. "Why Do Emerging Economies Borrow Short Term?," NBER Working Papers 13076, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113079, Verein für Socialpolitik / German Economic Association.
- Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," Kiel Working Papers 1987, Kiel Institute for the World Economy (IfW Kiel).
- Baetje, Fabian & Menkhoff, Lukas, 2016. "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1193-1207.
- 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.
- Kevin Salyer & Athanasios Geromichalos & Lucas Herrenbrueck, 2013. "A Search-Theoretic Model of the Term Premium," Working Papers 300, University of California, Davis, Department of Economics.
- 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.
- James J. Choi & Emily Haisley & Jennifer Kurkoski & Cade Massey, 2012. "Small Cues Change Savings Choices," NBER Working Papers 17843, National Bureau of Economic Research, Inc.
- 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.
- Chari, Anusha & Henry, Peter B., 2002. "Risk Sharing and Asset Prices: Evidence from a Natural Experiment," Research Papers 1736r, Stanford University, Graduate School of Business.
- 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.
- Lutzenberger, Fabian T., 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, vol. 23(3), pages 120-130.
- Schrimpf, Andreas, 2008.
"International Stock Return Predictability Under Model Uncertainty,"
ZEW Discussion Papers
08-048, ZEW - Leibniz Centre for European Economic Research.
- Schrimpf, Andreas, 2010. "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1256-1282, November.
- 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).
- 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).
- Atanasov, Victoria, 2021. "Unemployment and aggregate stock returns," Journal of Banking & Finance, Elsevier, vol. 129(C).
- 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.
- 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.
- 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.
- Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2014. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Working Papers 201422, University of Pretoria, Department of Economics.
- Yacine Ait-Sahalia & Michael W. Brandt, 2001.
"Variable Selection for Portfolio Choice,"
NBER Working Papers
8127, National Bureau of Economic Research, Inc.
- Yacine AÏT-SAHALIA, & Michael W. BRANDT, 2001. "Variable Selection for Portfolio Choice," FAME Research Paper Series rp34, International Center for Financial Asset Management and Engineering.
- Yacine AÏT‐SAHALI & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," Journal of Finance, American Finance Association, vol. 56(4), pages 1297-1351, August.
- Ait-Sahalia, Y. & Brandt, M.W., 2001. "Variable Selection for Portfolio Choice," Papers 34, Manitoba - Department of Economics.
- 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.
- Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013.
"Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt,"
NBER Working Papers
18922, National Bureau of Economic Research, Inc.
- Guibaud, Stéphane & Nosbusch, Yves & Vayanos, Dimitri, 2011. "Bond market clienteles, the yield curve and the optimal maturity structure of government debt," LSE Research Online Documents on Economics 29785, London School of Economics and Political Science, LSE Library.
- 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.
- Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," The Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 1914-1961.
- Stephane Guibaud & Yves NOsbusch & Dimitri Vayanos, 2011. "Bond Market Clienteles, the Yield Curve and the Optimal Maturity Structure of Government Debt," FMG Discussion Papers dp669, Financial Markets Group.
- Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," Post-Print hal-03399472, HAL.
- Georges Prat, 2012.
"Equity risk premium and time horizon: what do the U.S. secular data say?,"
Working Papers
12-06, Association Française de Cliométrie (AFC).
- Prat, Georges, 2013. "Equity risk premium and time horizon: What do the U.S. secular data say?," Economic Modelling, Elsevier, vol. 34(C), pages 76-88.
- 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.
- Franz R. Hahn, 2001. "Ökonomische Fundierung von Zinsgleitklauseln in Kreditverträgen," WIFO Monatsberichte (monthly reports), WIFO, vol. 74(10), pages 605-612, October.
- Vayanos, Dimitri & ,, 2009.
"A Preferred-Habitat Model of the Term Structure of Interest Rates,"
CEPR Discussion Papers
7547, C.E.P.R. Discussion Papers.
- Dimitri Vayanos & Jean-Luc Vila, 2009. "A Preferred-Habitat Model of the Term Structure of Interest Rates," NBER Working Papers 15487, National Bureau of Economic Research, Inc.
- Jean-Luc Vila & Dimitri Vayanos, 2009. "A Preferred-Habitat Model of the Term Structure of Interest Rates," FMG Discussion Papers dp641, Financial Markets Group.
- Vayanos, Dimitri & Vila, Jean-Luc, 2009. "A preferred-habitat model of the term structure of interest rates," LSE Research Online Documents on Economics 29308, London School of Economics and Political Science, LSE Library.
- Vayanos, Dimitri & Vila, Jean-Luc, 2021. "A preferred-habitat model of the term structure of interest rates," LSE Research Online Documents on Economics 106509, London School of Economics and Political Science, LSE Library.
- 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.
- 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.
- A. Craig Burnside & Bing Han & David A. Hirshleifer & Tracy Yue Wang, 2010. "Investor Overconfidence and the Forward Premium Puzzle," Working Papers 10-46, Duke University, Department of Economics.
- Craig Burnside & Bing Han & David Hirshleifer & Tracy Yue Wang, 2010. "Investor Overconfidence and the Forward Premium Puzzle," NBER Working Papers 15866, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Theologos Dergiades & Panos K. Pouliasis, 2023. "Should stock returns predictability be ‘hooked on’ long‐horizon regressions?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 718-732, January.
- 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.
- Mahmoud Botshekan & Andre Lucas, 2012.
"Long-Term versus Short-Term Contingencies in Asset Allocation,"
Tinbergen Institute Discussion Papers
12-053/2/DSF34, Tinbergen Institute.
- 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.
- 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.
- Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Documentos de Trabajo del ICAE 2018-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Risks, MDPI, vol. 6(4), pages 1-18, September.
- Jianfeng Yu, 2011. "A sentiment-based explanation of the forward premium puzzle," Globalization Institute Working Papers 90, Federal Reserve Bank of Dallas.
- Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2015.
"Are Indian stock returns predictable?,"
Working Papers
fe_2015_07, Deakin University, Department of Economics.
- Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2015. "Are Indian stock returns predictable?," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 506-531.
- 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.
- 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.
- 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.
- 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.
- 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.
- Martin Lettau & Jessica A. Wachter, 2007. "Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium," Journal of Finance, American Finance Association, vol. 62(1), pages 55-92, February.
- Martin Lettau & Jessica Wachter, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," NBER Working Papers 11144, National Bureau of Economic Research, Inc.
- Jessica Wachter & Martin Lettau, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers 302, Society for Economic Dynamics.
- 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.
- Biais, Bruno & Bossaerts, Peter & Spatt, Chester, 2009.
"Equilibrium Asset Pricing and Portofolio Choice Under Asymmetric Information,"
TSE Working Papers
09-018, Toulouse School of Economics (TSE).
- Biais, Bruno & Bossaerts, Peter & Spatt, Chester, 2009. "Equilibrium Asset Pricing and Portofolio Choice Under Asymmetric Information," IDEI Working Papers 474, Institut d'Économie Industrielle (IDEI), Toulouse.
- 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.
- Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
- 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.
- Fernando Restoy & Rosa Rodríguez, 2005. "Can fundamentals explain cross-country correlations of asset returns?," Working Papers 0540, Banco de España.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Valkanov, Rossen, 2003. "Long-horizon regressions: theoretical results and applications," Journal of Financial Economics, Elsevier, vol. 68(2), pages 201-232, May.
- 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.
- 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.
- 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.
- 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.
- Gary Gorton & Ping He, 2005.
"Bank Credit Cycles,"
NBER Working Papers
11363, National Bureau of Economic Research, Inc.
- G. B. Gorton & Ping He, 2008. "Bank Credit Cycles," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 75(4), pages 1181-1214.
- 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.
- 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.
- Steven J. Davis & Paul Willen, 2000.
"Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice,"
CRSP working papers
523, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Steven J. Davis & Paul S. Willen, 2013. "Occupation-level income shocks and asset returns: their covariance and implications for portfolio choice," Working Papers 13-9, Federal Reserve Bank of Boston.
- 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.
- Steven J. Davis & Paul Willen, 2000. "Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice," NBER Working Papers 7905, National Bureau of Economic Research, Inc.
- 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).
- 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.
- Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar, 2014. "Nonparametric estimation and inference for conditional density based Granger causality measures," LIDAM Reprints ISBA 2014025, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002.
"Spurious Regressions in Financial Economics?,"
NBER Working Papers
9143, National Bureau of Economic Research, Inc.
- Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003. "Spurious Regressions in Financial Economics?," Journal of Finance, American Finance Association, vol. 58(4), pages 1393-1413, August.
- Matteo Modena, 2008.
"The Term Structure and the Expectations Hypothesis: a Threshold Model,"
Working Papers
2008_36, Business School - Economics, University of Glasgow.
- Modena, Matteo, 2008. "The term structure and the expectations hypothesis: a threshold model," MPRA Paper 9611, University Library of Munich, Germany.
- 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.
- 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.
- Jushan Bai & Serena Ng, 2000.
"Determining the Number of Factors in Approximate Factor Models,"
Econometric Society World Congress 2000 Contributed Papers
1504, Econometric Society.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics.
- Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
- 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.
- Martin Lettau & Jessica A. Wachter, 2009.
"The Term Structures of Equity and Interest Rates,"
NBER Working Papers
14698, National Bureau of Economic Research, Inc.
- Lettau, Martin & Wachter, Jessica A., 2011. "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, vol. 101(1), pages 90-113, July.
- 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.
- Wolfgang Gohout & Katja Specht, 2007. "Mean-variance portfolios using Bayesian vector-autoregressive forcasts," Statistical Papers, Springer, vol. 48(3), pages 403-418, September.
- Cappiello, Lorenzo & Guéné, Stéphane, 2005. "Measuring market and inflation risk premia in France and in Germany," Working Paper Series 436, European Central Bank.
- 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.
- 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.
- Stephan Schulmeister, 2007. "Die manisch-depressiven Preisschwankungen auf den Finanzmärkten – wie macht das die "unsichtbare Hand"?," WIFO Working Papers 305, WIFO.
- 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.
- 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.
- Henry, Peter B. & Chari, Anusha, 2001.
"Stock Market Liberalizations and the Repricing of Systematic Risk,"
Research Papers
1677, Stanford University, Graduate School of Business.
- Anusha Chari & Peter Blair Henry, 2001. "Stock Market Liberalizations and the Repricing of Systematic Risk," NBER Working Papers 8265, National Bureau of Economic Research, Inc.
- Modena, Matteo, 2008. "Yield curve, time varying term premia, and business cycle fluctuations," MPRA Paper 8873, University Library of Munich, Germany.
- Emmanuel Farhi, 2008.
"Rare Disasters and Exchange Rates,"
2008 Meeting Papers
47, Society for Economic Dynamics.
- Emmanuel Farhi & Xavier Gabaix, "undated". "Rare Disasters and Exchange Rates," Working Paper 71001, Harvard University OpenScholar.
- Gabaix, Xavier & Farhi, Emmanuel, 2015. "Rare Disasters and Exchange Rates," CEPR Discussion Papers 10334, C.E.P.R. Discussion Papers.
- Emmanuel Farhi & Xavier Gabaix, 2008. "Rare Disasters and Exchange Rates," NBER Working Papers 13805, National Bureau of Economic Research, Inc.
- 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.
- Tracy Yue Wang & David Hirshleifer & Bing Han, 2010.
"Investor Overconfidence and the Forward Discount Puzzle,"
2010 Meeting Papers
1201, Society for Economic Dynamics.
- Han, Bing & Hirshleifer, David & Wang, Tracy Yue, 2005. "Investor Overconfidence and the Forward Discount Puzzle," Working Paper Series 2005-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- 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.
- Campbell, John Y. & Yogo, Motohiro, 2006.
"Efficient tests of stock return predictability,"
Journal of Financial Economics, Elsevier, vol. 81(1), pages 27-60, July.
- 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.
- John Y. Campbell & Motohiro Yogo, 2003. "Efficient Tests of Stock Return Predictability," NBER Working Papers 10026, National Bureau of Economic Research, Inc.
- Campbell, John & Yogo, Motohiro, 2006. "Efficient tests of stock return predictability," Scholarly Articles 3122601, Harvard University Department of Economics.
- 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.
- Philippe Bacchetta & Eric Van Wincoop, 2006.
"Incomplete information processing: a solution to the forward discount puzzle,"
Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
- Philippe Bacchetta & Eric van Wincoop, 2005. "Incomplete Information Processing: A Solution to the Forward Discount Puzzle," Working Papers 05.03, Swiss National Bank, Study Center Gerzensee.
- 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.
- 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.
- 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.
- 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.
- Byrne, Joseph & Fu, Rong, 2016. "Stock Return Prediction with Fully Flexible Models and Coefficients," MPRA Paper 75366, University Library of Munich, Germany.
- 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.
- 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.
- Andreas Neuhierl & Michael Weber, 2016.
"Monetary Policy and the Stock Market: Time-Series Evidence,"
NBER Working Papers
22831, National Bureau of Economic Research, Inc.
- Andreas Neuhierl & Michael Weber & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," CESifo Working Paper Series 6199, CESifo.
- Michael Weber & Andreas Neuhierl, 2017. "Monetary Policy and the Stock Market: Time Series Evidence," 2017 Meeting Papers 304, Society for Economic Dynamics.
- Campos Dias de Sousa, Ricardo Emanuel & Howden, David, 2015. "The Efficient Market Conjecture," MPRA Paper 79792, University Library of Munich, Germany.
- 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.
- 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).
- Christian Pierdzioch & Andrea Schertler, 2007. "Sources of Predictability of European Stock Markets for High-technology Firms," The European Journal of Finance, Taylor & Francis Journals, vol. 13(1), pages 1-27.
- 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.
- 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.
- Bebchuk, Lucian A. & Cohen, Alma & Wang, Charles C.Y., 2013. "Learning and the disappearing association between governance and returns," Journal of Financial Economics, Elsevier, vol. 108(2), pages 323-348.
- Dai, Zhifeng & Zhu, Huan, 2020. "Stock return predictability from a mixed model perspective," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
- 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.
- 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.
- 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.
- Yu, Deshui & Huang, Difang, 2023. "Cross-sectional uncertainty and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 321-340.
- 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.
- Angela Black & Patricia Fraser & Nicolaas Groenewold, 2001. "How Big is the Speculative Component in Australian Share Prices?," Economics Discussion / Working Papers 01-14, The University of Western Australia, Department of Economics.
- Peter Henry, 2007. "Capital Account Liberalization: Theory, Evidence, and Speculation," Discussion Papers 07-004, Stanford Institute for Economic Policy Research.
- 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.
- Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO.
- 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.
- Lioui, Abraham & Poncet, Patrice, 2003.
"International asset allocation: A new perspective,"
Journal of Banking & Finance, Elsevier, vol. 27(11), pages 2203-2230, November.
- Abraham Lioui & Patrice Poncet, 2001. "International Asset Allocation: A New Perspective," Working Papers 2001-04, Bar-Ilan University, Department of Economics.
- 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.
- 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.
- 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.
- 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.
- 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.
- Atanasov, Victoria, 2018. "World output gap and global stock returns," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 181-197.
- Li Liu & Zhiyuan Pan & Yudong Wang, 2022. "Shrinking return forecasts," The Financial Review, Eastern Finance Association, vol. 57(3), pages 641-661, August.
- 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.
- Giannetti, Mariassunta & Simonov, Andrei, 2003. "Which Investors Fear Expropriation? Evidence from Investors' Stock Picking," CEPR Discussion Papers 3843, C.E.P.R. Discussion Papers.
- 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.
- Mr. Gianni De Nicolo & Mr. Patrick Honohan & Mr. Alain Ize, 2003.
"Dollarization of the Banking System: Good or Bad?,"
IMF Working Papers
2003/146, International Monetary Fund.
- 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.
- Juha Ilmari Seppala, 2000.
"The Term Structure of Real Interest Rates: Theory and Evidence from the U.K. Index-Linked Bonds,"
Econometric Society World Congress 2000 Contributed Papers
0245, Econometric Society.
- 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.
- Liu, Li & Pan, Zhiyuan, 2020. "Forecasting stock market volatility: The role of technical variables," Economic Modelling, Elsevier, vol. 84(C), pages 55-65.
- Peter C. Dawson, 2015. "The capital asset pricing model in economic perspective," Applied Economics, Taylor & Francis Journals, vol. 47(6), pages 569-598, February.
- 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.
- Honohan, Patrick & Shi, Anging, 2001. "Deposit dollarization and the financial sector in emerging economies," Policy Research Working Paper Series 2748, The World Bank.
- McMillan, David G., 2005. "Non-linear dynamics in international stock market returns," Review of Financial Economics, Elsevier, vol. 14(1), pages 81-91.
- 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.
- Michael W. McCracken & Giorgio Valente, 2018. "Asymptotic Inference for Performance Fees and the Predictability of Asset Returns," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(3), pages 426-437, July.
- 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.
- Xavier Gabaix, 2012. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 127(2), pages 645-700.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Myth of Long-Horizon Predictability," NBER Working Papers 11841, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- Chulsoo Kim, 2004. "Is There Irrational Exuberance?," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 29(2), pages 65-80, December.
- Chung, Kyuil, 2009. "Does the liquidity effect guarantee a positive term premium?," Economic Modelling, Elsevier, vol. 26(5), pages 893-903, September.
- 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.
- 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.
- Murray Carlson & David A. Chapman & Ron Kaniel & Hong Yan, 2015. "Asset Return Predictability in a Heterogeneous Agent Equilibrium Model," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-45.
- 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.
- Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc.
- Caprio, Gerard & Honohan, Patrick, 2001. "Finance for Growth: Policy Choices in a Volatile World," MPRA Paper 9929, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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).
- Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2005. "Multiscale systematic risk," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 55-70, February.
- 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.
- 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.
- Fabian Hollstein & Marcel Prokopczuk, 2023. "Managing the Market Portfolio," Management Science, INFORMS, vol. 69(6), pages 3675-3696, June.
- Cappiello, Lorenzo & Mehl, Arnaud, 2007. "Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities," Working Paper Series 801, European Central Bank.
- 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.
- 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.
- Dai, Zhifeng & Kang, Jie & Wen, Fenghua, 2021. "Predicting stock returns: A risk measurement perspective," International Review of Financial Analysis, Elsevier, vol. 74(C).
- 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.
- Ding, Liang & Ma, Jun, 2013. "Portfolio reallocation and exchange rate dynamics," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3100-3124.
- 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.
- 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.
- 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.
- 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.
- Qiang Kang, 2019. "Business-cycle pattern of asset returns: a general equilibrium explanation," Annals of Finance, Springer, vol. 15(4), pages 539-561, December.
- 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.
- 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.
- 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.
- John H. Cochrane, 1998. "Long-term Debt and Optimal Policy in the Fiscal Theory of the Price Level," CRSP working papers 478, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
Cited by:
- Gonzalez-Astudillo, Manuel, 2013.
"Monetary-Fiscal Policy Interactions: Interdependent Policy Rule Coefficients,"
MPRA Paper
50040, University Library of Munich, Germany.
- Manuel Gonzalez-Astudillo, 2013. "Monetary-fiscal policy interactions: interdependent policy rule coefficients," Finance and Economics Discussion Series 2013-58, Board of Governors of the Federal Reserve System (U.S.).
- Harashima, Taiji, 2006. "The Sustainability of Budget Deficits in an Inflationary Economy," MPRA Paper 905, University Library of Munich, Germany.
- 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).
- Boris Chafwehé & Charles de Beauffort & Rigas Oikonomou, 2022. "Optimal Monetary Policy Rules in the Fiscal Theory of the Price Level," LIDAM Discussion Papers IRES 2022026, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- 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.
- McClung, Nigel, 2018. "The power of forward guidance and the fiscal theory of the price level," Bank of Finland Research Discussion Papers 21/2018, Bank of Finland.
- 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.
- Jérôme Creel & Hervé Le Bihan, 2006. "Using Structural Balance Data to Test the Fiscal Theory of the Price Level: Some International Evidence," Sciences Po publications info:hdl:2441/3263, Sciences Po.
- Creel, Jerome & Bihan, Herve Le, 2006. "Using structural balance data to test the fiscal theory of the price level: Some international evidence," Journal of Macroeconomics, Elsevier, vol. 28(2), pages 338-360, June.
- Jérôme Creel & Hervé Le Bihan, 2006. "Using Structural Balance Data to Test the Fiscal Theory of the Price Level: Some International Evidence," Post-Print hal-01065036, HAL.
- 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.
- 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).
- Boris Chafwehé & Rigas Oikonomou & Romanos Priftis & Lukas Vogel, 2021. "(Optimal) Monetary Policy with and without Debt," Staff Working Papers 21-5, Bank of Canada.
- Chafwehé, Boris & Oikonomou, Rigas & Priftis, Romanos & Vogel, Lukas, 2023. "Optimal Monetary Policy with and without Debt," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277596, Verein für Socialpolitik / German Economic Association.
- Burnside, C. & Eichenbaum, M. & Rebelo, S., 1998.
"Prospective Deficits and the Asian Currency Crisis,"
RCER Working Papers
458, University of Rochester - Center for Economic Research (RCER).
- Craig Burnside & Martin S. Eichenbaum & Sergio Rebelo, 1998. "Prospective deficits and the Asian currency crisis," Working Paper Series WP-98-5, Federal Reserve Bank of Chicago.
- Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 1998. "Prospective Deficits and the Asian Currency Crisis," NBER Working Papers 6758, National Bureau of Economic Research, Inc.
- Burnside, Craig*Eichenbaum, Martin*Rebelo, Sergi, 1999. "Prospective deficits and the asian currency crisis," Policy Research Working Paper Series 2174, The World Bank.
- 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.
- Burnside, Craig & Eichenbaum, Martin & Rebelo, Sérgio, 1998. "Prospective Deficits and the Asian Currency Crises," CEPR Discussion Papers 2015, C.E.P.R. Discussion Papers.
- Eric M. Leeper, 2003. "Fiscal Policy and Inflation: Pondering the Imponderables," NBER Working Papers 9506, National Bureau of Economic Research, Inc.
- 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.
- Woong Yong Park & Jae Won Lee & Saroj Bhattarai, 2012. "Policy Regimes, Policy Shifts, and U.S. Business Cycles," 2012 Meeting Papers 287, Society for Economic Dynamics.
- Saroj Bhattarai & Jae Won Lee & Woong Yong Park, 2016. "Policy Regimes, Policy Shifts, and U.S. Business Cycles," The Review of Economics and Statistics, MIT Press, vol. 98(5), pages 968-983, December.
- Kunzmann Vanessa, 2022. "Effects of Cross Country Fiscal Interdependence on Multipliers within a Monetary Union," Working Papers 216, Bavarian Graduate Program in Economics (BGPE).
- 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).
- Hao Jin & Chen Xiong, 2020. "Fiscal Stress and Monetary Policy Stance in Oil-Exporting Countries," CAEPR Working Papers 2020-006, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Willem Buiter, 2000.
"The Fallacy of the Fiscal Theory of the Price Level, Again,"
CESifo Working Paper Series
303, CESifo.
- Willem H. Buiter, 2001. "The fallacy of the fiscal theory of the price level, again," Bank of England working papers 141, Bank of England.
- Minford, Patrick & Fan, Jingwen, 2010.
"Can the Fiscal Theory of the price level explain UK inflation in the 1970s?,"
CEPR Discussion Papers
7630, C.E.P.R. Discussion Papers.
- 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.
- Eisfeldt, Andrea L., 2007. "Smoothing with liquid and illiquid assets," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1572-1586, September.
- Francesco Bianchi & Leonardo Melosi, 2014.
"Escaping the Great Recession,"
NBER Working Papers
20238, National Bureau of Economic Research, Inc.
- Leonardo Melosi & Francesco Bianchi, 2013. "Escaping the Great Recession," 2013 Meeting Papers 203, Society for Economic Dynamics.
- Leonardo Melosi & Francesco Bianchi, 2015. "Escaping the Great recession," 2015 Meeting Papers 1035, Society for Economic Dynamics.
- Francesco Bianchi & Leonardo Melosi, 2014. "Escaping the Great Recession," Working Paper Series WP-2014-17, Federal Reserve Bank of Chicago.
- Bianchi, Francesco & Melosi, Leonardo, 2013. "Escaping the Great Recession," CEPR Discussion Papers 9643, C.E.P.R. Discussion Papers.
- Francesco Bianchi & Leonardo Melosi, 2016. "Escaping the Great Recession," Working Paper Series WP-2016-16, Federal Reserve Bank of Chicago.
- Francesco Bianchi & Leonardo Melosi, 2017. "Escaping the Great Recession," American Economic Review, American Economic Association, vol. 107(4), pages 1030-1058, April.
- Francesco Bianchi & Leonardo Melosi, 2013. "Escaping the Great Recession," Working Papers 13-19, Duke University, Department of Economics.
- Suleyman Basak & Georgy Chabakauri, 2011.
"Dynamic Hedging in Incomplete Markets: A Simple Solution,"
FMG Discussion Papers
dp680, Financial Markets Group.
- Basak, Suleyman & Chabakauri, Georgy, 2011. "Dynamic Hedging in Incomplete Markets: A Simple Solution," CEPR Discussion Papers 8402, C.E.P.R. Discussion Papers.
- Georgy chabakauri & Suleyman Basak, 2009. "Dynamic Hedging in Incomplete Markets: A Simple Solution," 2009 Meeting Papers 594, Society for Economic Dynamics.
- Suleyman Basak & Georgy Chabakauri, 2012. "Dynamic Hedging in Incomplete Markets: A Simple Solution," The Review of Financial Studies, Society for Financial Studies, vol. 25(6), pages 1845-1896.
- Basak, Suleyman & Chabakauri, Georgy, 2011. "Dynamic hedging in incomplete markets: a simple solution," LSE Research Online Documents on Economics 119068, London School of Economics and Political Science, LSE Library.
- Francesco Bianchi & Cosmin Ilut, 2014.
"Monetary/Fiscal Policy Mix and Agents' Beliefs,"
NBER Working Papers
20194, National Bureau of Economic Research, Inc.
- Francesco Bianchi & Cosmin Ilut, 2017. "Monetary/Fiscal Policy Mix and Agent's Beliefs," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 26, pages 113-139, October.
- Ilut, Cosmin & Bianchi, Francesco, 2013. "Monetary/Fiscal Policy Mix and Agents' Beliefs," CEPR Discussion Papers 9645, C.E.P.R. Discussion Papers.
- Francesco Bianchi, 2011. "Monetary/Fiscal Policy Mix and Agents' Beliefs," 2011 Meeting Papers 156, Society for Economic Dynamics.
- 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.
- Van Nieuwerburgh, Stijn & Jiang, Zhengyang & Lustig, Hanno & Xiaolan, Mindy, 2021. "The U.S. Public Debt Valuation Puzzle," CEPR Discussion Papers 16082, C.E.P.R. Discussion Papers.
- Seghezza, Elena & Morelli, Pierluigi, 2014. "Conflict inflation and delayed stabilization," Journal of Macroeconomics, Elsevier, vol. 39(PA), pages 171-184.
- Giancarlo Corsetti & Bartosz Maćkowiak, 2023.
"Gambling to Preserve Price (and Fiscal) Stability,"
RSCAS Working Papers
2022/72, European University Institute.
- Giancarlo Corsetti & Bartosz Maćkowiak, 2024. "Gambling to Preserve Price (and Fiscal) Stability," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 32-57, March.
- Mackowiak, Bartosz & Corsetti, Giancarlo, 2022. "Gambling to Preserve Price (and Fiscal) Stability," CEPR Discussion Papers 17588, C.E.P.R. Discussion Papers.
- Corsetti, Giancarlo & Maćkowiak, Bartosz, 2023. "Gambling to preserve price (and fiscal) stability," Working Paper Series 2844, European Central Bank.
- Stefano Eusepi & Bruce Preston, 2013.
"Fiscal foundations of inflation: imperfect knowledge,"
Staff Reports
649, Federal Reserve Bank of New York.
- Stefano Eusepi & Bruce Preston, 2018. "Fiscal Foundations of Inflation: Imperfect Knowledge," American Economic Review, American Economic Association, vol. 108(9), pages 2551-2589, September.
- Stefano Eusepi & Bruce Preston, 2017. "Fiscal foundations of inflation: Imperfect knowledge," CAMA Working Papers 2017-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- 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.
- 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.
- António Afonso & João Tovar Jalles, 2015. "Euro Area Time Varying Fiscal Sustainability," Working Papers Department of Economics 2015/13, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- Francesco Bianchi & Leonardo Melosi, 2013.
"Dormant Shocks and Fiscal Virtue,"
PIER Working Paper Archive
13-032, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Leonardo Melosi & Francesco Bianchi, 2012. "Dormant Shocks and Fiscal Virtue," 2012 Meeting Papers 44, Society for Economic Dynamics.
- Francesco Bianchi & Leonardo Melosi, 2013. "Dormant Shocks and Fiscal Virtue," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 1-46, National Bureau of Economic Research, Inc.
- Francesco Bianchi & Leonardo Melosi, 2013. "Dormant Shocks and Fiscal Virtue," Working Papers 13-12, Duke University, Department of Economics.
- Francesco Bianchi & Leonardo Melosi, 2014. "Dormant Shocks and Fiscal Virtue," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 1-46.
- 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.
- Marattin, Luigi & Marzo, Massimiliano, 2008. "An (Un)Pleasant Arithmetic of Fiscal Policy: the Case of Italian Public Debt," MPRA Paper 6880, University Library of Munich, Germany.
- 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.
- 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.
- Ricardo Reis, 2017. "QE in the Future: The Central Bank’s Balance Sheet in a Fiscal Crisis," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 65(1), pages 71-112, April.
- Reis, Ricardo, 2016. "QE in the future: the central bank's balancesheet in a fiscal crisis," LSE Research Online Documents on Economics 67210, London School of Economics and Political Science, LSE Library.
- Ricardo Reis, 2016. "QE in the future: the central bank’s balance sheet in a fiscal crisis," NBER Working Papers 22415, National Bureau of Economic Research, Inc.
- Harashima, Taiji, 2007. "Hyperinflation, disinflation, deflation, etc.: A unified and micro-founded explanation for inflation," MPRA Paper 3836, University Library of Munich, Germany.
- 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.
- 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.
- Tambalotti, Andrea & Primiceri, Giorgio & Justiniano, Alejandro, 2013. "The Effects of the Saving and Banking Glut on the U.S. Economy," CEPR Discussion Papers 9729, C.E.P.R. Discussion Papers.
- Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2013. "The Effects of the Saving and Banking Glut on the U.S. Economy," Working Paper Series WP-2013-17, Federal Reserve Bank of Chicago.
- Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2013. "The Effects of the saving and banking glut on the U.S. economy," Staff Reports 648, Federal Reserve Bank of New York.
- Alejandro Justiniano & Giorgio Primiceri & Andrea Tambalotti, 2013. "The Effects of the Saving and Banking Glut on the U.S. Economy," NBER Working Papers 19635, National Bureau of Economic Research, Inc.
- Roberto Piazza, 2016.
"Self-fulfilling deflations,"
Temi di discussione (Economic working papers)
1080, Bank of Italy, Economic Research and International Relations Area.
- Piazza, Roberto, 2016. "Self-fulfilling deflations," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 18-40.
- Prasad, A & Khundrakpam, Jeevan Kumar, 2003. "Government Deficit and Inflation in India," MPRA Paper 51106, University Library of Munich, Germany, revised 2003.
- 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.
- Bianchi, Francesco & Faccini, Renato & Melosi, Leonardo, 2020. "Monetary and Fiscal Policies in Times of Large Debt: Unity is Strength," CEPR Discussion Papers 14720, C.E.P.R. Discussion Papers.
- Francesco Bianchi & Renato Faccini & Leonardo Melosi, 2020. "Monetary and Fiscal Policies in Times of Large Debt: Unity is Strength," Working Paper Series WP-2020-13, Federal Reserve Bank of Chicago.
- Francesco Bianchi & Renato Faccini & Leonardo Melosi, 2020. "Monetary and Fiscal Policies in Times of Large Debt: Unity is Strength," Working Paper Series WP 2020-13, Federal Reserve Bank of Chicago.
- Francesco Bianchi & Leonardo Melosi & Anna Rogantini Picco, 2022. "Who is Afraid of Eurobonds?," Working Paper Series WP 2022-43, Federal Reserve Bank of Chicago.
- Fan, Jingwen & Minford, Patrick & Ou, Zhirong, 2014.
"The role of Fiscal policy in Britain s Great Inflation,"
Cardiff Economics Working Papers
E2014/20, Cardiff University, Cardiff Business School, Economics Section.
- 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.
- Fan, Jingwen & Minford, Patrick & Ou, Zhirong, 2016. "The role of fiscal policy in Britain's Great Inflation," Economic Modelling, Elsevier, vol. 58(C), pages 203-218.
- Bajo-Rubio, Oscar & Díaz-Roldán, Carmen & Esteve, Vicente, 2009.
"Deficit sustainability and inflation in EMU: An analysis from the Fiscal Theory of the Price Level,"
European Journal of Political Economy, Elsevier, vol. 25(4), pages 525-539, December.
- 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.
- 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.
- Betty Daniel, 2000.
"A Fiscal Theory of Currency Crises,"
Econometric Society World Congress 2000 Contributed Papers
0535, Econometric Society.
- 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.
- 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.
- Oscar Bajo-Rubio & Carmen Díaz-Roldán & Vicente Esteve, 2014. "Government deficit sustainability, and monetary versus fiscal dominance:the case of Spain, 1850-2000," Working Papers 09/14, Instituto Universitario de Análisis Económico y Social.
- Bajo-Rubio, Oscar & Díaz-Roldán, Carmen & Esteve, Vicente, 2014. "Deficit sustainability, and monetary versus fiscal dominance: The case of Spain, 1850–2000," Journal of Policy Modeling, Elsevier, vol. 36(5), pages 924-937.
- Oscar Bajo-Rubio & Carmen Díaz-Roldán & Vicente Esteve, 2014. "Government Deficit Sustainability, And Monetary Versus Fiscal Dominance: The Case Of Spain, 1850-2000," Working Papers 1408, Department of Applied Economics II, Universidad de Valencia.
- W.H. Buiter, 2000.
"The Fallacy of the Fiscal Theory of the Price Level,"
CEP Discussion Papers
dp0447, Centre for Economic Performance, LSE.
- Willem H. Buiter, 1999. "The Fallacy of the Fiscal Theory of the Price Level," NBER Working Papers 7302, National Bureau of Economic Research, Inc.
- Buiter, Willem H., 1999. "The Fallacy of the Fiscal Theory of the Price Level," CEPR Discussion Papers 2205, C.E.P.R. Discussion Papers.
- 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).
- Boris Chafwehé & Charles de Beauffort & Rigas Oikonomou, 2021. "Debt Management in a World of Fiscal Dominance," JRC Working Papers on Taxation & Structural Reforms 2021-11, Joint Research Centre.
- 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.
- Saroj Bhattarai & Jae Won Lee & Choongryul Yang, 2021. "Redistribution and the Monetary–Fiscal Policy Mix," Finance and Economics Discussion Series 2021-013, Board of Governors of the Federal Reserve System (U.S.).
- Saroj Bhattarai & Jae Won Lee & Choongryul Yang, 2020. "Redistribution and the Monetary-Fiscal Policy Mix," CESifo Working Paper Series 8779, CESifo.
- Bloise, Gaetano, 2005. "A remark on the fiscal theory of price determination," Journal of Mathematical Economics, Elsevier, vol. 41(8), pages 1037-1052, December.
- Eric M. Leeper, 2010.
"Monetary science, fiscal alchemy,"
Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 361-434.
- Eric M. Leeper, 2010. "Monetary Science, Fiscal Alchemy," NBER Working Papers 16510, National Bureau of Economic Research, Inc.
- 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.
- Guillaume Plantin & Eric Mengus & Jean Barthelemy, 2022. "The Central Bank, the Treasury, or the Market: Which One Determines the Price Level?," SciencePo Working papers Main hal-03792094, HAL.
- Plantin, Guillaume & Barthélemy, Jean & Mengus, Eric, 2022. "The Central Bank, the Treasury, or the Market: Which One Determines the Price Level?," CEPR Discussion Papers 17407, C.E.P.R. Discussion Papers.
- Jean Barthélemy & Eric Mengus & Guillaume Plantin, 2021. "The Central Bank, the Treasury, or the Market: Which One Determines the Price Level?," Working papers 855, Banque de France.
- Mengus, Eric & Barthélemy, Jean & Plantin, Guillaume, 2021. "The Central Bank, the Treasury, or the Market: Which One Determines the Price Level?," CEPR Discussion Papers 16679, C.E.P.R. Discussion Papers.
- 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).
- Gaetano Bloise & Jacques H. Drèze & Herakles M. Polemarchakis, 2006. "Monetary Equilibria over an Infinite Horizon," Studies in Economic Theory, in: Christian Schultz & Karl Vind (ed.), Institutions, Equilibria and Efficiency, chapter 5, pages 69-93, Springer.
- Gaetano Bloise & Jacques Dréze & Herakles Polemarchakis, 2005. "Monetary equilibria over an infinite horizon," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 25(1), pages 51-74, January.
- Gaetano Bloise & J. H. Dreze & H. M. Polemarchakis, 2003. "Monetary Equilibria over an Infinite Horizon," Discussion Papers 03-19, University of Copenhagen. Department of Economics.
- Jarociński, Marek & Maćkowiak, Bartosz, 2018.
"Monetary-fiscal interactions and the euro area's malaise,"
Journal of International Economics, Elsevier, vol. 112(C), pages 251-266.
- Marek Jarociński & Bartosz Maćkowiak, 2017. "Monetary-Fiscal Interactions and the Euro Area's Malaise," NBER Working Papers 23746, National Bureau of Economic Research, Inc.
- Jarociński, Marek & Maćkowiak, Bartosz, 2017. "Monetary-fiscal interactions and the euro area's malaise," Working Paper Series 2072, European Central Bank.
- Mackowiak, Bartosz & Jarocinski, Marek, 2017. "Monetary-Fiscal Interactions and the Euro Area's Malaise," CEPR Discussion Papers 12020, C.E.P.R. Discussion Papers.
- Marek Jarocinski & Bartosz Mackowiak, 2017. "Monetary-Fiscal Interactions and the Euro Area’s Malaise," NBER Chapters, in: NBER International Seminar on Macroeconomics 2017, National Bureau of Economic Research, Inc.
- 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.
- Eric M. Leeper, 2009.
"Anchoring fiscal expectations,"
Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 72, pages 17-42, September.
- 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.
- Eric M. Leeper, 2009. "Anchoring Fiscal Expectations," NBER Working Papers 15269, National Bureau of Economic Research, Inc.
- Luchelle Soobyah & Nicola Viegi, 2022. "CanNationalTreasurydocontractionarymonetarypolicy," Working Papers 11031, South African Reserve Bank.
- 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.
- Anshuman Kamila, 2022. "Fiscal dominance in India: an empirical estimation," Indian Economic Review, Springer, vol. 57(1), pages 113-132, June.
- 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.
- Marco Bassetto, 2001. "A game-theoretic view of the fiscal theory of the price level," Working Papers 612, Federal Reserve Bank of Minneapolis.
- Marco Bassetto, 2002. "A Game-Theoretic View of the Fiscal Theory of the Price Level," Econometrica, Econometric Society, vol. 70(6), pages 2167-2195, November.
- 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.
- Pierpaolo Benigno, 2020.
"A Central Bank Theory of Price Level Determination,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 12(3), pages 258-283, July.
- Benigno, Pierpaolo, 2017. "A Central Bank Theory of Price Level Determination," CEPR Discussion Papers 11966, C.E.P.R. Discussion Papers.
- 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.
- Libo Xu & Apostolos Serletis, 2017. "Financial Frictions and the Fiscal Theory of Price Level Determination," Open Economies Review, Springer, vol. 28(2), pages 251-272, April.
- Hess Chung & Troy Davig & Eric Leeper, 2004.
"Monetary and Fiscal Policy Switching,"
Computing in Economics and Finance 2004
325, Society for Computational Economics.
- Hess Chung & Troy Davig & Eric M. Leeper, 2007. "Monetary and Fiscal Policy Switching," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(4), pages 809-842, June.
- 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.
- Troy Davig & Eric M. Leeper & Hess Chung, 2004. "Monetary and Fiscal Policy Switching," NBER Working Papers 10362, National Bureau of Economic Research, Inc.
- Hess Chung & Troy Davig & Eric Leeper, 2004. "Monetary and Fiscal Policy Switching," Econometric Society 2004 North American Summer Meetings 274, Econometric Society.
- Hess Chung & Troy Davig & Eric M. Leeper, 2007. "Monetary and Fiscal Policy Switching," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(4), pages 809-842, June.
- Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 2003.
"Government Finance in the Wake of Currency Crises,"
RCER Working Papers
501, University of Rochester - Center for Economic Research (RCER).
- 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.
- Burnside, Craig & Eichenbaum, Martin & Rebelo, Sergio, 2006. "Government finance in the wake of currency crises," Journal of Monetary Economics, Elsevier, vol. 53(3), pages 401-440, April.
- Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 2003. "Government Finance in the Wake of Currency Crises," NBER Working Papers 9786, National Bureau of Economic Research, Inc.
- Craig Burnside & Martin Eichenbaum, 2005. "Government Finance in the Wake of Currency Crises," 2005 Meeting Papers 429, Society for Economic Dynamics.
- Plantin, Guillaume & Barthélemy, Jean & Mengus, Eric, 2019.
"Public Liquidity Demand and Central Bank Independence,"
CEPR Discussion Papers
14160, C.E.P.R. Discussion Papers.
- Jean Barthélemy & Eric Mengus & Guillaume Plantin, 2020. "Public Liquidity Demand and Central Bank Independence," Working papers 747, Banque de France.
- Buiter, Willem, 2017. "The Good and the Bad Fiscal Theory of the Price Level," CEPR Discussion Papers 11975, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Saungweme, Talknice & Odhiambo, Nicholas M, 2019. "The impact of domestic and foreign public debt on economic growth: Empirical evidence from Zimbabwe," Working Papers 25663, University of South Africa, Department of Economics.
- Eric M. Leeper & Nora Traum & Todd B. Walker, 2017.
"Clearing Up the Fiscal Multiplier Morass,"
American Economic Review, American Economic Association, vol. 107(8), pages 2409-2454, August.
- Eric M. Leeper & Nora Traum & Todd B. Walker, 2011. "Clearing Up the Fiscal Multiplier Morass," NBER Working Papers 17444, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Goodhart, Charles & Tsomocos, Dimitrios P & Wang, Xuan, 2023.
"Bank Credit, Inflation, and Default Risks over an Infinite Horizon,"
CEPR Discussion Papers
18042, C.E.P.R. Discussion Papers.
- 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).
- Goodhart, Charles A.E. & Tsomocos, Dimitrios P. & Wang, Xuan, 2023. "Bank credit, inflation, and default risks over an infinite horizon," LSE Research Online Documents on Economics 119771, London School of Economics and Political Science, LSE Library.
- John H. Cochrane, 2014.
"Monetary Policy with Interest on Reserves,"
NBER Working Papers
20613, National Bureau of Economic Research, Inc.
- Cochrane, John H., 2014. "Monetary policy with interest on reserves," Journal of Economic Dynamics and Control, Elsevier, vol. 49(C), pages 74-108.
- 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.
- Ricardo Reis, 2016. "QE in the future: the central bank's balance sheet in a financial crisis," Discussion Papers 1620, Centre for Macroeconomics (CFM).
- Buiter, Willem H. & Sibert, Anne C., 2017.
"The fallacy of the fiscal theory of the price level - one last time,"
Economics Discussion Papers
2017-84, Kiel Institute for the World Economy (IfW Kiel).
- 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.
- Jérôme Creel & Günes Kamber, 2004.
"Debt, deficits and inflation on the road to the EU: the case of Turkey,"
Post-Print
hal-03458752, HAL.
- Jérôme Creel & Günes Kamber, 2004. "Debt, deficits and inflation on the road to the EU: the case of Turkey," SciencePo Working papers Main hal-03458752, HAL.
- Jérôme Creel & Günes Kamber, 2004. "Debt, deficits and inflation on the road to the EU: the case of Turkey," Revue de l'OFCE, Presses de Sciences-Po, vol. 91(5), pages 157-174.
- Jérôme Creel & Günes Kamber, 2004. "Debt, deficits and inflation on the road to the EU: the case of Turkey," Sciences Po publications info:hdl:2441/3003, Sciences Po.
- 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.
- Ricardo Reis, 2017. "Comment on "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 246-260, National Bureau of Economic Research, Inc.
- Mr. Seok G Park, 2012. "Central Banks Quasi-Fiscal Policies and Inflation," IMF Working Papers 2012/014, International Monetary Fund.
- Arthur Lewbel & Jin-Young Choi & Zhuzhu Zhou, 2019.
"Over-Identified Doubly Robust Identification and Estimation,"
Boston College Working Papers in Economics
1003, Boston College Department of Economics, revised 15 Jan 2022.
- 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.
- Gliksberg, Baruch, "undated". "A Fixed-Point Theory of Price Level Determination in General Equilibrium," Working Papers WP2014/3, University of Haifa, Department of Economics.
- Minford, Patrick & Ou, Zhirong & Fan, Jingwen, 2013.
"The Fiscal Theory of the Price Level - identification and testing for the UK in the 1970s,"
CEPR Discussion Papers
9763, C.E.P.R. Discussion Papers.
- 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.
- Olivier J. Blanchard & Mitali Das, 2017. "A New Index of Debt Sustainability," NBER Working Papers 24068, National Bureau of Economic Research, Inc.
- Harashima, Taiji, 2013.
"The Phillips Curve and a Micro-foundation of Trend Inflation,"
MPRA Paper
51305, University Library of Munich, Germany.
- Taiji HARASHIMA, 2013. "The Phillips Curve And A Micro-Foundation Of Trend Inflation," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 4(2), pages 151-182.
- Pierre Aldama & Jérôme Creel, 2020.
"Asymmetric Macroeconomic Stabilization And Fiscal Consolidation In The Oecd And The Euro Area,"
Working Papers
hal-03403071, HAL.
- Pierre Aldama & Jérôme Creel, 2020. "Asymmetric macroeconomic stabilization and fiscal consolidation in the OECD and the Euro Area," Documents de Travail de l'OFCE 2020-09, Observatoire Francais des Conjonctures Economiques (OFCE).
- pierre Aldama & Jérôme Creel, 2020. "Asymmetric Macroeconomic Stabilization And Fiscal Consolidation In The Oecd And The Euro Area," Sciences Po publications 09/2020, Sciences Po.
- Pierre Aldama & Jérôme Creel, 2020. "Asymmetric Macroeconomic Stabilization And Fiscal Consolidation In The Oecd And The Euro Area," SciencePo Working papers Main hal-03403071, HAL.
- 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.
- 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.
- António Afonso, 2002. "Disturbing the fiscal theory of the price level: Can it fit the eu-15?," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B4-3, International Conferences on Panel Data.
- Corsetti, Giancarlo & Mackowiak, Bartosz, 2006. "Fiscal imbalances and the dynamics of currency crises," European Economic Review, Elsevier, vol. 50(5), pages 1317-1338, July.
- 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.
- Boris Hofmann & Marco Jacopo Lombardi & Benoit Mojon & Athanasios Orphanides, 2021. "Fiscal and monetary policy interactions in a low interest rate world," BIS Working Papers 954, Bank for International Settlements.
- Gattini, Luca & Pill, Huw & Schuknecht, Ludger, 2012.
"A global perspective on inflation and propagation channels,"
Working Paper Series
1462, European Central Bank.
- 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.
- 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.
- António Afonso & Luís Gonçalves, 2018.
"The Policy Mix in the US and EMU: Evidence from a SVAR Analysis,"
Working Papers REM
2018/28, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- 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).
- 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.
- 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.
- 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.
- 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.
- Leonardo Melosi & Francesco Bianchi, 2017.
"The Dire Effects of the Lack of Monetary and Fiscal Coordination,"
2017 Meeting Papers
110, Society for Economic Dynamics.
- 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.
- Bianchi, Francesco & Melosi, Leonardo, 2017. "The Dire Effects of the Lack of Monetary and Fiscal Coordination," CEPR Discussion Papers 12164, C.E.P.R. Discussion Papers.
- Francesco Bianchi & Leonardo Melosi, 2017. "The Dire Effects of the Lack of Monetary and Fiscal Coordination," Working Paper Series WP-2017-19, Federal Reserve Bank of Chicago.
- Bianchi, Francesco & Melosi, Leonardo, 2019. "The dire effects of the lack of monetary and fiscal coordination," Journal of Monetary Economics, Elsevier, vol. 104(C), pages 1-22.
- Gliksberg, Baruch, 2013.
"Monetary policy and fiscal limits with no-default,"
European Economic Review, Elsevier, vol. 64(C), pages 285-304.
- Gliksberg, Baruch, "undated". "Monetary Policy and Fiscal Limits with No-Default," Working Papers WP2012/6, University of Haifa, Department of Economics.
- Lin, Hsin-Yi & Chu, Hao-Pang, 2013. "Are fiscal deficits inflationary?," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 214-233.
- Pierre Aldama & Jérôme Creel, 2016.
"Why fiscal regimes matter for fiscal sustainability analysis: an application to France,"
Working Papers
hal-03459336, HAL.
- Aldama Pierre & Jérôme Creel, 2016. "Why fiscal regimes matter for fiscal sustainability analysis : an application to France," Documents de Travail de l'OFCE 2016-15, Observatoire Francais des Conjonctures Economiques (OFCE).
- Pierre Aldama & Jérôme Creel, 2016. "Why fiscal regimes matter for fiscal sustainability analysis: an application to France," SciencePo Working papers Main hal-03459336, HAL.
- pierre Aldama & Jérôme Creel, 2016. "Why fiscal regimes matter for fiscal sustainability analysis: an application to France," Sciences Po publications 2016-15, Sciences Po.
- Hollmayr, Josef & Kühl, Michael, 2019.
"Monetary–fiscal interaction and quantitative easing,"
Economics Letters, Elsevier, vol. 174(C), pages 200-207.
- Hollmayr, Josef & Kühl, Michael, 2018. "Monetary-fiscal interaction and quantitative easing," Discussion Papers 50/2018, Deutsche Bundesbank.
- Kriwoluzky, Alexander & Müller, Gernot J. & Wolf, Martin, 2019.
"Exit expectations and debt crises in currency unions,"
Journal of International Economics, Elsevier, vol. 121(C).
- Müller, Gernot & Kriwoluzky, Alexander & Wolf, Martin, 2015. "Exit expectations and debt crises in currency unions," CEPR Discussion Papers 10817, C.E.P.R. Discussion Papers.
- Kriwoluzky, Alexander & Müller, Gernot J. & Wolf, Martin, 2015. "Exit Expectations and Debt Crises in Currency Unions," IWH Discussion Papers 18/2015, Halle Institute for Economic Research (IWH).
- Christoph S. Weber, 2016.
"Central Bank Transparency and Inflation (Volatility) – New Evidence,"
Working Papers
163, Bavarian Graduate Program in Economics (BGPE).
- Christoph S. Weber, 2018. "Central bank transparency and inflation (volatility) – new evidence," International Economics and Economic Policy, Springer, vol. 15(1), pages 21-67, January.
- 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.
- 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.
- Piersanti, Giovanni, 2012. "The Macroeconomic Theory of Exchange Rate Crises," OUP Catalogue, Oxford University Press, number 9780199653126.
- Harashima, Taiji, 2007. "Why should central banks be independent?," MPRA Paper 1838, University Library of Munich, Germany, revised 19 Feb 2007.
- Marco Bassetto & Thomas J. Sargent, 2020.
"Shotgun Wedding: Fiscal and Monetary Policy,"
Staff Report
599, Federal Reserve Bank of Minneapolis.
- Marco Bassetto & Thomas J. Sargent, 2020. "Shotgun Wedding: Fiscal and Monetary Policy," NBER Working Papers 27004, National Bureau of Economic Research, Inc.
- Marco Bassetto & Thomas J. Sargent, 2020. "Shotgun Wedding: Fiscal and Monetary Policy," Annual Review of Economics, Annual Reviews, vol. 12(1), pages 659-690, August.
- Craig Burrnside, 2005. "Fiscal Sustainability in Theory and Practice : A Handbook," World Bank Publications - Books, The World Bank Group, number 7495, December.
- John H. Cochrane, 2010.
"Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic,"
NBER Working Papers
16087, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- Li Lin & Dimitrios P. Tsomocos & Alexandros Vardoulakis, 2015. "On Default and Uniqueness of Monetary Equilibria," Finance and Economics Discussion Series 2015-34, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- Harashima, Taiji, 2008. "A Microfounded Mechanism of Observed Substantial Inflation Persistence," MPRA Paper 10668, University Library of Munich, Germany.
- 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.
- Matthew B. Canzoneri & Robert E. Cumby & Behzad T. Diba, 2001.
"Is the Price Level Determined by the Needs of Fiscal Solvency?,"
American Economic Review, American Economic Association, vol. 91(5), pages 1221-1238, December.
- 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.
- Canzoneri, Matthew B & Cumby, Robert & Diba, Behzad, 1998. "Is the Price Level Determined by the Needs of Fiscal Solvency?," CEPR Discussion Papers 1772, C.E.P.R. Discussion Papers.
- Alexander W. Richter, 2013.
"The Fiscal Limit and Non-Ricardian Consumers,"
Auburn Economics Working Paper Series
auwp2013-19, Department of Economics, Auburn University.
- Richter, Alexander W., 2015. "Finite lifetimes, long-term debt and the fiscal limit," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 180-203.
- John H. Cochrane, 2016. "Stepping on a Rake: the Fiscal Theory of Monetary Policy," NBER Working Papers 22979, National Bureau of Economic Research, Inc.
- Daniel, Betty C. & Shiamptanis, Christos, 2012.
"Fiscal risk in a monetary union,"
European Economic Review, Elsevier, vol. 56(6), pages 1289-1309.
- Betty Daniel & Christos Shiamptanis, 2008. "Fiscal Risk in a Monetary Union," Discussion Papers 08-12, University at Albany, SUNY, Department of Economics.
- 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.
- 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.
- 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.
- Troy Davig & Eric M. Leeper & Todd B. Walker, 2010. ""Unfunded Liabilities" and Uncertain Fiscal Financing," NBER Working Papers 15782, National Bureau of Economic Research, Inc.
- Troy Davig & Eric M. Leeper & Todd B. Walker, 2010. "\"Unfunded liabilities\" and uncertain fiscal financing," Research Working Paper RWP 10-09, Federal Reserve Bank of Kansas City.
- 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.
- Nicolas Caramp & Dejanir Silva, 2023. "Code and data files for "Fiscal Policy and the Monetary Transmission Mechanism"," Computer Codes 22-92, Review of Economic Dynamics.
- Nicolas Caramp, 2020. "Fiscal Policy and the Monetary Transmission Mechanism," Working Papers 337, University of California, Davis, Department of Economics.
- 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.
- 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.
- Emilio Congregado & Silviano Carmen Díaz-Roldán & Vicente Esteve, 2023. "Deficit sustainability and the Fiscal Theory of the Price Level: the case of Italy, 1861-2020," Working Papers 2301, Department of Applied Economics II, Universidad de Valencia.
- 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.
- David B. Gordon & Eric M. Leeper, 2002. "The Price Level, the Quantity Theory of Money, and the Fiscal Theory of the Price Level," NBER Working Papers 9084, National Bureau of Economic Research, Inc.
- Bretscher, Lorenzo & Hsu, Alex & Tamoni, Andrea, 2020. "Fiscal policy driven bond risk premia," Journal of Financial Economics, Elsevier, vol. 138(1), pages 53-73.
- Cochrane, John H., 2018. "Stepping on a rake: The fiscal theory of monetary policy," European Economic Review, Elsevier, vol. 101(C), pages 354-375.
- Paul R. Bergin, 2017.
"Fiscal Solvency and Price Level Determination in a Monetary Union,"
World Scientific Book Chapters, in: International Macroeconomic Interdependence, chapter 12, pages 343-362,
World Scientific Publishing Co. Pte. Ltd..
- 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.
- 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.
- Sokolova, Anna, 2015. "Fiscal limits and monetary policy: default vs. inflation," Economic Modelling, Elsevier, vol. 48(C), pages 189-198.
- 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.
- McMahon, Michael & Peiris, Udara & Polemarchakis, Herakles, 2015. "Perils of Quantitative Easing," Economic Research Papers 270005, University of Warwick - Department of Economics.
- McMahon, Michael & Peiris, Udara & Polemarchakis, Herakles, 2015. "Perils of quantitative easing," The Warwick Economics Research Paper Series (TWERPS) 1089, University of Warwick, Department of Economics.
- 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.
- 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).
- 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.
- Uhlig, Harald, 2002. "One Money, but Many Fiscal Policies in Europe: What Are the Consequences?," CEPR Discussion Papers 3296, C.E.P.R. Discussion Papers.
- Eric M. Leeper, 2016. "Should Central Banks Care About Fiscal Rules?," NBER Working Papers 22800, National Bureau of Economic Research, Inc.
- Howard Kung & Gonzalo Morales & Alexandre Corhay, 2017. "Fiscal Discount Rates and Debt Maturity," 2017 Meeting Papers 840, Society for Economic Dynamics.
- 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.
- António Afonso & José Alves & Oļegs Matvejevs & Oļegs Tkačevs, 2023.
"Fiscal Sustainability and the Role of Inflation,"
CESifo Working Paper Series
10843, CESifo.
- Antonio Afonso & Josee Alves & Olegs Matvejevs & Olegs Tkacevs, 2023. "Fiscal Sustainability and the Role of Inflation," Working Papers 2023/08, Latvijas Banka.
- António Afonso & José Alves & Olegs Matvejevs & Olegs Tkacevs, 2023. "Fiscal Sustainability and the Role of Inflation," Working Papers REM 2023/0303, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- 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.
- Marco Bassetto & David S. Miller, 2022.
"A monetary-fiscal theory of sudden inflations,"
IFS Working Papers
W22/56, Institute for Fiscal Studies.
- Marco Bassetto & David S. Miller, 2022. "A Monetary-Fiscal Theory of Sudden Inflations," Staff Report 641, Federal Reserve Bank of Minneapolis.
- 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.
- 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.
- 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.
- 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.
- 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.
- Jane Kiringai, 2002. "Debt and PRSP Conditionality: The Kenya Case," WIDER Working Paper Series DP2002-54, World Institute for Development Economic Research (UNU-WIDER).
- 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.
- CASTRO, Rui & RESENDE, Carlos & RUGE-MURCIA, Francisco J., 2003. "The Backing of Government Debt and the Price Level," Cahiers de recherche 2003-22, Universite de Montreal, Departement de sciences economiques.
- De Graeve, Ferre & Queijo von Heideken, Virginia, 2013.
"Identifying Fiscal Inflation,"
Working Paper Series
273, Sveriges Riksbank (Central Bank of Sweden).
- De Graeve, Ferre & Queijo von Heideken, Virginia, 2015. "Identifying fiscal inflation," European Economic Review, Elsevier, vol. 80(C), pages 83-93.
- Sokolova, A., 2014. "Sovereign Risk and Monetary Policy," Journal of the New Economic Association, New Economic Association, vol. 21(1), pages 56-82.
- 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.
- 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.
- Zhengyang Jiang, 2019. "US Fiscal Cycle and the Dollar," 2019 Meeting Papers 667, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- 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).
- 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.
- 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 –.
- 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.
- Zhengyang Jiang & Hanno Lustig & Mindy Xiaolan & Stijn Van Nieuwerburgh, 2019.
"Government Risk Premium Puzzle,"
2019 Meeting Papers
437, Society for Economic Dynamics.
- 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.
- Francesco Molteni, 2015. "Liquidity, Government Bonds and Sovereign Debt Crises," Working Papers 2015-32, CEPII research center.
- Bouabdallah, Othman & Jacquinot, Pascal & Patella, Valeria, 2023. "Monetary/fiscal policy regimes in post-war Europe," Working Paper Series 2871, European Central Bank.
- 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.
- Kriwoluzky, Alexander & Kliem, Martin & Sarferaz, Samad, 2013. "On the low-frequency relationship between public deficits and inflation," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80000, Verein für Socialpolitik / German Economic Association.
- Kliem, Martin & Kriwoluzky, Alexander & Sarferaz, Samad, 2013. "On the low-frequency relationship between public deficits and inflation," Discussion Papers 12/2013, Deutsche Bundesbank.
- 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.
- 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.
- Francesco Bianchi & Leonardo Melosi, 2022. "Inflation as a Fiscal Limit," Working Paper Series WP 2022-37, Federal Reserve Bank of Chicago.
- Burnside, Craig, 2004. "Currency crises and contingent liabilities," Journal of International Economics, Elsevier, vol. 62(1), pages 25-52, January.
- John Cochrane, 2021.
"Online Appendix to "A fiscal theory of monetary policy with partially repaid long-term debt","
Online Appendices
20-44, Review of Economic Dynamics.
- 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.
- 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).
- 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.
- 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.
- Harashima, Taiji, 2019. "A Theory of Inflation: The Law of Motion for Inflation under the MDC-based Procedure," MPRA Paper 113161, University Library of Munich, Germany.
- 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.
- 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.
- 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).
- 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.
- 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.
- William C. Gruben & John H. Welch, 2010. "Is Tighter Fiscal Policy Expansionary Under Fiscal Dominance?: Hypercrowding Out In Latin America," Contemporary Economic Policy, Western Economic Association International, vol. 28(2), pages 171-181, April.
- Eric Leeper & Tack Yun, 2006.
"Monetary-fiscal policy interactions and the price level:Background and beyond,"
International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 13(4), pages 373-409, August.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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).
- 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.
- Ettmeier, Stephanie & Kriwoluzky, Alexander, 2020. "Active, or passive? Revisiting the role of fiscal policy in the Great Inflation," Working Papers 17, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.
- 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.
- 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.
- Vadim Elenev & Tim Landvoigt & Patrick J. Shultz & Stijn Van Nieuwerburgh, 2021. "Can Monetary Policy Create Fiscal Capacity?," NBER Working Papers 29129, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Cochrane, John H., 2005. "Money as stock," Journal of Monetary Economics, Elsevier, vol. 52(3), pages 501-528, April.
- 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.
- 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.
- 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.
- 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.
- 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.
- Eric M. Leeper, 2009. "Anchors Away: How Fiscal Policy Can Undermine the Taylor Principle," NBER Working Papers 15514, National Bureau of Economic Research, Inc.
- 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.
- Benigno, Pierpaolo, 2016. "Designing Central Banks for Inflation Stability," CEPR Discussion Papers 11402, C.E.P.R. Discussion Papers.
- Óscar J. Arce, 2005. "Reflections on fiscalist divergent price-paths," Working Papers 0533, Banco de España.
- Eric M. Leeper & Xuan Zhou, 2013. "Inflation's Role in Optimal Monetary-Fiscal Policy," NBER Working Papers 19686, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Liu, Zehao & He, Ping, 2022. "Real liquidity and banking," Journal of Financial Intermediation, Elsevier, vol. 49(C).
- 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.
- 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.
- Wolf, Martin & Müller, Gernot & Kriwoluzky, Alexander, 2013. "Currency Risk in Currency Unions," CEPR Discussion Papers 9635, C.E.P.R. Discussion Papers.
- 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.
- John H. Cochrane, 1998.
"A Frictionless View of U.S. Inflation,"
NBER Working Papers
6646, National Bureau of Economic Research, Inc.
- 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.
- 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.
Cited by:
- António Afonso & Peter Claeys & Ricardo M. Sousa, 2009.
"Fiscal Regime Shifts in Portugal,"
IREA Working Papers
200921, University of Barcelona, Research Institute of Applied Economics, revised Oct 2009.
- 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.
- António Afonso & Peter Claeys & Ricardo M. Sousa, 2009. "Fiscal Regime Shifts in Portugal," Working Papers Department of Economics 2009/39, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- António Afonso & Peter Claeys & Ricardo M. Sousa, 2009. "Fiscal Regime Shifts in Portugal," NIPE Working Papers 25/2009, NIPE - Universidade do Minho.
- Gonzalez-Astudillo, Manuel, 2013.
"Monetary-Fiscal Policy Interactions: Interdependent Policy Rule Coefficients,"
MPRA Paper
50040, University Library of Munich, Germany.
- Manuel Gonzalez-Astudillo, 2013. "Monetary-fiscal policy interactions: interdependent policy rule coefficients," Finance and Economics Discussion Series 2013-58, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- Harashima, Taiji, 2006. "The Sustainability of Budget Deficits in an Inflationary Economy," MPRA Paper 905, University Library of Munich, Germany.
- 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).
- Boris Chafwehé & Charles de Beauffort & Rigas Oikonomou, 2022. "Optimal Monetary Policy Rules in the Fiscal Theory of the Price Level," LIDAM Discussion Papers IRES 2022026, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- 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).
- Boris Chafwehé & Rigas Oikonomou & Romanos Priftis & Lukas Vogel, 2021. "(Optimal) Monetary Policy with and without Debt," Staff Working Papers 21-5, Bank of Canada.
- Chafwehé, Boris & Oikonomou, Rigas & Priftis, Romanos & Vogel, Lukas, 2023. "Optimal Monetary Policy with and without Debt," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277596, Verein für Socialpolitik / German Economic Association.
- Nicholas Haltom & John A. Weinberg, 2011.
"Unsustainable fiscal policy: implications for monetary policy,"
Annual Report, Federal Reserve Bank of Richmond, pages 5-19.
- 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.
- Renee Courtois Haltom & John A. Weinberg, 2015. "Unsustainable Fiscal Policy: Implications for Monetary Policy," Economic Quarterly, Federal Reserve Bank of Richmond, issue 2Q, pages 151-167.
- 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.
- Marzo, Massimiliano & Romagnoli, Silvia & Zagaglia, Paolo, 2008. "A continuous-time model of the term structure of interest rates with fiscal-monetary policy interactions," Bank of Finland Research Discussion Papers 25/2008, Bank of Finland.
- Willem Buiter, 2000.
"The Fallacy of the Fiscal Theory of the Price Level, Again,"
CESifo Working Paper Series
303, CESifo.
- Willem H. Buiter, 2001. "The fallacy of the fiscal theory of the price level, again," Bank of England working papers 141, Bank of England.
- Lawrence J. Christiano & Christopher J. Gust, 2000.
"The Expectations Trap Hypothesis,"
NBER Working Papers
7809, National Bureau of Economic Research, Inc.
- Lawrence J. Christiano & Christopher J. Gust, 2000. "The expectations trap hypothesis," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 25(Q II), pages 21-39.
- Lawrence J. Christiano & Christopher J. Gust, 2000. "The expectations trap hypothesis," International Finance Discussion Papers 676, Board of Governors of the Federal Reserve System (U.S.).
- Lawrence J. Christiano & Christopher J. Gust, 2000. "The expectations trap hypothesis," Working Papers (Old Series) 0004, Federal Reserve Bank of Cleveland.
- 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.
- Nicoletta Batini & Edward Nelson, 2001. "The Lag from Monetary Policy Actions to Inflation: Friedman Revisited," Discussion Papers 06, Monetary Policy Committee Unit, Bank of England.
- Minford, Patrick & Fan, Jingwen, 2010.
"Can the Fiscal Theory of the price level explain UK inflation in the 1970s?,"
CEPR Discussion Papers
7630, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Stefania Albanesi & V.V. Chari & Lawrence J. Christiano, "undated".
"Expectation Traps and Monetary Policy,"
Working Papers
198, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- 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.
- Stefania Albanesi & V. V. Chari & Lawrence J. Christiano, 2002. "Expectation Traps and Monetary Policy," Macroeconomics 0201004, University Library of Munich, Germany.
- Stefania Albanesi & V. V. Chari & Lawrence J. Christiano, 2003. "Expectation Traps and Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 70(4), pages 715-741.
- Stefania Albanesi & V.V. Chari & Lawrence J. Christiano, 2002. "Expectation Traps and Monetary Policy," NBER Working Papers 8912, National Bureau of Economic Research, Inc.
- Stefania Albanesi & V. V. Chari & Lawrence J. Christiano, 2003. "Expectation traps and monetary policy," Staff Report 319, Federal Reserve Bank of Minneapolis.
- 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.
- Riccardo DiCecio & Edward Nelson, 2013. "The Great Inflation in the United States and the United Kingdom: Reconciling Policy Decisions and Data Outcomes," NBER Chapters, in: The Great Inflation: The Rebirth of Modern Central Banking, pages 393-438, National Bureau of Economic Research, Inc.
- Riccardo DiCecio & Edward Nelson, 2009. "The great inflation in the United States and the United Kingdom: reconciling policy decisions and data outcomes," Working Papers 2009-015, Federal Reserve Bank of St. Louis.
- 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.
- Harashima, Taiji, 2007. "Hyperinflation, disinflation, deflation, etc.: A unified and micro-founded explanation for inflation," MPRA Paper 3836, University Library of Munich, Germany.
- Bennett McCallum, "undated".
"Multiple-Solution Indeterminacies in Monetary Policy Analysis,"
GSIA Working Papers
2003-E77, Carnegie Mellon University, Tepper School of Business.
- Bennett T. McCallum, 2003. "Multiple-Solution Indeterminacies in Monetary Policy Analysis," NBER Working Papers 9837, National Bureau of Economic Research, Inc.
- McCallum, Bennett T., 2003. "Multiple-solution indeterminacies in monetary policy analysis," Journal of Monetary Economics, Elsevier, vol. 50(5), pages 1153-1175, July.
- Betty Daniel & Christos Shiamptanis, 2008.
"Fiscal Policy in the European Monetary Union,"
Discussion Papers
08-11, University at Albany, SUNY, Department of Economics.
- Betty C. Daniel & Christos Shiamptanis, 2009. "Fiscal Policy in the European Monetary Union," Working Papers 2009-1, Central Bank of Cyprus.
- Betty C. Daniel & Christos Shiamptanis, 2008. "Fiscal policy in the European Monetary Union," International Finance Discussion Papers 961, Board of Governors of the Federal Reserve System (U.S.).
- Fan, Jingwen & Minford, Patrick & Ou, Zhirong, 2014.
"The role of Fiscal policy in Britain s Great Inflation,"
Cardiff Economics Working Papers
E2014/20, Cardiff University, Cardiff Business School, Economics Section.
- 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.
- Fan, Jingwen & Minford, Patrick & Ou, Zhirong, 2016. "The role of fiscal policy in Britain's Great Inflation," Economic Modelling, Elsevier, vol. 58(C), pages 203-218.
- Bajo-Rubio, Oscar & Díaz-Roldán, Carmen & Esteve, Vicente, 2009.
"Deficit sustainability and inflation in EMU: An analysis from the Fiscal Theory of the Price Level,"
European Journal of Political Economy, Elsevier, vol. 25(4), pages 525-539, December.
- 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.
- Peter Claeys, 2005.
"Policy mix and debt sustainability: evidence from fiscal policy rules,"
Economics Working Papers
ECO2005/01, European University Institute.
- Peter Claeys, 2005. "Policy Mix and Debt Sustainability: Evidence from Fiscal Policy Rules," CESifo Working Paper Series 1406, CESifo.
- Peter Claeys, 2006. "Policy mix and debt sustainability: evidence from fiscal policy rules," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 33(2), pages 89-112, June.
- Betty Daniel, 2000.
"A Fiscal Theory of Currency Crises,"
Econometric Society World Congress 2000 Contributed Papers
0535, Econometric Society.
- 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.
- Mr. Michael Kumhof & Mr. Ricardo C Nunes & Mrs. Irina Yakadina, 2007.
"Simple Monetary Rules Under Fiscal Dominance,"
IMF Working Papers
2007/271, International Monetary Fund.
- Michael Kumhof & Ricardo Nunes & Irina Yakadina, 2010. "Simple Monetary Rules under Fiscal Dominance," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 63-92, February.
- Michael, Kumhof & Ricardo, Nunes & Irina, Yakadina, 2007. "Simple Monetary Rules under Fiscal Dominance," MPRA Paper 4462, University Library of Munich, Germany.
- Michael Kumhof & Ricardo Nunes & Irina Yakadina, 2010. "Simple Monetary Rules under Fiscal Dominance," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 63-92, February.
- Michael Kumhof & Ricardo Nunes & Irina Yakadina, 2008. "Simple monetary rules under fiscal dominance," International Finance Discussion Papers 937, Board of Governors of the Federal Reserve System (U.S.).
- John H. Cochrane, 1998.
"Long-term Debt and Optimal Policy in the Fiscal Theory of the Price Level,"
CRSP working papers
478, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- 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.
- 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.
- 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.
- Bennett T. McCallum, 2006. "E-Stability vis-a-vis Determinacy Results for a Broad Class of Linear Rational Expectations Models," NBER Working Papers 12441, National Bureau of Economic Research, Inc.
- Bilal Raza & Khurram S Mughal, 2022. "Fiscal Determinants of Inflation in Pakistan," SBP Working Paper Series 108, State Bank of Pakistan, Research Department.
- Catao, Luis A.V. & Terrones, Marco E., 2005.
"Fiscal deficits and inflation,"
Journal of Monetary Economics, Elsevier, vol. 52(3), pages 529-554, April.
- Mr. Luis Catão & Mr. Marco Terrones, 2003. "Fiscal Deficits and Inflation," IMF Working Papers 2003/065, International Monetary Fund.
- Willem H. Buiter, 2003.
"James Tobin: An Appreciation of his Contribution to Economics,"
Economic Journal, Royal Economic Society, vol. 113(491), pages 585-631, November.
- Buiter, Willem H., 2003. "James Tobin : an appreciation of his contribution to economics," LSE Research Online Documents on Economics 847, London School of Economics and Political Science, LSE Library.
- Willem H. Buiter, 2003. "James Tobin: An Appreciation of his Contribution to Economics," NBER Working Papers 9753, National Bureau of Economic Research, Inc.
- Eric M. Leeper, 2009.
"Anchoring fiscal expectations,"
Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 72, pages 17-42, September.
- 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.
- Eric M. Leeper, 2009. "Anchoring Fiscal Expectations," NBER Working Papers 15269, National Bureau of Economic Research, Inc.
- George Hondroyiannis & Sophia Lazaretou, 2004.
"Inflation Persistence during Periods of Structural Change: An Assessment Using Greek Data,"
Working Papers
13, Bank of Greece.
- George Hondroyiannis & Sophia Lazaretou, 2007. "Inflation persistence during periods of structural change: an assessment using Greek data," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 34(5), pages 453-475, December.
- Hondroyiannis, George & Lazaretou, Sophia, 2004. "Inflation persistence during periods of structural change: an assessment using Greek data," Working Paper Series 370, European Central Bank.
- Martin Uribe, 2002.
"A Fiscal Theory of Sovereign Risk,"
NBER Working Papers
9221, National Bureau of Economic Research, Inc.
- Uribe, Martín, 2002. "A fiscal theory of sovereign risk," Working Paper Series 187, European Central Bank.
- Uribe, Martin, 2006. "A fiscal theory of sovereign risk," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1857-1875, November.
- 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.
- Betty C. Daniel & Christos Shiamptanis, 2010. "Sovereign Default Risk in a Monetary Union," Working Papers 2010-3, Central Bank of Cyprus.
- Betty Daniel & Christos Shiamptanis, 2012.
"Pushing the Limit? Fiscal Policy in the European Monetary Union,"
Working Papers
033, Ryerson University, Department of Economics.
- Daniel, Betty C. & Shiamptanis, Christos, 2013. "Pushing the limit? Fiscal policy in the European Monetary Union," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2307-2321.
- 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.
- Stephen Cecchetti & Madhusudan Mohanty & Fabrizio Zampolli, 2010. "The future of public debt: prospects and implications," BIS Working Papers 300, Bank for International Settlements.
- 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.
- Buiter, Willem H. & Sibert, Anne C., 2017.
"The fallacy of the fiscal theory of the price level - one last time,"
Economics Discussion Papers
2017-84, Kiel Institute for the World Economy (IfW Kiel).
- 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.
- Li, Bing & Pei, Pei & Tan, Fei, 2021. "Financial distress and fiscal inflation," Journal of Macroeconomics, Elsevier, vol. 70(C).
- Minford, Patrick & Ou, Zhirong & Fan, Jingwen, 2013.
"The Fiscal Theory of the Price Level - identification and testing for the UK in the 1970s,"
CEPR Discussion Papers
9763, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Yang, Yu, 2011. "Frictionless economy and its implementation in real world," MPRA Paper 34345, University Library of Munich, Germany.
- Stefano Eusepi & Bruce Preston, 2008.
"Stabilizing expectations under monetary and fiscal policy coordination,"
Staff Reports
343, Federal Reserve Bank of New York.
- Stefano Eusepi & Bruce Preston, 2008. "Stabilizing Expectations under Monetary and Fiscal Policy Coordination," NBER Working Papers 14391, National Bureau of Economic Research, Inc.
- Ragna Alstadheim, 2005. "Is the price level in Norway determined by fiscal policy?," Working Paper 2005/5, Norges Bank.
- Michael Kumhof, 2004.
"Fiscal Crisis Resolution: Taxation Versus Inflation,"
2004 Meeting Papers
874, Society for Economic Dynamics.
- Michael Kumhof, 2004. "Fiscal Crisis Resolution: Taxation versus Inflation," Working Papers 102004, Hong Kong Institute for Monetary Research.
- 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.
- 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.
- Bennett T. McCallum, "undated". "Indeterminacy, Bubbles, and the Fiscal Theory of Price Level Determination," GSIA Working Papers 1998-19, Carnegie Mellon University, Tepper School of Business.
- Bennett T. McCallum, 1998. "Indeterminacy, Bubbles, and the Fiscal Theory of Price Level Determination," NBER Working Papers 6456, National Bureau of Economic Research, Inc.
- Uhlig, Harald, 2000.
"Should We Be Afraid of Friedman's Rule?,"
Journal of the Japanese and International Economies, Elsevier, vol. 14(4), pages 261-303, December.
- Uhlig, Harald, 2000. "Should We be Afraid of Friedman's Rule?," CEPR Discussion Papers 2548, C.E.P.R. Discussion Papers.
- Harald Uhlig, 2000. "Should we be afraid of Friedman's rule?," Macroeconomics 0004016, University Library of Munich, Germany.
- 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.
- Jerome Creel & Etienne Farvaque, 2008.
"Détermination du niveau des prix et finances publiques : le cas du Liban, 1965-2005,"
Documents de Travail de l'OFCE
2008-14, Observatoire Francais des Conjonctures Economiques (OFCE).
- Hassan Ayoub & Jérôme Creel & Étienne Farvaque, 2008. "Détermination du niveau des prix et finances publiques : le cas du Liban, 1965 – 2005," Revue d’économie du développement, De Boeck Université, vol. 16(3), pages 115-141.
- Etienne Farvaque & Hassan Ayoub & Jérôme Creel, 2008. "Détermination du niveau des prix et finances publiques : le cas du Liban, 1965-2005," Working Papers hal-00973050, HAL.
- Etienne Farvaque & Hassan Ayoub & Jérôme Creel, 2008. "Détermination du niveau des prix et finances publiques : le cas du Liban, 1965-2005," SciencePo Working papers Main hal-00973050, HAL.
- Hassan Ayoub & Etienne Farvaque & Jérôme Creel, 2008. "Détermination du niveau des prix et finances publiques : le cas du Liban, 1965- 2005," SciencePo Working papers Main hal-03417072, HAL.
- Etienne Farvaque & Hassan Ayoub & Jérôme Creel, 2008. "Détermination du niveau des prix et finances publiques : le cas du Liban, 1965-2005," Sciences Po publications 2008-14, Sciences Po.
- 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.
- International Monetary Fund, 2008. "Fiscal and Monetary Anchors for Price Stability: Evidence from Sub-Saharan Africa," IMF Working Papers 2008/121, International Monetary Fund.
- Sasakura, Kazuyuki, 2021. "A macroeconomic theory of price determination," Structural Change and Economic Dynamics, Elsevier, vol. 59(C), pages 214-227.
- Bennett T. McCallum, "undated".
"Is The Fiscal Theory of the Price Level Learnable?,"
GSIA Working Papers
2003-24, Carnegie Mellon University, Tepper School of Business.
- Bennett T. McCallum, 2003. "Is the Fiscal Theory of the Price Level Learnable?," NBER Working Papers 9961, National Bureau of Economic Research, Inc.
- Bennett T. Mccallum, 2003. "Is The Fiscal Theory of the Price Level Learnable?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 50(5), pages 634-649, November.
- 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.
- 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.
- 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.
- Aleksander Berentsen & Christopher J. Waller, 2017. "Liquidity Premiums on Government Debt and the Fiscal Theory of the Price Level," Working Papers 2017-8, Federal Reserve Bank of St. Louis.
- 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.
- Betty Daniel, 2008. "Exchange Rate Crises and Fiscal Solvency," Discussion Papers 08-09, University at Albany, SUNY, Department of Economics.
- Harashima, Taiji, 2008. "A Microfounded Mechanism of Observed Substantial Inflation Persistence," MPRA Paper 10668, University Library of Munich, Germany.
- Matthew B. Canzoneri & Robert E. Cumby & Behzad T. Diba, 2001.
"Is the Price Level Determined by the Needs of Fiscal Solvency?,"
American Economic Review, American Economic Association, vol. 91(5), pages 1221-1238, December.
- 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.
- Canzoneri, Matthew B & Cumby, Robert & Diba, Behzad, 1998. "Is the Price Level Determined by the Needs of Fiscal Solvency?," CEPR Discussion Papers 1772, C.E.P.R. Discussion Papers.
- Daniel, Betty C. & Shiamptanis, Christos, 2012.
"Fiscal risk in a monetary union,"
European Economic Review, Elsevier, vol. 56(6), pages 1289-1309.
- Betty Daniel & Christos Shiamptanis, 2008. "Fiscal Risk in a Monetary Union," Discussion Papers 08-12, University at Albany, SUNY, Department of Economics.
- 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.
- 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).
- Chadha, J.S. & Charles Nolan, 2002.
"Optimal Simple Rules for the Conduct of Monetary and Fiscal Policy,"
Cambridge Working Papers in Economics
0224, Faculty of Economics, University of Cambridge.
- 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.
- 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.
- 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.
- Troy Davig & Eric M. Leeper & Todd B. Walker, 2010. ""Unfunded Liabilities" and Uncertain Fiscal Financing," NBER Working Papers 15782, National Bureau of Economic Research, Inc.
- Troy Davig & Eric M. Leeper & Todd B. Walker, 2010. "\"Unfunded liabilities\" and uncertain fiscal financing," Research Working Paper RWP 10-09, Federal Reserve Bank of Kansas City.
- Cochrane, John H., 2018. "Stepping on a rake: The fiscal theory of monetary policy," European Economic Review, Elsevier, vol. 101(C), pages 354-375.
- 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.
- Hall Robert, 2002.
"Controlling the Price Level,"
The B.E. Journal of Macroeconomics, De Gruyter, vol. 2(1), pages 1-21, July.
- Robert E. Hall, 1999. "Controlling the Price Level," NBER Working Papers 6914, National Bureau of Economic Research, Inc.
- Robert E. Hall, 2005. "Controlling the Price Level," American Journal of Economics and Sociology, Wiley Blackwell, vol. 64(1), pages 93-112, January.
- Philippe Weil, 2002.
"Reflections on the Fiscal Theory of the Price Level,"
Post-Print
hal-01053541, HAL.
- Philippe Weil, 2002. "Reflections on the Fiscal Theory of the Price Level," Sciences Po publications info:hdl:2441/8643, Sciences Po.
- Philippe Weil, 2002. "Reflections on the Fiscal Theory of the Price Level," SciencePo Working papers Main hal-01053541, HAL.
- Eric M. Leeper & Michael Plante & Nora Traum, 2009.
"Dynamics of Fiscal Financing in the United States,"
NBER Working Papers
15160, National Bureau of Economic Research, Inc.
- 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.
- Eric M. Leeper & Michael Plante & Nora Traum, 2009. "Dynamics Of Fiscal Financing In The United States," CAEPR Working Papers 2009-012, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Howard Kung & Gonzalo Morales & Alexandre Corhay, 2017. "Fiscal Discount Rates and Debt Maturity," 2017 Meeting Papers 840, Society for Economic Dynamics.
- Backé, Peter, 2004. "Fiscal policy and inflation volatility," Working Paper Series 317, European Central Bank.
- Thams, Andreas, 2007. "The Relevance of the fiscal Theory of the Price Level revisited," MPRA Paper 1645, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- Jérôme Creel & Henri Sterdyniak, 2002. "The fiscal theory of the price level and sluggish inflation: how important shall the wealth effect be?," SciencePo Working papers Main hal-00972779, HAL.
- Jérôme Creel & Henri Sterdyniak, 2002. "The fiscal theory of the price level and sluggish inflation: how important shall the wealth effect be?," Sciences Po publications 2002-01, Sciences Po.
- Jerome Creel & Henri Sterdyniak, 2002. "The fiscal theory of the price level and sluggish inflation: how important shall the wealth effect be?," Documents de Travail de l'OFCE 2002-01, Observatoire Francais des Conjonctures Economiques (OFCE).
- 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..
- Sims, S.A., 2012. "Gaps in the institutional structure of the euro area," Financial Stability Review, Banque de France, issue 16, pages 217-223, April.
- 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.
- CASTRO, Rui & RESENDE, Carlos & RUGE-MURCIA, Francisco J., 2003. "The Backing of Government Debt and the Price Level," Cahiers de recherche 2003-22, Universite de Montreal, Departement de sciences economiques.
- Bennett T. McCallum, 1999. "Theoretical Issues Pertaining to Monetary Unions," NBER Working Papers 7393, National Bureau of Economic Research, Inc.
- M. Marzo, 2004. "Volatility Matters: Taylor Rules and Capital Accumulation," Working Papers 512, Dipartimento Scienze Economiche, Universita' di Bologna.
- 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.
- 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).
- 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.
- 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.
- 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.
- John Cochrane, 2021.
"Online Appendix to "A fiscal theory of monetary policy with partially repaid long-term debt","
Online Appendices
20-44, Review of Economic Dynamics.
- 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.
- Maurice Obstfeld & Kenneth Rogoff, 2021.
"Revisiting speculative hyperinflations in monetary models,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 1-11, April.
- Obstfeld, Maurice & Rogoff, Kenneth, 2017. "Revisiting Speculative Hyperinflations in Monetary Models," CEPR Discussion Papers 12051, C.E.P.R. Discussion Papers.
- 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.
- Lawrence J. Christiano & Terry J. Fitzgerald, 2000. "Understanding the fiscal theory of the price level," Economic Review, Federal Reserve Bank of Cleveland, issue Q II, pages 2-38.
- Michael Woodford, 2001.
"Fiscal Requirements for Price Stability,"
NBER Working Papers
8072, National Bureau of Economic Research, Inc.
- Woodford, Michael, 2001. "Fiscal Requirements for Price Stability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(3), pages 669-728, August.
- 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.
- Afonso, António & Toffano, Priscilla, 2013. "Fiscal regimes in the EU," Working Paper Series 1529, European Central Bank.
- António Afonso & Priscilla Toffano, 2013. "Fiscal regimes in the EU," Working Papers Department of Economics 2013/10, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- 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.
- António Afonso & José Alves & Serena Ionta, 2023. "The Effects of Monetary Policy Surprises and Fiscal Sustainability Regimes in the Euro Area," CESifo Working Paper Series 10558, CESifo.
- 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.
- Campbell leith & Simon Wren-Lewis, "undated".
"Compatibility Between Monetary and Fiscal Policy Under EMU,"
Working Papers
2001_15, Business School - Economics, University of Glasgow.
- Leith, Campbell & Wren-Lewis, Simon, 2006. "Compatibility between monetary and fiscal policy under EMU," European Economic Review, Elsevier, vol. 50(6), pages 1529-1556, August.
- Leith, Campbell & Simon Wren-Lewis, 2002. "Compatibility Between Monetary and Fiscal Policy Under EMU," Royal Economic Society Annual Conference 2002 124, Royal Economic Society.
- 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.
- 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.
- 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.
- Minea, Alexandru & Tapsoba, René, 2014. "Does inflation targeting improve fiscal discipline?," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 185-203.
- 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.
- 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.
- Tan, Fei, 2017. "An analytical approach to new Keynesian models under the fiscal theory," Economics Letters, Elsevier, vol. 156(C), pages 133-137.
- 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.
- Cochrane, John H., 2005. "Money as stock," Journal of Monetary Economics, Elsevier, vol. 52(3), pages 501-528, April.
- 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.
- 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.
- 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.
- 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.
- Eric M. Leeper, 2009. "Anchors Away: How Fiscal Policy Can Undermine the Taylor Principle," NBER Working Papers 15514, National Bureau of Economic Research, Inc.
- 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.
- Óscar J. Arce, 2005. "Reflections on fiscalist divergent price-paths," Working Papers 0533, Banco de España.
- 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.
- 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.
- 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.
- 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.
- Bennett T. McCallum, 2003. "The Unique Minimum State Variable RE Solution is E-Stable in All Well Formulated Linear Models," NBER Working Papers 9960, National Bureau of Economic Research, Inc.
- 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.
- Andreas Thams, 2006. "Fiscal Policy Effects in the European Union," SFB 649 Discussion Papers SFB649DP2006-016, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- 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.
- 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.
- John H. Cochrane & Jesús Saá-Requejo, 1998. "Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets," CRSP working papers 430, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
Cited by:
- 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.
- HENROTTE, Philippe, 2002. "Pricing kernels and dynamic portfolios," HEC Research Papers Series 768, HEC Paris.
- 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.
- 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.
- Gouriéroux Christian & Monfort Alain & Mouabbi Sarah & Renne Jean-Paul, 2020.
"Disastrous Defaults,"
Working papers
778, Banque de France.
- Gouriéroux, Christian & Monfort, Alain & Mouabbi, Sarah & Renne, Jean-Paul, 2021. "Disastrous Defaults," TSE Working Papers 21-1237, Toulouse School of Economics (TSE).
- Christian Gouriéroux & Alain Monfort & Sarah Mouabbi & Jean-Paul Renne, 2021. "Disastrous Defaults [Risk premia and term premia in general equilibrium]," Review of Finance, European Finance Association, vol. 25(6), pages 1727-1772.
- Stefan Nagel, 2013.
"Empirical Cross-Sectional Asset Pricing,"
Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
- Nagel, Stefan, 2012. "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers 9227, C.E.P.R. Discussion Papers.
- Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
- Verdelhan, Adrien & Van Nieuwerburgh, Stijn & Lustig, Hanno, 2012.
"The Wealth-Consumption Ratio,"
CEPR Discussion Papers
9022, C.E.P.R. Discussion Papers.
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc.
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2013. "The Wealth-Consumption Ratio," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 3(1), pages 38-94.
- Julio Carmona & Angel León & Antoni Vaello-Sebastià, 2010.
"Pricing executive stock options under employment shocks,"
Post-Print
hal-00753042, HAL.
- Carmona, Julio & León, Angel & Vaello-Sebastià, Antoni, 2011. "Pricing executive stock options under employment shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 97-114, January.
- Ángel León Valle & Antonio Vaello & Julio Carmona, 2009. "Pricing executive stock options under employment shocks," Working Papers. Serie AD 2009-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- 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.
- Frank Bosserhoff & Mitja Stadje, 2019. "Robustness of Delta Hedging in a Jump-Diffusion Model," Papers 1910.08946, arXiv.org, revised Apr 2022.
- 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.
- Hainaut, D. & Devolder, P. & Pelsser, A., 2017. "Robust evaluation of SCR for participating life insurances under Solvency II," LIDAM Discussion Papers ISBA 2017011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hainaut, Donatien & Devolder, Pierre & Pelsser, Antoon, 2018. "Robust evaluation of SCR for participating life insurances under Solvency II," LIDAM Reprints ISBA 2018011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- 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.
- Fletcher, Jonathan, 2021. "Evaluating the performance of U.S. international equity closed-end funds," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
- 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.
- 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.
- 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.
- Liu, Jun & Longstaff, Francis A, 2000. "Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities," University of California at Los Angeles, Anderson Graduate School of Management qt48k8f97f, Anderson Graduate School of Management, UCLA.
- Chambers, Robert G. & Quiggin, John, 2008.
"Narrowing the no-arbitrage bounds,"
Journal of Mathematical Economics, Elsevier, vol. 44(1), pages 1-14, January.
- 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.
- Chambers, Robert G. & Quiggin, John, 2003. "Narrowing the no-arbitrage bounds," Risk and Sustainable Management Group Working Papers 150346, University of Queensland, School of Economics.
- Božović, Miloš, 2022. "A common pattern across asset pricing anomalies," Finance Research Letters, Elsevier, vol. 48(C).
- 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.
- Dirk Broeders & Leo de Haan & Jan Willem van den End, 2022.
"How QE changes the nature of sovereign risk,"
Working Papers
737, DNB.
- Broeders, Dirk & de Haan, Leo & Willem van den End, Jan, 2023. "How quantitative easing changes the nature of sovereign risk," Journal of International Money and Finance, Elsevier, vol. 137(C).
- 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.
- Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2002. "Model Risk and Regulatory Capital," Discussion Paper 2002-27, Tilburg University, Center for Economic Research.
- Hirbod Assa & Nikolay Gospodinov, 2017. "A Robust Approach to Hedging and Pricing in Imperfect Markets," Risks, MDPI, vol. 5(3), pages 1-20, July.
- Alvarez, Fernando & Jermann, Urban J., 2000.
"Using Asset Prices to Measure the Cost of Business Cycles,"
Working Papers
00-1, University of Pennsylvania, Wharton School, Weiss Center.
- 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.
- Fernando Alvarez & Urban J. Jermann, 2004. "Using Asset Prices to Measure the Cost of Business Cycles," Journal of Political Economy, University of Chicago Press, vol. 112(6), pages 1223-1256, December.
- Alvarez, F. & Jermann, U.J., 2000. "Using Asset Prices to Measure the Cost of Business Cycles," Weiss Center Working Papers 00-1, Wharton School - Weiss Center for International Financial Research.
- 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.
- 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.
- Tomas Björk & Irina Slinko, 2006. "Towards a General Theory of Good-Deal Bounds," Review of Finance, European Finance Association, vol. 10(2), pages 221-260.
- 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.
- 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.
- 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.
- 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.
- 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.
- Timmermann, Allan & Pettenuzzo, Davide & Valkanov, Rossen, 2013. "Forecasting Stock Returns under Economic Constraints," CEPR Discussion Papers 9377, C.E.P.R. Discussion Papers.
- Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2014. "Forecasting stock returns under economic constraints," Journal of Financial Economics, Elsevier, vol. 114(3), pages 517-553.
- 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).
- 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.
- 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.
- Huggett, Mark & Kaplan, Greg, 2011. "Human capital values and returns: Bounds implied by earnings and asset returns data," Journal of Economic Theory, Elsevier, vol. 146(3), pages 897-919, May.
- Mark Huggett and Greg Kaplan, 2010. "Human Capital Values and Returns:Bounds Implied By Earnings and Asset Returns Data," Working Papers gueconwpa~10-10-02, Georgetown University, Department of Economics.
- Mark Huggett, 2010. "Human Capital Values and Returns: Bounds Implied By Earnings and Asset Returns Data," 2010 Meeting Papers 564, Society for Economic Dynamics.
- Kasper Larsen & Halil Mete Soner & Gordan v{Z}itkovi'c, 2017. "Conditional Davis Pricing," Papers 1702.02087, arXiv.org, revised Aug 2018.
- Aleš Černý, 2007. "Optimal Continuous‐Time Hedging With Leptokurtic Returns," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 175-203, April.
- Richard M. Levich & Valerio Poti, 2008.
"Predictability and 'Good Deals' in Currency Markets,"
NBER Working Papers
14597, National Bureau of Economic Research, Inc.
- Levich, Richard M. & Potì, Valerio, 2015. "Predictability and ‘good deals’ in currency markets," International Journal of Forecasting, Elsevier, vol. 31(2), pages 454-472.
- Mitja Stadje & Antoon Pelsser, 2011.
"Time-Consistent and Market-Consistent Evaluations,"
Papers
1109.1749, arXiv.org, revised Dec 2013.
- Antoon Pelsser & Mitja Stadje, 2014. "Time-Consistent And Market-Consistent Evaluations," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 25-65, January.
- 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.
- Qi Feng & Man Luo & Zhaoyu Zhang, 2021. "Deep Signature FBSDE Algorithm," Papers 2108.10504, arXiv.org, revised Aug 2022.
- Aleš Černý, 2020.
"Semimartingale theory of monotone mean–variance portfolio allocation,"
Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1168-1178, July.
- Alev{s} v{C}ern'y, 2019. "Semimartingale theory of monotone mean--variance portfolio allocation," Papers 1903.06912, arXiv.org, revised Jan 2020.
- 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.
- Sara Biagini & Mustafa Pinar, 2012. "The best gain-loss ratio is a poor performance measure," Papers 1209.6439, arXiv.org, revised Dec 2012.
- 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.
- Corbae, Dean & Marimon, Ramon, 2011. "Introduction to Incompleteness and Uncertainty in Economics," Journal of Economic Theory, Elsevier, vol. 146(3), pages 775-784, May.
- 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.
- Hollstein, Fabian & Prokopczuk, Marcel, 2022. "Testing Factor Models in the Cross-Section," Journal of Banking & Finance, Elsevier, vol. 145(C).
- Claudio Albanese & Simone Caenazzo & Stéphane Crépey, 2016.
"Capital Valuation Adjustment and Funding Valuation Adjustment,"
Working Papers
hal-01285363, HAL.
- Claudio Albanese & Simone Caenazzo & St'ephane Cr'epey, 2016. "Capital Valuation Adjustment and Funding Valuation Adjustment," Papers 1603.03012, arXiv.org.
- 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.
- 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.
- Jordà, Òscar & Taylor, Alan M., 2012. "The carry trade and fundamentals: Nothing to fear but FEER itself," Journal of International Economics, Elsevier, vol. 88(1), pages 74-90.
- Taylor, Alan M. & Jordà , Òscar, 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," CEPR Discussion Papers 7568, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Ang, Andrew & Liu, Jun, 2005.
"Risk, Return and Dividends,"
University of California at Los Angeles, Anderson Graduate School of Management
qt1s25177n, Anderson Graduate School of Management, UCLA.
- Andrew Ang & Jun Liu, 2007. "Risk, Return and Dividends," NBER Working Papers 12843, National Bureau of Economic Research, Inc.
- Ang, Andrew & Liu, Jun, 2007. "Risk, return, and dividends," Journal of Financial Economics, Elsevier, vol. 85(1), pages 1-38, July.
- 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.
- Bansal, Ravi & Miller, Shane & Song, Dongho & Yaron, Amir, 2021. "The term structure of equity risk premia," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1209-1228.
- 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.
- Jun Zhao & Emmanuel Lépinette & Peibiao Zhao, 2019. "Pricing under dynamic risk measures," Post-Print hal-02135232, HAL.
- 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.
- 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.
- Maria Arduca & Cosimo Munari, 2021. "Risk measures beyond frictionless markets," Papers 2111.08294, arXiv.org.
- 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.
- Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2010.
"Option Valuation with Conditional Heteroskedasticity and Nonnormality,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(5), pages 2139-2183.
- Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CREATES Research Papers 2009-33, Department of Economics and Business Economics, Aarhus University.
- Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CIRANO Working Papers 2009s-32, CIRANO.
- Stadje, M.A. & Pelsser, A., 2014.
"Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086),"
Other publications TiSEM
0841e78f-a73b-42c1-b7d4-0, Tilburg University, School of Economics and Management.
- 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.
- 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.
- 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.
- Peter Ryan, 2000. "Tighter Option Bounds from Multiple Exercise Prices," Review of Derivatives Research, Springer, vol. 4(2), pages 155-188, May.
- 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.
- Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2005.
"Demand-Based Option Pricing,"
NBER Working Papers
11843, National Bureau of Economic Research, Inc.
- Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2009. "Demand-Based Option Pricing," The Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 4259-4299, October.
- Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan & ,, 2005. "Demand-Based Option Pricing," CEPR Discussion Papers 5420, C.E.P.R. Discussion Papers.
- Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2020.
"Factor Timing,"
NBER Working Papers
26708, National Bureau of Economic Research, Inc.
- 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.
- Basak, Suleyman & Chabakauri, Georgy, 2011.
"Dynamic hedging in incomplete markets: a simple solution,"
LSE Research Online Documents on Economics
119068, London School of Economics and Political Science, LSE Library.
- Basak, Suleyman & Chabakauri, Georgy, 2011. "Dynamic Hedging in Incomplete Markets: A Simple Solution," CEPR Discussion Papers 8402, C.E.P.R. Discussion Papers.
- Georgy chabakauri & Suleyman Basak, 2009. "Dynamic Hedging in Incomplete Markets: A Simple Solution," 2009 Meeting Papers 594, Society for Economic Dynamics.
- Suleyman Basak & Georgy Chabakauri, 2011. "Dynamic Hedging in Incomplete Markets: A Simple Solution," FMG Discussion Papers dp680, Financial Markets Group.
- Suleyman Basak & Georgy Chabakauri, 2012. "Dynamic Hedging in Incomplete Markets: A Simple Solution," The Review of Financial Studies, Society for Financial Studies, vol. 25(6), pages 1845-1896.
- 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.
- Liu, Jun & Pan, Jun, 2003.
"Dynamic derivative strategies,"
Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
- Liu, Jun & Pan, Jun, 2003. "Dynamic Derivative Strategies," Working papers 4334-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- 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.
- Kanamura, Takashi & Ohashi, Kazuhiko, 2009. "Pricing summer day options by good-deal bounds," Energy Economics, Elsevier, vol. 31(2), pages 289-297, March.
- 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.
- Balduzzi, Pierluigi & Robotti, Cesare, 2010. "Asset pricing models and economic risk premia: A decomposition," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 54-80, January.
- 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.
- 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.
- 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.
- Dirk Becherer & Klebert Kentia, 2017. "Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility," Papers 1704.02505, arXiv.org.
- 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.
- 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.
- 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.
- Erhan Bayraktar & Moshe Milevsky & David Promislow & Virginia Young, 2008. "Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities," Papers 0802.3250, arXiv.org.
- 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.
- 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.
- 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.
- Masaaki Fukasawa & Mitja Stadje, 2017. "Perfect hedging under endogenous permanent market impacts," Papers 1702.01385, arXiv.org.
- 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.
- 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.
- 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.
- 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.
- 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.
- Mustafa Pınar, 2011. "Gain–loss based convex risk limits in discrete-time trading," Computational Management Science, Springer, vol. 8(3), pages 299-321, August.
- Kasper Larsen & Halil Mete Soner & Gordan Žitković, 2020. "Conditional Davis pricing," Finance and Stochastics, Springer, vol. 24(3), pages 565-599, July.
- 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.
- 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).
- 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.
- 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.
- Michael W. Brandt & John H. Cochrane & Pedro Santa-Clara, 2001.
"International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth),"
NBER Working Papers
8404, National Bureau of Economic Research, Inc.
- Brandt, Michael W. & Cochrane, John H. & Santa-Clara, Pedro, 2001. "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)," Working Papers 01-2, University of Pennsylvania, Wharton School, Weiss Center.
- 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.
- 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.
- Erhan Bayraktar & Virginia Young, 2008.
"Pricing options in incomplete equity markets via the instantaneous Sharpe ratio,"
Annals of Finance, Springer, vol. 4(4), pages 399-429, October.
- 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.
- 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.
- 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.
- George Papanastasopoulos & Dimitrios Thomakos & Tao Wang, 2007. "Information in Balance Sheets for Future Stock Returns: Evidence from Net Operating Assets," Working Paper series 45_07, Rimini Centre for Economic Analysis.
- Balbás, Alejandro & Peng, Yao, 2015. "Sequential arbitrage measurement in bond markets : theory and empirical applications in the Euro-zone," INDEM - Working Paper Business Economic Series id-15-01, Instituto para el Desarrollo Empresarial (INDEM).
- Potì, Valerio & Wang, DengLi, 2010. "The coskewness puzzle," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1827-1838, August.
- Julia Jiang & Weidong Tian, 2019. "Semi-nonparametric approximation and index options," Annals of Finance, Springer, vol. 15(4), pages 563-600, December.
- Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
- 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.
- Horváth, Ferenc, 2017. "Essays on robust asset pricing," Other publications TiSEM e54d7b33-1f27-4b0e-9f84-f, Tilburg University, School of Economics and Management.
- 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.
- 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.
- Kaido, Hiroaki & White, Halbert, 2014. "A two-stage procedure for partially identified models," Journal of Econometrics, Elsevier, vol. 182(1), pages 5-13.
- 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.
- 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.
- Morten Mosegaard Christensen & Eckhard Platen, 2007.
"Sharpe Ratio Maximization And Expected Utility When Asset Prices Have Jumps,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(08), pages 1339-1364.
- 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.
- Ban, Mingyuan & Chen, Chang-Chih, 2019. "Ambiguity and capital structure adjustments," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 242-270.
- 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.
- Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2021. "Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion," Management Science, INFORMS, vol. 67(6), pages 3674-3693, June.
- 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.
- 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.
- Takuji Arai, 2008. "Good deal bounds induced by shortfall risk," Papers 0802.4141, arXiv.org, revised Mar 2010.
- Jocelyne Bion-Nadal, 2007. "Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk," Papers math/0703074, arXiv.org.
- 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.
- Chu Zhang, 2009. "Testing the APT with the Maximum Sharpe Ratio of Extracted Factors," Management Science, INFORMS, vol. 55(7), pages 1255-1266, July.
- 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.
- 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 EconomÃa de la Empresa.
- Christian Rein & Ludger Ruschendorf & Thorsten Schmidt, 2019. "Generalized statistical arbitrage concepts and related gain strategies," Papers 1907.09218, arXiv.org, revised Jul 2019.
- 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.
- 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.
- 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.
- 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.
- Kraeussl, Roman & Wiehenkamp, Christian, 2010.
"A call on Art investments,"
CFS Working Paper Series
2010/03, Center for Financial Studies (CFS).
- Roman Kraeussl & Christian Wiehenkamp, 2012. "A call on art investments," Review of Derivatives Research, Springer, vol. 15(1), pages 1-23, April.
- 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.
- Almeida, Caio & Freire, Gustavo, 2022. "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, vol. 144(1), pages 174-205.
- Liang Zou, 2005. "Dichotomous Asset Pricing Model," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 185-207, May.
- Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
- Fletcher, Jonathan, 2018. "Bayesian tests of global factor models," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 279-289.
- Kanamura, Takashi, 2019. "Volumetric Risk Hedging Strategies and Basis Risk Premium for Solar Power," MPRA Paper 92009, University Library of Munich, Germany.
- Vedolin, Andrea & Sandulescu, Paula Mirela & Trojani, Fabio, 2018. "Model-Free International Stochastic Discount Factors," CEPR Discussion Papers 12971, C.E.P.R. Discussion Papers.
- 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.
- Thai Nguyen & Mitja Stadje, 2020. "Utility maximization under endogenous pricing," Papers 2005.04312, arXiv.org, revised Mar 2024.
- 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.
- Voelzke, Jan, 2015. "Weakening the Gain–Loss-Ratio measure to make it stronger," Finance Research Letters, Elsevier, vol. 12(C), pages 58-66.
- Greg Duffee, 2010. "Sharpe ratios in term structure models," Economics Working Paper Archive 575, The Johns Hopkins University,Department of Economics.
- 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.
- 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.
- 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.
- 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.
- Fong, Wai Mun, 2010. "A stochastic dominance analysis of yen carry trades," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1237-1246, June.
- Aleš Černý, 2003. "Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets," Review of Finance, European Finance Association, vol. 7(2), pages 191-233.
- 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.
- 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.
- Niedermayer, Daniel & Zimmermann, Heinz, 2007. "The Cross-Section of Positively Weighted Portfolios," Working papers 2007/15, Faculty of Business and Economics - University of Basel.
- Kanamura, Takashi & Homann, Lasse & Prokopczuk, Marcel, 2021. "Pricing analysis of wind power derivatives for renewable energy risk management," Applied Energy, Elsevier, vol. 304(C).
- 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.
- 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.
- Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2013. "On the inefficiency of Brownian motions and heavier tailed price processes," INDEM - Working Paper Business Economic Series id-13-01, Instituto para el Desarrollo Empresarial (INDEM).
- Klöppel Susanne & Schweizer Martin, 2007. "Dynamic utility-based good deal bounds," Statistics & Risk Modeling, De Gruyter, vol. 25(4/2007), pages 1-25, October.
- Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan, 2014. "Ambiguity and Reality," Working Papers on Finance 1418, University of St. Gallen, School of Finance.
- 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.
- 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.
- 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.
- Niushan Gao & Cosimo Munari, 2017. "Surplus-invariant risk measures," Papers 1707.04949, arXiv.org, revised May 2018.
- Luenberger, David G., 2002. "A correlation pricing formula," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1113-1126, July.
- 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.
- 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.
- 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.
- Takuji Arai & Masaaki Fukasawa, 2011. "Convex risk measures for good deal bounds," Papers 1108.1273, arXiv.org.
- Masaaki Fukasawa & Mitja Stadje, 2018. "Perfect hedging under endogenous permanent market impacts," Finance and Stochastics, Springer, vol. 22(2), pages 417-442, April.
- Martin Herdegen & Nazem Khan, 2022. "$\rho$-arbitrage and $\rho$-consistent pricing for star-shaped risk measures," Papers 2202.07610, arXiv.org, revised Feb 2024.
- A. Cherny, 2006. "Weighted V@R and its Properties," Finance and Stochastics, Springer, vol. 10(3), pages 367-393, September.
- 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.
- 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.
- 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.
- 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).
- 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.
- 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.
- Michael B. Walker, 2014. "Modelling the Bid and Ask Prices of Illiquid CDSs," Papers 1403.1509, arXiv.org.
- 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.
- Tomasz R. Bielecki & Igor Cialenco & Tao Chen, 2014. "Dynamic Conic Finance via Backward Stochastic Difference Equations," Papers 1412.6459, arXiv.org, revised Dec 2014.
- Longarela, Iñaki R. & Mayoral, Silvia, 2015. "Quote inefficiency in options markets," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 23-36.
- Bates, David S., 1999. "Financial markets' assessments of EMU," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 51(1), pages 229-269, December.
- John Handley, 2005. "On the Upper Bound of a Call Option," Review of Derivatives Research, Springer, vol. 8(2), pages 85-95, August.
- Balbás, Beatriz & Balbás, Raquel, 2011. "CAPM-like formulae and good deal absence with ambiguous setting and coherent risk measure," INDEM - Working Paper Business Economic Series id-11-04, Instituto para el Desarrollo Empresarial (INDEM).
- 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).
- 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.
- 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.
- Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.
- David S. Bates, 1999. "Financial Markets' Assessment of EMU," NBER Working Papers 6874, National Bureau of Economic Research, Inc.
- 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.
- 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).
- 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.
- Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2018. "Golden options in financial mathematics," INDEM - Working Paper Business Economic Series 27672, Instituto para el Desarrollo Empresarial (INDEM).
- 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.
- 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.
- 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.
Cited by:
- Tatjana Dahlhaus & Luca Gambetti, 2018. "Noisy Monetary Policy," Staff Working Papers 18-23, Bank of Canada.
- Roberto Perotti, 2008.
"In Search of the Transmission Mechanism of Fiscal Policy,"
NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 169-226,
National Bureau of Economic Research, Inc.
- Roberto Perotti, 2007. "In Search of the Transmission Mechanism of Fiscal Policy," NBER Working Papers 13143, National Bureau of Economic Research, Inc.
- 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.
- Artis, Michael J & Krolzig, Hans-Martin & Toro, Juan, 1999. "The European Business Cycle," CEPR Discussion Papers 2242, C.E.P.R. Discussion Papers.
- Artis, M. & Krolzig, H.-M. & Toro, J., 1999. "The European Business Cycle," Economics Working Papers eco99/24, European University Institute.
- Mike Artis & Hans-Martin Krolzig & Juan Toro, 2004. "The European business cycle," Oxford Economic Papers, Oxford University Press, vol. 56(1), pages 1-44, January.
- 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.
- 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.
- 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.
- John W. Keating & Isaac K. Kanyama, 2013. "Is Sticky Price Adjustment Important for Output Fluctuations?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201301, University of Kansas, Department of Economics.
- Leeper, Eric M. & Zha, Tao, 2003.
"Modest policy interventions,"
Journal of Monetary Economics, Elsevier, vol. 50(8), pages 1673-1700, November.
- Eric M. Leeper & Tao Zha, 2002. "Modest policy interventions," FRB Atlanta Working Paper 2002-19, Federal Reserve Bank of Atlanta.
- Eric M. Leeper & Tao Zha, 2003. "Modest policy interventions," FRB Atlanta Working Paper 2003-24, Federal Reserve Bank of Atlanta.
- Eric M. Leeper & Tao Zha, 1999. "Modest policy interventions," FRB Atlanta Working Paper 99-22, Federal Reserve Bank of Atlanta.
- Eric M. Leeper & Tao Zha, 2002. "Modest Policy Interventions," NBER Working Papers 9192, National Bureau of Economic Research, Inc.
- 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.
- Antoniou, Fabio & Fiocco, Raffaele & Guo, Dongyu, 2017.
"Asymmetric price adjustments: A supply side approach,"
Working Papers
2072/306511, Universitat Rovira i Virgili, Department of Economics.
- 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.
- Antoniou, Fabio & Fiocco, Raffaele & Guo, Dongyu, 2017. "Asymmetric price adjustments: A supply side approach," International Journal of Industrial Organization, Elsevier, vol. 50(C), pages 335-360.
- Filippo Occhino, 2001. "Monetary Policy Shocks in an Economy with Segmented Markets," Departmental Working Papers 200108, Rutgers University, Department of Economics.
- 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.
- Juan J. Dolado & Ramón María-Dolores, 2001. "An empirical study of the cyclical effects of monetary policy in Spain (1977-1997)," Investigaciones Economicas, Fundación SEPI, vol. 25(1), pages 3-30, January.
- Kevin D. Hoover & Oscar Jorda, "undated".
"Measuring Systematic Monetary Policy,"
Department of Economics
00-05, California Davis - Department of Economics.
- Oscar Jorda & Kevin Hoover, 2000. "Measuring Systematic Monetary Policy," Working Papers 203, University of California, Davis, Department of Economics.
- Oscar Jorda & Kevin Hoover, 2003. "Measuring Systematic Monetary Policy," Working Papers 297, University of California, Davis, Department of Economics.
- Kevin D. Hoover & Òscar Jordà, 2001. "Measuring systematic monetary policy," Review, Federal Reserve Bank of St. Louis, vol. 83(Jul), pages 113-144.
- 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.
- Fernando Alvarez & Francesco Lippi, 2010.
"Persistent Liquidity Effect and Long Run Money Demand,"
EIEF Working Papers Series
1017, Einaudi Institute for Economics and Finance (EIEF), revised Oct 2010.
- Alvarez, Fernando & Lippi, Francesco, 2011. "Persistent Liquidity Effects and Long Run Money Demand," CEPR Discussion Papers 8650, C.E.P.R. Discussion Papers.
- 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.
- Fernando E. Alvarez & Francesco Lippi, 2011. "Persistent Liquidity Effects and Long Run Money Demand," NBER Working Papers 17566, National Bureau of Economic Research, Inc.
- 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.
- Anthony Garratt & Kevin Lee & Mohammad Hashem Pesaran & Yongcheol Shin, 2001.
"A long run structural macroeconometric model of the UK,"
Edinburgh School of Economics Discussion Paper Series
35, Edinburgh School of Economics, University of Edinburgh.
- Garratt, A. & Lee, K. & Pesaran, M. H. & Shin, Y., 1998. "A Long-run Structural Macro-econometric Model of the UK," Cambridge Working Papers in Economics 9812, Faculty of Economics, University of Cambridge.
- 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.
- Federico Ravenna, 2006.
"Vector autoregressions and reduced form representations of DSGE models,"
Working Papers
0619, Banco de España.
- Ravenna, Federico, 2007. "Vector autoregressions and reduced form representations of DSGE models," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 2048-2064, October.
- Federico Ravenna, 2005. "Vector Autoregressions and Reduced Form Representations of DSGE Models," 2005 Meeting Papers 841, Society for Economic Dynamics.
- 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.
- 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).
- Ante Babić, 2000. "The Monthly Transaction Money Demand in Croatia," Working Papers 5, The Croatian National Bank, Croatia.
- Mohammed, Mikidadu, 2018.
"Do Import Tariffs Generate Stagflationary Tendencies?,"
EconStor Preprints
201013, ZBW - Leibniz Information Centre for Economics.
- Mohammed, Mikidadu, 2018. "Do Import Tariffs Generate Stagflationary Tendencies?," MPRA Paper 95128, University Library of Munich, Germany, revised 09 Apr 2019.
- Rómulo A. Chumacero, 2005.
"A Toolkit for Analyzing Alternative Policies in the Chilean Economy,"
Central Banking, Analysis, and Economic Policies Book Series, in: Rómulo A. Chumacero & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (S (ed.),General Equilibrium Models for the Chilean Economy, edition 1, volume 9, chapter 8, pages 261-302,
Central Bank of Chile.
- CHUMACERO Rómulo, 2010. "A Toolkit for Analyzing Alternative Policies in the Chilean Economy," EcoMod2003 330700037, EcoMod.
- Rómulo Chumacero, 2003. "A Toolkit for Analyzing Alternative Policies in The Chilean Economy," Working Papers Central Bank of Chile 241, Central Bank of Chile.
- 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.
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach," Finance and Economics Discussion Series 2004-03, Board of Governors of the Federal Reserve System (U.S.).
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2005. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 120(1), pages 387-422.
- Andrea Stella, 2014. "The Magnitude of Menu Costs: A Structural Estimation," 2014 Meeting Papers 436, Society for Economic Dynamics.
- 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.
- Michael J. Artis, 2000. "The UK and the EMU," EUI-RSCAS Working Papers 67, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS).
- 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.
- Andrew Ang & Monika Piazzesi, 2001. "A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables," NBER Working Papers 8363, National Bureau of Economic Research, Inc.
- Andrew Ang & Sen Dong & Monika Piazzesi, 2007.
"No-Arbitrage Taylor Rules,"
NBER Working Papers
13448, National Bureau of Economic Research, Inc.
- Andrew Ang & Sen Dong, 2005. "No-Arbitrage Taylor Rules," 2005 Meeting Papers 22, Society for Economic Dynamics.
- Andrew Ang & Sen Dong & Monika Piazzesi, 2005. "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco.
- Karnizova, Lilia, 2010.
"News versus sunspot shocks in a New Keynesian model,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-27.
- 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).
- Sophocles N. Brissimis & Nicholas S. Magginas, 2004.
"Forward-Looking Information in VAR Models and the Price Puzzle,"
Working Papers
10, Bank of Greece.
- Brissimis, Sophocles N. & Magginas, Nicholas S., 2006. "Forward-looking information in VAR models and the price puzzle," Journal of Monetary Economics, Elsevier, vol. 53(6), pages 1225-1234, September.
- 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.
- Javier Valles & Jose Vinals, 1999. "On the real effects of the monetary policy: A central banker's view," Working Papers 38, Oesterreichische Nationalbank (Austrian Central Bank).
- 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.
- Kishor, N. Kundan & Newiak, Monique, 2009. "The Instability in the Monetary Policy Reaction Function and the Estimation of Monetary Policy Shocks," MPRA Paper 17643, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- Carlos José García, 2001. "Políticas de Estabilización en Chile Durante los Noventa," Working Papers Central Bank of Chile 132, Central Bank of Chile.
- 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.
- Masagus M. Ridhwan & Henri L. F. Groot & Piet Rietveld & Peter Nijkamp, 2014. "The Regional Impact of Monetary Policy in Indonesia," Growth and Change, Wiley Blackwell, vol. 45(2), pages 240-262, June.
- 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.
- Canale, Rosaria Rita & Napolitano, Oreste, 2009. "The recessive attitude of EMU policies: reflections on the italian experience, 1998–2008," MPRA Paper 20207, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- Christensen, Michael, 2001. "Real supply shocks and the money growth-inflation relationship," Economics Letters, Elsevier, vol. 72(1), pages 67-72, July.
- 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.
- Yao Chen & Nuno Palma & Felix Ward, 2022.
"Goldilocks: American precious metals and the Rise of the West,"
Tinbergen Institute Discussion Papers
22-063/VI, Tinbergen Institute, revised 15 Feb 2023.
- 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.
- Chris Loewald & Konstantin Makrelov & Ekaterina Pirozhkova, 2022. "TheshorttermcostsofreducingtrendinflationinSouthAfrica," Working Papers 11029, South African Reserve Bank.
- Kliem, Martin & Kriwoluzky, Alexander, 2013.
"Reconciling narrative monetary policy disturbances with structural VAR model shocks?,"
Economics Letters, Elsevier, vol. 121(2), pages 247-251.
- Kliem, Martin & Kriwoluzky, Alexander, 2013. "Reconciling narrative monetary policy disturbances with structural VAR model shocks?," Discussion Papers 23/2013, Deutsche Bundesbank.
- 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.
- Marilyne Huchet, 2003.
"Does single monetary policy have asymmetric real effects in EMU ?,"
Post-Print
halshs-00143785, HAL.
- 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.
- 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.
- Dong, Feng & Wen, Yi, 2019.
"Long and Plosser meet Bewley and Lucas,"
Journal of Monetary Economics, Elsevier, vol. 102(C), pages 70-92.
- Feng Dong & Yi Wen, 2018. "Long and Plosser Meet Bewley and Lucas," Working Papers 2018-8, Federal Reserve Bank of St. Louis.
- Svensson, Lars E. O., 1998.
"Inflation targeting as a monetary policy rule,"
CFS Working Paper Series
1998/16, Center for Financial Studies (CFS).
- Svensson, Lars E. O., 1999. "Inflation targeting as a monetary policy rule," Journal of Monetary Economics, Elsevier, vol. 43(3), pages 607-654, June.
- Svensson, Lars E O, 1998. "Inflation Targeting as a Monetary Policy Rule," CEPR Discussion Papers 1998, C.E.P.R. Discussion Papers.
- Lars E.O. Svensson, 1998. "Inflation Targeting as a Monetary Policy Rule," NBER Working Papers 6790, National Bureau of Economic Research, Inc.
- Svensson, L.E.O., 1998. "Inflation Targeting as a Monetary Policy Rule," Papers 646, Stockholm - International Economic Studies.
- Svensson, Lars E.O., 1998. "Inflation Targeting as a Monetary Policy Rule," Seminar Papers 646, Stockholm University, Institute for International Economic Studies.
- 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.
- Fabio Milani & John Treadwell, 2011.
"The Effects of Monetary Policy "News" and "Surprises","
Working Papers
101109, University of California-Irvine, Department of Economics.
- 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.
- 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.
- 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.
- 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).
- 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.
- 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.
- 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.
- Halkos, George, 2010. "Financial and real sector interactions:the case of Greece," MPRA Paper 24391, University Library of Munich, Germany.
- Jiranyakul, Komain, 2009. "Relationship among Money, Prices and Aggregate Output in Thailand," MPRA Paper 46963, University Library of Munich, Germany.
- 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.
- 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).
- Iacoviello, Matteo, 2000. "House prices and the macroeconomy in Europe: Results from a structural var analysis," Working Paper Series 18, European Central Bank.
- 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.
- 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).
- Mohammed, Mikidadu, 2018. "Do import tariffs generate stagflationary tendencies?," EconStor Preprints 181674, ZBW - Leibniz Information Centre for Economics, revised 2018.
- 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.
- 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.
- 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.
- 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.
- Kevin Hoover, 2005. "Economic Theory and Causal Inference," Working Papers 257, University of California, Davis, Department of Economics.
- Martins Bitans & Dainis Stikuts & Ivars Tillers, 2003. "Transmission of Monetary Shocks in Latvia," Working Papers 2003/01, Latvijas Banka.
- 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.
- 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.
- Christina D. Romer & David H. Romer, 2003. "A New Measure of Monetary Shocks: Derivation and Implications," NBER Working Papers 9866, National Bureau of Economic Research, Inc.
- 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).
- 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.
- Razzak, Weshah, 2013. "New Zealand Labour Market Dynamics Pre- and post-global financial crisis," MPRA Paper 52462, University Library of Munich, Germany.
- Weshah Razzak, 2014. "New Zealand Labour Market Dynamics: Pre- and Post-global Financial Crisis," Treasury Working Paper Series 14/03, New Zealand Treasury.
- 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.
- James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall.
- 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.
- Bachmeier, Lance, 2008. "Monetary policy and the transmission of oil shocks," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1738-1755, December.
- 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.
- Alessandri, Piergiorgio & Nelson, Benjamin, 2012.
"Simple banking: profitability and the yield curve,"
Bank of England working papers
452, Bank of England.
- Piergiorgio Alessandri & Benjamin D. Nelson, 2015. "Simple Banking: Profitability and the Yield Curve," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(1), pages 143-175, February.
- Piergiorgio Alessandri & Benjamin Nelson, 2014. "Simple banking: profitability and the yield curve," Temi di discussione (Economic working papers) 945, Bank of Italy, Economic Research and International Relations Area.
- Kyle Jurado & Ryan Chahrour, 2018.
"Recoverability,"
2018 Meeting Papers
320, Society for Economic Dynamics.
- Ryan Chahrour & Kyle Jurado, 2017. "Recoverability," Boston College Working Papers in Economics 935, Boston College Department of Economics.
- 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).
- Dreger, Christian & Schumacher, Christian, 2002. "Estimating Large-Scale Factor Models for Economic Activity in Germany: Do They Outperform Simpler Models?," Discussion Paper Series 26321, Hamburg Institute of International Economics.
- 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.
- 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.
- 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).
- Kirstin Hubrich & Peter Vlaar, 2004. "Monetary transmission in Germany: Lessons for the Euro area," Empirical Economics, Springer, vol. 29(2), pages 383-414, May.
- 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.
- 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.
- Klaeffling, Matt, 2003. "Monetary policy shocks - a nonfundamental look at the data," Working Paper Series 228, European Central Bank.
- 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.
- 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.
- 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.
- 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.
- 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.
- Vîntu, Denis, 2022. "The Relationship between Inflation, Interest Rate, Unemployment and Economic Growth," MPRA Paper 112931, University Library of Munich, Germany, revised Feb 2022.
- 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.
- 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.
- Keating, John W., 2000. "Macroeconomic Modeling with Asymmetric Vector Autoregressions," Journal of Macroeconomics, Elsevier, vol. 22(1), pages 1-28, January.
- 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.
- 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.
- 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.
- 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.
- Campbell, John & Cochrane, John H., 1999. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Scholarly Articles 3119444, Harvard University Department of Economics.
Cited by:
- 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.
- Tom Doan, "undated". "RATS programs to replicate Perron-Wada state space model," Statistical Software Components RTZ00133, Boston College Department of Economics.
- Pierre Perron† & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP?," Boston University - Department of Economics - Working Papers Series WP2005-031, Boston University - Department of Economics, revised Oct 2005.
- Pierre Perron & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP," Boston University - Department of Economics - Working Papers Series wp2009-006, Boston University - Department of Economics, revised Feb 2009.
- 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.
- Aronsson, Thomas & Johansson-Stenman, Olof, 2013. "Publicly Provided Private Goods and Optimal Taxation when Consumers Have Positional Preferences," Working Papers in Economics 558, University of Gothenburg, Department of Economics.
- Berkelaar, Arjan & Kouwenberg, Roy, 2009.
"From boom 'til bust: How loss aversion affects asset prices,"
Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1005-1013, June.
- 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.
- Demian Pouzo & Ignacio Presno, 2015. "Sovereign Default Risk and Uncertainty Premia," Papers 1512.06960, arXiv.org.
- Nieto, Belén & Rubio, Gonzalo, 2022. "The risk aversion and uncertainty channels between finance and macroeconomics," Finance Research Letters, Elsevier, vol. 45(C).
- 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.
- 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.
- Andrei S. Gonçalves, 2021. "Reinvestment Risk and the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(5), pages 2153-2197, October.
- 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.
- Josh Stillwagon, 2014. "Testing the Expectations Hypothesis with Survey Forecasts: The Impacts of Consumer Sentiment and the Zero Lower Bound in an I(2) CVAR," Working Papers 1401, Trinity College, Department of Economics.
- 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.
- Havranek, Tomas & Rusnak, Marek & Sokolova, Anna, 2017.
"Habit formation in consumption: A meta-analysis,"
European Economic Review, Elsevier, vol. 95(C), pages 142-167.
- Tomas Havranek & Marek Rusnak & Anna Sokolova, 2015. "Habit Formation in Consumption: A Meta-Analysis," Working Papers 2015/03, Czech National Bank.
- Tomas Havranek & Marek Rusnak & Anna Sokolova, 2015. "Habit Formation in Consumption: A Meta-Analysis," Working Papers IES 2015/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2015.
- 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.
- 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.
- Lars Peter Hansen & Thomas J. Sargent, 2019.
"Macroeconomic Uncertainty Prices when Beliefs are Tenuous,"
NBER Working Papers
25781, National Bureau of Economic Research, Inc.
- Hansen, Lars Peter & Sargent, Thomas J., 2021. "Macroeconomic uncertainty prices when beliefs are tenuous," Journal of Econometrics, Elsevier, vol. 223(1), pages 222-250.
- 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).
- Fatih Guvenen, 2005. "A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation of Cross-sectional Heterogeneity?," Finance 0507009, University Library of Munich, Germany.
- Sergio Rebelo, 2005. "Real Business Cycle Models: Past, Present and Future," Scandinavian Journal of Economics, Wiley Blackwell, vol. 107(2), pages 217-238, June.
- 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.
- Valentina Corradi & Antonio Mele & Walter Distaso, 2008. "Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia," FMG Discussion Papers dp616, Financial Markets Group.
- Alexander David & Pietro Veronesi, 2009. "What Ties Return Volatilities to Price Valuations and Fundamentals?," NBER Working Papers 15563, National Bureau of Economic Research, Inc.
- Johannes Binswanger, 2010.
"Understanding the Heterogeneity of Savings and Asset Allocation: A Behavioral-Economics Perspective,"
Post-Print
hal-00870188, HAL.
- 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.
- 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.
- 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).
- Diaz, Antonia & Pijoan-Mas, Josep & Rios-Rull, Jose-Victor, 2003.
"Precautionary savings and wealth distribution under habit formation preferences,"
Journal of Monetary Economics, Elsevier, vol. 50(6), pages 1257-1291, September.
- Antonia Díaz & Josep Pijoan-Mas & José-Víctor Ríos-Rull, 2002. "Precautionary Savings and Wealth Distribution Under Habit Formation Preferences," Working Papers wp2002_0207, CEMFI.
- Pijoan-Mas, Josep & Díaz, Antonia & Ríos Rull, José Víctor, 2001. "Habit formation: implications for the wealth distribution," UC3M Working papers. Economics we015114, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Xavier Gabaix & Samuel Fraiberg & Romain Ranciere & Adrien Verdehlha & Emmanuel Farhi, 2010.
"Crash Risk in Currency Market,"
2010 Meeting Papers
640, Society for Economic Dynamics.
- Emmanuel Farhi & Samuel Paul Fraiberger & Xavier Gabaix & Romain Ranciere & Adrien Verdelhan, 2009. "Crash Risk in Currency Markets," NBER Working Papers 15062, National Bureau of Economic Research, Inc.
- Emmanuel Farhi & Samuel Fraiberger & Xavier Gabaix & Romain Ranciere & Adrien Verdelhan, 2015. "Crash Risk in Currency Markets," Working Paper 20948, Harvard University OpenScholar.
- Gabaix, Xavier & Verdelhan, Adrien & Rancière, Romain & Farhi, Emmanuel & Fraiberger, Samuel P., 2009. "Crash Risk in Currency Markets," CEPR Discussion Papers 7322, C.E.P.R. Discussion Papers.
- Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2005.
"New-Keynesian Macroeconomics and the Term Structure,"
NBER Working Papers
11340, National Bureau of Economic Research, Inc.
- Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2010. "New Keynesian Macroeconomics and the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 33-62, February.
- Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2010. "New Keynesian Macroeconomics and the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 33-62, February.
- Antonio Moreno & Geert Bekaert & Seonghoon Cho, 2004. "New-Keynesian Macroeconomics and the Term Structure," 2004 Meeting Papers 388, Society for Economic Dynamics.
- Bekaert, Geert & Cho, Seonghoon & Moreno Ibáñez, Antonio, 2006. "New-Keynesian Macroeconomics and the Term Structure," CEPR Discussion Papers 5956, C.E.P.R. Discussion Papers.
- Seonghoon Cho & Antonio Moreno & Geert Bekaert, 2005. "New-Keynesian Macroeconomics and the Term Structure," Faculty Working Papers 04/05, School of Economics and Business Administration, University of Navarra.
- Aase, Knut K., 2015.
"Recursive utility and jump-diffusions,"
Discussion Papers
2015/6, Norwegian School of Economics, Department of Business and Management Science.
- Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers 2014/9, Norwegian School of Economics, Department of Business and Management Science.
- Binswanger, J., 2008.
"A Simple Bounded-Rationality Life Cycle Model,"
Other publications TiSEM
9b02a536-3ba9-43ba-b2ea-3, Tilburg University, School of Economics and Management.
- Binswanger, J., 2008. "A Simple Bounded-Rationality Life Cycle Model," Discussion Paper 2008-13, Tilburg University, Center for Economic Research.
- Xiaoji Lin, 2009.
"Endogenous Technological Progress and the Cross Section of Stock Returns,"
FMG Discussion Papers
dp634, Financial Markets Group.
- Lin, Xiaoji, 2012. "Endogenous Technological Progress and the Cross Section of Stock Returns," Working Paper Series 2012-22, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Lin, Xiaoji, 2012. "Endogenous technological progress and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 103(2), pages 411-427.
- Lin, Xiaoji, 2009. "Endogenous technological progress and the cross section of stock returns," LSE Research Online Documents on Economics 29047, London School of Economics and Political Science, LSE Library.
- Lin, Xiaoji, 2009. "Endogenous technological progress and the cross section of stock returns," MPRA Paper 14829, University Library of Munich, Germany.
- Andrew W. Lo & Jiang Wang, 2006.
"Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model,"
Journal of Finance, American Finance Association, vol. 61(6), pages 2805-2840, December.
- 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.
- Lafuente, Juan A. & Pérez, Rafaela & Ruiz, Jesús, 2016.
"Monetary policy regimes and the forward bias for foreign exchange,"
Journal of Economics and Business, Elsevier, vol. 85(C), pages 13-28.
- 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 EconomÃa de la Empresa.
- 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.
- Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," FMG Discussion Papers dp707, Financial Markets Group.
- 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.
- Andreas Fuster & Benjamin Hebert & David Laibson, 2011.
"Natural Expectations, Macroeconomic Dynamics, and Asset Pricing,"
NBER Working Papers
17301, National Bureau of Economic Research, Inc.
- Fuster, Andreas & Herbert, Benjamin & Laibson, David I., 2011. "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," Scholarly Articles 10140029, Harvard University Department of Economics.
- 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.
- Andreas Fuster & Benjamin Hebert & David Laibson, 2011. "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 1-48, National Bureau of Economic Research, Inc.
- Jean-Pierre Zigrand & Hyun Song Shin & Jon Danielsson, 2010. "Risk Appetite and Endogenous Risk," FMG Discussion Papers dp647, Financial Markets Group.
- Harald Uhlig, 2007.
"Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model,"
2007 Meeting Papers
97, Society for Economic Dynamics.
- 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.
- Harald Uhlig, 2007. "Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model," American Economic Review, American Economic Association, vol. 97(2), pages 239-243, May.
- Harald Uhlig, 2007. "Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model," SFB 649 Discussion Papers SFB649DP2007-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Chan, Ying Tung, 2020. "Optimal emissions tax rates under habit formation and social comparisons," Energy Policy, Elsevier, vol. 146(C).
- Clain-Chamosset-Yvrard, Lise, 2021.
"Expectation-Driven Asset Price Fluctuations Under The Spirit Of Capitalism Hypothesis: The Role Of Heterogeneity,"
Macroeconomic Dynamics, Cambridge University Press, vol. 25(2), pages 509-535, March.
- Lise Clain-Chamosset-Yvrard, 2018. "Expectation-driven asset price fluctuations under the spirit of capitalism hypothesis: The role of heterogeneity," Working Papers 1803, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
- 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.
- Lise Clain-Chamosset-Yvrard, 2018. "Expectation-driven asset price fluctuations under the spirit of capitalism hypothesis: The role of heterogeneity," Working Papers halshs-01719844, HAL.
- 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.
- Eric Swanson, 2010. "Risk Aversion, the Labor Margin, and Asset Pricing in DSGE Models," 2010 Meeting Papers 138, Society for Economic Dynamics.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2018.
"Ambiguity and the historical equity premium,"
Post-Print
halshs-01886571, HAL.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032rrr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2016.
- Sujoy Mukerji & Kevin Sheppard & Fabrice Collard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Economics Series Working Papers 550, University of Oxford, Department of Economics.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean‐Marc Tallon, 2018. "Ambiguity and the historical equity premium," Quantitative Economics, Econometric Society, vol. 9(2), pages 945-993, July.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2015.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2016. "Ambiguity and the historical equity premium," Post-Print halshs-00594096, HAL.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Aug 2012.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2018. "Ambiguity and the historical equity premium," PSE-Ecole d'économie de Paris (Postprint) halshs-01886571, HAL.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2017. "Ambiguity and the historical equity premium," Working Papers 835, Queen Mary University of London, School of Economics and Finance.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2016. "Ambiguity and the historical equity premium," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00594096, HAL.
- 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.
- Gomes, Francisco J. & Michaelides, Alexander, 2003. "Portfolio choice with internal habit formation : a life-cycle model with uninsurable labor income risk," LSE Research Online Documents on Economics 196, London School of Economics and Political Science, LSE Library.
- Michaelides, Alexander & Gomes, Francisco, 2003. "Portfolio Choice with Internal Habit Formation: A Life-Cycle Model with Uninsurable Labour Income Risk," CEPR Discussion Papers 3868, C.E.P.R. Discussion Papers.
- Hui Guo & Robert Savickas, 2003. "On the cross section of conditionally expected stock returns," Working Papers 2003-043, Federal Reserve Bank of St. Louis.
- 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.
- Leonardo Bursztyn & Robert Jensen, 2016. "Social Image and Economic Behavior in the Field: Identifying, Understanding and Shaping Social Pressure," NBER Working Papers 23013, National Bureau of Economic Research, Inc.
- 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.
- Leibovici, Fernando & Waugh, Michael E., 2019.
"International trade and intertemporal substitution,"
Journal of International Economics, Elsevier, vol. 117(C), pages 158-174.
- Fernando Leibovici & Michael E. Waugh, 2014. "International Trade and Intertemporal Substitution," NBER Working Papers 20498, National Bureau of Economic Research, Inc.
- Fernando Leibovici & Michael E. Waugh, 2016. "International Trade and Intertemporal Substitution," Working Papers 2017-4, Federal Reserve Bank of St. Louis.
- Fernando Leibovici & Michael E. Waugh, 2014. "International Trade and Intertemporal Substitution," Working Papers 2014_5, York University, Department of Economics.
- 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.
- Takashi Kano, 2008. "Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect," CIRJE F-Series CIRJE-F-572, CIRJE, Faculty of Economics, University of Tokyo.
- Kano, Takashi, 2009. "Habit formation and the present-value model of the current account: Yet another suspect," Journal of International Economics, Elsevier, vol. 78(1), pages 72-85, June.
- 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.
- Kate Ambler & Susan Godlonton & MarÃa P. Recalde, 2019.
"Follow the leader? A field experiment on social influence,"
Department of Economics Working Papers
2019-24, Department of Economics, Williams College.
- 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.
- 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.
- Nicola Gennaioli & Yueran Ma & Andrei Shleifer, 2016.
"Expectations and Investment,"
Working Paper
250941, Harvard University OpenScholar.
- Nicola Gennaioli & Yueran Ma & Andrei Shleifer, 2016. "Expectations and investment," BIS Working Papers 562, Bank for International Settlements.
- Nicola Gennaioli & Yueran Ma & Andrei Shleifer, 2015. "Expectations and Investment," NBER Working Papers 21260, National Bureau of Economic Research, Inc.
- Nicola Gennaioli & Yueran Ma & Andrei Shleifer, 2015. "Expectations and Investment," NBER Chapters, in: NBER Macroeconomics Annual 2015, Volume 30, pages 379-431, National Bureau of Economic Research, Inc.
- Gennaioli, Nicola & Ma, Yueran & Shleifer, Andrei, 2015. "Expectations and Investment," Scholarly Articles 32193497, Harvard University Department of Economics.
- Nicola Gennaioli & Yueran Ma & Andrei Shleifer, 2016. "Expectations and Investment," NBER Macroeconomics Annual, University of Chicago Press, vol. 30(1), pages 379-431.
- Mordecai Kurz & Maurizio Motolese, "undated".
"Endogenous Uncertainty and Market Volatility,"
Working Papers
99005, Stanford University, Department of Economics.
- Mordecai Kurz & Maurizio Motolese, 1999. "Endogenous Uncertainty and Market Volatility," Working Papers 1999.27, Fondazione Eni Enrico Mattei.
- 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.
- 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.
- Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2016. "Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds," CEPR Discussion Papers 11401, C.E.P.R. Discussion Papers.
- Tobias Adrian & Richard K. Crump & Erik Vogt, 2015. "Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds," Staff Reports 723, Federal Reserve Bank of New York.
- 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.
- Ikeda, Shinsuke & Gombi, Ichiro, 2009.
"Habit Formation In An Interdependent World Economy,"
Macroeconomic Dynamics, Cambridge University Press, vol. 13(4), pages 477-492, September.
- Shinsuke Ikeda & Ichiro Gombi, 2004. "Habit Formation in an Interdependent World Economy," ISER Discussion Paper 0619, Institute of Social and Economic Research, Osaka University, revised Jul 2008.
- Timmer, Yannick, 2017.
"Cyclical Investment Behaviour across Financial Institutions,"
ECMI Papers
12747, Centre for European Policy Studies.
- Timmer, Yannick, 2018. "Cyclical investment behavior across financial institutions," ESRB Working Paper Series 77, European Systemic Risk Board.
- Timmer, Yannick, 2018. "Cyclical investment behavior across financial institutions," Journal of Financial Economics, Elsevier, vol. 129(2), pages 268-286.
- Sheheryar Malik & Ms. TengTeng Xu, 2017. "Interconnectedness of Global Systemically-Important Banks and Insurers," IMF Working Papers 2017/210, International Monetary Fund.
- De La Croix, D. & Michel, P., 1997.
"Optimal Growth when Tastes are Inherited,"
ASSET - Instituto De Economia Publica
168, ASSET (Association of Southern European Economic Theorists).
- 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.
- de la Croix, David & Michel, Philippe, 1997. "Optimal growth when tastes are inherited," LIDAM Discussion Papers IRES 1997012, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Jun 1997.
- de La Croix, D. & Michel, P., 1997. "Optimal Growth When Tastes Are Inherited," G.R.E.Q.A.M. 97a21, Universite Aix-Marseille III.
- Schmeling, Maik & Schrimpf, Paul & Kroencke, Tim, 2019.
"The FOMC Risk Shift,"
CEPR Discussion Papers
14037, C.E.P.R. Discussion Papers.
- Kroencke, Tim-Alexander & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC risk shift," SAFE Working Paper Series 302, Leibniz Institute for Financial Research SAFE.
- Kroencke, Tim A. & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC Risk Shift," Journal of Monetary Economics, Elsevier, vol. 120(C), pages 21-39.
- Yener Altunbas & Leonardo Gambacorta & David Marques-Ibanez, 2010.
"Does monetary policy affect bank risk-taking?,"
BIS Working Papers
298, Bank for International Settlements.
- Gambacorta, Leonardo & Altunbas, Yener & Marqués-Ibáñez, David, 2010. "Does monetary policy affect bank risk-taking?," Working Paper Series 1166, European Central Bank.
- Hanno Lustig, 2001.
"The Market Price of Aggregate Risk and the Wealth Distribution,"
Finance
0111004, University Library of Munich, Germany, revised 16 Nov 2001.
- Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers 299, UCLA Department of Economics.
- Hanno Lustig & Yi-Li Chien, 2005. "The Market Price of Aggregate Risk and the Wealth Distribution," NBER Working Papers 11132, National Bureau of Economic Research, Inc.
- YiLi Chien & Hanno Lustig, 2010. "The Market Price of Aggregate Risk and the Wealth Distribution," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1596-1650, April.
- Robin Greenwood & Samuel G. Hanson & Lawrence J. Jin, 2019. "Reflexivity in Credit Markets," NBER Working Papers 25747, National Bureau of Economic Research, Inc.
- Ricardo M. Sousa, 2009.
"Wealth Effetcs on Consumption: Evidence from the euro area,"
NIPE Working Papers
12/2009, NIPE - Universidade do Minho.
- Sousa, Ricardo M., 2009. "Wealth effects on consumption: evidence from the euro area," Working Paper Series 1050, European Central Bank.
- Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005.
"Taylor rules, McCallum rules and the term structure of interest rates,"
Journal of Monetary Economics, Elsevier, vol. 52(5), pages 921-950, July.
- 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.
- Michael Gallmeyer & Burton Hollifield & Stanley E. Zin, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," NBER Working Papers 11276, National Bureau of Economic Research, Inc.
- Chu, Pyung Kun, 2022. "Semibeta asset pricing in the Korean stock market," Finance Research Letters, Elsevier, vol. 50(C).
- 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.
- Paul P.J. Gao & Kevin X.D. Huang, 2008. "Aggregate Consumption-Wealth Ratio and the Cross-Section of Stock Returns: Some International Evidence," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 1-37, May.
- Ian Dew-Becker & Rhys Bidder, 2015.
"Long-Run Risk is the Worst-Case Scenario,"
2015 Meeting Papers
490, Society for Economic Dynamics.
- Rhys Bidder & Ian Dew-Becker, 2016. "Long-Run Risk is the Worst-Case Scenario," NBER Working Papers 22416, National Bureau of Economic Research, Inc.
- Rhys Bidder & Ian Dew-Becker, 2016. "Long-Run Risk Is the Worst-Case Scenario," American Economic Review, American Economic Association, vol. 106(9), pages 2494-2527, September.
- 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.
- Kuehn Lars-Alexander & Petrosky-Nadeau Nicolas & Zhang Lu, "undated". "An Equilibrium Asset Pricing Model with Labor Market Search," GSIA Working Papers 2010-E63, Carnegie Mellon University, Tepper School of Business.
- Lars-Alexander Kuehn & Nicolas Petrosky-Nadeau & Lu Zhang, 2012. "An Equilibrium Asset Pricing Model with Labor Market Search," NBER Working Papers 17742, National Bureau of Economic Research, Inc.
- Owen Lamont, "undated".
"Earnings and Expected Returns,"
CRSP working papers
345, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Owen Lamont, 1996. "Earnings and Expected Returns," NBER Working Papers 5671, National Bureau of Economic Research, Inc.
- Francisco Alvarez-Cuadrado, 2006.
"Envy, Leisure, And Restrictions On Working Hours,"
Departmental Working Papers
2006-01, McGill University, Department of Economics.
- 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.
- Francisco Alvarez-Cuadrado, 2007. "Envy, leisure, and restrictions on working hours," Canadian Journal of Economics, Canadian Economics Association, vol. 40(4), pages 1286-1310, November.
- 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.
- Zoran Ivkovich & Scott Weisbenner, 2004. "Information Diffusion Effects in Individual Investors' Common Stock Purchases: Covet Thy Neighbors' Investment Choices," NBER Working Papers 10436, National Bureau of Economic Research, Inc.
- Zoran Ivkovi & Scott Weisbenner, 2007. "Information Diffusion Effects in Individual Investors' Common Stock Purchases: Covet Thy Neighbors' Investment Choices," The Review of Financial Studies, Society for Financial Studies, vol. 20(4), pages 1327-1357.
- Raymond Kan & Cesare Robotti, 2016. "The Exact Distribution of the Hansen–Jagannathan Bound," Management Science, INFORMS, vol. 62(7), pages 1915-1943, July.
- 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.
- Barro, Robert J. & Liao, Gordon Y., 2021. "Rare disaster probability and options pricing," Journal of Financial Economics, Elsevier, vol. 139(3), pages 750-769.
- Kucher, Oleg & Kurov, Alexander, 2014.
"Business cycle, storage, and energy prices,"
Review of Financial Economics, Elsevier, vol. 23(4), pages 217-226.
- Oleg Kucher & Alexander Kurov, 2014. "Business cycle, storage, and energy prices," Review of Financial Economics, John Wiley & Sons, vol. 23(4), pages 217-226, November.
- Engel, Charles, 2014.
"Exchange Rates and Interest Parity,"
Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 453-522,
Elsevier.
- Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
- Söderlind, Paul, 2005.
"C-CAPM Without Ex Post Data,"
CEPR Discussion Papers
5407, C.E.P.R. Discussion Papers.
- Söderlind, Paul, 2009. "The C-CAPM without ex post data," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 721-729, December.
- Söderlind, Paul, 2005. "C-CAPM without Ex Post Data," SIFR Research Report Series 39, Institute for Financial Research.
- Paul Söderlind, 2006. "C-CAPM without Ex Post Data," University of St. Gallen Department of Economics working paper series 2006 2006-22, Department of Economics, University of St. Gallen.
- 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.
- Farmer, Roger, 2016.
"Pricing Assets in an Economy with Two Types of People,"
CEPR Discussion Papers
11253, C.E.P.R. Discussion Papers.
- Roger E.A. Farmer, 2016. "Pricing Assets in an Economy with Two Types of People," NBER Working Papers 22228, National Bureau of Economic Research, Inc.
- Victor H. Aguiar & Nail Kashaev, 2018.
"Stochastic Revealed Preferences with Measurement Error,"
Papers
1810.05287, arXiv.org, revised Sep 2020.
- Victor H Aguiar & Nail Kashaev, 2021. "Stochastic Revealed Preferences with Measurement Error [Consistency between Household-level Consumption Data from Registers and Surveys]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(4), pages 2042-2093.
- Eric Swanson, 2015. "A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt," 2015 Meeting Papers 273, Society for Economic Dynamics.
- 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.
- José L. Fillat & Stefania Garetto, 2015.
"Risk, Returns, and Multinational Production,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 130(4), pages 2027-2073.
- Stefania Garetto & Jose Luis Fillat, 2010. "Risk, Returns, and Multinational Production," 2010 Meeting Papers 777, Society for Economic Dynamics.
- Jose L. Fillat & Stefania Garetto, 2014. "Risk, Returns, and Multinational Production," Boston University - Department of Economics - Working Papers Series wp2014-008, Boston University - Department of Economics.
- José Fillat & Stefania Garetto, 2010. "Risk, returns, and multinational production," Supervisory Research and Analysis Working Papers QAU10-5, Federal Reserve Bank of Boston.
- 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.
- Joseph P. Byrne & Boulis M. Ibrahim & Xiaoyu Zong, 2020.
"Asset Prices and Capital Share Risks: Theory and Evidence,"
Papers
2006.14023, arXiv.org.
- Byrne, Joseph P & Ibrahim, Boulis Maher & Zong, Xiaoyu, 2020. "Asset Prices and Capital Share Risks: Theory and Evidence," MPRA Paper 101781, University Library of Munich, Germany.
- Evangelos V. Dioikitopoulos & Stephen J. Turnovsky & Roland Wendner, 2017.
"Dynamic Status Effects, Savings, and Income Inequality,"
Graz Economics Papers
2017-08, University of Graz, Department of Economics.
- Evangelos V. Dioikitopoulos & Stephen J. Turnovsky & Ronald Wendner, 2020. "Dynamic Status Effects, Savings, And Income Inequality," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(1), pages 351-382, February.
- Dioikitopoulos, Evangelos & Turnovsky, Stephen & Wendner, Ronald, 2017. "Dynamic Status Effects, Savings, and Income Inequality," MPRA Paper 81005, University Library of Munich, Germany.
- 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.
- Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2005. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2004. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series 2004-56, Board of Governors of the Federal Reserve System (U.S.).
- Bollerslev, Tim & Gibson, Michael & Zhou, Hao, 2011. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Journal of Econometrics, Elsevier, vol. 160(1), pages 235-245, January.
- 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).
- 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.
- Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016. "Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates," MPRA Paper 73246, University Library of Munich, Germany.
- Adrian Buss & Bernard Dumas, 2013.
"The Dynamic Properties of Financial-Market Equilibrium with Trading Fees,"
NBER Working Papers
19155, National Bureau of Economic Research, Inc.
- Dumas, Bernard & Buss, Adrian, 2013. "The Dynamic Properties of Financial-Market Equilibrium with Trading Fees," CEPR Discussion Papers 9524, C.E.P.R. Discussion Papers.
- Adrian Buss & Bernard Dumas, 2019. "The Dynamic Properties of Financial‐Market Equilibrium with Trading Fees," Journal of Finance, American Finance Association, vol. 74(2), pages 795-844, April.
- 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.
- Huber, Christoph & Huber, Juergen & Kirchler, Michael, 2020.
"Market shocks and professionals' investment behavior – Evidence from the COVID-19 crash,"
OSF Preprints
fgxpb, Center for Open Science.
- Huber, Christoph & Huber, Jürgen & Kirchler, Michael, 2021. "Market shocks and professionals’ investment behavior – Evidence from the COVID-19 crash," Journal of Banking & Finance, Elsevier, vol. 133(C).
- 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.
- Stefan Nagel, 2013.
"Empirical Cross-Sectional Asset Pricing,"
Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
- Nagel, Stefan, 2012. "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers 9227, C.E.P.R. Discussion Papers.
- Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
- 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).
- Andrew E. Clark & David Masclet & Marie Claire Villeval, 2010. "Effort and Comparison Income: Experimental and Survey Evidence," ILR Review, Cornell University, ILR School, vol. 63(3), pages 407-426, April.
- Clark, Andrew E. & Masclet, David & Villeval, Marie-Claire, 2008. "Effort and comparison income: experimental and survey evidence," LSE Research Online Documents on Economics 28502, London School of Economics and Political Science, LSE Library.
- Andrew E. Clark & David Masclet & Marie-Claire Villeval, 2008. "Effort and Comparison Income: Experimental and Survey Evidence," CEP Discussion Papers dp0886, Centre for Economic Performance, LSE.
- Andrew E. Clark & David Masclet & Marie Claire Villeval, 2010. "Effort and comparison income: experimental and survey evidence," PSE-Ecole d'économie de Paris (Postprint) halshs-00459777, HAL.
- Andrew E. Clark & David Masclet & Marie Claire Villeval, 2010. "Effort and comparison income: experimental and survey evidence," Post-Print halshs-00459777, HAL.
- 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.
- Karen K. Lewis & Edith X. Liu, 2016. "Disaster Risk and Asset Returns: An International Perspective," NBER Chapters, in: NBER International Seminar on Macroeconomics 2016, National Bureau of Economic Research, Inc.
- Karen K. Lewis & Edith X. Liu, 2017. "Disaster Risk and Asset Returns : An International Perspective," International Finance Discussion Papers 1199, Board of Governors of the Federal Reserve System (U.S.).
- Karen K. Lewis & Edith X. Liu, 2017. "Disaster Risk and Asset Returns: An International Perspective," NBER Working Papers 23065, National Bureau of Economic Research, Inc.
- 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.
- Vivek Ghosal & Yang Ye, 2014. "Uncertainty and the Employment Dynamics of Small and Large Businesses," CESifo Working Paper Series 5059, CESifo.
- Vivek Ghosal & Yang Ye, 2015. "Uncertainty and the Employment Dynamics of Small and Large Businesses," IMF Working Papers 2015/004, International Monetary Fund.
- 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.
- 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.
- Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014.
"Bond Return Predictability: Economic Value and Links to the Macroeconomy,"
Working Papers
75R, Brandeis University, Department of Economics and International Business School, revised Jul 2016.
- Antonio Gargano & Davide Pettenuzzo & Allan Timmermann, 2019. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Management Science, INFORMS, vol. 65(2), pages 508-540, February.
- 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.
- Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Business School.
- 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.
- 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.
- Giancarlo Corsetti & Luca Dedola & Francesca Viani, 2011. "Traded and Nontraded Goods Prices, and International Risk Sharing: an Empirical Investigation," NBER Working Papers 17501, National Bureau of Economic Research, Inc.
- Giancarlo Corsetti & Luca Dedola & Francesca Viani, 2012. "Traded and nontraded goods prices, and international risk sharing: an empirical investigation," Working Papers 1242, Banco de España.
- Corsetti, Giancarlo & Dedola, Luca & Viani, Francesca, 2011. "Traded and nontraded goods prices, and international risk sharing: an empirical investigation," CEPR Discussion Papers 8613, C.E.P.R. Discussion Papers.
- Giancarlo Corsetti & Luca Dedola & Francesca Viani, 2011. "Traded and Nontraded Goods Prices and International Risk Sharing: An Empirical Investigation," NBER Chapters, in: NBER International Seminar on Macroeconomics 2011, pages 403-466, National Bureau of Economic Research, Inc.
- 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.
- Eran Hoffmann, 2018. "The Cyclical Composition of Startups," 2018 Meeting Papers 553, Society for Economic Dynamics.
- Hördahl, Peter & Tristani, Oreste & Vestin, David, 2007.
"The yield curve and macroeconomic dynamics,"
Working Paper Series
832, European Central Bank.
- Peter Hördahl & Oreste Tristani & David Vestin, 2008. "The Yield Curve and Macroeconomic Dynamics," Economic Journal, Royal Economic Society, vol. 118(533), pages 1937-1970, November.
- Peter Hördahl & Oreste Tristani & David Vestin, 2008. "The Yield Curve and Macroeconomic Dynamics," Economic Journal, Royal Economic Society, vol. 118(533), pages 1937-1970, November.
- Aßmuth, Pascal, 2015. "Stock price related financial fragility and growth patterns," Center for Mathematical Economics Working Papers 539, Center for Mathematical Economics, Bielefeld University.
- 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.
- 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.
- 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.
- Peter Smith & Michael Wickens, 2002.
"Asset Pricing with Observable Stochastic Discount Factors,"
Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 397-446, July.
- Peter N Smith & Michael R Wickens, "undated". "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers 02/03, Department of Economics, University of York.
- Pierre-Olivier Gourinchas & Hélène Rey, 2007.
"International Financial Adjustment,"
Journal of Political Economy, University of Chicago Press, vol. 115(4), pages 665-703, August.
- Helene Rey & Pierre Olivier Gourinchas, 2005. "International Financial Adjustment," 2005 Meeting Papers 169, Society for Economic Dynamics.
- Gourinchas, Pierre-Olivier & Rey, Hélène, 2005. "International Financial Adjustment," Department of Economics, Working Paper Series qt124628cx, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Pierre-Olivier Gourinchas & Hélène Rey, 2005. "International Financial Adjustment," International Finance 0505004, University Library of Munich, Germany.
- Pierre-Olivier Gourinchas & Helene Rey, 2005. "International Financial Adjustment," NBER Working Papers 11155, National Bureau of Economic Research, Inc.
- Rey, Hélène & Gourinchas, Pierre-Olivier, 2005. "International Financial Adjustment," CEPR Discussion Papers 4923, C.E.P.R. Discussion Papers.
- Pierre-Olivier Gourinchas & Helene Rey, 2005. "International financial adjustment," Proceedings, Federal Reserve Bank of San Francisco.
- Gourinchas, Pierre-Olivier & Rey, Hélène, 2005. "International Financial Adjustment," Center for International and Development Economics Research, Working Paper Series qt124628cx, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
- Verdelhan, Adrien & Van Nieuwerburgh, Stijn & Lustig, Hanno, 2012.
"The Wealth-Consumption Ratio,"
CEPR Discussion Papers
9022, C.E.P.R. Discussion Papers.
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc.
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2013. "The Wealth-Consumption Ratio," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 3(1), pages 38-94.
- 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.
- 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.
- 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.
- Jahan-Parvar, Mohammad R. & Liu, Xuan & Rothman, Philip, 2009. "Equity Returns and Business Cycles in Small Open Economies," MPRA Paper 15915, University Library of Munich, Germany.
- Monika Piazzesi & Martin Schneider & Selale Tuzel, 2006.
"Housing, Consumption, and Asset Pricing,"
NBER Working Papers
12036, National Bureau of Economic Research, Inc.
- Piazzesi, Monika & Schneider, Martin & Tuzel, Selale, 2007. "Housing, consumption and asset pricing," Journal of Financial Economics, Elsevier, vol. 83(3), pages 531-569, March.
- Monika Piazzesi & Martin Schneider & Selale Tuzel, 2004. "Housing, Consumption and Asset Pricing," 2004 Meeting Papers 357c, Society for Economic Dynamics.
- 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.
- Evans, Charles L. & Marshall, David A., 2007. "Economic determinants of the nominal treasury yield curve," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1986-2003, October.
- Carroll, Christopher D. & Slacalek, Jiri & Sommer, Martin, 2008.
"International evidence on sticky consumption growth,"
Working Paper Series
886, European Central Bank.
- Christopher D. Carroll & Jiri Slacalek & Martin Sommer, 2008. "International Evidence on Sticky Consumption Growth," NBER Working Papers 13876, National Bureau of Economic Research, Inc.
- Carroll, Christopher D. & Slacalek, Jirka & Sommer, Martin, 2008. "International evidence on sticky consumption growth," CFS Working Paper Series 2008/09, Center for Financial Studies (CFS).
- Christopher D. Carroll & Jiri Slacalek & Martin Sommer, 2011. "International Evidence on Sticky Consumption Growth," The Review of Economics and Statistics, MIT Press, vol. 93(4), pages 1135-1145, November.
- 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.
- 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.
- Santos, Tano & Veronesi, Pietro, 2022. "Leverage," Journal of Financial Economics, Elsevier, vol. 145(2), pages 362-386.
- 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.
- Hui Guo & Robert F. Whitelaw, 2006. "Uncovering the Risk–Return Relation in the Stock Market," Journal of Finance, American Finance Association, vol. 61(3), pages 1433-1463, June.
- Hui Guo & Robert Whitelaw, 2005. "Uncovering the risk-return relation in the stock market," Working Papers 2001-001, Federal Reserve Bank of St. Louis.
- Bertholon, H. & Monfort, A. & Pegoraro, F., 2008.
"Econometric Asset Pricing Modelling,"
Working papers
223, Banque de France.
- 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.
- Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007. "Econometric Asset Pricing Modelling," Working Papers 2007-18, Center for Research in Economics and Statistics.
- Qadan, Mahmoud & Shuval, Kerem, 2022. "Variance risk and the idiosyncratic volatility puzzle," Finance Research Letters, Elsevier, vol. 45(C).
- Refet Gurkaynak, 2005.
"Econometric Tests of Asset Price Bubbles: Taking Stock,"
Finance
0504008, University Library of Munich, Germany.
- Refet S. Gürkaynak, 2008. "Econometric Tests Of Asset Price Bubbles: Taking Stock," Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 166-186, February.
- Refet S. Gürkaynak, 2005. "Econometric tests of asset price bubbles: taking stock," Finance and Economics Discussion Series 2005-04, Board of Governors of the Federal Reserve System (U.S.).
- Lloyd, Simon & Marin, Emile, 2020.
"Exchange rate risk and business cycles,"
Bank of England working papers
872, Bank of England.
- Lloyd, S. P. & Marin, E. A., 2019. "Exchange Rate Risk and Business Cycles," Cambridge Working Papers in Economics 1996, Faculty of Economics, University of Cambridge.
- William A. Barnett & Shu Wu, 2005.
"On user costs of risky monetary assets,"
Annals of Finance, Springer, vol. 1(1), pages 35-50, January.
- 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..
- William A. Barnett & Shu Wu, 2004. "On User Costs of Risky Monetary Assets," Macroeconomics 0406009, University Library of Munich, Germany.
- William Barnett & Shu Wu, 2004. "On user costs of risy monetary assets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200404, University of Kansas, Department of Economics, revised Jun 2004.
- Christian Bach & Peter O. Christensen, 2016. "Consumption-based equity valuation," Review of Accounting Studies, Springer, vol. 21(4), pages 1149-1202, December.
- Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013.
"Risk, uncertainty and monetary policy,"
Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
- Geert Bekaert & Marie Hoerova & Marco Lo Duca, 2012. "Risk, uncertainty and monetary policy," Working Paper Research 229, National Bank of Belgium.
- Geert Bekaert & Marie Hoerova, 2010. "Risk, uncertainty and monetary policy," Research Bulletin, European Central Bank, vol. 10, pages 11-13.
- Lo Duca, Marco & Hoerova, Marie & Bekaert, Geert, 2013. "Risk, uncertainty and monetary policy," Working Paper Series 1565, European Central Bank.
- Geert Bekaert & Marie Hoerova & Marco Lo Duca, 2010. "Risk, Uncertainty and Monetary Policy," NBER Working Papers 16397, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Lo Duca, Marco & Hoerova, Marie, 2010. "Risk, Uncertainty and Monetary Policy," CEPR Discussion Papers 8154, C.E.P.R. Discussion Papers.
- Campbell, Sean D. & Diebold, Francis X., 2009.
"Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 266-278.
- Campbell, Sean D. & Diebold, Francis X., 2005. "Stock returns and expected business conditions: Half a century of direct evidence," CFS Working Paper Series 2005/22, Center for Financial Studies (CFS).
- 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.
- Sean D. Campbell & Francis X. Diebold, 2005. "Stock returns and expected business conditions: half a century of direct evidence," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Sean D. Campbell & Francis X. Diebold, 2005. "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," PIER Working Paper Archive 05-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 16 Sep 2005.
- 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.
- 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.
- Chen, Ming-Hsiang, 2003. "Risk and return: CAPM and CCAPM," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 369-393.
- Wachter, Jessica A., 2002. "Comment on: Are behavioral asset-pricing models structural?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 229-233, January.
- Ljungqvist, Lars & Sargent, Thomas, 2021.
"The Fundamental Surplus Strikes Again,"
CEPR Discussion Papers
16077, C.E.P.R. Discussion Papers.
- Lars Ljungqvist & Thomas Sargent, 2021. "The fundamental surplus strikes again," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 38-51, July.
- Martin Lettau & Sydney C. Ludvigson, 2014.
"Shocks and Crashes,"
NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
- Martin Lettau & Sydney C. Ludvigson, 2011. "Shocks and Crashes," NBER Working Papers 16996, National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney C. Ludvigson, 2013. "Shocks and Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 293-354, National Bureau of Economic Research, Inc.
- Georgarakos, Dimitris & Haliassos, Michael & Pasini, Giacomo, 2012.
"Household debt and social interactions,"
CFS Working Paper Series
2012/05, Center for Financial Studies (CFS).
- Haliassos, Michael & Georgarakos, Dimitris & Pasini, Giacomo, 2012. "Household Debt and Social Interactions," CEPR Discussion Papers 9238, C.E.P.R. Discussion Papers.
- 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.
- Georgarakos, Dimitris & Haliassos, Michalis & Pasini, Giacomo, 2013. "Household debt and social interactions," SAFE Working Paper Series 1, Leibniz Institute for Financial Research SAFE, revised 2013.
- 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.
- Ray Fair, 2002. "Risk Aversion and Stock Prices," Yale School of Management Working Papers ysm311, Yale School of Management, revised 01 Aug 2007.
- 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.
- 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.
- Bekaert, Geert & Hoerova, Marie & Scheicher, Martin, 2009. "What do asset prices have to say about risk appetite and uncertainty?," Working Paper Series 1037, European Central Bank.
- Schrimpf, Paul & Parra-Alvarez, Juan Carlos & Posch, Olaf, 2021.
"Peso Problems in the Estimation of the C-CAPM,"
CEPR Discussion Papers
16299, C.E.P.R. Discussion Papers.
- 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.
- 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).
- Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom, 2013. "Semiparametric Estimation Of Risk-Return Relationships," CAEPR Working Papers 2013-004, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Escanciano, Juan Carlos & Pardo-FernAndez, Juan Carlos & Van Keilegom, Ingrid, 2017. "Semiparametric Estimation of Risk-return Relationships," LIDAM Reprints ISBA 2017007, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom, 2017. "Semiparametric Estimation of Risk–Return Relationships," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 40-52, January.
- 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.
- 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.
- 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.
- 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.).
- Tim Bollerslev & Viktor Todorov, 2010.
"Tails, Fears and Risk Premia,"
Working Papers
10-33, Duke University, Department of Economics.
- Tim Bollerslev & Viktor Todorov, 2009. "Tails, Fears and Risk Premia," CREATES Research Papers 2009-26, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Viktor Todorov, 2011. "Tails, Fears, and Risk Premia," Journal of Finance, American Finance Association, vol. 66(6), pages 2165-2211, December.
- Karen K. Lewis, 2011.
"Global Asset Pricing,"
Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
- Karen K. Lewis, 2011. "Global Asset Pricing," NBER Working Papers 17261, National Bureau of Economic Research, Inc.
- Karen K. Lewis, 2011. "Global asset pricing," Globalization Institute Working Papers 88, Federal Reserve Bank of Dallas.
- Jakob Madsen & Costas Milas, 2005.
"The Price-Dividend Relationship In Inflationary And Deflationary Regimes,"
Econometrics
0506002, University Library of Munich, Germany.
- Jakob B Madsen & Costas Milas, 2005. "The price-dividend relationship in inflationary and deflationary regimes," Keele Economics Research Papers KERP 2005/09, Centre for Economic Research, Keele University.
- Madsen, Jakob B. & Milas, Costas, 2005. "The price-dividend relationship in inflationary and deflationary regimes," Finance Research Letters, Elsevier, vol. 2(4), pages 260-269, December.
- 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.
- Kapalczynski, Anna & Lien, Donald, 2021. "Effectiveness of Augmented Dollar-Cost Averaging," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
- Robin Greenwood & Samuel G. Hanson, 2011. "Issuer Quality and the Credit Cycle," NBER Working Papers 17197, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Tom D. Holden & Paul Levine & Jonathan M. Swarbrick, 2020. "Credit Crunches from Occasionally Binding Bank Borrowing Constraints," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(2-3), pages 549-582, March.
- Holden, Tom D. & Levine, Paul & Swarbrick, Jonathan M., 2018. "Credit crunches from occasionally binding bank borrowing constraints," Discussion Papers 57/2018, Deutsche Bundesbank.
- Tom D. Holden & Paul Levine & Jonathan Swarbrick, 2017. "Credit Crunches from Occasionally Binding Bank Borrowing Constraints," Staff Working Papers 17-57, Bank of Canada.
- John Y. Campbell, 2008.
"Viewpoint: Estimating the equity premium,"
Canadian Journal of Economics, Canadian Economics Association, vol. 41(1), pages 1-21, February.
- 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.
- 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.
- Thomas Davidoff & Jeffrey R. Brown & Peter A. Diamond, 2003.
"Annuities and Individual Welfare,"
NBER Working Papers
9714, National Bureau of Economic Research, Inc.
- Thomas Davidoff & Jeffrey R. Brown & Peter A. Diamond, 2005. "Annuities and Individual Welfare," American Economic Review, American Economic Association, vol. 95(5), pages 1573-1590, December.
- Shaofeng Xu, 2017.
"Volatility Risk and Economic Welfare,"
Staff Working Papers
17-20, Bank of Canada.
- Xu, Shaofeng, 2017. "Volatility risk and economic welfare," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 17-33.
- 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.
- 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.
- Juha Seppala & Federico Ravenna, 2005.
"Monetary Policy and the Term Structure of Interest Rates,"
2005 Meeting Papers
804, Society for Economic Dynamics.
- 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.
- 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.
- Martin, Ian & Gao, Can, 2019.
"Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment,"
CEPR Discussion Papers
13454, C.E.P.R. Discussion Papers.
- 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.
- Can Gao & Ian W. R. Martin, 2021. "Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment," Journal of Finance, American Finance Association, vol. 76(6), pages 3211-3254, December.
- Gao, Can & Martin, Ian, 2021. "Volatility, valuation ratios, and bubbles: an empirical measure of market sentiment," LSE Research Online Documents on Economics 108598, London School of Economics and Political Science, LSE Library.
- Roberto Marfè, 2015.
"Income Insurance and the Equilibrium Term-Structure of Equity,"
Carlo Alberto Notebooks
407, Collegio Carlo Alberto.
- Roberto Marfè, 2017. "Income Insurance and the Equilibrium Term Structure of Equity," Journal of Finance, American Finance Association, vol. 72(5), pages 2073-2130, October.
- Roberto Marfè, 2016. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 459, Collegio Carlo Alberto.
- 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.
- Kraft, Holger & Munk, Claus & Seifried, Frank Thomas & Wagner, Sebastian, 2013. "Consumption habits and humps," SAFE Working Paper Series 15, Leibniz Institute for Financial Research SAFE.
- 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.
- Tortorice, Daniel L., 2018. "Equity return predictability, time varying volatility and learning about the permanence of shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 315-343.
- Stefan Nagel & Zhengyang Xu, 2019.
"Asset Pricing with Fading Memory,"
NBER Working Papers
26255, National Bureau of Economic Research, Inc.
- Stefan Nagel & Zhengyang Xu, 2022. "Asset Pricing with Fading Memory," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2190-2245.
- Stefan Nagel & Zhengyang Xu, 2019. "Asset Pricing with Fading Memory," 2019 Meeting Papers 71, Society for Economic Dynamics.
- Nagel, Stefan & Xu, Zhengyang, 2019. "Asset Pricing with Fading Memory," CEPR Discussion Papers 13973, C.E.P.R. Discussion Papers.
- Andrés Sagner, 2020. "Measuring Systemic Risk: A Quantile Factor Analysis," Working Papers Central Bank of Chile 874, Central Bank of Chile.
- Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
- Stephanie Schmitt-Grohe & Martin Uribe, 2008.
"What's News in Business Cycles,"
NBER Working Papers
14215, National Bureau of Economic Research, Inc.
- Uribe, MartÃn & Schmitt-Grohé, Stephanie, 2012. "What's News in Business Cycles," CEPR Discussion Papers 8984, C.E.P.R. Discussion Papers.
- Stephanie Schmitt‐Grohé & Martín Uribe, 2012. "What's News in Business Cycles," Econometrica, Econometric Society, vol. 80(6), pages 2733-2764, November.
- Uribe, MartÃn & Schmitt-Grohé, Stephanie, 2009. "What?s News in Business Cycles," CEPR Discussion Papers 7201, C.E.P.R. Discussion Papers.
- Martin Uribe & Stephanie Schmitt-Grohe, 2009. "What's News in Business Cycles," 2009 Meeting Papers 135, Society for Economic Dynamics.
- 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.
- René Garcia & Richard Luger, 2005. "The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach," Staff Working Papers 05-36, Bank of Canada.
- René Garcia & Richard Luger, 2007. "The Canadian macroeconomy and the yield curve: an equilibrium‐based approach," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(2), pages 561-583, May.
- Kim, Kun Ho, 2014. "Counter-cyclical risk aversion," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 384-401.
- 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.
- Epstein, Larry G. & Farhi, Emmanuel & Strzalecki, Tomasz, 2014.
"How Much Would You Pay to Resolve Long-Run Risk?,"
Scholarly Articles
12967842, Harvard University Department of Economics.
- Tomasz Strzalecki & Emmanuel Farhi & Larry Epstein, 2014. "How much would you pay to resolve long-run risk?," 2014 Meeting Papers 429, Society for Economic Dynamics.
- Larry Epstein & Emmanuel Farhi & Tomasz Strzalecki, "undated". "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper 8366, Harvard University OpenScholar.
- Larry G. Epstein & Emmanuel Farhi & Tomasz Strzalecki, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," NBER Working Papers 19541, National Bureau of Economic Research, Inc.
- Larry G. Epstein & Emmanuel Farhi & Tomasz Strzalecki, 2014. "How Much Would You Pay to Resolve Long-Run Risk?," American Economic Review, American Economic Association, vol. 104(9), pages 2680-2697, September.
- Larry G. Epstein & Emmanuel Farhi & Tomasz Strzaleck, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," Boston University - Department of Economics - Working Papers Series WP2013-002, Boston University - Department of Economics.
- Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper 106061, Harvard University OpenScholar.
- Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, "undated". "How Much Would You Pay To Resolve Long-Run Risk?," Working Paper 136671, Harvard University OpenScholar.
- Wei-Bin ZHANG, 2012. "Habits, Saving Propensity, And Economic Growth," Scientific Bulletin - Economic Sciences, University of Pitesti, vol. 11(2), pages 3-15.
- Mumtaz, Haroon & Theodoridis, Konstantinos, 2020.
"Fiscal policy shocks and stock prices in the United States,"
European Economic Review, Elsevier, vol. 129(C).
- Haroon Mumtaz & Konstantinos Theodoridis, 2021. "Fiscal policy shocks and stock prices in the United States," Working Papers 48, European Stability Mechanism.
- Haroon Mumtaz & Konstantinos Theodoridis, 2017. "Fiscal policy shocks and stock prices in the United States," Working Papers 178117307, Lancaster University Management School, Economics Department.
- Haroon Mumtaz & Konstantinos Theodoridis, 2017. "Fiscal Policy Shocks and Stock Prices in the United States," Working Papers 817, Queen Mary University of London, School of Economics and Finance.
- Mumtaz, Haroon & Theodoridis, Konstantinos, 2018. "Fiscal Policy Shocks and Stock Prices in the United State," Cardiff Economics Working Papers E2018/20, Cardiff University, Cardiff Business School, Economics Section.
- 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.
- Goetzmann, Will & Le Bris, David & Pouget, Sébastien, 2017. "The Present Value Relation Over Six Centuries: The Case of the Bazacle Company," TSE Working Papers 17-794, Toulouse School of Economics (TSE).
- le Bris, David & Goetzmann, William N. & Pouget, Sébastien, 2019. "The present value relation over six centuries: The case of the Bazacle company," Journal of Financial Economics, Elsevier, vol. 132(1), pages 248-265.
- Erzo F.P. Luttmer, 2004.
"Neighbors as Negatives: Relative Earnings and Well-Being,"
NBER Working Papers
10667, National Bureau of Economic Research, Inc.
- 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.
- Erzo F. P. Luttmer, 2005. "Neighbors as Negatives: Relative Earnings and Well-Being," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 120(3), pages 963-1002.
- 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.
- John Y. Campbell & Robert J. Shiller, 2001. "Valuation Ratios and the Long-Run Stock Market Outlook: An Update," NBER Working Papers 8221, National Bureau of Economic Research, Inc.
- 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.
- Cristian Badarinza, 2019. "Code and data files for "Mortgage Debt and Social Externalities"," Computer Codes 18-225, Review of Economic Dynamics.
- 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.
- Horvath, Jaroslav, 2020. "Macroeconomic disasters and the equity premium puzzle: Are emerging countries riskier?," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
- John Driffill & Martin Sola & Turalay Kenc, 2009.
"Real Options with Priced Regime-Switching Risk,"
Department of Economics Working Papers
2009-09, Universidad Torcuato Di Tella.
- 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.
- 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.).
- Chugh, Sanjay K., 2007. "Optimal inflation persistence: Ramsey taxation with capital and habits," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1809-1836, September.
- Sanjay K. Chugh, 2005. "Optimal Inflation Persistence: Ramsey Taxation with Capital and Habits," Computing in Economics and Finance 2005 369, Society for Computational Economics.
- 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.
- 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.
- 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.
- Asger Lau Andersen & Niels Johannesen & Adam Sheridan, 2021.
"Dynamic Spending Responses to Wealth Shocks: Evidence from Quasi-Lotteries on the Stock Market,"
CESifo Working Paper Series
9184, CESifo.
- 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.
- Asger Lau Andersen & Niels Johannesen & Adam Sheridan, 2021. "Dynamic Spending Responses to Wealth Shocks: Evidence from Quasi-lotteries on the Stock Market," CEBI working paper series 21-11, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
- 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, July.
- José Luis Torres Chacon, 2014. "Introduction to Dynamic Macroeconomic General Equilibrium Models," Vernon Press Titles in Economics, Vernon Art and Science Inc, edition 1, number 18, July.
- 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.
- Kwan, Yum K. & Leung, Charles Ka Yui & Dong, Jinyue, 2014. "Comparing Consumption-based Asset Pricing Models: The Case of an Asian City," MPRA Paper 60513, University Library of Munich, Germany.
- Nimark, Kristoffer, 2008.
"Monetary policy with signal extraction from the bond market,"
Journal of Monetary Economics, Elsevier, vol. 55(8), pages 1389-1400, November.
- Kristoffer Nimark, 2008. "Monetary policy with signal extraction from the bond market," Economics Working Papers 1181, Department of Economics and Business, Universitat Pompeu Fabra.
- 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).
- 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.
- Nengjiu Ju & Jianjun Miao, 2012. "Ambiguity, Learning, and Asset Returns," Econometrica, Econometric Society, vol. 80(2), pages 559-591, March.
- Ju, Nengjiu & Miao, Jianjun, 2009. "Ambiguity, Learning, and Asset Returns," MPRA Paper 14737, University Library of Munich, Germany, revised Apr 2009.
- Jianjun Miao & NENGJIU JU, 2010. "Ambiguity, Learning, And Asset Returns," Boston University - Department of Economics - Working Papers Series WP2010-031, Boston University - Department of Economics.
- Nengjiu Ju & Jianjun Miao, 2010. "Ambiguity, Learning, and Asset Returns," CEMA Working Papers 438, China Economics and Management Academy, Central University of Finance and Economics.
- 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.
- Jaccard, Ivan, 2010.
"Asset pricing, habit memory, and the labor market,"
Working Paper Series
1163, European Central Bank.
- 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.
- Arvind Krishnamurhty & Zhiguo He, 2010.
"Intermediary Asset Pricing,"
2010 Meeting Papers
1327, Society for Economic Dynamics.
- Zhiguo He & Arvind Krishnamurthy, 2013. "Intermediary Asset Pricing," American Economic Review, American Economic Association, vol. 103(2), pages 732-770, April.
- Zhiguo He & Arvind Krishnamurthy, 2008. "Intermediary Asset Pricing," NBER Working Papers 14517, National Bureau of Economic Research, Inc.
- Tano Santos & Pietro Veronesi, 2004. "Conditional Betas," NBER Working Papers 10413, National Bureau of Economic Research, Inc.
- Crawford, Ian & Polisson, Matthew, 2014.
"Testing for intertemporal nonseparability,"
Journal of Mathematical Economics, Elsevier, vol. 52(C), pages 46-49.
- Ian Crawford & Matthew Polisson, 2013. "Testing for intertemporal nonseparability," IFS Working Papers W13/19, Institute for Fiscal Studies.
- Ian Crawford & Matthew Polisson, 2013. "Testing for Intertemporal Nonseparability," Discussion Papers in Economics 13/08, Division of Economics, School of Business, University of Leicester, revised Jul 2013.
- Patrick J. Kehoe & Pierlauro Lopez & Virgiliu Midrigan & Elena Pastorino, 2020.
"Asset Prices and Unemployment Fluctuations,"
Staff Report
591, Federal Reserve Bank of Minneapolis.
- 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.
- Patrick J. Kehoe & Pierlauro Lopez & Virgiliu Midrigan & Elena Pastorino, 2020. "Asset Prices and Unemployment Fluctuations," Working Papers 20-10, Federal Reserve Bank of Cleveland.
- Patrick Kehoe & Elena Pastorino & Pierlauro Lopez & Virgiliu Midrigan, 2018. "Asset Prices and Unemployment Fluctuations," 2018 Meeting Papers 1119, Society for Economic Dynamics.
- Constantin Chilarescu & Ioana Viasu, 2016.
"A closed-form solution of a two-sector endogenous growth model with habit formation,"
Post-Print
hal-02397386, HAL.
- 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.
- 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.
- Galvani, Valentina, 2022. "Country-Based Investing with Exchange Rate and Reserve Currency," Working Papers 2022-5, University of Alberta, Department of Economics.
- 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.
- Mouabbi, Sarah & Renne, Jean-Paul & Sahuc, Jean-Guillaume, 2024. "Debt-stabilizing properties of GDP-linked securities: A macro-finance perspective," Journal of Banking & Finance, Elsevier, vol. 162(C).
- 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).
- 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.
- 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.
- Michael T. Kiley, 2007. "Habit persistence, non-separability between consumption and leisure, or rule-of thumb consumers: which accounts for the predictability of consumption growth?," Finance and Economics Discussion Series 2007-48, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- 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.
- Korhonen Marko & Puhakka Mikko & Viren Matti, 2015. "Economic hardship and suicides," Discussion Papers 105, Aboa Centre for Economics.
- 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.
- Jack Favilukis, 2007.
"Inequality, Stock Market Participation, and the Equity Premium,"
FMG Discussion Papers
dp602, Financial Markets Group.
- Favilukis, Jack, 2013. "Inequality, stock market participation, and the equity premium," Journal of Financial Economics, Elsevier, vol. 107(3), pages 740-759.
- Favilukis, Jack, 2007. "Inequality, stock market participation, and the equity premium," LSE Research Online Documents on Economics 24500, London School of Economics and Political Science, LSE Library.
- 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).
- 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.
- 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.
- 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.
- James M. Nason & Gregor W. Smith, 2008. "Great moderations and U.S. interest rates: unconditional evidence," FRB Atlanta Working Paper 2008-01, Federal Reserve Bank of Atlanta.
- James M. Nason & Gregor W. Smith, 2007. "Great Moderation(s) And U.s. Interest Rates: Unconditional Evidence," Working Paper 1140, Economics Department, Queen's University.
- Charles Ka-Yui Leung & Nan-Kuang Chen, 2005.
"Intrinsic Cycles of Land Price: A Simple Model,"
Departmental Working Papers
_166, Chinese University of Hong Kong, Department of Economics.
- 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.
- Charles Ka Yui Leung & Nan-Kuang Chen, 2005. "Intrinsic Cycles of Land Price: A Simple Model," Discussion Papers 00005, Chinese University of Hong Kong, Department of Economics.
- G. Gopalakrishna, 2017. "Robust test of Long Run Risk and Valuation risk model," Working Papers wp1107, Dipartimento Scienze Economiche, Universita' di Bologna.
- 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.
- Jonathan Lewellen & Stefan Nagel & Jay Shanken, 2006. "A Skeptical Appraisal of Asset-Pricing Tests," NBER Working Papers 12360, National Bureau of Economic Research, Inc.
- Lorenzo Menna & Patrizio Tirelli, 2021.
"Risk Premiums, Nominal Rigidities, and Limited Asset Market Participation,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(7), pages 1899-1921, October.
- 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.
- 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.
- Balcilar, Mehmet & Gupta, Rangan & Jooste, Charl & Wohar, Mark E., 2016.
"Periodically collapsing bubbles in the South African stock market,"
Research in International Business and Finance, Elsevier, vol. 38(C), pages 191-201.
- 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.
- 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.
- Jaroslav Borovička & Mark Hendricks & José A. Scheinkman, 2011.
"Risk-Price Dynamics,"
Journal of Financial Econometrics, Oxford University Press, vol. 9(1), pages 3-65, Winter.
- Jaroslav Borovicka & Lars Peter Hansen & Mark Hendricks & Jose A. Scheinkman, 2009. "Risk Price Dynamics," Working Papers 1393, Princeton University, Department of Economics, Econometric Research Program..
- Jaroslav Borovička & Lars Peter Hansen & Mark Hendricks & José A. Scheinkman, 2009. "Risk Price Dynamics," NBER Working Papers 15506, National Bureau of Economic Research, Inc.
- Farmer, Roger & Nourry, Carine & Venditti, Alain, 2013.
"The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World,"
CEPR Discussion Papers
9283, C.E.P.R. Discussion Papers.
- Roger E.A. Farmer & Carine Nourry & Alain Venditti, 2012. "The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World," NBER Working Papers 18647, National Bureau of Economic Research, Inc.
- 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.
- Roger Farmer & Carine Nourry & Alain Venditti, 2014. "The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World," 2014 Meeting Papers 516, Society for Economic Dynamics.
- Roger E.A. Farmer & Carine Nourry & Alain Venditti, 2013. "The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World," Working Papers halshs-00796672, HAL.
- Wendner, Ronald & Goulder, Lawrence H., 2008.
"Status Effects, Public Goods Provision, and the Excess Burden,"
MPRA Paper
8260, University Library of Munich, Germany.
- Wendner, Ronald & Goulder, Lawrence H., 2008. "Status effects, public goods provision, and excess burden," Journal of Public Economics, Elsevier, vol. 92(10-11), pages 1968-1985, October.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2008.
"Multifrequency jump-diffusions: An equilibrium approach,"
Post-Print
hal-00459681, HAL.
- Calvet, Laurent E. & Fisher, Adlai J., 2008. "Multifrequency jump-diffusions: An equilibrium approach," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 207-226, January.
- Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc.
- 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.
- 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.
- S. Rao Aiyagari & Mark Gertler, 1998. ""Overreaction" of Asset Prices in General Equilibrium," NBER Working Papers 6747, National Bureau of Economic Research, Inc.
- S. Rao Aiyagari & Mark Gertler, 1999. ""Overreaction" of Asset Prices in General Equilibrium," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 2(1), pages 3-35, January.
- 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.
- Mark Grinblatt & Matti Keloharju & Seppo Ikaheimo, 2004. "Interpersonal Effects in Consumption: Evidence from the Automobile Purchases of Neighbors," NBER Working Papers 10226, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Richard Dennis, 2008. "Consumption-habits in a new Keynesian business cycle model," Working Paper Series 2008-35, Federal Reserve Bank of San Francisco.
- Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006.
"Risk, Uncertainty and Asset Prices,"
NBER Working Papers
12248, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2009. "Risk, uncertainty, and asset prices," Journal of Financial Economics, Elsevier, vol. 91(1), pages 59-82, January.
- Bekaert, Geert & Xing, Yuhang & Engstrom, Eric, 2006. "Risk, Uncertainty and Asset Prices," CEPR Discussion Papers 5947, C.E.P.R. Discussion Papers.
- Geert Bekaert & Eric Engstrom & Yuhang Xing, 2005. "Risk, uncertainty, and asset prices," Finance and Economics Discussion Series 2005-40, Board of Governors of the Federal Reserve System (U.S.).
- Stephen Ross & Mark Westerfield & Jiang Wang & Leonid Kogan, 2009.
"Market Selection,"
2009 Meeting Papers
274, Society for Economic Dynamics.
- Leonid Kogan & Stephen Ross & Jiang Wang & Mark M. Westerfield, 2009. "Market Selection," NBER Working Papers 15189, National Bureau of Economic Research, Inc.
- Kogan, Leonid & Ross, Stephen A. & Wang, Jiang & Westerfield, Mark M., 2017. "Market selection," Journal of Economic Theory, Elsevier, vol. 168(C), pages 209-236.
- González, Mariano & Nave, Juan & Rubio, Gonzalo, 2018. "Macroeconomic determinants of stock market betas," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 26-44.
- 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.
- Jean-Pierre Danthine & John B. Donaldson & Christos Giannikos & Hany Guirguis, 2004. "On the Consequences of State Dependent Preferences for the Pricing of Financial Assets," FAME Research Paper Series rp73, International Center for Financial Asset Management and Engineering.
- Danthine, Jean-Pierre & Donaldson, John B. & Giannikos, Christos & Guirguis, Hany, 2004. "On the consequences of state dependent preferences for the pricing of financial assets," Finance Research Letters, Elsevier, vol. 1(3), pages 143-153, September.
- Danthine, Jean-Pierre & Donaldson, John B & Giannikos, Chrisos & Guirguis, Hany, 2003. "On the Consequences of State Dependent Preferences for the Pricing of Financial Assets," CEPR Discussion Papers 3697, C.E.P.R. Discussion Papers.
- Aysun, Uluc, 2008. "Automatic stabilizer feature of fixed exchange rate regimes," Emerging Markets Review, Elsevier, vol. 9(4), pages 302-328, December.
- 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.
- 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.
- Bing Han & David Hirshleifer & Johan Walden, 2023. "Visibility Bias in the Transmission of Consumption Beliefs and Undersaving," Journal of Finance, American Finance Association, vol. 78(3), pages 1647-1704, June.
- Yongseung Jung, 2010. "Asset Market Structures and Monetary Policy in a Small Open Economy," Macroeconomics Working Papers 22811, East Asian Bureau of Economic Research.
- 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.
- Fagan, Gabriel & Gaspar, Vítor, 2007.
"Adjusting to the euro,"
Working Paper Series
716, European Central Bank.
- Gabriel Fagan, 2007. "Adjusting to the Euro," Working Papers w200703, Banco de Portugal, Economics and Research Department.
- 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.).
- Thomas Tallarini & Harold Zhang, "undated". "External Habit and the Cyclicality of Expected Stock Returns," GSIA Working Papers 1997-26, Carnegie Mellon University, Tepper School of Business.
- Thomas D. Tallarini, Jr. & Harold H. Zhang, 2005. "External Habit and the Cyclicality of Expected Stock Returns," The Journal of Business, University of Chicago Press, vol. 78(3), pages 1023-1048, May.
- 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.
- 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.
- Marcus H. Miller & Paul Weller & Lei Zhang, 2002.
"Moral Hazard and the US Stockmarket: Analyzing the "Greenspan Put","
Working Paper Series
WP02-1, Peterson Institute for International Economics.
- 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.
- Rob Alessie & Federica Teppa, 2002.
"Saving and Habit Formation: Evidence from Dutch Panel Data,"
Tinbergen Institute Discussion Papers
02-076/3, Tinbergen Institute.
- Rob Alessie & Federica Teppa, 2010. "Saving and habit formation: evidence from Dutch panel data," Empirical Economics, Springer, vol. 38(2), pages 385-407, April.
- Alessie, R.J.M. & Teppa, F., 2002. "Saving and Habit Formation : Evidence from Dutch Panel Data," Discussion Paper 2002-62, Tilburg University, Center for Economic Research.
- 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.
- Adrien Verdelhan, 2006.
"A Habit-Based Explanation of the Exchange Rate Risk Premium,"
Computing in Economics and Finance 2006
217, Society for Computational Economics.
- Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series WP2006-047, Boston University - Department of Economics.
- Adrien Verdelhan, 2010. "A Habit‐Based Explanation of the Exchange Rate Risk Premium," Journal of Finance, American Finance Association, vol. 65(1), pages 123-146, February.
- Adrien Verdelhan, 2005. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series WP2005-032, Boston University - Department of Economics.
- Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," 2006 Meeting Papers 872, Society for Economic Dynamics.
- 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.
- Vasilev, Aleksandar, 2018. "Are habits important for the propagation of business cycle fluctuations in Bulgaria?," EconStor Preprints 182501, ZBW - Leibniz Information Centre for Economics.
- Konstantinos Angelopoulos & Spyridon Lazarakis & Jim Malley, 2019.
"The Distributional Effects of Peer and Aspirational Pressure,"
CESifo Working Paper Series
7838, CESifo.
- Konstantinos Angelopoulos & Spyridon Lazarakis & James Malley, 2019. "The distributional effects of peer and aspirational pressure," Working Papers 2019_06, Business School - Economics, University of Glasgow.
- Kevin J. Lansing, 2011.
"Asset pricing with concentrated ownership of capital,"
Working Paper Series
2011-07, Federal Reserve Bank of San Francisco.
- Kevin J. Lansing, 2011. "Asset pricing with concentrated ownership of capital," Working Paper 2011/18, Norges Bank.
- 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.
- William T. Smith & Qiang Zhang, 2006. "Asset Pricing With Multiplicative Habit and Power-Expo Preferences," CIRJE F-Series CIRJE-F-429, CIRJE, Faculty of Economics, University of Tokyo.
- Martin Lettau & Sydney C. Ludvigson, 1999.
"Consumption, aggregate wealth and expected stock returns,"
Staff Reports
77, Federal Reserve Bank of New York.
- Lettau, Martin & Ludvigson, Sydney, 1999. "Consumption, Aggregate Wealth and Expected Stock Returns," CEPR Discussion Papers 2223, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney Ludvigson, 2001. "Consumption, Aggregate Wealth, and Expected Stock Returns," Journal of Finance, American Finance Association, vol. 56(3), pages 815-849, June.
- 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.
- Alain Abou & Georges Prat, 2009. "The dynamics of U.S. equity risk premia: lessons from professionals'view," Working Papers hal-04140869, HAL.
- 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.
- Andrew E. Clark & Conchita d'Ambrosio, 2014. "Attitudes to Income Inequality: Experimental and Survey Evidence," Working Papers halshs-00967938, HAL.
- Andrew E. Clark & Conchita d'Ambrosio, 2014. "Attitudes to Income Inequality: Experimental and Survey Evidence," PSE Working Papers halshs-00967938, HAL.
- Clark, Andrew E. & D'Ambrosio, Conchita, 2014. "Attitudes to Income Inequality: Experimental and Survey Evidence," IZA Discussion Papers 8136, Institute of Labor Economics (IZA).
- Andrew E. Clark & Conchita d'Ambrosio, 2015. "Attitudes to Income Inequality: Experimental and Survey Evidence," Post-Print halshs-01109066, HAL.
- Friedman, Daniel & Ostrov, Daniel N., 2008. "Conspicuous consumption dynamics," Games and Economic Behavior, Elsevier, vol. 64(1), pages 121-145, September.
- 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 EconomÃa.
- 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.
- Schrimpf, Andreas, 2008.
"International Stock Return Predictability Under Model Uncertainty,"
ZEW Discussion Papers
08-048, ZEW - Leibniz Centre for European Economic Research.
- Schrimpf, Andreas, 2010. "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1256-1282, November.
- Paul Ehling & Christian Heyerdahl-Larsen, 2017.
"Correlations,"
Management Science, INFORMS, vol. 63(6), pages 1919-1937, June.
- Paul Ehling & Christian Heyerdahl-Larsen, 2014. "Correlations," Working Papers 1413, Banco de España.
- 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.
- Kandel, Shmuel & Kuznitz, Arik, 2004. "A Portfolio Choice Model with Utility from Anticipation of Future Consumption and Stock Markets' Mean Reversion," CEPR Discussion Papers 4701, C.E.P.R. Discussion Papers.
- 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.
- Inge van den Bijgaart, 2018. "Too Slow a Change? Deep Habits, Consumption Shifts and Transitory Tax Policy," CESifo Working Paper Series 6958, CESifo.
- Olivier Cardi & Gernot J. Muller, 2010.
"Habit Formation and Fiscal Transmission in Open Economies,"
Working Papers
hal-00544484, HAL.
- Cardi, Olivier & Müller, Gernot J., 2011. "Habit formation and fiscal transmission in open economies," Journal of International Economics, Elsevier, vol. 85(2), pages 256-267.
- Müller, Gernot & Cardi, Olivier, 2010. "Habit Formation and Fiscal Transmission in Open Economies," CEPR Discussion Papers 8035, C.E.P.R. Discussion Papers.
- Paolo Gelain & Kevin J. Lansing, 2013.
"House prices, expectations, and time-varying fundamentals,"
Working Paper
2013/05, Norges Bank.
- Gelain, Paolo & Lansing, Kevin J., 2014. "House prices, expectations, and time-varying fundamentals," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 3-25.
- Paolo Gelain & Kevin J. Lansing, 2013. "House Prices, Expectations, and Time-Varying Fundamentals," Working Paper Series 2013-03, Federal Reserve Bank of San Francisco.
- Aronsson, Thomas & Johansson-Stenman, Olof, 2014.
"Genuine Saving and Conspicuous Consumption,"
Working Papers in Economics
605, University of Gothenburg, Department of Economics.
- Aronsson, Thomas & Johansson-Stenman, Olof, 2016. "Genuine Saving and Conspicuous Consumption," Working Papers in Economics 641, University of Gothenburg, Department of Economics.
- Aronsson, Thomas & Johansson-Stenman, Olof, 2014. "Genuine Saving and Conspicuous Consumption," Umeå Economic Studies 900, Umeå University, Department of Economics.
- John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014.
"Macroeconomic Drivers of Bond and Equity Risks,"
NBER Working Papers
20070, National Bureau of Economic Research, Inc.
- 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.
- John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2020. "Macroeconomic Drivers of Bond and Equity Risks," Journal of Political Economy, University of Chicago Press, vol. 128(8), pages 3148-3185.
- Francisco Gomes & Alexander Michaelides & Yuxin Zhang, 2022. "Tactical Target Date Funds," Management Science, INFORMS, vol. 68(4), pages 3047-3070, April.
- Geert Bekaert & Eric Engstrom, 2009.
"Inflation and the Stock Market:Understanding the "Fed Model","
NBER Working Papers
15024, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Engstrom, Eric, 2010. "Inflation and the stock market: Understanding the "Fed Model"," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 278-294, April.
- Geert Bekaert & Eric Engstrom, 2009. "Inflation and the stock market: Understanding the “Fed Model”," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
- Sang Byung Seo & Jessica A. Wachter, 2016. "Do Rare Events Explain CDX Tranche Spreads?," NBER Working Papers 22723, National Bureau of Economic Research, Inc.
- Willman, Alpo, 2003. "Consumption, habit persistence, imperfect information and the lifetime budget constraint," Working Paper Series 251, European Central Bank.
- 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.
- Beber, Alessandro & Brandt, Michael W., 2006. "The effect of macroeconomic news on beliefs and preferences: Evidence from the options market," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1997-2039, November.
- Alessandro BEBER & Michael W. BRANDT, 2004. "The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market," FAME Research Paper Series rp105, International Center for Financial Asset Management and Engineering.
- 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.
- Olkhov, Victor, 2019.
"Econophysics of Asset Price, Return and Multiple Expectations,"
MPRA Paper
91587, University Library of Munich, Germany.
- Victor Olkhov, 2019. "Econophysics of Asset Price, Return and Multiple Expectations," Papers 1901.05024, arXiv.org, revised Sep 2020.
- 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.
- 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.
- Atanasov, Victoria, 2021. "Unemployment and aggregate stock returns," Journal of Banking & Finance, Elsevier, vol. 129(C).
- Ronald Wendner, 2009.
"Conspicuous Consumption and Overlapping Generations?,"
EERI Research Paper Series
EERI_RP_2009_05, Economics and Econometrics Research Institute (EERI), Brussels.
- Wendner, Ronald, 2009. "Conspicuous Consumption and Overlapping Generations," MPRA Paper 15527, University Library of Munich, Germany.
- 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.
- Kozicki, Sharon & Tinsley, P. A., 2002. "Dynamic specifications in optimizing trend-deviation macro models," Journal of Economic Dynamics and Control, Elsevier, vol. 26(9-10), pages 1585-1611, August.
- Glenn D. Rudebusch, 2010.
"Macro‐Finance Models Of Interest Rates And The Economy,"
Manchester School, University of Manchester, vol. 78(s1), pages 25-52, September.
- Glenn D. Rudebusch, 2010. "Macro-finance models of interest rates and the economy," Working Paper Series 2010-01, Federal Reserve Bank of San Francisco.
- Laurent E. Calvet & Adlai J. Fisher, 2005.
"Multifrequency News and Stock Returns,"
NBER Working Papers
11441, National Bureau of Economic Research, Inc.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2007. "Multifrequency news and stock returns," Post-Print hal-00459675, HAL.
- Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2011. "Multifrequency News and Stock Returns," Working Papers hal-00591678, HAL.
- 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.
- Michael Weber & Christian Dorion & Alexandre Jeanneret & Harjoat Bhamra, 2017. "Deflation, Sticky Leverage and Asset Prices," 2017 Meeting Papers 796, Society for Economic Dynamics.
- 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.
- Harjoat S. Bhamra & Lars-Alexander Kuehn & Ilya A. Strebulaev, 2010. "The Levered Equity Risk Premium and Credit Spreads: A Unified Framework," The Review of Financial Studies, Society for Financial Studies, vol. 23(2), pages 645-703, February.
- 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-.
- 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).
- Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2010. "Saving Rates and Portfolio Choice with Subsistence Consumption," Discussion Papers 10/01, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
- Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2012. "Saving Rates and Portfolio Choice with Subsistence Consumption," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(1), pages 108-126, January.
- 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.
- Robin Greenwood & Samuel G. Hanson, 2010. "Issuer Quality and Corporate Bond Returns," Harvard Business School Working Papers 11-065, Harvard Business School.
- 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.
- Adam, Klaus & Beutel, Johannes & Marcet, Albert, 2014.
"Stock price booms and expected capital gains,"
Working Papers
14-12, University of Mannheim, Department of Economics.
- Klaus Adam & Albert Marcet & Johannes Beutel, 2015. "Stock Price Booms and Expected Capital Gains," Working Papers 757, Barcelona School of Economics.
- 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).
- Marcet, Albert & Adam, Klaus & Beutel, Johannes, 2014. "Stock Price Booms and Expected Capital Gains," CEPR Discussion Papers 9988, C.E.P.R. Discussion Papers.
- Klaus Adam & Albert Marcet & Johannes Beutel, 2017. "Stock Price Booms and Expected Capital Gains," American Economic Review, American Economic Association, vol. 107(8), pages 2352-2408, August.
- 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.
- Huang-Meier, Winifred & Freeman, Mark C., 2015. "Aggregate dividends and consumption smoothing," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 324-335.
- 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.
- Venky Venkateswaran, 2023. "Comment on "Long Term Expectations and Aggregate Fluctuations"," NBER Chapters, in: NBER Macroeconomics Annual 2023, volume 38, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Engstrom, Eric, 2010.
"Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals,"
CEPR Discussion Papers
8150, C.E.P.R. Discussion Papers.
- Geert Bekaert & Eric Engstrom, 2009. "Asset Return Dynamics under Bad Environment Good Environment Fundamentals," NBER Working Papers 15222, National Bureau of Economic Research, Inc.
- 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).
- Ferrari Massimo, & Pagliari Maria Sole,, 2021. "No country is an island. International cooperation and climate change," Working papers 815, Banque de France.
- Pagliari, Maria Sole & Ferrari Minesso, Massimo, 2021. "No country is an island: international cooperation and climate change," Working Paper Series 2568, European Central Bank.
- 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.
- 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).
- Konstantinos Angelopoulos & Stylianos Asimakopoulos & James Malley, 2013. "The optimal distribution of the tax burden over the business cycle," Working Papers 2013_16, Business School - Economics, University of Glasgow.
- Angelopoulos, Konstantinos & Asimakopoulos, Stylianos & Malley, James, 2019. "The Optimal Distribution Of The Tax Burden Over The Business Cycle," Macroeconomic Dynamics, Cambridge University Press, vol. 23(6), pages 2298-2337, September.
- Angelopoulos, Konstantinos & Asimakopoulos, Stylianosulos & Malley, James, 2013. "The Optimal Distribution of the Tax Burden over the Business Cycle," SIRE Discussion Papers 2013-80, Scottish Institute for Research in Economics (SIRE).
- Konstantinos Angelopoulos & Stylianos Asimakopoulos & Jim Malley, 2013. "The Optimal Distribution of the Tax Burden over the Business Cycle," CESifo Working Paper Series 4468, CESifo.
- 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.
- Bernard Dumas & Alexander Kurshev & Raman Uppal, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," Swiss Finance Institute Research Paper Series 07-37, Swiss Finance Institute.
- Uppal, Raman & Dumas, Bernard & Kurshev, Alexander, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," CEPR Discussion Papers 6455, C.E.P.R. Discussion Papers.
- Bernard Dumas & Alexander Kurshev & Raman Uppal, 2009. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," Journal of Finance, American Finance Association, vol. 64(2), pages 579-629, April.
- Alvarez, Fernando & Jermann, Urban J., 2000.
"Using Asset Prices to Measure the Cost of Business Cycles,"
Working Papers
00-1, University of Pennsylvania, Wharton School, Weiss Center.
- 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.
- Fernando Alvarez & Urban J. Jermann, 2004. "Using Asset Prices to Measure the Cost of Business Cycles," Journal of Political Economy, University of Chicago Press, vol. 112(6), pages 1223-1256, December.
- Alvarez, F. & Jermann, U.J., 2000. "Using Asset Prices to Measure the Cost of Business Cycles," Weiss Center Working Papers 00-1, Wharton School - Weiss Center for International Financial Research.
- 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.
- Jeffrey R. Brown & Zoran Ivković & Paul A. Smith & Scott Weisbenner, 2004. "The geography of stock market participation: the influence of communities and local firms," Finance and Economics Discussion Series 2004-22, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- V. Anton Muscatelli & Patrizio Tirelli & Carmine Trecroci, 2004. "Fiscal and Monetary Policy Interactions in a New Keynesian Model with Liquidity Constraints," CDMA Conference Paper Series 0402, Centre for Dynamic Macroeconomic Analysis.
- V. Anton Muscatelli & Patrizio Tirelli & Carmine Trescroci, 2003. "Fiscal and Monetary policy Interactions in a New Keynesian Model with Liquidity Constraints," Working Papers 2005_19, Business School - Economics, University of Glasgow, revised Apr 2005.
- Andreasen, Martin & Ferman, Marcelo & Zabczyk, Pawel, 2012.
"The business cycle implications of banks’ maturity transformation,"
Bank of England working papers
446, Bank of England.
- Zabczyk, Pawel & Andreasen, Martin M. & Ferman, Marcelo, 2012. "The business cycle implications of banks' maturity transformation," Working Paper Series 1489, European Central Bank.
- 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.
- 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.
- Maurice J. Roche & Michael J. Moore, 2007. "Solving Exchange Rate Puzzles with neither Sticky Prices nor Trade Costs," Economics Department Working Paper Series n1750507, Department of Economics, National University of Ireland - Maynooth.
- Maurice J. Roche & Michael J. Moore, 2009. "Solving Exchange Rate Puzzles with neither Sticky Prices nor Trade Costs," Working Papers 001, Ryerson University, Department of Economics.
- 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.
- Kevin J. Lansing & Stephen F. LeRoy & Jun Ma, 2022. "Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?," Working Paper Series 2018-14, Federal Reserve Bank of San Francisco.
- Rui Albuquerque & Martin S. Eichenbaum & Sergio Rebelo, 2012.
"Valuation Risk and Asset Pricing,"
NBER Working Papers
18617, National Bureau of Economic Research, Inc.
- Eichenbaum, Martin & Rebelo, Sérgio & Albuquerque, Rui, 2012. "Valuation Risk and Asset Pricing," CEPR Discussion Papers 9262, C.E.P.R. Discussion Papers.
- Rui Albuquerque & Martin Eichenbaum & Victor Xi Luo & Sergio Rebelo, 2016. "Valuation Risk and Asset Pricing," Journal of Finance, American Finance Association, vol. 71(6), pages 2861-2904, December.
- Christopher D. Carroll & Jody Overland & David N. Weil, 1997.
"Comparison Utility in a Growth Model,"
NBER Working Papers
6138, National Bureau of Economic Research, Inc.
- Carroll, Christopher D & Overland, Jody & Weil, David N, 1997. "Comparison Utility in a Growth Model," Journal of Economic Growth, Springer, vol. 2(4), pages 339-367, December.
- 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.
- Marcet, Albert & Nicolini, Juan Pablo & Adam, Klaus, 2007.
"Stock Market Volatility and Learning,"
CEPR Discussion Papers
6518, C.E.P.R. Discussion Papers.
- Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2015. "Stock Market Volatility and Learning," Working Papers 720, Federal Reserve Bank of Minneapolis.
- Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2011. "Stock Market Volatility and Learning," CEP Discussion Papers dp1077, Centre for Economic Performance, LSE.
- Albert Marcet & Klaus Adam & Juan Pablo Nicolini, 2008. "Stock Market Volatility and Learning," UFAE and IAE Working Papers 732.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2016. "Stock Market Volatility and Learning," Journal of Finance, American Finance Association, vol. 71(1), pages 33-82, February.
- Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2014. "Stock Market Volatility and Learning," Working Papers 336, Barcelona School of Economics.
- Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo, 2008. "Stock market volatility and learning," Working Paper Series 862, European Central Bank.
- 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.
- Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo, 2012. "Stock Market Volatility and Learning," Working Papers 12-06, University of Mannheim, Department of Economics.
- Michael Waugh & Fernando Leibovici, 2010.
"Cyclical Fluctuations in International Trade Volumes,"
2010 Meeting Papers
1095, Society for Economic Dynamics.
- Fernando Leibovici & Michael E. Waugh, 2014. "International Trade and Intertemporal Substitution," NBER Working Papers 20498, National Bureau of Economic Research, Inc.
- Fernando Leibovici & Michael E. Waugh, 2016. "International Trade and Intertemporal Substitution," Working Papers 2017-4, Federal Reserve Bank of St. Louis.
- Fernando Leibovici & Michael E. Waugh, 2014. "International Trade and Intertemporal Substitution," Working Papers 2014_5, York University, Department of Economics.
- Efdal Ulas Misirli, 2018. "Productivity Risk and Industry Momentum," Financial Management, Financial Management Association International, vol. 47(3), pages 739-774, September.
- Pierre-Olivier Gourinchas & Hélène Rey, 2013.
"External Adjustment, Global Imbalances and Valuation Effects,"
NBER Working Papers
19240, National Bureau of Economic Research, Inc.
- Rey, Hélène & Gourinchas, Pierre-Olivier, 2013. "External Adjustment, Global Imbalances and Valuation Effects," CEPR Discussion Papers 9566, C.E.P.R. Discussion Papers.
- 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.
- Rudebusch, Glenn D. & Swanson, Eric T., 2008. "Examining the bond premium puzzle with a DSGE model," Journal of Monetary Economics, Elsevier, vol. 55(Supplemen), pages 111-126, October.
- Galvani, Valentina, 2021.
"The value premium during flights,"
Finance Research Letters, Elsevier, vol. 39(C).
- Galvani, Valentina, 2018. "The Value Premium During Flights," Working Papers 2018-18, University of Alberta, Department of Economics.
- 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-.
- Rosenberg, Joshua V. & Engle, Robert F., 2002. "Empirical pricing kernels," Journal of Financial Economics, Elsevier, vol. 64(3), pages 341-372, June.
- Laine, Olli-Matti, 2022. "Evidence about the transmission of monetary policy," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number e53.
- 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).
- 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.
- Alessandro Giovannelli & Daniele Massacci & Stefano Soccorsi, 2020. "Forecasting Stock Returns with Large Dimensional Factor Models," Working Papers 305661169, Lancaster University Management School, Economics Department.
- Kåre Johansen & Bjarne Strøm, 2001. "Efficiency Wages, Interfirm Comparison, and Unemployment," Southern Economic Journal, John Wiley & Sons, vol. 68(2), pages 387-402, October.
- Grant Simon & Quiggin John, 2005. "What Does the Equity Premium Mean?," The Economists' Voice, De Gruyter, vol. 2(4), pages 1-7, September.
- Díaz, Antonio & Esparcia, Carlos, 2021.
"Dynamic optimal portfolio choice under time-varying risk aversion,"
International Economics, Elsevier, vol. 166(C), pages 1-22.
- Antonio Díaz & Carlos Esparcia, 2021. "Dynamic optimal portfolio choice under time-varying risk aversion," International Economics, CEPII research center, issue 166, pages 1-22.
- 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).
- 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.
- Falconio, Andrea & Manganelli, Simone, 2020. "Financial conditions, business cycle fluctuations and growth at risk," Working Paper Series 2470, European Central Bank.
- Koehne, Sebastian & Kuhn, Moritz, 2015.
"Optimal taxation in a habit formation economy,"
Journal of Public Economics, Elsevier, vol. 122(C), pages 31-39.
- Sebastian Koehne & Moritz Kuhn, 2014. "Optimal Taxation in a Habit Formation Economy," CESifo Working Paper Series 4581, CESifo.
- Calvet, Laurent-Emmanuel & Sodini, Paolo, 2011.
"Twin picks: disentangling the determinants of risk-taking in household portfolios,"
HEC Research Papers Series
948, HEC Paris.
- Laurent E. Calvet & Paolo Sodini, 2010. "Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios," NBER Working Papers 15859, National Bureau of Economic Research, Inc.
- Laurent E. Calvet & Paolo Sodini, 2014. "Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios," Journal of Finance, American Finance Association, vol. 69(2), pages 867-906, April.
- Calvet, Laurent E. & Sodini, Paolo, 2013. "Twin picks: Disentangling the determinants of risk-taking in household portfolios," SAFE Working Paper Series 13, Leibniz Institute for Financial Research SAFE.
- Laurent-Emmanuel Calvet & Paolo Sodini, 2011. "Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios," Working Papers hal-00625504, HAL.
- 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.
- 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.
- 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.
- 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.
- 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.
- Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, "undated".
"X-CAPM: An Extrapolative Capital Asset Pricing Model,"
Working Paper
86521, Harvard University OpenScholar.
- Barberis, Nicholas & Greenwood, Robin & Jin, Lawrence & Shleifer, Andrei, 2015. "X-CAPM: An extrapolative capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 115(1), pages 1-24.
- Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, 2013. "X-CAPM: An Extrapolative Capital Asset Pricing Model," NBER Working Papers 19189, National Bureau of Economic Research, Inc.
- Adrien Verdelhan, 2012.
"The Share of Systematic Variation in Bilateral Exchange Rates,"
2012 Meeting Papers
763, Society for Economic Dynamics.
- Adrien Verdelhan, 2018. "The Share of Systematic Variation in Bilateral Exchange Rates," Journal of Finance, American Finance Association, vol. 73(1), pages 375-418, February.
- Michael D. Bauer & Glenn D. Rudebusch, 2020.
"Interest Rates under Falling Stars,"
American Economic Review, American Economic Association, vol. 110(5), pages 1316-1354, May.
- Michael D. Bauer & Glenn D. Rudebusch, 2017. "Interest Rates Under Falling Stars," CESifo Working Paper Series 6571, CESifo.
- Michael D. Bauer & Glenn D. Rudebusch, 2019. "Interest Rates Under Falling Stars," Working Paper Series 2017-16, Federal Reserve Bank of San Francisco.
- Hong, Sanghyun, 2022. "Transactions costs and the equity premium puzzle," Finance Research Letters, Elsevier, vol. 49(C).
- Falato, Antonio, 2009.
"Happiness maintenance and asset prices,"
Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1247-1262, June.
- Antonio Falato, 2008. "Happiness maintenance and asset prices," Finance and Economics Discussion Series 2008-19, Board of Governors of the Federal Reserve System (U.S.).
- Antonio Falato, 2003. "Happiness Maintenance and Asset Prices," Finance 0310003, University Library of Munich, Germany.
- Velculescu, Delia, 2011. "Consumption habits in an overlapping-generations model," Economics Letters, Elsevier, vol. 111(2), pages 127-130, May.
- Rodrigo Fuentes & Fabián Gredig, 2007. "Estimating the Chilean Natural Rate of Interest," Working Papers Central Bank of Chile 448, Central Bank of Chile.
- 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.
- 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.
- Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
- 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).
- Christian Pierdzioch & Serkan Yener, 2007. "On the hump-shaped output effect of monetary policy in an open economy," International Economics and Economic Policy, Springer, vol. 4(1), pages 1-13, April.
- 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.
- 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.
- Arturo Extrella & Jeffrey C. Fuhrer, 1998. "Dynamic inconsistencies: counterfactual implications of a class of rational expectations models," Working Papers 98-5, Federal Reserve Bank of Boston.
- 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.
- Paul Söderlind, 2006. "C-CAPM Refinements and the Cross-Section of Returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(1), pages 49-73, April.
- Wendner, Ronald, 2010. "Ramsey, Pigou, and a Consumption Externality," MPRA Paper 21356, University Library of Munich, Germany.
- François Gourio, 2013.
"Credit Risk and Disaster Risk,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
- Gourio, Francois, 2011. "Credit Risk and Disaster Risk," CEPR Discussion Papers 8201, C.E.P.R. Discussion Papers.
- François Gourio, 2012. "Credit risk and disaster risk," Working Paper Series WP-2012-07, Federal Reserve Bank of Chicago.
- Francois Gourio, 2011. "Credit Risk and Disaster Risk," NBER Working Papers 17026, National Bureau of Economic Research, Inc.
- Francois Gourio, 2010. "Credit risk and Disaster risk," 2010 Meeting Papers 112, Society for Economic Dynamics.
- Jules H. van Binsbergen & Ralph S.J. Koijen, 2015.
"The Term Structure of Returns: Facts and Theory,"
NBER Working Papers
21234, National Bureau of Economic Research, Inc.
- Koijen, Ralph & van Binsbergen, Jules, 2015. "The Term Structure of Returns: Facts and Theory," CEPR Discussion Papers 10633, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018.
"Market Timing with Moving Averages,"
Sustainability, MDPI, vol. 10(7), pages 1-25, June.
- 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.
- 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.
- Hui Guo & Robert Savickas & Zijun Wang & Jian Yang, 2006. "Is value premium a proxy for time-varying investment opportunities: some time series evidence," Working Papers 2005-026, Federal Reserve Bank of St. Louis.
- 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.
- Thomas Tallarini, "undated".
"Risk-Sensitive Real Business Cycles,"
GSIA Working Papers
1997-35, Carnegie Mellon University, Tepper School of Business.
- TallariniJr., Thomas D., 2000. "Risk-sensitive real business cycles," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 507-532, June.
- Adam, Klaus & Nagel, Stefan & Matveev, Dmitry, 2018.
"Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?,"
CEPR Discussion Papers
13213, C.E.P.R. Discussion Papers.
- Adam, Klaus & Matveev, Dmitry & Nagel, Stefan, 2021. "Do survey expectations of stock returns reflect risk adjustments?," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 723-740.
- Adam, Klaus & Matveev, Dmitry & Nagel, Stefan, 2018. "Do survey expectations of stock returns reflect risk-adjustments?," CFS Working Paper Series 600, Center for Financial Studies (CFS).
- Klaus Adam & Dmitry Matveev & Stefan Nagel, 2019. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," 2019 Meeting Papers 641, Society for Economic Dynamics.
- Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CESifo Working Paper Series 7285, CESifo.
- 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.
- Klaus Adam & Dmitry Matveev & Stefan Nagel, 2019. "Do Survey Expectations of Stock Returns Reflect Risk Adjustments?," Staff Working Papers 19-11, Bank of Canada.
- Campbell, John & Cochrane, John H., 1999.
"By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior,"
Scholarly Articles
3119444, Harvard University Department of Economics.
- 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.
- 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.
- 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.
- 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.
- Hirshleifer, David, 2001.
"Investor Psychology and Asset Pricing,"
MPRA Paper
5300, University Library of Munich, Germany.
- David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
- 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.
- Cotter, John & Hanly, Jim, 2010.
"Time-varying risk aversion: An application to energy hedging,"
Energy Economics, Elsevier, vol. 32(2), pages 432-441, March.
- John Cotter & Jim Hanly, 2011. "Time Varying Risk Aversion: An Application to Energy Hedging," Papers 1103.5968, arXiv.org.
- John Cotter & Jim Hanly, 2010. "Time Varying Risk Aversion: An Application to Energy Hedging," Working Papers 201007, Geary Institute, University College Dublin.
- 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.
- 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.
- 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.
- Tsiakas, Ilias & Li, Jiahan & Zhang, Haibin, 2020. "Equity premium prediction and the state of the economy," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 75-95.
- Bertram Düring, 2009.
"Asset pricing under information with stochastic volatility,"
Review of Derivatives Research, Springer, vol. 12(2), pages 141-167, July.
- Düring, Bertram, 2008. "Asset pricing under information with stochastic volatility," CoFE Discussion Papers 08/04, University of Konstanz, Center of Finance and Econometrics (CoFE).
- 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).
- 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.
- Liu, Zheng & Waggoner, Daniel F. & Zha, Tao, 2007. "Asymmetric Expectation Effects of Regime Shifts and the Great Moderation," Kiel Working Papers 1357, Kiel Institute for the World Economy (IfW Kiel).
- Zheng Liu & Daniel F. Waggoner & Tao Zha, 2007. "Asymmetric expectation effects of regime shifts and the Great Moderation," FRB Atlanta Working Paper 2007-23, Federal Reserve Bank of Atlanta.
- 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.
- Devereux, Michael B. & Sutherland, Alan, 2010. "Valuation effects and the dynamics of net external assets," Journal of International Economics, Elsevier, vol. 80(1), pages 129-143, January.
- Sutherland, Alan & Devereux, Michael B, 2009. "Valuation Effects and the Dynamics of Net External Assets," CEPR Discussion Papers 7273, C.E.P.R. Discussion Papers.
- Ortiz, Marco, 2013. "Learning Through the Yield Curve," Working Papers 2013-018, Banco Central de Reserva del Perú.
- 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).
- De Rezende, Rafael B. & Ristiniemi, Annukka, 2023. "A shadow rate without a lower bound constraint," Journal of Banking & Finance, Elsevier, vol. 146(C).
- B De Rezende, Rafael & Ristiniemi, Annukka, 2020. "A shadow rate without a lower bound constraint," Bank of England working papers 864, Bank of England.
- 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.
- Adrian Ma, 2006. "Time-varying Risk Premium in the Forward Exchange Rate," EcoMod2006 272100057, EcoMod.
- Erdem Basci & Mehmet Fatih Ekinci, 2004.
"Bond Premium in Turkey,"
Macroeconomics
0409007, University Library of Munich, Germany.
- Erdem Basci, 2002. "Bond Premium in Turkey," Working Papers 0207, Department of Economics, Bilkent University.
- Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Staff Working Papers 14-13, Bank of Canada.
- 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.
- 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.
- 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.).
- Amisano, Gianni & Tristani, Oreste, 2019. "Uncertainty shocks, monetary policy and long-term interest rates," Working Paper Series 2279, European Central Bank.
- 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.
- Martin Lettau & Sydney Ludvigson, 2003. "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," NBER Working Papers 9848, National Bureau of Economic Research, Inc.
- Ivan Jaccard, 2010. "Asset Pricing and Housing Supply in a Production Economy," 2010 Meeting Papers 605, Society for Economic Dynamics.
- 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.
- Vasilev, Aleksandar, 2019. "Are habits in consumption important for the propagation of business cycle fluctuations in Bulgaria?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 11(3), pages 133-151.
- 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.
- Anisha Ghosh & Christian Julliard, 2011. "What is the Consumption-CAPM missing? An informative-Theoretic Framework for the Analysis of Asset Pricing Models," FMG Discussion Papers dp691, Financial Markets Group.
- Ghosh, Anisha & Julliard, Christian & Taylor, Alex. P, 2017. "What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models," LSE Research Online Documents on Economics 65131, London School of Economics and Political Science, LSE Library.
- Ghosh, Anisha & Julliard, Christian & Taylor, Alex, 2011. "What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models," LSE Research Online Documents on Economics 119061, London School of Economics and Political Science, LSE Library.
- Hlouskova, Jaroslava & Tsigaris, Panagiotis, 2012.
"Capital Income Taxation and Risk Taking under Prospect Theory,"
Economics Series
283, Institute for Advanced Studies.
- 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.
- Berk, Jonathan B. & van Binsbergen, Jules H., 2015.
"Assessing Asset Pricing Models Using Revealed Preference,"
Research Papers
3130, Stanford University, Graduate School of Business.
- Jonathan B. Berk & Jules H. van Binsbergen, 2014. "Assessing Asset Pricing Models Using Revealed Preference," NBER Working Papers 20435, National Bureau of Economic Research, Inc.
- 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.
- James Yetman & Gregor W. Smith, 2007. "The Curse Of Irving Fisher (professional Forecasters' Version)," Working Paper 1144, Economics Department, Queen's University.
- 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.
- Lukas Freund & Hanbaek Lee & Pontus Rendahl, 2023. "The Risk-Premium Channel of Uncertainty: Implications for Unemployment and Inflation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 117-137, December.
- Nitschka, Thomas, 2006.
"The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability,"
Technical Reports
2006,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- 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.
- 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.
- 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.
- 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.
- 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.
- Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2020. "The Variance Risk Premium in Equilibrium Models," NBER Working Papers 27108, National Bureau of Economic Research, Inc.
- 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.
- Pedro Bordalo & Nicola Gennaioli & Andrei Shleifer, 2022.
"Overreaction and Diagnostic Expectations in Macroeconomics,"
Journal of Economic Perspectives, American Economic Association, vol. 36(3), pages 223-244, Summer.
- Pedro Bordalo & Nicola Gennaioli & Andrei Shleifer, 2022. "Overreaction and Diagnostic Expectations in Macroeconomics," NBER Working Papers 30356, National Bureau of Economic Research, Inc.
- 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.).
- 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.
- Liu, Xiaochun, 2017. "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 1-19.
- Wang, Qin & Ren, Yu & Zou, Yiheng, 2016. "Uninsured expense shocks and equity premia," Economic Modelling, Elsevier, vol. 58(C), pages 64-74.
- 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.
- van Ewijk, Casper & de Groot, Henri L.F. & Santing, A.J. (Coos), 2012. "A meta-analysis of the equity premium," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 819-830.
- Casper van Ewijk & Henri L.F. de Groot & Coos Santing, 2010. "A Meta-Analysis of the Equity Premium," Tinbergen Institute Discussion Papers 10-078/3, Tinbergen Institute.
- Oguzhan Cepni & Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2019.
"Time-Varying Risk Aversion and the Predictability of Bond Premia,"
Working Papers
201906, University of Pretoria, Department of Economics.
- 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).
- Kai Li & Chenjie Xu, 2023. "Asset pricing with a financial sector," Financial Management, Financial Management Association International, vol. 52(1), pages 67-95, March.
- 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.
- 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.
- Zhongjun Qu & Denis Tkachenko, 2015. "Global Identification in DSGE Models Allowing for Indeterminacy," Boston University - Department of Economics - Working Papers Series wp2015-001, Boston University - Department of Economics.
- Stark, Oded & Szczygielski, Krzysztof, 2019.
"The likelihood of divorce and the riskiness of financial decisions,"
University of Tübingen Working Papers in Business and Economics
121, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
- Stark, Oded & Szczygielski, Krzysztof, 2019. "The likelihood of divorce and the riskiness of financial decisions," Discussion Papers 292088, University of Bonn, Center for Development Research (ZEF).
- Stark, Oded & Szczygielski, Krzysztof, 2019. "The likelihood of divorce and the riskiness of financial decisions," Journal of Demographic Economics, Cambridge University Press, vol. 85(3), pages 209-229, September.
- Stark, Oded & Szczygielski, Krzysztof, 2019. "The Likelihood of Divorce and the Riskiness of Financial Decisions," IZA Discussion Papers 12518, Institute of Labor Economics (IZA).
- Oded STARK & Krzysztof SZCZYGIELSKI, 2019. "The Likelihood of Divorce and the Riskiness of Financial Decisions," JODE - Journal of Demographic Economics, Cambridge University Press, vol. 85(3), pages 209-229, September.
- 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.
- Gaffeo, E. & Petrella, I. & Pfajfar, D. & Santoro, E., 2010. "Reference-dependent Preferences and the Transmission of Monetary Policy," Discussion Paper 2010-111, Tilburg University, Center for Economic Research.
- Gaffeo, E. & Petrella, I. & Pfajfar, D. & Santoro, E., 2010. "Reference-dependent Preferences and the Transmission of Monetary Policy," Other publications TiSEM 2d1a9a11-fccf-42ef-8779-3, Tilburg University, School of Economics and Management.
- Gaffeo, E. & Petrella, I. & Pfajfar, D. & Santoro, E., 2010. "Reference-Dependent Preferences and the Transmission of Monetary Policy," Other publications TiSEM 23d33e54-e5c4-4ac3-b6c9-0, Tilburg University, School of Economics and Management.
- 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.
- 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.
- Andrew Atkeson & Patrick J. Kehoe, 2009. "On the Need for a New Approach to Analyzing Monetary Policy," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 389-425, National Bureau of Economic Research, Inc.
- Andrew Atkeson & Patrick J. Kehoe, 2008. "On the need for a new approach to analyzing monetary policy," Staff Report 412, Federal Reserve Bank of Minneapolis.
- Andrew Atkeson & Patrick J. Kehoe, 2008. "On the Need for a New Approach to Analyzing Monetary Policy," NBER Working Papers 14260, National Bureau of Economic Research, Inc.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2008.
"Common Risk Factors in Currency Markets,"
NBER Working Papers
14082, National Bureau of Economic Research, Inc.
- Nick Roussanov & Adrien Verdelhan & Hanno Lustig, 2008. "Common Risk Factors in Currency Markets," 2008 Meeting Papers 711, Society for Economic Dynamics.
- 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.
- 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.
- Chris Edmond & Pierre-Olivier Weill, 2011.
"Aggregate Implications of Micro Asset Market Segmentation,"
Department of Economics - Working Papers Series
1117, The University of Melbourne.
- Chris Edmond & Pierre-Olivier Weill, 2009. "Aggregate Implications of Micro Asset Market Segmentation," NBER Working Papers 15254, National Bureau of Economic Research, Inc.
- Edmond, Chris & Weill, Pierre-Olivier, 2012. "Aggregate implications of micro asset market segmentation," Journal of Monetary Economics, Elsevier, vol. 59(4), pages 319-335.
- Pierre-Olivier Weill & Chris Edmond, 2008. "Aggregate implications of micro asset market segmentation," 2008 Meeting Papers 481, Society for Economic Dynamics.
- 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 EconomÃa.
- Matthew Baron & Wei Xiong, 2016.
"Credit Expansion and Neglected Crash Risk,"
NBER Working Papers
22695, National Bureau of Economic Research, Inc.
- Matthew Baron & Wei Xiong, 2017. "Credit Expansion and Neglected Crash Risk," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(2), pages 713-764.
- Peter Koudijs & Hans-Joachim Voth, 2014.
"Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending,"
NBER Working Papers
19957, National Bureau of Economic Research, Inc.
- Voth, Hans-Joachim & Koudijs, Peter, 2014. "Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending," CEPR Discussion Papers 9920, C.E.P.R. Discussion Papers.
- Peter Koudijs & Joachim Voth, 2013. "Leverage and beliefs: Personal experience and risk taking in margin lending," Economics Working Papers 1343, Department of Economics and Business, Universitat Pompeu Fabra.
- 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.
- Peter Koudijs & Hans-Joachim Voth, 2014. "Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending," ECON - Working Papers 148, Department of Economics - University of Zurich.
- Koudijs, Peter & Voth, Hans-Joachim, 2014. "Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending," Research Papers 3103, Stanford University, Graduate School of Business.
- Dr. Thomas Nitschka & Shajivan Satkurunathan, 2021.
"Habits die hard: implications for bond and stock markets internationally,"
Working Papers
2021-08, Swiss National Bank.
- 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.
- Elisa Faraglia & Albert Marcet & Andrew Scott, 2008.
"In Search of a Theory of Debt Management,"
Working Papers
348, Barcelona School of Economics.
- Faraglia, Elisa & Marcet, Albert & Scott, Andrew, 2010. "In search of a theory of debt management," Journal of Monetary Economics, Elsevier, vol. 57(7), pages 821-836, October.
- Elisa Faraglia & Albert Marcet & Andrew Scott, 2011. "In Search of a Theory of Debt Management," CEP Discussion Papers dp1083, Centre for Economic Performance, LSE.
- 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.
- Albert Marcet & Elisa Faraglia & Andrew Scott, 2008. "In Search of a Theory of Debt Management," UFAE and IAE Working Papers 743.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Faraglia, Elisa & Marcet, Albert & Scott, A., 2011. "In search of a theory of debt management," LSE Research Online Documents on Economics 121745, London School of Economics and Political Science, LSE Library.
- Ghattassi, I., 2013. "Surplus Consumption Ratio and Expected Stock Returns," Working papers 417, Banque de France.
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, June.
- 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.).
- 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.
- Brian J. Hall & Jeffrey B. Liebman, 1997. "Are CEOs Really Paid Like Bureaucrats?," NBER Working Papers 6213, National Bureau of Economic Research, Inc.
- 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.
- Pohl, Walt, 2016. "External habit: Anything goes," Economics Letters, Elsevier, vol. 146(C), pages 140-142.
- 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.
- Souza, Thiago de Oliveira, 2018. "Size-related premiums," Discussion Papers on Economics 3/2018, University of Southern Denmark, Department of Economics.
- 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.
- Mengel, F. & Peeters, R.J.A.P., 2015. "Do markets encourage risk-seeking behaviour?," Research Memorandum 042, Maastricht University, Graduate School of Business and Economics (GSBE).
- Zechner, Josef & Chaderina, Maria & Weiss, Patrick, 2020.
"The Maturity Premium,"
CEPR Discussion Papers
14570, C.E.P.R. Discussion Papers.
- Chaderina, Maria & Weiss, Patrick & Zechner, Josef, 2022. "The maturity premium," Journal of Financial Economics, Elsevier, vol. 144(2), pages 670-694.
- Conchita D'Ambrosio & Joachim R. Frick, 2012.
"Individual Wellbeing in a Dynamic Perspective,"
Economica, London School of Economics and Political Science, vol. 79(314), pages 284-302, April.
- D'Ambrosio, Conchita & Frick, Joachim R., 2007. "Individual Well-Being in a Dynamic Perspective," IZA Discussion Papers 2618, Institute of Labor Economics (IZA).
- Conchita D'Ambrosio & Joachim R. Frick, 2007. "Individual Well-Being in a Dynamic Perspective," SOEPpapers on Multidisciplinary Panel Data Research 5, DIW Berlin, The German Socio-Economic Panel (SOEP).
- Conchita D'Ambrosio & Joachim R. Frick, 2007. "Individual Well-Being in a Dynamic Perspective," Discussion Papers of DIW Berlin 673, DIW Berlin, German Institute for Economic Research.
- 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.
- 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.
- 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.
- Denis Conniffe, 2007. "The Generalised Extreme Value Distribution as Utility Function," Economics Department Working Paper Series n1780907, Department of Economics, National University of Ireland - Maynooth.
- 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.
- Juan Antolín-Díaz & Ivan Petrella & Juan F. Rubio-Ramírez, 2021. "Dividend Momentum and Stock Return Predictability: A Bayesian Approach," Working Papers 2021-14, FEDEA.
- Rubio-RamÃrez, Juan Francisco & Petrella, Ivan & Antolin-Diaz, Juan, 2021. "Dividend Momentum and Stock Return Predictability: A Bayesian Approach," CEPR Discussion Papers 16613, C.E.P.R. Discussion Papers.
- Reichlin, Pietro & Borri, Nicola, 2019.
"Optimal Taxation with Homeownership and Wealth Inequality,"
CEPR Discussion Papers
14144, C.E.P.R. Discussion Papers.
- Nicola Borri & Pietro Reichlin, 2021. "Optimal Taxation with Home Ownership and Wealth Inequality," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 64-84, April.
- Christos I. Giannikos & Georgios Koimisis, 2021. "Equity Premium with Habits, Wealth Inequality and Background Risk," JRFM, MDPI, vol. 14(7), pages 1-15, July.
- 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.
- 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.
- Miguel Cantillo Simon, 2019. "Asset Pricing with Heterogeneous Agents and Non-Tradeable Assets," Working Papers 201907, Universidad de Costa Rica, revised Dec 2019.
- Susanto Basu & Giacomo Candian & Ryan Chahrour & Rosen Valchev, 2021.
"Risky Business Cycles,"
NBER Working Papers
28693, National Bureau of Economic Research, Inc.
- Susanto Basu & Giacomo Candian & Ryan Chahrour & Rosen Valchev, 2021. "Risky Business Cycles," Boston College Working Papers in Economics 1029, Boston College Department of Economics.
- Robert J. Barro & Gordon Liao, 2017.
"Option-pricing formula with disaster risk,"
AEI Economics Working Papers
966780, American Enterprise Institute.
- Robert J. Barro & Gordon Y. Liao, 2016. "Options-Pricing Formula with Disaster Risk," NBER Working Papers 21888, National Bureau of Economic Research, Inc.
- Thomas M. Eisenbach & Martin C. Schmalz, 2011.
"Anxiety in the Face of Risk,"
Working Papers
1371, Princeton University, Department of Economics, Econometric Research Program..
- Eisenbach, Thomas M. & Schmalz, Martin C., 2016. "Anxiety in the face of risk," Journal of Financial Economics, Elsevier, vol. 121(2), pages 414-426.
- Thomas M. Eisenbach & Martin C. Schmalz, 2013. "Anxiety in the face of risk," Staff Reports 610, Federal Reserve Bank of New York.
- 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.
- Florens Odendahl & Barbara Rossi & Tatevik Sekhposyan, 2021.
"Evaluating Forecast Performance with State Dependence,"
Working Papers
1295, Barcelona School of Economics.
- Odendahl, Florens & Rossi, Barbara & Sekhposyan, Tatevik, 2023. "Evaluating forecast performance with state dependence," Journal of Econometrics, Elsevier, vol. 237(2).
- Florens Odendahl & Barbara Rossi & Tatevik Sekhposyan, 2021. "Evaluating forecast performance with state dependence," Economics Working Papers 1800, Department of Economics and Business, Universitat Pompeu Fabra.
- 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.
- Alec Brandon & Paul J. Ferraro & John A. List & Robert D. Metcalfe & Michael K. Price & Florian Rundhammer, 2017.
"Do The Effects of Social Nudges Persist? Theory and Evidence from 38 Natural Field Experiments,"
Experimental Economics Center Working Paper Series
2017-04, Experimental Economics Center, Andrew Young School of Policy Studies, Georgia State University.
- 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.
- 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.
- Narayana R. Kocherlakota & Luigi Pistaferri, 2007. "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography 321307000000000701, UCLA Department of Economics.
- Narayana R Kocherlakota & Luigi Pistaferri, 2005. "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography 784828000000000507, UCLA Department of Economics.
- Pistaferri, Luigi & Kocherlakota, Narayana, 2005. "Asset Pricing Implications of Pareto Optimality with Private Information," CEPR Discussion Papers 4930, C.E.P.R. Discussion Papers.
- Narayana Kocherlakota & Luigi Pistaferri, 2009. "Asset Pricing Implications of Pareto Optimality with Private Information," Journal of Political Economy, University of Chicago Press, vol. 117(3), pages 555-590, June.
- Narayana R. Kocherlakota & Luigi Pistaferri, 2004. "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography 122247000000000508, UCLA Department of Economics.
- 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.
- 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).
- Britta Förster & Bernd Hayo, 2018. "Monetary and Fiscal Policy in Times of Crisis: A New Keynesian Perspective in Continuous Time," Manchester School, University of Manchester, vol. 86(1), pages 21-48, January.
- Paolo Guasoni, 2006. "Asymmetric Information in Fads Models," Finance and Stochastics, Springer, vol. 10(2), pages 159-177, April.
- 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.
- Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Documentos de Trabajo del ICAE 2018-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Risks, MDPI, vol. 6(4), pages 1-18, September.
- Luigi Guiso, 2014. "Risk Aversion and Financial Crisis," EIEF Working Papers Series 1412, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2014.
- 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.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2008. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," The Review of Financial Studies, Society for Financial Studies, vol. 21(5), pages 2097-2137, September.
- Armando N. Meier, 2021. "Emotions and Risk Attitudes," SOEPpapers on Multidisciplinary Panel Data Research 1118, DIW Berlin, The German Socio-Economic Panel (SOEP).
- Marcelo Pinheiro, 2008. "Demand shocks and market manipulation," Annals of Finance, Springer, vol. 4(3), pages 269-298, July.
- 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.
- 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).
- Patrizio Lecca & Kim Swales & Karen Turner, 2011. "Rebound Effects from Increased Efficiency in the Use of Energy by UK Households," Working Papers 1123, University of Strathclyde Business School, Department of Economics.
- Dumas, Bernard & Buss, Adrian, 2015. "Trading Fees and Slow-Moving Capital," CEPR Discussion Papers 10737, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Miquel Faig, 1999. "Asset Pricing, Growth, And The Business Cycle With Irreversible Investment," Working Papers faig-98-02, University of Toronto, Department of Economics.
- 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.
- Jianfeng Yu, 2011. "A sentiment-based explanation of the forward premium puzzle," Globalization Institute Working Papers 90, Federal Reserve Bank of Dallas.
- 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.
- Fabio Fornari & Antonio Mele, 2013. "Financial Volatility and Economic Activity," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 2, pages 155-198, December.
- Antonio Mele, 2009. "Financial Volatility and Economic Activity," FMG Discussion Papers dp642, Financial Markets Group.
- Allen Head & Gregor W. Smith, 2004.
"Real Exchange Rates, Preferences, And Incomplete Markets: Evidence, 1961-2001,"
Working Paper
1246, Economics Department, Queen's University.
- Allen Head & Todd Mattina & Gregor Smith, 2004. "Real exchange rates, preferences, and incomplete markets: evidence, 1961-2001," Canadian Journal of Economics, Canadian Economics Association, vol. 37(3), pages 782-801, August.
- Allen C. Head & Todd D. Mattina & Gregor W. Smith, 2004. "Real exchange rates, preferences, and incomplete markets: evidence, 1961–2001," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 37(3), pages 782-801, August.
- Ian Martin, 2017.
"What is the Expected Return on the Market?,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(1), pages 367-433.
- Martin, Ian, 2015. "What is the Expected Return on the Market?," CEPR Discussion Papers 10715, C.E.P.R. Discussion Papers.
- 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.
- Martin, Ian, 2017. "What is the expected return on the market?," LSE Research Online Documents on Economics 67036, London School of Economics and Political Science, LSE Library.
- Daouk, Hazem & Ng, David T.C., 2009.
"Is Unlevered Firm Volatility Asymmetric?,"
Working Papers
51182, Cornell University, Department of Applied Economics and Management.
- Daouk, Hazem & Ng, David, 2011. "Is unlevered firm volatility asymmetric?," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 634-651, September.
- 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.
- Wickens, Michael R., 2014. "How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics," CEPR Discussion Papers 10197, C.E.P.R. Discussion Papers.
- Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020.
"Dynamic Equity Slope,"
Working Papers
2020:21, Department of Economics, University of Venice "Ca' Foscari".
- Matthijs Breugem & Stefano Colonnello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Carlo Alberto Notebooks 626, Collegio Carlo Alberto.
- 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.
- Schrimpf, Andreas & Grammig, Joachim G., 2007. "Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032 [rev.], ZEW - Leibniz Centre for European Economic Research.
- Joachim Grammig & Andreas Schrimpf, 2009. "Asset pricing with a reference level of consumption: New evidence from the cross‐section of stock returns," Review of Financial Economics, John Wiley & Sons, vol. 18(3), pages 113-123, August.
- Grammig, Joachim & Schrimpf, Andreas, 2009. "Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns," CFR Working Papers 07-05, University of Cologne, Centre for Financial Research (CFR).
- 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.
- Paul Castillo & Carlos Montoro & Vicente Tuesta, 2006. "An Estimated Stochastic General Equilibrium Model with Partial Dollarization: A Bayesian Approach," Working Papers Central Bank of Chile 381, Central Bank of Chile.
- De Paoli, Bianca & Zabczyk, Pawel, 2012.
"Cyclical risk aversion, precautionary saving and Monetary Policy,"
LSE Research Online Documents on Economics
121767, London School of Economics and Political Science, LSE Library.
- Bianca De Paoli & Pawel Zabczyk, 2012. "Cyclical Risk Aversion, Precautionary Saving and Monetary Policy," CEP Discussion Papers dp1132, Centre for Economic Performance, LSE.
- Bianca De Paoli & Pawel Zabczyk, 2013. "Cyclical Risk Aversion, Precautionary Saving, and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 1-36, February.
- Bianca De Paoli & Pawel Zabczyk, 2013. "Cyclical Risk Aversion, Precautionary Saving, and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 1-36, February.
- De Paoli, Bianca & Zabczyk, Pawel, 2011. "Cyclical risk aversion, precautionary saving and monetary policy," Bank of England working papers 418, Bank of England.
- Kozak, Serhiy & Santosh, Shrihari, 2020. "Why do discount rates vary?," Journal of Financial Economics, Elsevier, vol. 137(3), pages 740-751.
- 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.
- Otrok, Christopher, 2001.
"On measuring the welfare cost of business cycles,"
Journal of Monetary Economics, Elsevier, vol. 47(1), pages 61-92, February.
- Chris Otrok, 1999. "On Measuring the Welfare Cost of Business Cycles," Virginia Economics Online Papers 318, University of Virginia, Department of Economics.
- Christopher Otrok, 2000. "On Measuring the Welfare Cost of Business Cycles," Econometric Society World Congress 2000 Contributed Papers 1094, Econometric Society.
- 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.
- Stephanie Schmitt-Grohe & Martin Uribe, 2010.
"The Optimal Rate of Inflation,"
NBER Working Papers
16054, National Bureau of Economic Research, Inc.
- Uribe, MartÃn & Schmitt-Grohé, Stephanie, 2010. "The Optimal Rate of Inflation," CEPR Discussion Papers 7864, C.E.P.R. Discussion Papers.
- Schmitt-Grohé, Stephanie & Uribe, Martín, 2010. "The Optimal Rate of Inflation," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 13, pages 653-722, Elsevier.
- 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.).
- Hanson, Samuel G. & Stein, Jeremy C., 2015. "Monetary policy and long-term real rates," Journal of Financial Economics, Elsevier, vol. 115(3), pages 429-448.
- 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.
- Jang-Ting Guo & Alan Krause, 2008. "Optimal Nonlinear Income Taxation with Habit Formation," Working Papers 200810, University of California at Riverside, Department of Economics, revised Aug 2008.
- Larbi Alaoui & Alvaro Sandroni, 2013. "Predestination and the Protestant ethic," Economics Working Papers 1350, Department of Economics and Business, Universitat Pompeu Fabra.
- Rohan Dutta & David K Levine & Salvatore Modica, 2018. "Interventions when Social Norms are Endogenous: A Critique," Levine's Bibliography 786969000000001479, UCLA Department of Economics.
- 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.
- 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.
- Challe, E. & Mojon, B. & Ragot, X., 2012. "Equilibrium Risk Shifting and Interest Rate in an Opaque Financial System," Working papers 391, Banque de France.
- Edouard Challe & Benoit Mojon & Xavier Ragot, 2013. "Equilibrium risk shifting and interest rate in an opaque financial system," Sciences Po publications info:hdl:2441/2ld6ogm9lq9, Sciences Po.
- Edouard Challe & Benoît Mojon & Xavier Ragot, 2013. "Equilibrium risk shifting and interest rate in an opaque financial system," PSE-Ecole d'économie de Paris (Postprint) halshs-00944916, HAL.
- Edouard Challe & Benoît Mojon & Xavier Ragot, 2013. "Equilibrium risk shifting and interest rate in an opaque financial system," Post-Print halshs-00944916, HAL.
- Edouard Challe & Benoit Monjon & Xavier Ragot, 2012. "Equilibrium Risk Shifting and Interest Rate in an Opaque Financial System," Working Papers hal-00719952, HAL.
- 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.
- 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.
- Ellen R. McGrattan & Edward C. Prescott, 2001.
"Taxes, regulations, and asset prices,"
Working Papers
610, Federal Reserve Bank of Minneapolis.
- Ellen R. McGrattan & Edward C. Prescott, 2001. "Taxes, Regulations, and Asset Prices," NBER Working Papers 8623, National Bureau of Economic Research, Inc.
- Christopher Polk & Samuel Thompson & Tuomo Vuolteenaho, 2004. "New Forecasts of the Equity Premium," NBER Working Papers 10406, National Bureau of Economic Research, Inc.
- 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.
- L.C.G. Pozzi & C.G. de Vries & J. Zenhorst, 2010. "World Equity Premium based Risk Aversion Estimates," Tinbergen Institute Discussion Papers 10-007/2, Tinbergen Institute.
- 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).
- 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.
- Hai, Rong & Krueger, Dirk & Postlewaite, Andrew, 2013. "On the welfare cost of consumption fluctuations in the presence of memorable goods," CFS Working Paper Series 2013/24, Center for Financial Studies (CFS).
- Rong Hai & Dirk Krueger & Andrew Postlewaite, 2013. "On the Welfare Cost of Consumption Fluctuations in the Presence of Memorable Goods," NBER Working Papers 19386, National Bureau of Economic Research, Inc.
- Rong Hai & Dirk Krueger & Andrew Postlewaite, 2020. "On the welfare cost of consumption fluctuations in the presence of memorable goods," Quantitative Economics, Econometric Society, vol. 11(4), pages 1177-1214, November.
- Rong Hai & Dirk Krueger & Andrew Postlewaite, 2014. "On the Welfare Cost of Consumption Fluctuations in the Presence of Memorable Goods," PIER Working Paper Archive 20-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 26 Jun 2020.
- Rong Hai & Dirk Krueger & Andrew Postlewaite, 2013. "On the Welfare Cost of Consumption Fluctuationsin the Presence of Memorable Goods," PIER Working Paper Archive 13-046, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
- 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).
- 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.
- Mirko Draca & Stephen Machin, 2015.
"Crime and Economic Incentives,"
Annual Review of Economics, Annual Reviews, vol. 7(1), pages 389-408, August.
- Stephen Machin & Costas Meghir, 2000. "Crime and economic incentives," IFS Working Papers W00/17, Institute for Fiscal Studies.
- Stephen Machin & Costas Meghir, 2004. "Crime and Economic Incentives," Journal of Human Resources, University of Wisconsin Press, vol. 39(4).
- 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.
- Pijoan-Mas, Josep, 2006. "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," CEPR Discussion Papers 5602, C.E.P.R. Discussion Papers.
- Josep Pijoan-Mas, 2002. "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," Centro de Altisimos Estudios Rios Pe©rez(CAERP) 3, Centro de Altisimos Estudios Rios Perez (CAERP).
- Josep Pijoan-Mas, 2003. "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," Working Papers wp2003_0305, CEMFI.
- Aydilek, Asiye, 2013. "Habit formation and housing over the life cycle," Economic Modelling, Elsevier, vol. 33(C), pages 858-866.
- 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.
- Lawrence J. Christiano & Martin S. Eichenbaum & Mathias Trabandt, 2020.
"Why is Unemployment so Countercyclical?,"
NBER Working Papers
26723, National Bureau of Economic Research, Inc.
- Lawrence Christiano & Martin Eichenbaum & Mathias Trabandt, 2021. "Why is Unemployment so Countercyclical?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 4-37, July.
- Adem Atmaz & Suleyman Basak, 2022.
"Stock Market and No‐Dividend Stocks,"
Journal of Finance, American Finance Association, vol. 77(1), pages 545-599, February.
- Basak, Suleyman & Atmaz, Adem, 2021. "Stock Market and No-Dividend Stocks," CEPR Discussion Papers 16224, C.E.P.R. Discussion Papers.
- Rui Albuquerque & Martin Eichenbaum & Dimitris Papanikolaou & Sergio Rebelo, 2015.
"Long-run Bulls and Bears,"
NBER Working Papers
20858, National Bureau of Economic Research, Inc.
- Albuquerque, Rui & Eichenbaum, Martin & Papanikolaou, Dimitris & Rebelo, Sergio, 2015. "Long-run bulls and bears," Journal of Monetary Economics, Elsevier, vol. 76(S), pages 21-36.
- Eichenbaum, Martin & Rebelo, Sérgio & Albuquerque, Rui & Papanikolaou, Dimitris, 2015. "Long-run bulls and bears," CEPR Discussion Papers 10351, C.E.P.R. Discussion Papers.
- 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.
- 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.).
- Chauvet, Marcelle & Senyuz, Zeynep & Yoldas, Emre, 2015. "What does financial volatility tell us about macroeconomic fluctuations?," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 340-360.
- Chauvet, Marcelle & Senyuz, Zeynep & Yoldas, Emre, 2010. "What does financial volatility tell us about macroeconomic fluctuations?," MPRA Paper 34104, University Library of Munich, Germany, revised Jun 2011.
- Marcelle Chauvet & Zeynep Senyuz & Emre Yoldas, 2012. "What does financial volatility tell us about macroeconomic fluctuations?," Finance and Economics Discussion Series 2012-09, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- Clark Lundberg, 2019. "Identifying horizon-based heterogeneity in the cross section of portfolio returns," Economics Bulletin, AccessEcon, vol. 39(2), pages 1163-1175.
- Demetrescu, Matei & Rodrigues, Paulo M.M., 2022.
"Residual-augmented IVX predictive regression,"
Journal of Econometrics, Elsevier, vol. 227(2), pages 429-460.
- Paulo M.M. Rodrigues & Matei Demetrescu, 2016. "Residual-augmented IVX predictive regression," Working Papers w201605, Banco de Portugal, Economics and Research Department.
- Kyle Jurado, 2016. "Advance Information and Distorted Beliefs in Macroeconomic and Financial Fluctuations," 2016 Meeting Papers 154, Society for Economic Dynamics.
- Geert Bekaert & Campbell R. Harvey & Christian Lundblad & Stephan Siegel, 2009.
"What Segments Equity Markets?,"
NBER Working Papers
14802, National Bureau of Economic Research, Inc.
- Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad & Stephan Siegel, 2011. "What Segments Equity Markets?," The Review of Financial Studies, Society for Financial Studies, vol. 24(12), pages 3841-3890.
- Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad & Stephan Siegel, 2010. "What Segments Equity Markets?," NBP Working Papers 76, Narodowy Bank Polski.
- Harvey, Campbell & Bekaert, Geert & Lundblad, Christian T & Siegel, Stephan, 2010. "What Segments Equity Markets?," CEPR Discussion Papers 8142, C.E.P.R. Discussion Papers.
- Hyungbin Park, 2015. "The Martin Integral Representation of Markovian Pricing Kernels," Papers 1504.00276, arXiv.org.
- 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.
- Moshe Hazan & Yishay D. Maoz, 2005. "Women’S Labor Force Participation And The Dynamics Of Tradition," Labor and Demography 0507001, University Library of Munich, Germany.
- Olaf Posch, 2010.
"Risk Premia in General Equilibrium,"
CESifo Working Paper Series
3131, CESifo.
- Olaf Posch, 2011. "Risk premia in general equilibrium," Post-Print hal-00851860, HAL.
- Posch, Olaf, 2011. "Risk premia in general equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 35(9), pages 1557-1576, September.
- Olaf Posch, 2009. "Risk premia in general equilibrium," CREATES Research Papers 2009-58, Department of Economics and Business Economics, Aarhus University.
- 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.
- Fatih Guvenen, 2005. "Reconciling Conflicting Evidence on the Elasticity of Intertemporal Substitution: A Macroeconomic Perspective," Macroeconomics 0507005, University Library of Munich, Germany.
- M. Fatih Guvenen, 2002. "Reconciling Conflicting Evidence on the Elasticity of Intertemporal Substitution: A Macroeconomic Perspective," RCER Working Papers 491, University of Rochester - Center for Economic Research (RCER), revised Mar 2003.
- 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.
- Pok-sang Lam & Stephen G. Cecchetti & Nelson C. Mark, 2000.
"Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?,"
American Economic Review, American Economic Association, vol. 90(4), pages 787-805, September.
- 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.
- Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2021.
"Option Pricing with State-dependent Pricing Kernel,"
Papers
2112.05308, arXiv.org, revised Apr 2022.
- Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2022. "Option pricing with state‐dependent pricing kernel," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1409-1433, August.
- Fernando Alexandre & Vasco J. Gabriel & Pedro Bação, 2007.
"The Consumption-Wealth Ratio Under Asymmetric Adjustment,"
NIPE Working Papers
15/2007, NIPE - Universidade do Minho.
- Gabriel Vasco J. & Alexandre Fernando & Bação Pedro, 2008. "The Consumption-Wealth Ratio under Asymmetric Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-32, December.
- Vasco Gabriel & Fernando Alexandre & Pedro Bação, 2007. "The Consumption-Wealth Ratio Under Asymmetric Adjustment," GEMF Working Papers 2007-06, GEMF, Faculty of Economics, University of Coimbra.
- 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.
- Wang, Yudong & Liu, Li & Ma, Feng & Diao, Xundi, 2018. "Momentum of return predictability," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 141-156.
- Agnieszka (A.P.) Markiewicz & Rafal Raciborski, 2018.
"Income Inequality and Stock Market Returns,"
Tinbergen Institute Discussion Papers
18-075/IV, Tinbergen Institute.
- Agnieszka Markiewicz & Rafal Raciborski, 2022. "Income Inequality and Stock Market Returns," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 43, pages 286-307, January.
- Robert E. Hall, 2003. "Dynamics of corporate earnings," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Jules van Binsbergen & Michael Brandt & Ralph Koijen, 2012.
"On the Timing and Pricing of Dividends,"
American Economic Review, American Economic Association, vol. 102(4), pages 1596-1618, June.
- Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen, 2011. "On the Timing and Pricing of Dividends," Swiss Finance Institute Research Paper Series 11-13, Swiss Finance Institute.
- 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.
- Bonciani, Dario, 2014. "Uncertainty shocks: it's a matter of habit," MPRA Paper 59370, University Library of Munich, Germany.
- Campbell, John, 2000.
"Asset Pricing at the Millennium,"
Scholarly Articles
3294737, Harvard University Department of Economics.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
- Ben Malin, 2006. "Lower-Frequency Macroeconomic Fluctuations: Living Standards and Leisure," 2006 Meeting Papers 752, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- Francisco Gomes & Alexander Michaelides, 2008. "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," The Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 415-448, January.
- Michaelides, Alexander & Gomes, Francisco, 2007. "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," CEPR Discussion Papers 6136, C.E.P.R. Discussion Papers.
- 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.
- Jiménez-Martín, Juan-Ángel & Cinca, Alfonso Novales, 2010. "State-uncertainty preferences and the risk premium in the exchange rate market," Economic Modelling, Elsevier, vol. 27(5), pages 1043-1053, September.
- 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.
- 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.
- Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004.
"Do Heterogeneous Beliefs Matter for Asset Pricing?,"
Econometric Society 2004 North American Summer Meetings
477, Econometric Society.
- Evan W. Anderson & Eric Ghysels & Jennifer L. Juergens, 2005. "Do Heterogeneous Beliefs Matter for Asset Pricing?," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 875-924.
- Olivier Davanne, 2004. "Volatilité des marchés financiers et allocation d’actifs," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 177-201.
- 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.
- Martin Lettau & Jessica A. Wachter, 2007. "Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium," Journal of Finance, American Finance Association, vol. 62(1), pages 55-92, February.
- Martin Lettau & Jessica Wachter, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," NBER Working Papers 11144, National Bureau of Economic Research, Inc.
- Jessica Wachter & Martin Lettau, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers 302, Society for Economic Dynamics.
- René Garcia & Richard Luger & Eric Renault, 2001.
"Asymmetric Smiles, Leverage Effects and Structural Parameters,"
CIRANO Working Papers
2001s-01, CIRANO.
- René Garcia & Richard Luger & Eric Renault, 2000. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Working Papers 2000-57, Center for Research in Economics and Statistics.
- GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Universite de Montreal, Departement de sciences economiques.
- Garcia, R. & Luger, R. & Renault, E., 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Szőke, Bálint, 2022. "Estimating robustness," Journal of Economic Theory, Elsevier, vol. 199(C).
- 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.
- Luis Viceira & Carolin Pflueger & John Campbell, 2014. "Monetary Policy Drivers of Bond and Equity Risks," 2014 Meeting Papers 137, Society for Economic Dynamics.
- 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.
- Pagel, Michaela, 2012. "Expectations-Based Reference-Dependent Preferences and Asset Pricing," MPRA Paper 47933, University Library of Munich, Germany.
- 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.
- Xu, Shaojun, 2023. "Behavioral asset pricing under expected feedback mode," International Review of Financial Analysis, Elsevier, vol. 86(C).
- 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.
- Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2005. "Time-varying risk, interest rates and exchange rates in general equilibrium," Working Papers 627, Federal Reserve Bank of Minneapolis.
- Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2008. "Time-varying risk, interest rates, and exchange rates in general equilibrium," Staff Report 371, Federal Reserve Bank of Minneapolis.
- Stijn Claessens & M. Ayhan Kose, 2017.
"Asset prices and macroeconomic outcomes: A survey,"
CAMA Working Papers
2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1718, Koc University-TUSIAD Economic Research Forum.
- Claessens,Stijn & Kose,Ayhan, 2017. "Asset prices and macroeconomic outcomes : a survey," Policy Research Working Paper Series 8259, The World Bank.
- Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
- Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
- 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.
- Ignacio Presno & Demian Pouzo, 2012. "Sovereign Default Risk and Uncertainty Premia," 2012 Meeting Papers 608, Society for Economic Dynamics.
- Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2012.
"Social Decision Theory: Choosing within and between Groups,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 79(4), pages 1591-1636.
- Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2008. "Social Decision Theory: Choosing within and between Groups," Carlo Alberto Notebooks 71, Collegio Carlo Alberto.
- Cavallari, Lilia, 2022. "The international real business cycle when demand matters," Journal of Macroeconomics, Elsevier, vol. 73(C).
- George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, August.
- 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.
- Wendner, Ronald, 2003. "Do habits raise consumption growth?," Research in Economics, Elsevier, vol. 57(2), pages 151-163, June.
- Sebastian Di Tella, 2018. "A Neoclassical Theory of Liquidity Traps," 2018 Meeting Papers 96, Society for Economic Dynamics.
- Sebastian Di Tella & Robert E. Hall, 2020. "Risk Premium Shocks Can Create Inefficient Recessions," NBER Working Papers 26721, National Bureau of Economic Research, Inc.
- 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.
- Shiller, Robert J., 2013.
"Speculative Asset Prices,"
Nobel Prize in Economics documents
2013-6, Nobel Prize Committee.
- Robert J. Shiller, 2014. "Speculative Asset Prices," American Economic Review, American Economic Association, vol. 104(6), pages 1486-1517, June.
- Rebelo, Sérgio, 2005.
"Real Business Cycle Models: Past, Present and Future,"
CEPR Discussion Papers
5384, C.E.P.R. Discussion Papers.
- Sergio Rebelo, 2005. "Real Business Cycle Models: Past, Present, and Future," NBER Working Papers 11401, National Bureau of Economic Research, Inc.
- Sergio Rebelo, 2005. "Real Business Cycle Models: Past, Present and Future," RCER Working Papers 522, University of Rochester - Center for Economic Research (RCER).
- 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.
- Hui Guo, 2003. "Limited stock market participation and asset prices in a dynamic economy," Working Papers 2000-031, Federal Reserve Bank of St. Louis.
- Sarita Bunsupha, 2018. "Extrapolative Beliefs and Exchange Rate Markets," PIER Discussion Papers 84, Puey Ungphakorn Institute for Economic Research.
- Kliem, Martin & Uhlig, Harald, 2013. "Bayesian estimation of a DSGE model with asset prices," Discussion Papers 37/2013, Deutsche Bundesbank.
- John H. Cochrane, 1999.
"New Facts in Finance,"
NBER Working Papers
7169, National Bureau of Economic Research, Inc.
- John H. Cochrane, 1999. "New Facts in Finance," CRSP working papers 490, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
- 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.
- 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.
- Otrok, C. & Ravikumar, B. & Whiteman, C., 1998. "Habit Formation: A Resolution of the Equity Premium Puzzle?," Working Papers 98-04, University of Iowa, Department of Economics.
- Jaksa Cvitanic & Elyès Jouini & Semyon Malamud & Clotilde Napp, 2011.
"Financial Markets Equilibrium with Heterogeneous Agents,"
Review of Finance, European Finance Association, vol. 16(1), pages 285-321.
- Jaksa Cvitanic & Elyès Jouini & Semyon Malamud & Clotilde Napp, 2012. "Financial Markets Equilibrium with Heterogeneous Agents," Post-Print halshs-00488537, HAL.
- 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.
- Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
- 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.
- 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.
- Mordecai Kurz, "undated".
"Endogenous Uncertainty: A Unified View of Market Volatility,"
Working Papers
97027, Stanford University, Department of Economics.
- Mordecai Kurz, "undated". "Endogenous Uncertainty: A Unified View of Market Volatility," Working Papers 98013, Stanford University, Department of Economics.
- 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.
- Elyès Jouini & Clotilde Napp, 2010.
"Unbiased Disagreement in financial markets, waves of pessimism and the risk return tradeoff,"
Post-Print
halshs-00488481, HAL.
- 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.
- Marlène Isoré, 2012. "Essays in macro-finance [Essais de macro-finance]," SciencePo Working papers Main tel-03669376, HAL.
- 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.
- Claudio Campanale & Rui Castro & Gian Luca Clementi, 2010. "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(2), pages 379-402, April.
- Claudio Campanale & Rui Castro & Gian Luca Clementi, 2007. "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Working Papers 07-12, New York University, Leonard N. Stern School of Business, Department of Economics.
- Claudio Campanale & Rui Castro & Gian Luca Clementi, 2007. "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Working Paper series 07_07, Rimini Centre for Economic Analysis.
- CAMPANALE, Claudio & CASTRO, Rui & CLEMENTI, Gian Luca, 2009. "Asset Pricing in a Production Economy with Chew–Dekel Preferences," Cahiers de recherche 2009-09, Universite de Montreal, Departement de sciences economiques.
- Christiane Baumeister, 2021.
"Measuring Market Expectations,"
Working Papers
202163, University of Pretoria, Department of Economics.
- Christiane Baumeister, 2021. "Measuring Market Expectations," CESifo Working Paper Series 9305, CESifo.
- Christiane Baumeister, 2021. "Measuring Market Expectations," NBER Working Papers 29232, National Bureau of Economic Research, Inc.
- Baumeister, Christiane, 2021. "Measuring Market Expectations," CEPR Discussion Papers 16520, C.E.P.R. Discussion Papers.
- 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.
- Yukun Liu & Ben Matthies, 2022. "Long‐Run Risk: Is It There?," Journal of Finance, American Finance Association, vol. 77(3), pages 1587-1633, June.
- Ricardo M. Sousa, 2005.
"Consumption, (Dis) Aggregate Wealth and Asset Returns,"
NIPE Working Papers
9/2005, NIPE - Universidade do Minho.
- Ricardo M. Sousa, 2006. "Consumption, (Dis)Aggregate Wealth and Asset Returns," Computing in Economics and Finance 2006 212, Society for Computational Economics.
- Sousa, Ricardo M., 2010. "Consumption, (dis)aggregate wealth, and asset returns," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 606-622, September.
- Martin D. D. Evans, 2017.
"Exchange-Rate Dark Matter,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 4, pages 101-185,
World Scientific Publishing Co. Pte. Ltd..
- Martin D. D. Evans, 2012. "Exchange-Rate Dark Matter," Working Papers gueconwpa~12-12-01, Georgetown University, Department of Economics.
- 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.
- Tang, Dragon Yongjun & Yan, Hong, 2010. "Market conditions, default risk and credit spreads," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 743-753, April.
- 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.
- González-Sánchez, Mariano, 2022. "Factorial asset pricing models using statistical anomalies," Research in International Business and Finance, Elsevier, vol. 60(C).
- John H. Cochrane, 2002. "Stocks as Money: Convenience Yield and the Tech-Stock Bubble," NBER Working Papers 8987, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Jun Li, 2019. "Explaining Momentum and Value Simultaneously," Management Science, INFORMS, vol. 64(9), pages 4239-4260, September.
- Yan Li & Liyan Yang, 2013. "Asset-Pricing Implications of Dividend Volatility," Management Science, INFORMS, vol. 59(9), pages 2036-2055, September.
- 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.
- Laibson, David I. & Fuster, Andreas & Mendel, Brock, 2010. "Natural Expectations and Macroeconomic Fluctuations," Scholarly Articles 9938147, Harvard University Department of Economics.
- 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.
- 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.
- Jaccard, Ivan, 2012. "Asset pricing and housing supply in a production economy," Working Paper Series 1454, European Central Bank.
- Bekaert, Geert & Hoerova, Marie, 2014.
"The VIX, the variance premium and stock market volatility,"
Journal of Econometrics, Elsevier, vol. 183(2), pages 181-192.
- Hoerova, Marie & Bekaert, Geert, 2014. "The VIX, the variance premium and stock market volatility," Working Paper Series 1675, European Central Bank.
- Geert Bekaert & Marie Hoerova, 2013. "The VIX, the Variance Premium and Stock Market Volatility," NBER Working Papers 18995, National Bureau of Economic Research, Inc.
- Tyler Abbot, 2017. "General Equilibrium Under Convex Portfolio Constraints and Heterogeneous Risk Preferences," Papers 1706.05877, arXiv.org, revised Jun 2018.
- 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).
- David De La Croix & Jean-Pierre Urbain, 1998. "Intertemporal substitution in import demand and habit formation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(6), pages 589-612.
- Khorunzhina, Natalia, 2015. "Real business-cycle model with habits: Empirical investigation," Economic Modelling, Elsevier, vol. 46(C), pages 61-69.
- 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.
- 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.
- Wickens, Michael R., 2003.
"Microeconomic Sources of Equity Risk,"
CEPR Discussion Papers
4070, C.E.P.R. Discussion Papers.
- P N Smith & S Sorensen & M R Wickens, "undated". "Macroeconomic Sources of Equity Risk," Discussion Papers 03/13, Department of Economics, University of York.
- 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).
- Guiso, Luigi, 2012.
"Household Finance: An Emerging Field,"
CEPR Discussion Papers
8934, C.E.P.R. Discussion Papers.
- Guiso, Luigi & Sodini, Paolo, 2013. "Household Finance: An Emerging Field," 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 1397-1532, Elsevier.
- Luigi Guiso & Paolo Sodini, 2012. "Household Finance. An Emerging Field," EIEF Working Papers Series 1204, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2012.
- 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.
- Olkhov, Victor, 2018. "Expectations, Price Fluctuations and Lorenz Attractor," MPRA Paper 89105, University Library of Munich, Germany.
- 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.
- Michael D. Bauer & James D. Hamilton, 2015.
"Robust bond risk premia,"
Working Paper Series
2015-15, Federal Reserve Bank of San Francisco.
- Michael D. Bauer & James D. Hamilton, 2015. "Robust Bond Risk Premia," CESifo Working Paper Series 5541, CESifo.
- Michael D. Bauer & James D. Hamilton, 2018. "Robust Bond Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 399-448.
- Michael D. Bauer & James D. Hamilton, 2017. "Robust Bond Risk Premia," NBER Working Papers 23480, National Bureau of Economic Research, Inc.
- 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.
- de Farias Neto, Joao Jose, 2008. "S-shaped utility, subprime crash and the black swan," MPRA Paper 12122, University Library of Munich, Germany.
- 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.
- 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).
- Andrew Ang & Geert Bekaert, 2001.
"Stock Return Predictability: Is it There?,"
NBER Working Papers
8207, National Bureau of Economic Research, Inc.
- Andrew Ang & Geert Bekaert, 2007. "Stock Return Predictability: Is it There?," The Review of Financial Studies, Society for Financial Studies, vol. 20(3), pages 651-707.
- Wang, Hailong & Hu, Duni, 2020. "Disagreement with procyclical beliefs and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Knut Anton Mork & Vegard Skonseng Bjerketvedt, 2021. "Soft habits," Working Paper Series 18921, Department of Economics, Norwegian University of Science and Technology.
- 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.
- Avdis, Efstathios & Wachter, Jessica A., 2017. "Maximum likelihood estimation of the equity premium," Journal of Financial Economics, Elsevier, vol. 125(3), pages 589-609.
- Jianjun Miao & Alejandro Rivera, 2016.
"Robust Contracts in Continuous Time,"
Econometrica, Econometric Society, vol. 84, pages 1405-1440, July.
- Jianjun Miao & Alejandro Rivera, 2013. "Robust Contracts in Continuous Time," Boston University - Department of Economics - Working Papers Series 2013-009, Boston University - Department of Economics.
- Jianjun Miao & Alejandro Rivera, 2016. "Robust Contracts in Continuous Time," Econometrica, Econometric Society, vol. 84(4), pages 1405-1440, July.
- Tano Santos & Pietro Veronesi, 2016. "Leverage," NBER Working Papers 22905, National Bureau of Economic Research, Inc.
- Hjalmarsson, Erik, 2018. "Maximal predictability under long-term mean reversion," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 269-282.
- Olkhov, Victor, 2019. "New Essentials of Economic Theory," MPRA Paper 95065, University Library of Munich, Germany.
- 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.
- 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.
- Nikolai Roussanov, 2010. "Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns," NBER Working Papers 16073, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Jianfeng Yu, 2012. "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 317-335, October.
- 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.
- Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1994.
"The implications of first-order risk aversion for asset market risk premiums,"
Working Paper Series, Macroeconomic Issues
94-22, Federal Reserve Bank of Chicago.
- 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.
- Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1994. "The Implications of First-Order Risk Aversion for Asset Market Risk Premiums," NBER Working Papers 4624, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997. "The implications of first-order risk aversion for asset market risk premiums," Journal of Monetary Economics, Elsevier, vol. 40(1), pages 3-39, September.
- Bekaert, G.R.J. & Hodrick, R. & Marshall, D., 1997. "The implications of first-order risk aversion for asset market risk premiums," Other publications TiSEM 85c0b822-2525-4400-90af-1, Tilburg University, School of Economics and Management.
- De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).
- Neuhierl, Andreas & Varneskov, Rasmus T., 2021. "Frequency dependent risk," Journal of Financial Economics, Elsevier, vol. 140(2), pages 644-675.
- 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.
- 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.
- Andreas Stathopoulos & Andrea Vedolin & Philippe Mueller, 2012. "International Correlation Risk," 2012 Meeting Papers 818, Society for Economic Dynamics.
- Philippe Mueller & Andreas Stathopoulos & Andrea Vedolin, "undated". "International Correlation Risk," FMG Discussion Papers dp716, Financial Markets Group.
- 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.
- Vázquez, Jesús & Aguilar, Pablo, 2021. "Adaptive learning with term structure information," European Economic Review, Elsevier, vol. 134(C).
- Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society.
- Wen, Yi, 2002. "Fickle Consumers versus Random Technology: Explaining Domestic and International Comovements," Working Papers 02-01, Cornell University, Center for Analytic Economics.
- Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho.
- 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.
- Francois Gourio, 2012.
"Disaster Risk and Business Cycles,"
American Economic Review, American Economic Association, vol. 102(6), pages 2734-2766, October.
- François Gourio, 2009. "Disasters Risk and Business Cycles," NBER Working Papers 15399, National Bureau of Economic Research, Inc.
- Francois Gourio, 2009. "Disaster risk and business cycles," 2009 Meeting Papers 1176, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," FMG Discussion Papers dp489, Financial Markets Group.
- Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," Econometric Society 2004 North American Summer Meetings 223, Econometric Society.
- Mele, Antonio, 2004. "General Properties of Rational Stock-Market Fluctuations," Economics Series 153, Institute for Advanced Studies.
- 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.
- Jakob B. Madsen, 2009. "Growth And Capital Deepening Since 1870: Is It All Technological Progress?," Monash Economics Working Papers 10-09, Monash University, Department of Economics.
- 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.
- Hlouskova, Jaroslava & Fortin, Ines & Tsigaris, Panagiotis, 2018. "The consumption-investment decision of a prospect theory household: A two-period model with an endogenous second period reference level," Economics Series 344, Institute for Advanced Studies.
- Gurdip Bakshi, 2009. "Du subjectiv expectations explain asset pricing puzzles?," 2009 Meeting Papers 1234, Society for Economic Dynamics.
- 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.
- Jessica A. Wachter & Missaka Warusawitharana, 2007.
"Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?,"
NBER Working Papers
13165, National Bureau of Economic Research, Inc.
- Wachter, Jessica A. & Warusawitharana, Missaka, 2009. "Predictable returns and asset allocation: Should a skeptical investor time the market?," Journal of Econometrics, Elsevier, vol. 148(2), pages 162-178, February.
- 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.
- 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.
- 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.
- Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2022. "The Time Variation in Risk Appetite and Uncertainty," Management Science, INFORMS, vol. 68(6), pages 3975-4004, June.
- 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.
- Ole Wilms & Karl Schmedders & Walt Pohl, 2016. "Higher-Order Effects in Asset-Pricing Models with Long-Run Risks," 2016 Meeting Papers 306, Society for Economic Dynamics.
- 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.
- John H. Cochrane, 1999.
"Portfolio Advice for a Multifactor World,"
NBER Working Papers
7170, National Bureau of Economic Research, Inc.
- John H. Cochrane, 1999. "Portfolio advice of a multifactor world," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 59-78.
- 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.
- Adam Geršl & Petr Jakubik & Dorota Kowalczyk & Steven Ongena & José-Luis Peydró, 2015.
"Monetary Conditions and Banks’ Behaviour in the Czech Republic,"
Open Economies Review, Springer, vol. 26(3), pages 407-445, July.
- Geršl, Adam & Jakubík, Petr & Kowalczyk, Dorota & Ongena, Steven & Peydró, José-Luis, 2015. "Monetary conditions and banks’ behaviour in the Czech Republic," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 26(3), pages 407-445.
- 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.
- 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.
- Shiller, Robert J. & Campbell, John Y. & Viceira, Luis Manuel, 2009.
"Understanding Inflation-Indexed Bond Markets,"
Scholarly Articles
10885503, Harvard University Department of Economics.
- John Campbell & Robert Shiller & Luis Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Yale School of Management Working Papers amz2587, Yale School of Management.
- John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," NBER Working Papers 15014, National Bureau of Economic Research, Inc.
- John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(1 (Spring), pages 79-138.
- John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Cowles Foundation Discussion Papers 1696, Cowles Foundation for Research in Economics, Yale University.
- Dillenberger, David & Rozen, Kareen, 2015.
"History-dependent risk attitude,"
Journal of Economic Theory, Elsevier, vol. 157(C), pages 445-477.
- 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.
- David Dillenberger & Kareen Rozen, 2010. "History-Dependent Risk Attitude," Levine's Working Paper Archive 661465000000000321, David K. Levine.
- David Dillenberger & Kareen Rozen, 2011. "History-Dependent Risk Attitude," Levine's Working Paper Archive 786969000000000066, David K. Levine.
- David Dillenberger & Kareen Rozen, 2011. "History-Dependent Risk Attitude," PIER Working Paper Archive 11-004, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- 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.
- 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).
- Colin Jennings & Hein Roelfsema, 2008. "Civil Conflict, Federalism and Strategic Delegation of Leadership," Journal of Peace Research, Peace Research Institute Oslo, vol. 45(4), pages 557-573, July.
- Colin Jennings & Hein Roelfsema, 2008. "Civil Conflict, Federalism and Strategic Delegation of Leadership," Working Papers 0803, University of Strathclyde Business School, Department of Economics.
- Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
- 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.
- Boldrin, M. & Christiano, L.J. & Fischer, J.D.M., 1996.
"Asset Pricing Lessons for Modeling Business Cycles,"
Papers
268, Banca Italia - Servizio di Studi.
- 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.
- 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.
- Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 1995. "Asset pricing lessons for modeling business cycles," Working Papers 560, Federal Reserve Bank of Minneapolis.
- Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 1995. "Asset pricing lessons for modeling business cycles," Working Paper Series, Macroeconomic Issues 95-11, Federal Reserve Bank of Chicago.
- Boldrin, Michele & Christiano, Lawrence J. & Fisher, Jonas D. M., 1995. "Asset pricing lessons for modeling business cycles," UC3M Working papers. Economics 3915, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- 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.).
- Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
- Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Tzuo Hao & George Tauchen, 2008. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2008-48, Department of Economics and Business Economics, Aarhus University.
- 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.
- Maurice J. Roche & Michael J. Moore, 1999. "Less of a puzzle: a new look at the forward forex market," Economics Department Working Paper Series n910799, Department of Economics, National University of Ireland - Maynooth.
- Maurice J. Roche & Michael J. Moore, "undated". "Less of a puzzle: a new look at the forward forex market," Economics Department Working Paper Series n, Department of Economics, National University of Ireland - Maynooth.
- 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.
- Yu, Jianfeng & Yuan, Yu, 2011. "Investor sentiment and the mean-variance relation," Journal of Financial Economics, Elsevier, vol. 100(2), pages 367-381, May.
- 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.
- Mathias Hoffmann, 2005.
"Proprietary Income, Entrepreneurial Risk and the Predictability of U.S. Stock Returns,"
Computing in Economics and Finance 2005
229, Society for Computational Economics.
- Mathias Hoffmann, 2006. "Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns," CESifo Working Paper Series 1712, CESifo.
- Hoffmann, Mathias, 2006. "Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns," Technical Reports 2006,14, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Benjamin Keefer, 2016. "Sensitization and Extraordinary Persistence," Working Papers 2016-01, Carleton College, Department of Economics.
- García-Verdú Santiago, 2010. "Equilibrium yield curves under regime switching," Working Papers 2010-08, Banco de México.
- 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.
- Patrick Pintus & Yi Wen, 2013.
"Leveraged Borrowing and Boom-Bust Cycles,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(4), pages 617-633, October.
- Patrick A. Pintus & Yi Wen, 2010. "Leveraged borrowing and boom-bust cycles," Working Papers 2010-027, Federal Reserve Bank of St. Louis.
- Patrick A. Pintus & Yi Wen, 2013. "Leveraged Borrowing and Boom-Bust Cycles," Post-Print hal-01500891, HAL.
- Li, Tongtong & Wang, Shibo & Yang, Jinqiang, 2021. "Robust consumption and portfolio choices with habit formation," Economic Modelling, Elsevier, vol. 98(C), pages 227-246.
- 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.
- 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.
- M. Martin Boyer, 2003. "Is the Demand for Corporate Insurance a Habit? Evidence from Directors' and Officers' Insurance," CIRANO Working Papers 2003s-42, CIRANO.
- 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.
- Kakeu, Johnson & Nguimkeu, Pierre, 2017. "Habit formation and exhaustible resource risk-pricing," Energy Economics, Elsevier, vol. 64(C), pages 1-12.
- Hara, Chiaki & 原, 千秋 & ハラ, チアキ & Huang, James & Kuzmics, Christoph, 2007.
"Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules,"
Discussion Paper
323, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
- 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.
- Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2007. "Representative consumer's risk aversion and efficient risk-sharing rules," Journal of Economic Theory, Elsevier, vol. 137(1), pages 652-672, November.
- Hara, C. & Christoph Kuzmics, 2004. "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," Cambridge Working Papers in Economics 0452, Faculty of Economics, University of Cambridge.
- Arthur Lewbel & Jin-Young Choi & Zhuzhu Zhou, 2019.
"Over-Identified Doubly Robust Identification and Estimation,"
Boston College Working Papers in Economics
1003, Boston College Department of Economics, revised 15 Jan 2022.
- 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.
- Lewellen, Jonathan & Nagel, Stefan, 2006.
"The conditional CAPM does not explain asset-pricing anomalies,"
Journal of Financial Economics, Elsevier, vol. 82(2), pages 289-314, November.
- Jonathan Lewellen & Stefan Nagel, 2003. "The Conditional CAPM does not Explain Asset-Pricing Anamolies," NBER Working Papers 9974, National Bureau of Economic Research, Inc.
- 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.
- Motohiro Yogo & Jessica Wachter, 2007.
"Why do Household Portfolio Shares Rise in Wealth?,"
2007 Meeting Papers
929, Society for Economic Dynamics.
- Jessica A. Wachter & Motohiro Yogo, 2010. "Why Do Household Portfolio Shares Rise in Wealth?," NBER Working Papers 16316, National Bureau of Economic Research, Inc.
- Jessica A. Wachter & Motohiro Yogo, 2010. "Why Do Household Portfolio Shares Rise in Wealth?," The Review of Financial Studies, Society for Financial Studies, vol. 23(11), pages 3929-3965, November.
- Hansen, Lars Peter, 2013.
"Uncertainty Outside and Inside Economic Models,"
Nobel Prize in Economics documents
2013-7, Nobel Prize Committee.
- Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," NBER Working Papers 20394, National Bureau of Economic Research, Inc.
- 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.
- Carlo Favero & Iryna Kaminska & Ulf Soderstrom, 2005. "The Predictive Power of the Yield Spread: Further Evidence and a Structural Interpretation," Working Papers 280, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- 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.
- 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.
- Ms. Aude Pommeret & Ms. Anne Epaulard, 2001. "Recursive Utility, Endogenous Growth, and the Welfare Cost of Volatility," IMF Working Papers 2001/005, International Monetary Fund.
- 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.
- Falk, Armin & Knell, Markus, 2004.
"Choosing the Joneses: Endogenous Goals and Reference Standards,"
IZA Discussion Papers
1152, Institute of Labor Economics (IZA).
- Armin Falk & Markus Knell, 2004. "Choosing the Joneses: Endogenous Goals and Reference Standards," Scandinavian Journal of Economics, Wiley Blackwell, vol. 106(3), pages 417-435, October.
- Falk, Armin & Knell, Markus, 2004. "Choosing the Joneses: Endogenous Goals and Reference Standards," CEPR Discussion Papers 4459, C.E.P.R. Discussion Papers.
- 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.
- 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.
- John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
- 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.
- Guglielmo Maria Caporale & Yannis Georgellis & Nicholas Tsitsianis & Ya Ping Yin, 2007.
"Income and Happiness across Europe: Do Reference Values Matter?,"
CESifo Working Paper Series
2146, CESifo.
- 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.
- Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2018.
"Valuation Risk Revalued,"
Working Papers
1808, Federal Reserve Bank of Dallas.
- Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2022. "Valuation risk revalued," Quantitative Economics, Econometric Society, vol. 13(2), pages 723-759, May.
- de Groot, Oliver & Richter, Alexander W. & Throckmorton, Nathaniel, 2020. "Valuation Risk Revalued," CEPR Discussion Papers 14588, C.E.P.R. Discussion Papers.
- Oliver de Groot & Alexander W. Richter & Nathanial A. Throckmorton, 2019. "Valuation Risk Revalued," Working Papers 201904, University of Liverpool, Department of Economics.
- 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.
- 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.
- Hong, S-Y. & Linton, O., 2018. "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Cambridge Working Papers in Economics 1877, Faculty of Economics, University of Cambridge.
- 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.
- Eickmeier, Sandra & Hofmann, Boris, 2010.
"Monetary policy, housing booms and financial (im)balances,"
Discussion Paper Series 1: Economic Studies
2010,07, Deutsche Bundesbank.
- Eickmeier, Sandra & Hofmann, Boris, 2013. "Monetary Policy, Housing Booms, And Financial (Im)Balances," Macroeconomic Dynamics, Cambridge University Press, vol. 17(4), pages 830-860, June.
- Hofmann, Boris & Eickmeier, Sandra, 2010. "Monetary policy, housing booms and financial (im)balances," Working Paper Series 1178, European Central Bank.
- Luigi Guiso & Paola Sapienza & Luigi Zingales, 2013.
"Time Varying Risk Aversion,"
EIEF Working Papers Series
1322, Einaudi Institute for Economics and Finance (EIEF), revised Sep 2013.
- Guiso, Luigi & Zingales, Luigi & Sapienza, Paola, 2013. "Time Varying Risk Aversion," CEPR Discussion Papers 9589, C.E.P.R. Discussion Papers.
- Luigi Guiso & Paola Sapienza & Luigi Zingales, 2013. "Time Varying Risk Aversion," NBER Working Papers 19284, National Bureau of Economic Research, Inc.
- Guiso, Luigi & Sapienza, Paola & Zingales, Luigi, 2018. "Time varying risk aversion," Journal of Financial Economics, Elsevier, vol. 128(3), pages 403-421.
- 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.
- John Williams & Eric Swanson, 2012. "Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates," 2012 Meeting Papers 462, Society for Economic Dynamics.
- Eric T. Swanson & John C. Williams, 2014. "Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates," NBER Working Papers 20486, National Bureau of Economic Research, Inc.
- Eric T. Swanson & John C. Williams, 2014. "Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates," American Economic Review, American Economic Association, vol. 104(10), pages 3154-3185, October.
- 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.
- Rajnish Mehra & Edward C. Prescott, 2003.
"The Equity Premium in Retrospect,"
NBER Working Papers
9525, National Bureau of Economic Research, Inc.
- Mehra, Rajnish & Prescott, Edward C., 2003. "The equity premium in retrospect," 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 14, pages 889-938, Elsevier.
- Christian Bach, 2011. "Conservatism in Corporate Valuation," CREATES Research Papers 2011-32, Department of Economics and Business Economics, Aarhus University.
- Abel, Andrew B., 1999.
"Risk premia and term premia in general equilibrium,"
Journal of Monetary Economics, Elsevier, vol. 43(1), pages 3-33, February.
- Andrew B. Abel, 1998. "Risk Premia and Term Premia in General Equilibrium," NBER Working Papers 6683, National Bureau of Economic Research, Inc.
- Giorgio E. Primiceri & Ernst Schaumburg & Andrea Tambalotti, 2006.
"Intertemporal Disturbances,"
NBER Working Papers
12243, National Bureau of Economic Research, Inc.
- Giorgio Primiceri & Ernst Schaumburg & Andrea Tambalotti, 2006. "Intertemporal disturbances," 2006 Meeting Papers 355, Society for Economic Dynamics.
- Sanglim Lee, 2012. "Expected Currency Excess Returns and International Business Cycles," Working papers 2012-16, University of Connecticut, Department of Economics.
- William Barnett & Shu Wu, 2004.
"Intertemporally non-separable monetary-asset risk adjustment and aggregation,"
Economics Bulletin, AccessEcon, vol. 5(13), pages 1-9.
- William Barnett & Shu Wu, 2004. "Intertemporally Non-Separable Monetaryasset Risk Adjustment And Aggregation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200405, University of Kansas, Department of Economics, revised Jun 2004.
- William A. Barnett & Shu Wu, 2004. "Intertemporally non-separable monetary-asset risk adjustment and aggregation," Macroeconomics 0406010, University Library of Munich, Germany.
- 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.
- Santi Budria & Ada Ferrer-i-Carbonell, 2012.
"Income Comparisons and Non-cognitive Skills,"
SOEPpapers on Multidisciplinary Panel Data Research
441, DIW Berlin, The German Socio-Economic Panel (SOEP).
- Budría, Santiago & Ferrer-i-Carbonell, Ada, 2012. "Income Comparisons and Non-Cognitive Skills," IZA Discussion Papers 6419, Institute of Labor Economics (IZA).
- Santi Budria & Ada Ferrer-i-Carbonell, 2013. "Income Comparisons and Non-Cognitive Skills," Working Papers 733, Barcelona School of Economics.
- 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.
- John Cotter & Enrique Salvador, 2014. "The non-linear trade-off between return and risk: a regime-switching multi-factor framework," Papers 1410.6005, arXiv.org.
- 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.
- Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2011. "Risk, Monetary Policy and the Exchange Rate," NBER Working Papers 17133, National Bureau of Economic Research, Inc.
- Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2012. "Risk, Monetary Policy, and the Exchange Rate," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 247-309.
- 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).
- Ivan Jaccard & Gauthier Vermandel & Ghassane Benmir, 2022.
"Green asset pricing,"
Working Papers
hal-03510811, HAL.
- Benmir, Ghassane & Jaccard, Ivan & Vermandel, Gauthier, 2020. "Green asset pricing," Working Paper Series 2477, European Central Bank.
- Diamond, William & Landvoigt, Tim, 2022. "Credit cycles with market-based household leverage," Journal of Financial Economics, Elsevier, vol. 146(2), pages 726-753.
- 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.
- Orazio P. Attanasio & Guglielmo Weber, 2010. "Consumption and Saving: Models of Intertemporal Allocation and Their Implications for Public Policy," Journal of Economic Literature, American Economic Association, vol. 48(3), pages 693-751, September.
- Olivier, Jacques & Tay, Anthony, 2008.
"Time-Varying Incentives in the Mutual Fund Industry,"
CEPR Discussion Papers
6893, C.E.P.R. Discussion Papers.
- 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.
- Merella, Vincenzo & Satchell, Stephen E., 2022. "By force of confidence," European Economic Review, Elsevier, vol. 150(C).
- 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.
- Tom Engsted & Stig V. Møller, 2010. "An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish Stock and bond returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 213-227.
- 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.
- Gourinchas, Pierre-Olivier & Rey, Helene, 2014. "External Adjustment, Global Imbalances, Valuation Effects," Department of Economics, Working Paper Series qt2k77x6tn, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- 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).
- Jair N. Ojeda-Joya, 2014.
"A Consumption-Based Approach to Exchange Rate Predictability,"
Borradores de Economia
12339, Banco de la Republica.
- Jair N. Ojeda-Joya, 2014. "A Consumption-Based Approach to Exchange Rate Predictability," Borradores de Economia 857, Banco de la Republica de Colombia.
- Ojeda-Joya, Jair, 2019. "A consumption-based approach to exchange rate predictability," MPRA Paper 94231, University Library of Munich, Germany.
- Sujoy Mukerji & Han N Ozsoylev & Jean-Marc Tallon, 2018.
"Trading ambiguity: a tale of two heterogeneities,"
Working Papers
halshs-01935319, HAL.
- Sujoy Mukerji & Han N Ozsoylev & Jean‐marc Tallon, 2023. "Trading ambiguity: a tale of two heterogeneities," Post-Print halshs-03962563, HAL.
- 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.
- 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).
- Demetrescu, Matei & Rodrigues, Paulo MM & Taylor, AM Robert, 2022. "Transformed Regression-based Long-Horizon Predictability Tests," Essex Finance Centre Working Papers 30620, University of Essex, Essex Business School.
- Givens, Gregory, 2015.
"On the Gains from Monetary Policy Commitment under Deep Habits,"
MPRA Paper
67996, University Library of Munich, Germany.
- Givens, Gregory E., 2016. "On the gains from monetary policy commitment under deep habits," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 19-36.
- 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.
- 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.
- Bansal, Ravi & Miller, Shane & Song, Dongho & Yaron, Amir, 2021. "The term structure of equity risk premia," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1209-1228.
- 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.
- Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
- 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.
- Rong Hai & Andrew Postlewaite & Dirk Krueger, 2013.
"On the Welfare Cost of Consumption Fluctuations in the Presence of Memorable Goods, Second Version,"
PIER Working Paper Archive
14-012, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 15 Apr 2014.
- 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.
- Schmidt-Hebbel, K. & Serven, L., 1997. "Saving Across the World: Puzzles and Policies," World Bank - Discussion Papers 354, World Bank.
- 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.
- 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.
- Ravi Bansal & Ivan Shaliastovich, 2012.
"A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets,"
NBER Working Papers
18357, National Bureau of Economic Research, Inc.
- Ivan Shaliastovich & Ravi Bansal, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," 2012 Meeting Papers 778, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- Edith Liu & Karen Lewis, 2012. "International Consumption Risk Is Shared After All: An Asset Return View," 2012 Meeting Papers 643, Society for Economic Dynamics.
- Barnett, William A. & Su, Liting, 2019.
"Risk Adjustment Of The Credit-Card Augmented Divisia Monetary Aggregates,"
Macroeconomic Dynamics, Cambridge University Press, vol. 23(S1), pages 90-114, September.
- William Barnett & Liting Su, 2016. "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201606, University of Kansas, Department of Economics, revised Aug 2016.
- Barnett, William & Su, Liting, 2016. "Risk adjustment of the credit-card augmented Divisia monetary aggregates," MPRA Paper 73248, University Library of Munich, Germany.
- 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.
- Wen, Yi, 2007. "By force of demand: Explaining international comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 1-23, January.
- Bianca De Paoli, Alasdair Scott, Olaf Weeken, 2007.
"Asset pricing implications for a New Keynesian model,"
Money Macro and Finance (MMF) Research Group Conference 2006
156, Money Macro and Finance Research Group.
- Bianca De Paoli & Alasdair Scott & Olaf Weeken, 2006. "Asset pricing implications of a New Keynesian model," Computing in Economics and Finance 2006 358, Society for Computational Economics.
- Bianca De Paoli & Alasdair Scott & Olaf Weeken, 2007. "Asset pricing implications of a New Keynesian model," Bank of England working papers 326, Bank of England.
- Bianca de Paoli & Alasdair Scott & Olaf Weeken, 2010. "Asset pricing implications of a new keynesian model," Post-Print hal-00732761, HAL.
- 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.
- Chong, Terence Tai Leung & Lin, Shiyu, 2015.
"Predictive Models for Disaggregate Stock Market Volatility,"
MPRA Paper
68460, University Library of Munich, Germany.
- Terence Tai-Leung Chong & Shiyu Lin, 2017. "Predictive models for disaggregate stock market volatility," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 261-288, August.
- Jaccard, Ivan, 2021. "Leveraged property cycles," Working Paper Series 2539, European Central Bank.
- 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.
- Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius, 2008. "A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings," Discussion Papers 08-31, University of Copenhagen. Department of Economics.
- Glenn D. Rudebusch & Eric T. Swanson, 2008.
"The bond premium in a DSGE model with long-run real and nominal risks,"
Working Paper Series
2008-31, Federal Reserve Bank of San Francisco.
- 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.
- Glenn D. Rudebusch & Eric T. Swanson, 2012. "The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(1), pages 105-143, January.
- 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.
- Mathieu Gatumel & Florian Ielpo, 2014. "Commodity Markets through the business cycle," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01302479, HAL.
- Nakamura, Emi & Steinsson, Jón, 2011.
"Price setting in forward-looking customer markets,"
Journal of Monetary Economics, Elsevier, vol. 58(3), pages 220-233.
- Emi Nakamura & Jon Steinsson, 2005. "Price Setting in a Forward-Looking Customer Market," Macroeconomics 0509010, University Library of Munich, Germany.
- Farmer, Roger, 2014.
"Asset Prices in a Lifecycle Economy,"
CEPR Discussion Papers
9897, C.E.P.R. Discussion Papers.
- Roger Farmer, 2014. "Asset Prices in a Lifecycle Economy," NBER Working Papers 19958, National Bureau of Economic Research, Inc.
- 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.
- Grasso, Adriana & Natoli, Filippo, 2018. "Consumption volatility risk and the inversion of the yield curve," Working Paper Series 2141, European Central Bank.
- 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.
- De Paoli, Bianca & Zabczyk, Pawel, 2012. "Why Do Risk Premia Vary Over Time? A Theoretical Investigation Under Habit Formation," Macroeconomic Dynamics, Cambridge University Press, vol. 16(S2), pages 252-266, September.
- Douch, Mohamed, 2004.
"Equity Premiums In a Small Open Economy,"
MPRA Paper
876, University Library of Munich, Germany.
- Douch, Mohamed, 2004. "Equity Premiums In Small Open Economy," MPRA Paper 14613, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- Dirk Krueger & Hanno Lustig, 2006. "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?," NBER Working Papers 12634, National Bureau of Economic Research, Inc.
- Egil Matsen, 2001.
"Habit Persistence and Welfare Gains from International Asset Trade,"
Working Paper Series
0102, Department of Economics, Norwegian University of Science and Technology.
- 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.
- 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.
- Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Evidence from the euro area, the U.K. and the U.S," Working Papers w201119, Banco de Portugal, Economics and Research Department.
- João M. Sousa & Ricardo M. Sousa, 2019. "Asset Returns Under Model Uncertainty: Evidence from the Euro Area, the US and the UK," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 139-176, June.
- 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.
- 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.
- 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.
- Yeung Lewis Chan & Leonid Kogan, 2001. "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," NBER Working Papers 8607, National Bureau of Economic Research, Inc.
- Yeung Lewis Chan & Leonid Kogan, "undated". "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," Rodney L. White Center for Financial Research Working Papers 14-00, Wharton School Rodney L. White Center for Financial Research.
- 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.
- Aleksandar Vasilev, 2021. "Indeterminacy with preferences featuring multiplicative habits in consumption," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 64(3), pages 1-16.
- 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.
- He, Yong, 2018. "Can the visible and invisible hands coexist in land pricing?," MPRA Paper 88770, University Library of Munich, Germany.
- 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.
- 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.
- Irina Khvostova & Alexander Larin & Anna Novak, 2014.
"Euler equation with habits and measurement errors: estimates on Russian micro data,"
HSE Working papers
WP BRP 52/EC/2014, National Research University Higher School of Economics.
- 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.
- 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.
- Ronald Wendner, 2011.
"Ramsey, Pigou, heterogenous agents, and non-atmospheric consumption externalities,"
Graz Economics Papers
2012-01, University of Graz, Department of Economics.
- Ronald Wendner, 2014. "Ramsey, Pigou, Heterogeneous Agents, and Nonatmospheric Consumption Externalities," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 16(3), pages 491-521, June.
- Wendner, Ronald, 2011. "Ramsey, Pigou, heterogenous agents, and non-atmospheric consumption externalities," MPRA Paper 35015, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- Pere Gomis-Porqueras & Luca Bossi, 2005.
"Consequences of Modeling Habit Persistence,"
Working Papers
0605, University of Miami, Department of Economics, revised 27 Apr 2007.
- Bossi, Luca & Gomis-Porqueras, Pere, 2009. "Consequences Of Modeling Habit Persistence," Macroeconomic Dynamics, Cambridge University Press, vol. 13(3), pages 349-365, June.
- Luca Bossi & Pere Gomis-Porqueras, 2008. "Consequences of Modeling Habit Persistence," Working Papers 0701, University of Miami, Department of Economics.
- 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.
- 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.
- 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.
- Stefan Avdjiev, 2011.
"News driven business cycles and data on asset prices in estimated DSGE models,"
BIS Working Papers
358, Bank for International Settlements.
- Stefan Avdjiev, 2016. "News Driven Business Cycles and Data on Asset Prices in Estimated DSGE Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 20, pages 181-197, April.
- 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.
- 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.
- 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.
- Zeckhauser, Richard Jay & Tran, Ngoc-Khanh, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," Scholarly Articles 5027955, Harvard Kennedy School of Government.
- Tran, Ngoc-Khanh & Zeckhauser, Richard, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," Working Papers 11-44, University of Pennsylvania, Wharton School, Weiss Center.
- Tran, Ngoc-Khanh & Zeckhauser, Richard J., 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs Are Heterogeneous," Working Paper Series rwp11-026, Harvard University, John F. Kennedy School of Government.
- Roberto Santis, 2015. "Quantity theory is alive: the role of international portfolio shifts," Empirical Economics, Springer, vol. 49(4), pages 1401-1430, December.
- Hernando Zuleta, 2006.
"Poor people and risky business,"
Documentos de Trabajo
3356, Universidad del Rosario.
- Zuleta Hernando, 2008. "Poor People and Risky Business," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 14(1), pages 1-18, April.
- 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.
- 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.
- 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 Papers 416, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- 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.
- Harald Uhlig, 1995. "A toolkit for analyzing nonlinear dynamic stochastic models easily," Discussion Paper / Institute for Empirical Macroeconomics 101, Federal Reserve Bank of Minneapolis.
- Harald Uhlig, 1998. "A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily," QM&RBC Codes 123, Quantitative Macroeconomics & Real Business Cycles.
- 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.
- 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.
- Daniel Fehrle & Christopher Heiberger, 2020. "The return on everything and the business cycle in production economies," Working Papers 193, Bavarian Graduate Program in Economics (BGPE).
- 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.
- Jawadi, Fredj & Soparnot, Richard & Sousa, Ricardo M., 2017. "Assessing financial and housing wealth effects through the lens of a nonlinear framework," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 840-850.
- 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.
- Olivella Virginia & Roldán-Peña Jessica, 2013. "Re-examining the Role of Financial Constraints in Business Cycles: Is Something Wrong with the Credit Multiplier?," Working Papers 2013-05, Banco de México.
- 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.
- Ravi Kashyap, 2016. "Solving the Equity Risk Premium Puzzle and Inching Towards a Theory of Everything," Papers 1604.04872, arXiv.org, revised Sep 2019.
- 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.
- Cipriani, Marco & Angrisani, Marco & Guarino, Antonio & Kendall, Ryan & Ortiz de Zarate Pina, Julen, 2020. "Risk Preferences at the Time of COVID-19: An Experiment with Professional Traders and Students," CEPR Discussion Papers 15108, C.E.P.R. Discussion Papers.
- 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.
- Miranda-Agrippino, Silvia, 2016.
"Unsurprising shocks: information, premia, and the monetary transmission,"
Bank of England working papers
626, Bank of England.
- Miranda-Agrippino, Silvia, 2016. "Unsurprising shocks: information, Premia, and the Monetary Transmission," LSE Research Online Documents on Economics 86234, London School of Economics and Political Science, LSE Library.
- Silvia Miranda-Agrippino, 2015. "Unsurprising Shocks: Information, Premia, and the Monetary Transmission," Discussion Papers 1613, Centre for Macroeconomics (CFM), revised Apr 2016.
- 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.
- 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.
- 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).
- Aßmuth, Pascal, 2017. "Stock price related financial fragility and growth patterns," Economics Discussion Papers 2017-108, Kiel Institute for the World Economy (IfW Kiel).
- Ruan, Xinfeng & Zhang, Jin E., 2021. "Ambiguity on uncertainty and the equity premium," Finance Research Letters, Elsevier, vol. 38(C).
- 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.
- Bjørn Eraker, 2008. "Affine General Equilibrium Models," Management Science, INFORMS, vol. 54(12), pages 2068-2080, December.
- Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
- Francisco Alvarez-Cuadrado & Ngo Van Long, 2008. "Relative Consumption and Resource Extraction," CIRANO Working Papers 2008s-27, CIRANO.
- 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.
- Luis M. Viceira & Adi Sunderam & John Y. Campbell, 2008. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," 2008 Meeting Papers 355, Society for Economic Dynamics.
- John Y. Campbell & Adi Sunderam & Luis M. Viceira, 2009. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," NBER Working Papers 14701, National Bureau of Economic Research, Inc.
- 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.
- Shi, Zhan, 2019. "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, vol. 134(3), pages 617-646.
- Illing, Gerhard & Klüh, Ulrich, 2004. "Vermögenspreise und Konsum," Discussion Papers in Economics 316, University of Munich, Department of Economics.
- 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.
- 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.
- Ravi Bansal & Dana Kiku & Amir Yaron, 2009. "An Empirical Evaluation of the Long-Run Risks Model for Asset Prices," NBER Working Papers 15504, National Bureau of Economic Research, Inc.
- 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.
- Cheng, Hang & Shi, Yongdong, 2020. "Forecasting China's stock market variance," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
- Lee Tae-Hwy & Ullah Aman & Mao Millie Yi, 2021.
"Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility,"
Journal of Econometric Methods, De Gruyter, vol. 10(1), pages 1-19, January.
- 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.
- 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.
- Yacine Ait-Sahalia & Jonathan A. Parker & Motohiro Yogo, 2001. "Luxury Goods and the Equity Premium," NBER Working Papers 8417, National Bureau of Economic Research, Inc.
- 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.
- Valdivia Coria, Joab Dan, 2022. "Apalancamiento, ciclo financiero y económico [Leverage, financial and business cycles]," MPRA Paper 116849, University Library of Munich, Germany.
- Hui Chen, 2010.
"Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure,"
NBER Working Papers
16151, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- Vassilios Babalos & Mehmet Balcilar & Tumisang B. Loate & Shingie Chisoro, 2018. "Did Baltic stock markets offer diversification benefits during the recent financial turmoil? Novel evidence from a nonparametric causality-in-quantiles test," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 29-47, February.
- Adam Goliński & João Madeira & Dooruj Rambaccussing, 2015.
"Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices,"
Dundee Discussion Papers in Economics
284, Economic Studies, University of Dundee.
- 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).
- 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.
- 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 EconomÃa.
- López-Salido, J David & Carrasco, Raquel & Labeaga Azcona, J Maria, 2002. "Consumption and Habits: Evidence from Panel Data," CEPR Discussion Papers 3520, C.E.P.R. Discussion Papers.
- Raquel Carrasco & José M. Labeaga & J. David López-Salido, 2005. "Consumption and Habits: Evidence from Panel Data," Economic Journal, Royal Economic Society, vol. 115(500), pages 144-165, January.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002.
"Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence,"
Journal of Political Economy, University of Chicago Press, vol. 110(4), pages 793-824, August.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, "undated". "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Rodney L. White Center for Financial Research Working Papers 23-99, Wharton School Rodney L. White Center for Financial Research.
- 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.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 8822, National Bureau of Economic Research, Inc.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 7406, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Jean-Pierre Danthine & John B. Donaldson & Paolo Siconolfi, 2005.
"Distribution Risk and Equity Returns,"
Cahiers de Recherches Economiques du Département d'économie
05.10, Université de Lausanne, Faculté des HEC, Département d’économie.
- Danthine, Jean-Pierre & Siconolfi, Paolo & Donaldson, John B, 2005. "Distribution Risk and Equity Returns," CEPR Discussion Papers 5425, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Mariana Mazzucato & Massimiliano Tancioni, 2005. "Innovation and Idiosyncratic Risk," Computing in Economics and Finance 2005 81, Society for Computational Economics.
- Dalderop, Jeroen, 2023. "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, vol. 236(1).
- Souza, Thiago de Oliveira, 2020. "Dollar carry timing," Discussion Papers on Economics 10/2020, University of Southern Denmark, Department of Economics.
- 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.
- 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).
- 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.
- 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.
- 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.
- 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.
- 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.
- Gatfaoui, Hayette, 2015. "Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas," Energy Policy, Elsevier, vol. 87(C), pages 270-283.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006.
"Stock and Bond Returns with Moody Investors,"
CEPR Discussion Papers
5951, C.E.P.R. Discussion Papers.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2004. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 4501, C.E.P.R. Discussion Papers.
- Geert Bekaert & Eric Engstrom & Steven R. Grenadier, 2006. "Stock and Bond Returns with Moody Investors," NBER Working Papers 12247, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010. "Stock and bond returns with Moody Investors," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 867-894, December.
- Borup, Daniel & Schütte, Erik Christian Montes, 2022. "Asset pricing with data revisions," Journal of Financial Markets, Elsevier, vol. 59(PB).
- 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.
- Lubos Pastor & Pietro Veronesi, 2017.
"Political Cycles and Stock Returns,"
NBER Working Papers
23184, National Bureau of Economic Research, Inc.
- Ľuboš Pástor & Pietro Veronesi, 2020. "Political Cycles and Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 128(11), pages 4011-4045.
- Pástor, Luboš & Veronesi, Pietro, 2017. "Political Cycles and Stock Returns," CEPR Discussion Papers 11864, C.E.P.R. Discussion Papers.
- 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).
- 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).
- 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.
- 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.
- 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).
- 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.
- Akira Yamazaki, 2022. "Recovering subjective probability distributions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1234-1263, July.
- Toni Ahnert & Enrico Perotti, 2018. "Seeking Safety," Staff Working Papers 18-41, Bank of Canada.
- M. Isoré & U. Szczerbowicz, 2016.
"Disaster Risk and Preference Shifts in a New Keynesian Model,"
Working papers
614, Banque de France.
- Marlène Isoré & Urszula Szczerbowicz, 2015. "Disaster Risk and Preference Shifts in a New Keynesian Model," Working Papers 2015-16, CEPII research center.
- Isoré, Marlène & Szczerbowicz, Urszula, 2017. "Disaster risk and preference shifts in a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 97-125.
- Isoré, Marlène & Szczerbowicz, Urszula, 2015. "Disaster risk and preference shifts in a New Keynesian model," MPRA Paper 65643, University Library of Munich, Germany.
- C. Jennings & H.J. Roelfsema, 2004. "Conspicuous Public Goods and Leadership Selection," Working Papers 04-10, Utrecht School of Economics.
- 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.
- 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.
- Brent Hueth & Maro Ibarburu & James Kliebenstein, 2005.
"Business Organization and Coordination in Marketing Specialty Hogs: A Comparative Analysis of Two Firms from Iowa,"
Center for Agricultural and Rural Development (CARD) Publications
05-wp415, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- 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.
- 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.
- Leonardo Becchetti & Roberto Rocci & Giovanni Trovato, 2007. "Industry and time specific deviations from fundamental values in a random coefficient model," Annals of Finance, Springer, vol. 3(2), pages 257-276, March.
- 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.
- Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2020.
"Factor Timing,"
NBER Working Papers
26708, National Bureau of Economic Research, Inc.
- 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.
- 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.
- George M. Constantinides, 2017. "Asset Pricing: Models and Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 125(6), pages 1782-1790.
- Ghosal, Vivek & Ye, Yang, 2019. "The impact of uncertainty on the number of businesses," Journal of Economics and Business, Elsevier, vol. 105(C).
- Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc.
- Rangvid, Jesper, 2006. "Output and expected returns," Journal of Financial Economics, Elsevier, vol. 81(3), pages 595-624, September.
- Jacobs, Kris, 2000. "Estimating Nonseparable Preference Specifications for Asset Market Participants," Econometric Society World Congress 2000 Contributed Papers 1472, Econometric Society.
- Martin Lettau & Jessica A. Wachter, 2009.
"The Term Structures of Equity and Interest Rates,"
NBER Working Papers
14698, National Bureau of Economic Research, Inc.
- Lettau, Martin & Wachter, Jessica A., 2011. "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, vol. 101(1), pages 90-113, July.
- Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Demand Disagreement," 2018 Meeting Papers 607, Society for Economic Dynamics.
- Jaroslav Borovicka & John Stachurski, 2019.
"Stability of Equilibrium Asset Pricing Models: A Necessary and Sufficient Condition,"
Papers
1910.00778, arXiv.org, revised Feb 2021.
- Borovička, Jaroslav & Stachurski, John, 2021. "Stability of equilibrium asset pricing models: A necessary and sufficient condition," Journal of Economic Theory, Elsevier, vol. 193(C).
- 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.
- 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.
- Noam Yuchtman & Florian Ederer & Bruno Ferman & Leonardo Bursztyn, 2013. "Understanding Peer Effects in Financial Decisions: Evidence from a Field Experiment," 2013 Meeting Papers 222, Society for Economic Dynamics.
- Zhao, Dongxu & Li, Kai, 2022. "Bounded rationality, adaptive behaviour, and asset prices," International Review of Financial Analysis, Elsevier, vol. 80(C).
- David O. Lucca & Emanuel Moench, 2015.
"The Pre-FOMC Announcement Drift,"
Journal of Finance, American Finance Association, vol. 70(1), pages 329-371, February.
- David O. Lucca & Emanuel Moench, 2011. "The pre-FOMC announcement drift," Staff Reports 512, Federal Reserve Bank of New York.
- 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.
- Haase, Felix & Neuenkirch, Matthias, 2023. "Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US," International Journal of Forecasting, Elsevier, vol. 39(2), pages 587-605.
- Felix Haase & Matthias Neuenkirch, 2021. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," CESifo Working Paper Series 8828, CESifo.
- Felix Haase & Matthias Neuenkirch, 2020. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Working Paper Series 2020-03, University of Trier, Research Group Quantitative Finance and Risk Analysis.
- 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.
- Cars Hommes & Daan in't Veld, 2015. "Booms, Busts and Behavioural Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers 15-088/II, Tinbergen Institute.
- Hommes, C.H. & in 't Veld, D., 2014. "Booms, busts and behavioural heterogeneity in stock prices," CeNDEF Working Papers 14-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Andreas Hornstein & Harald Uhlig, 1999.
"What is the real story for interest rate volatility?,"
Working Paper
99-09, Federal Reserve Bank of Richmond.
- Andreas Hornstein & Harald Uhlig, 2000. "What is the Real Story for Interest Rate Volatility?," German Economic Review, Verein für Socialpolitik, vol. 1(1), pages 43-67, February.
- 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.
- Jaccard, Ivan, 2018. "Stochastic discounting and the transmission of money supply shocks," Working Paper Series 2174, European Central Bank.
- 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.
- Eric T. Swanson, 2020. "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," American Economic Journal: Macroeconomics, American Economic Association, vol. 12(2), pages 194-240, April.
- Eric T. Swanson, 2013. "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," Working Paper Series 2013-30, Federal Reserve Bank of San Francisco.
- Eric Swanson, 2013. "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," 2013 Meeting Papers 1137, Society for Economic Dynamics.
- Bruno C. Giovannetti, 2013.
"Asset pricing under quantile utility maximization,"
Review of Financial Economics, John Wiley & Sons, vol. 22(4), pages 169-179, November.
- Giovannetti, Bruno C., 2013. "Asset pricing under quantile utility maximization," Review of Financial Economics, Elsevier, vol. 22(4), pages 169-179.
- Bruno Cara Giovannetti, 2012. "Asset Pricing under Quantile Utility Maximization," Working Papers, Department of Economics 2012_16, University of São Paulo (FEA-USP).
- Koijen, Ralph S.J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017.
"The cross-section and time series of stock and bond returns,"
Journal of Monetary Economics, Elsevier, vol. 88(C), pages 50-69.
- Koijen, Ralph S. J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017. "The Cross-Section and Time Series of Stock and Bond Returns," Research Papers 3518, Stanford University, Graduate School of Business.
- Van Nieuwerburgh, Stijn & Lustig, Hanno & Koijen, Ralph, 2012. "The Cross-Section and Time-Series of Stock and Bond Returns," CEPR Discussion Papers 9024, C.E.P.R. Discussion Papers.
- 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.
- Martin Browning & M. Dolores Collado, 2004.
"Habits and Heterogeneity in Demands: a Panel Data Analysis,"
CAM Working Papers
2004-18, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- M. Dolores Collado & Martin Browning, 2007. "Habits and heterogeneity in demands: a panel data analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 625-640.
- 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).
- 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.
- Allen Head & Gregor W. Smith, 2002. "The Ccapm Meets Euro-interest Rate Persistence, 1960-2000," Working Paper 1250, Economics Department, Queen's University.
- Sule Alan, 2011.
"Do Disaster Expectations Explain Household Portfolios?,"
Koç University-TUSIAD Economic Research Forum Working Papers
1127, Koc University-TUSIAD Economic Research Forum.
- Sule Alan, 2012. "Do disaster expectations explain household portfolios?," Quantitative Economics, Econometric Society, vol. 3(1), pages 1-28, March.
- 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.
- 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.
- Constantinides, George M. & Ghosh, Anisha, 2008.
"Asset pricing tests with long run risks in consumption growth,"
LSE Research Online Documents on Economics
24428, London School of Economics and Political Science, LSE Library.
- George M. Constantinides & Anisha Ghosh, 2011. "Asset Pricing Tests with Long-run Risks in Consumption Growth," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 1(1), pages 96-136.
- Anisha Ghosh & George Constantinides, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," FMG Discussion Papers dp609, Financial Markets Group.
- George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc.
- 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, March.
- 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.
- Ravi Bansal & Robert Dittmar & Dana Kiku, 2007. "Cointegration and Consumption Risks in Asset Returns," NBER Working Papers 13108, National Bureau of Economic Research, Inc.
- Stefan Nagel & Zhengyang Xu, 2022.
"Dynamics of Subjective Risk Premia,"
CESifo Working Paper Series
9693, CESifo.
- Nagel, Stefan & Xu, Zhengyang, 2022. "Dynamics of Subjective Risk Premia," CEPR Discussion Papers 17064, C.E.P.R. Discussion Papers.
- Stefan Nagel & Zhengyang Xu, 2022. "Dynamics of Subjective Risk Premia," NBER Working Papers 29803, National Bureau of Economic Research, Inc.
- Nagel, Stefan & Xu, Zhengyang, 2023. "Dynamics of subjective risk premia," Journal of Financial Economics, Elsevier, vol. 150(2).
- Jean-Pierre Zigrand & Jon Danielsson, 2006.
"Equilibrium Asset Pricing with Systemic Risk,"
FMG Discussion Papers
dp561, Financial Markets Group.
- Danielsson, Jon & Zigrand, Jean-Pierre, 2006. "Equilibrium asset pricing with systemic risk," LSE Research Online Documents on Economics 24515, London School of Economics and Political Science, LSE Library.
- Danielsson, Jon & Zigrand, Jean-Pierre, 2008. "Equilibrium asset pricing with systemic risk," LSE Research Online Documents on Economics 24823, London School of Economics and Political Science, LSE Library.
- 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.
- Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2019. "Financial Market Risk Perceptions and the Macroeconomy," NBER Working Papers 26290, National Bureau of Economic Research, Inc.
- Alessie, Rob & Lusardi, Annamaria, 1997. "Consumption, saving and habit formation," Economics Letters, Elsevier, vol. 55(1), pages 103-108, August.
- Grant, Simon & Quiggin, John, 2004.
"The risk premium for equity: implications for resource allocation, welfare and policy,"
Risk and Sustainable Management Group Working Papers
151167, University of Queensland, School of Economics.
- Simon Grant & John Quiggin, 2004. "The risk premium for equity: implications for resource allocation, welfare and policy," Risk & Uncertainty Working Papers WPR04_8, Risk and Sustainable Management Group, University of Queensland.
- 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.
- Liu, Jun & Pan, Jun, 2003.
"Dynamic derivative strategies,"
Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
- Liu, Jun & Pan, Jun, 2003. "Dynamic Derivative Strategies," Working papers 4334-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Enrichetta Ravina, 2005. "Keeping Up with the Joneses: Evidence from Micro Data," 2005 Meeting Papers 557, Society for Economic Dynamics.
- Urban Jermann, 2006.
"The Equity Premium Implied by Production,"
NBER Working Papers
12487, National Bureau of Economic Research, Inc.
- Jermann, Urban J., 2010. "The equity premium implied by production," Journal of Financial Economics, Elsevier, vol. 98(2), pages 279-296, November.
- Urban J. Jermann, 2005. "The Equity Premium Implied by Production," 2005 Meeting Papers 630, Society for Economic Dynamics.
- Schiff, Maurice, 2004.
"On the inefficiency of inequality,"
Policy Research Working Paper Series
3360, The World Bank.
- Schiff, Maurice, 2004. "On the Inefficiency of Inequality," IZA Discussion Papers 1283, Institute of Labor Economics (IZA).
- Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
- 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.
- Elena Márquez de la Cruz, 2004. "La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales 04-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- 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.
- Santiago Budria, 2005. "An Exploration of Asset Returns in a Production Economy with Relative Habits," Finance 0505004, University Library of Munich, Germany.
- Chang, C-L. & Hsu, S.-H. & McAleer, M.J., 2018.
"Asymmetric Risk Impacts of Chinese Tourists to Taiwan,"
Econometric Institute Research Papers
EI2018-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- 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.
- Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- 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.
- 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.
- Orrego, Fabrizio, 2010. "Demography, stock prices and interest rates: The Easterlin hypothesis revisited," Working Papers 2010-012, Banco Central de Reserva del Perú.
- 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.
- Dmitry Livdan & Horacio Sapriza & Lu Zhang, 2006.
"Financially Constrained Stock Returns,"
NBER Working Papers
12555, National Bureau of Economic Research, Inc.
- Dmitry Livdan & Horacio Sapriza & Lu Zhang, 2009. "Financially Constrained Stock Returns," Journal of Finance, American Finance Association, vol. 64(4), pages 1827-1862, August.
- Nicholas Barberis & Ming Huang, 2001. "Mental Accounting, Loss Aversion, and Individual Stock Returns," NBER Working Papers 8190, National Bureau of Economic Research, Inc.
- 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.
- Bach, Christian & Møller, Stig V., 2011. "Habit-based asset pricing with limited participation consumption," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2891-2901, November.
- 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.
- 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.
- Ales Marsal, 2018. "Government Spending and the Term Structure of Interest Rates in a DSGE Model," 2018 Meeting Papers 107, Society for Economic Dynamics.
- 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).
- 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.
- Nitschka, Thomas, 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, Elsevier, vol. 22(3), pages 118-124.
- 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.
- 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.
- 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.
- René Garcia & Eric Renault & Andrei Semenov, 2003. "Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level," CIRANO Working Papers 2003s-12, CIRANO.
- 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.
- Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
- 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.
- Kris Jacobs & Stephane Pallage & Michel A. Robe, 2005. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," Computing in Economics and Finance 2005 47, Society for Computational Economics.
- Jacobs, Kris & Pallage, Stéphane & Robe, Michel A., 2013. "Market incompleteness and the equity premium puzzle: Evidence from state-level data," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 378-388.
- 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.
- Rajnish Mehra, 2003. "The Equity Premium: Why is it a Puzzle?," NBER Working Papers 9512, National Bureau of Economic Research, Inc.
- Wei-Choun Yu, 2008. "Macroeconomic and financial market volatilities: an empirical evidence of factor model," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-18.
- 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.
- Casey B. Mulligan, 2013. "Uncertainty, Redistribution, and the Labor Market," NBER Working Papers 19553, National Bureau of Economic Research, Inc.
- Monfort, A. & Pegoraro, F., 2012.
"Asset Pricing with Second-Order Esscher Transforms,"
Working papers
397, Banque de France.
- Monfort, Alain & Pegoraro, Fulvio, 2012. "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
- Alain MONFORT & Fulvio PEGORARO, 2010. "Asset Pricing with Second-Order Esscher Transforms," Working Papers 2010-54, Center for Research in Economics and Statistics.
- Zhao, Guihai, 2017. "Confidence, bond risks, and equity returns," Journal of Financial Economics, Elsevier, vol. 126(3), pages 668-688.
- 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.
- William Barnett & Liting Su, 2014.
"The Joint Services of Money and Credit,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
201407, University of Kansas, Department of Economics, revised Dec 2014.
- Barnett, William & Su, Liting, 2014. "The Joint Services of Money and Credit," Studies in Applied Economics 21, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
- Barnett, William A., 2014. "The joint services of money and credit," MPRA Paper 60336, University Library of Munich, Germany.
- 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.
- Gregory R Duffee, 2023. "Macroeconomic News and Stock–Bond Comovement," Review of Finance, European Finance Association, vol. 27(5), pages 1859-1882.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Alan Guoming Huang & Eric Hughson & J. Chris Leach, 2016. "Code and data files for "Generational Asset Pricing, Equity Puzzles, and Cyclicality"," Computer Codes 13-198, Review of Economic Dynamics.
- 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.
- Astrid Matthey & Nadja Dwenger, 2007. "Don't aim too high: the potential costs of high aspirations," Jena Economics Research Papers 2007-097, Friedrich-Schiller-University Jena.
- 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.
- 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.
- Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
- 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.
- Norman Loayza & Klaus Schmidt-Hebbel & Luis Servén, 2001. "Una Revisión del COmportamiento y de los determinantes del ahorro en el mundo," Central Banking, Analysis, and Economic Policies Book Series, in: Felipe Morandé & Rodrigo Vergara & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series Edit (ed.),Análisis Empírico del Ahorro en Chile, edition 1, volume 1, chapter 2, pages 13-48, Central Bank of Chile.
- 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.
- 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.
- Paul R. Bergin & Hyung-Cheol Shin & Ivan Tchakarov, 2017. "Does Exchange Rate Variability Matter for Welfare? A Quantitative Investigation of Stabilization Policies," World Scientific Book Chapters, in: International Macroeconomic Interdependence, chapter 13, pages 363-386, World Scientific Publishing Co. Pte. Ltd..
- Paul Bergin & Hyung-Cheol Shin & Ivan Tchakarov, 2005. "Does Exchange Rate Variability Matter for Welfare? A Quantitative Investigation of Stabilization Policies," Working Papers 265, University of California, Davis, Department of Economics.
- 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.).
- 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.
- 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.
- Lansing, Kevin J. & Ma, Jun, 2017. "Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 62-87.
- 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.).
- 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.
- K. J. Martijn Cremers & Vinay B. Nair & Kose John, 2009. "Takeovers and the Cross-Section of Returns," The Review of Financial Studies, Society for Financial Studies, vol. 22(4), pages 1409-1445, April.
- Jing Peng & Pengyu Wei & Zuo Quan Xu, 2022. "Relative growth rate optimization under behavioral criterion," Papers 2211.05402, arXiv.org.
- 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.).
- Orrego, Fabrizio, 2011. "Demografía y precios de activos," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 22, pages 83-101.
- 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.
- Andrew B. Abel, 2003. "Optimal Taxation When Consumers Have Endogenous Benchmark Levels of Consumption," NBER Working Papers 10099, National Bureau of Economic Research, Inc.
- 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.
- Christoph Große Steffen & Maximilian Podstawski, 2016. "Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets," Discussion Papers of DIW Berlin 1602, DIW Berlin, German Institute for Economic Research.
- 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.
- Mohammed Bouaddi & Denis Larocque & Michel Normandin, 2010. "Equity Premia and State-Dependent Risks," Cahiers de recherche 1019, CIRPEE.
- 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.
- Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2014. "Capital Share Risk in U.S. Asset Pricing," NBER Working Papers 20744, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2018. "Capital Share Risk in U.S. Asset Pricing," CEPR Discussion Papers 12628, C.E.P.R. Discussion Papers.
- 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.
- 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.
- 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.
- Ivan Tchakarov & Paul Bergin, 2003.
"Does Exchange Rate Risk Matter for Welfare?,"
Computing in Economics and Finance 2003
61, Society for Computational Economics.
- Paul R. Bergin & Ivan Tchakarov, 2003. "Does Exchange Rate Risk Matter for Welfare?," NBER Working Papers 9900, National Bureau of Economic Research, Inc.
- Thomas Nitschka, 2007.
"International evidence for return predictability and the implications for long-run covariation of the G7 stock markets,"
IEW - Working Papers
338, Institute for Empirical Research in Economics - University of Zurich.
- 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.
- Nitschka Thomas, 2010. "International Evidence for Return Predictability and the Implications for Long-Run Covariation of the G7 Stock Markets," German Economic Review, De Gruyter, vol. 11(4), pages 527-544, December.
- 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.
- 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.
- 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.
- Eric Swanson, 2018. "Risk Aversion, Risk Premia, and the Labor Margin with Generalized Recursive Preferences," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 28, pages 290-321, April.
- 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.
- Matteo Maggiori & Stefano Giglio & Johannes Stroebel, "undated". "No-Bubble Condition: Model-Free Tests in Housing Markets," Working Paper 181786, Harvard University OpenScholar.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014. "No-Bubble Condition: Model-free Tests in Housing Markets," NBER Working Papers 20154, National Bureau of Economic Research, Inc.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2016. "No‐Bubble Condition: Model‐Free Tests in Housing Markets," Econometrica, Econometric Society, vol. 84, pages 1047-1091, May.
- 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.
- Martin D. D. Evans & Viktoria Hnatkovska, 2005.
"International Capital Flows, Returns and World Financial Integration,"
NBER Working Papers
11701, National Bureau of Economic Research, Inc.
- 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.
- Martin D D Evans & Viktoria Hnatkovska, 2006. "International Capital Flows Returns and World Financial Integration," 2006 Meeting Papers 60, Society for Economic Dynamics.
- Evans, Martin D.D. & Hnatkovska, Viktoria V., 2014. "International capital flows, returns and world financial integration," Journal of International Economics, Elsevier, vol. 92(1), pages 14-33.
- 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.
- Birru, Justin & Young, Trevor, 2022. "Sentiment and uncertainty," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1148-1169.
- Andrew E. Clark & David Masclet & Marie Claire Villeval, 2006.
"Effort and Comparison Income : Survey and Experimental Evidence,"
Post-Print
halshs-00142880, HAL.
- Andrew E. Clark & David Masclet & Marie Claire Villeval, 2006. "Effort and comparison income: Survey and experimental evidence," PSE Working Papers halshs-00590552, HAL.
- Andrew E. Clark & David Masclet & Marie Claire Villeval, 2006. "Effort and comparison income: Survey and experimental evidence," Working Papers halshs-00590552, HAL.
- Andrew Clark & Davis Masclet & Marie-Claire Villeval, 2006. "Effort and Comparison Income : Survey and Experimental Evidence," Working Papers 0601, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
- 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].
- Markus Knell, 2010.
"The Optimal Mix Between Funded and Unfunded Pension Systems When People Care About Relative Consumption,"
Economica, London School of Economics and Political Science, vol. 77(308), pages 710-733, October.
- 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).
- Huberman, Gur & Guasoni, Paolo & Ren, Dan, 2014. "Shortfall Aversion," CEPR Discussion Papers 10064, C.E.P.R. Discussion Papers.
- 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.
- 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.
- 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.
- Laborda, Ricardo & Olmo, Jose, 2014. "Investor sentiment and bond risk premia," Journal of Financial Markets, Elsevier, vol. 18(C), pages 206-233.
- Roberto Marfè, 2015.
"Corporate Fraction and the Equilibrium Term-Structure of Equity Risk,"
Carlo Alberto Notebooks
409, Collegio Carlo Alberto.
- 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.
- Zongxia Liang & Keyu Zhang, 2024. "A Mean Field Game Approach to Relative Investment-Consumption Games with Habit Formation," Papers 2401.15659, arXiv.org.
- 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.
- Roger Farmer, 2018. "Pricing Assets in a Perpetual Youth Model," NBER Working Papers 24261, National Bureau of Economic Research, Inc.
- Farmer, Roger, 2018. "Pricing Assets in a Perpetual Youth Model," CEPR Discussion Papers 12643, C.E.P.R. Discussion Papers.
- Roger Farmer, 2018. "Pricing Assets in a Perpetual Youth Model," National Institute of Economic and Social Research (NIESR) Discussion Papers 485, National Institute of Economic and Social Research.
- Roger E. A. Farmer, 2018. "Code and data files for "Pricing Assets in a Perpetual Youth Model"," Computer Codes 17-287, Review of Economic Dynamics.
- Jack Favilukis & Xiaoji Lin, 2011. "Micro Frictions, Asset Pricing and Aggregate," FMG Discussion Papers dp673, Financial Markets Group.
- George M. Constantinides, 2006.
"Market Organization And The Prices Of Financial Assets,"
Manchester School, University of Manchester, vol. 74(s1), pages 1-23, September.
- 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.
- 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.
- Robert J. Barro & José F. Ursua, 2011.
"Rare Macroeconomic Disasters,"
NBER Working Papers
17328, National Bureau of Economic Research, Inc.
- Robert J. Barro & José F. Ursúa, 2012. "Rare Macroeconomic Disasters," Annual Review of Economics, Annual Reviews, vol. 4(1), pages 83-109, July.
- 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.).
- Jose Ursua & Jon Steinsson & Emi Nakamura & Robert Barro, 2008.
"Crises and Recoveries in an Empirical Model of Consumption Disasters,"
2008 Meeting Papers
1089, Society for Economic Dynamics.
- 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.
- Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2013. "Crises and Recoveries in an Empirical Model of Consumption Disasters," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 35-74, July.
- 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.
- Xiaoji Lin & Jack Favilukis, 2011. "Micro Frictions, Asset Pricing, and Aggregate Implications," 2011 Meeting Papers 466, Society for Economic Dynamics.
- Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
- 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.
- 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.
- González-Urteaga, Ana & Rubio, Gonzalo, 2021. "The quality premium with leverage and liquidity constraints," International Review of Financial Analysis, Elsevier, vol. 75(C).
- Woon Gyu Choi, 2007.
"Measuring Interest Rates as Determined by Thrift and Productivity,"
Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 167-195, May.
- Choi, Woon Gyu & Wen, Yi, 2000. "Measuring Interest Rates as Determined by Thrift and Productivity," Working Papers 00-03, Cornell University, Center for Analytic Economics.
- 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.
- 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.
- Cai, Zongwu & Liu, Xuan & Yang, Fang, 2012. "Reexamining the Empirical Relevance of Habit Formation Preferences," MPRA Paper 37817, University Library of Munich, Germany.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014.
"Very long-run discount rates,"
Globalization Institute Working Papers
182, Federal Reserve Bank of Dallas.
- Matteo Maggiori & Johannes Stroebel & Stefano Giglio, 2014. "Very Long Run Discount Rates," 2014 Meeting Papers 1281, Society for Economic Dynamics.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014. "Very Long-Run Discount Rates," NBER Working Papers 20133, National Bureau of Economic Research, Inc.
- Gourio, François, 2008.
"Time-series predictability in the disaster model,"
Finance Research Letters, Elsevier, vol. 5(4), pages 191-203, December.
- François Gourio, 2008. "Time-series predictability in the disaster model," Boston University - Department of Economics - Working Papers Series wp2008-016, Boston University - Department of Economics.
- Holger Kraft & Claus Munk & Sebastian Wagner, 2018.
"Housing Habits and Their Implications for Life-Cycle Consumption and Investment [The evolution of homeownership rates in selected OECD countries: demographic and public policy influences],"
Review of Finance, European Finance Association, vol. 22(5), pages 1737-1762.
- 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.
- Giovanni Majnoni & Andrew Powell, 2011.
"On Endogenous Risk, the Amplification Effects of Financial Systems and Macro Prudential Policies,"
Research Department Publications
4726, Inter-American Development Bank, Research Department.
- 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.
- Nicholas Barberis & Ming Huang & Tano Santos, 1999.
"Prospect Theory and Asset Prices,"
NBER Working Papers
7220, National Bureau of Economic Research, Inc.
- Nicholas BARBERIS & Ming HUANG & Tano SANTOS, 2000. "Prospect Theory and Asset Prices," FAME Research Paper Series rp16, International Center for Financial Asset Management and Engineering.
- Nicholas Barberis & Ming Huang & Tano Santos, "undated". "Prospect Theory and Asset Prices," CRSP working papers 494, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- 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.
- Willman, Alpo, 2007. "Sequential optimization, front-loaded information, and U.S. consumption," Working Paper Series 765, European Central Bank.
- 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.
- Bramoullé, Y. & Ghiglino, C., 2024. "Status Consumption in Networks: A Reference Dependent Approach," Janeway Institute Working Papers 2409, Faculty of Economics, University of Cambridge.
- Duclos, Jean-Yves, 2006.
"Liberté ou égalité?,"
L'Actualité Economique, Société Canadienne de Science Economique, vol. 82(4), pages 441-476, décembre.
- Jean-Yves Duclos, 2006. "Liberté ou égalité?," Cahiers de recherche 0630, CIRPEE.
- 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.
- Julien Hugonnier & Florian Pelgrin & Pascal St-Amour, 2009.
"Health and (other) Asset Holdings,"
Swiss Finance Institute Research Paper Series
09-18, Swiss Finance Institute.
- Julien Hugonnier & Florian Pelgrin, 2013. "Health and (Other) Asset Holdings," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 80(2), pages 663-710.
- Huang, MeiChi, 2012. "Housing deep-habit model: Mutual implications of macroeconomics and asset pricing," Economics Letters, Elsevier, vol. 116(3), pages 526-530.
- Yongyang Cai & Thomas S. Lontzek, 2019.
"The Social Cost of Carbon with Economic and Climate Risks,"
Journal of Political Economy, University of Chicago Press, vol. 127(6), pages 2684-2734.
- 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.
- 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.
- Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2012. "Saving Rates and Portfolio Choice with Subsistence Consumption," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(1), pages 108-126, January.
- Bandi, Federico M. & Perron, Benoît, 2008. "Long-run risk-return trade-offs," Journal of Econometrics, Elsevier, vol. 143(2), pages 349-374, April.
- 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.
- Peter Reinhard Hansen & Chen Tong, 2022. "Option Pricing with Time-Varying Volatility Risk Aversion," Papers 2204.06943, arXiv.org, revised Oct 2022.
- 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.
- Ravenna, Federico & Seppälä, Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Bank of Finland Research Discussion Papers 25/2006, Bank of Finland.
- 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.
- 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.
- 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.
- 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.
- Maddaloni, Angela & Peydró, José-Luis, 2010. "Bank risk-taking, securitization, supervision and low interest rates: Evidence from the euro area and the U.S. lending standards," Working Paper Series 1248, European Central Bank.
- 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.
- Ghosh, Anisha & Linton, Oliver, 2009.
"Consistent estimation of the risk-return tradeoff in the presence of measurement error,"
UC3M Working papers. Economics
we094928, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Ghosh, Anisha & Linton, Oliver, 2007. "Consistent estimation of the risk-return tradeoff in the presence of measurement error," LSE Research Online Documents on Economics 24506, London School of Economics and Political Science, LSE Library.
- 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.
- 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.
- Ravi Jagannathan & Binying Liu, 2019.
"Dividend Dynamics, Learning, and Expected Stock Index Returns,"
Journal of Finance, American Finance Association, vol. 74(1), pages 401-448, February.
- Ravi Jagannathan & Binying Liu, 2015. "Dividend Dynamics, Learning, and Expected Stock Index Returns," NBER Working Papers 21557, National Bureau of Economic Research, Inc.
- 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.
- Samano, Daniel, 2009. "Explaining Taxes at the Upper Tail of the Income Distribution: The Role of Utility Interdependence," MPRA Paper 19112, University Library of Munich, Germany.
- Gianni Amisano & Oreste Tristani, 2023. "Monetary policy and long‐term interest rates," Quantitative Economics, Econometric Society, vol. 14(2), pages 689-716, May.
- Alexander L. Wolman, 2006. "Bond price premiums," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 92(Fall), pages 317-336.
- Nicolae Gârleanu & Leonid Kogan & Stavros Panageas, 2009.
"The Demographics of Innovation and Asset Returns,"
NBER Working Papers
15457, National Bureau of Economic Research, Inc.
- Stavros Panageas & Leonid Kogan & Nicolae Garleanu, 2009. "The Demographics of Innovation and Asset Returns," 2009 Meeting Papers 140, Society for Economic Dynamics.
- Cheolbeom Park & Dong-hun Shin, 2014. "Stock Market Predictability: Global Evidence and an Explanation," Discussion Paper Series 1405, Institute of Economic Research, Korea University.
- 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.
- Sydney Ludvigson & Martin Lettau & Daniel Greenwald, 2014.
"The Origins of Stock Market Fluctuations,"
2014 Meeting Papers
542, Society for Economic Dynamics.
- Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson, 2014. "Origins of Stock Market Fluctuations," NBER Working Papers 19818, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2015. "Origins of Stock Market Fluctuations," CEPR Discussion Papers 10336, C.E.P.R. Discussion Papers.
- Basak, Suleyman & Makarov, Dmitry & Shapiro, Alex & Subrahmanyam, Marti, 2020.
"Security design with status concerns,"
Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
- Basak, Suleyman & Subrahmanyam, Marti & Makarov, Dmitry & Shapiro, Alex, 2020. "Security Design with Status Concerns," CEPR Discussion Papers 15193, C.E.P.R. Discussion Papers.
- 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.
- Ana Santacreu & Ilian Mihov, 2013.
"Exchange rates as an instrument of monetary policy,"
2013 Meeting Papers
773, Society for Economic Dynamics.
- Mihov, Ilian & Heipertz, Jonas & Santacreu, Ana, 2017. "The Exchange Rate as an Instrument of Monetary Policy," CEPR Discussion Papers 12137, C.E.P.R. Discussion Papers.
- 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).
- John Y. Campbell, 1993.
"Understanding Risk and Return,"
NBER Working Papers
4554, National Bureau of Economic Research, Inc.
- Campbell, John Y, 1996. "Understanding Risk and Return," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 298-345, April.
- John Y. Campbell, 1995. "Understanding Risk and Return," Harvard Institute of Economic Research Working Papers 1711, Harvard - Institute of Economic Research.
- Campbell, John, 1996. "Understanding Risk and Return," Scholarly Articles 3153293, Harvard University Department of Economics.
- 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.
- Hui Guo, 2003. "Stock prices, firm size, and changes in the federal funds rate target," Working Papers 2002-004, Federal Reserve Bank of St. Louis.
- 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.
- James M. Nason & Takashi Kano, 2004.
"Business Cycle Implications of Habit Formation,"
Computing in Economics and Finance 2004
175, Society for Computational Economics.
- James M. Nason & Takashi Kano, 2004. "Business Cycle Implications of Habit Formation," Econometric Society 2004 Far Eastern Meetings 619, Econometric Society.
- 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.
- Massimo Guidolin, 2011.
"Markov Switching Models in Empirical Finance,"
Advances in Econometrics, in: Missing Data Methods: Time-Series Methods and Applications, pages 1-86,
Emerald Group Publishing Limited.
- Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- 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.
- William R. Emmons & Frank A. Schmid, 2004.
"Monetary policy actions and the incentive to invest,"
Supervisory Policy Analysis Working Papers
2004-03, Federal Reserve Bank of St. Louis.
- 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.
- YiLi Chien & Kanda Naknoi, 2011.
"The Risk Premium and Long-Run Global Imbalances,"
Purdue University Economics Working Papers
1266, Purdue University, Department of Economics.
- Kanda Naknoi & YiLi Chien, 2013. "The Risk Premium and Long-Run Global Imbalances," 2013 Meeting Papers 55, Society for Economic Dynamics.
- YiLi Chien & Kanda Naknoi, 2012. "The Risk Premium and Long-Run Global Imbalances," Working papers 2012-41, University of Connecticut, Department of Economics.
- Chien, YiLi & Naknoi, Kanda, 2015. "The risk premium and long-run global imbalances," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 299-315.
- YiLi Chien & Kanda Naknoi, 2012. "The risk premium and long-run global imbalances," Working Papers 2012-009, Federal Reserve Bank of St. Louis.
- Jaime Alonso-Carrera & Jordi Caballe & Xavier Raurich, 2001.
"Consumption Externalities, Habit Formation, and Equilibrium Efficiency,"
UFAE and IAE Working Papers
499.01, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- 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.
- Michael Carlos Best & James Cloyne & Ethan Ilzetzki & Henrik Kleven, 2018.
"Estimating the Elasticity of Intertemporal Substitution Using Mortgage Notches,"
NBER Working Papers
24948, National Bureau of Economic Research, Inc.
- Best, Michael Carlos & Cloyne, James & Ilzetzki, Ethan & Kleven, Henrik Jacobsen, 2020. "Estimating the elasticity of intertemporal substitution using mortgage notches," LSE Research Online Documents on Economics 88185, London School of Economics and Political Science, LSE Library.
- Best, Michael & Cloyne, James & Ilzetzki, Ethan & Kleven, Henrik, 2018. "Estimating the Elasticity of Intertemporal Substitution Using Mortgage Notches," CEPR Discussion Papers 13104, C.E.P.R. Discussion Papers.
- 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.
- Andreas Stathopoulos, 2012. "Portfolio Home Bias and External Habit Formation," 2012 Meeting Papers 502, Society for Economic Dynamics.
- 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.
- Min, Byoung-Kyu & Kim, Tong Suk, 2016. "Momentum and downside risk," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 104-118.
- Salomons, Roelof & Grootveld, Henk, 2003. "The equity risk premium: emerging vs. developed markets," Emerging Markets Review, Elsevier, vol. 4(2), pages 121-144, June.
- 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.
- 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.
- Emmanuel Farhi, 2008.
"Rare Disasters and Exchange Rates,"
2008 Meeting Papers
47, Society for Economic Dynamics.
- Emmanuel Farhi & Xavier Gabaix, "undated". "Rare Disasters and Exchange Rates," Working Paper 71001, Harvard University OpenScholar.
- Gabaix, Xavier & Farhi, Emmanuel, 2015. "Rare Disasters and Exchange Rates," CEPR Discussion Papers 10334, C.E.P.R. Discussion Papers.
- Emmanuel Farhi & Xavier Gabaix, 2008. "Rare Disasters and Exchange Rates," NBER Working Papers 13805, National Bureau of Economic Research, Inc.
- Charles Engel, 2016.
"Exchange Rates, Interest Rates, and the Risk Premium,"
American Economic Review, American Economic Association, vol. 106(2), pages 436-474, February.
- Charles Engel, 2015. "Exchange Rates, Interest Rates, and the Risk Premium," NBER Working Papers 21042, National Bureau of Economic Research, Inc.
- 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.
- Lee, Kiryoung & Jeon, Yoontae, 2020. "Measuring Chinese consumers’ perceived uncertainty," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 51-70.
- Stefano Giglio & Ian Dew-Becker & David Berger, 2016. "Contractionary Volatility or Volatile Contractions?," 2016 Meeting Papers 673, Society for Economic Dynamics.
- John List & Harald Uhlig, 2017. "Introduction," Journal of Political Economy, University of Chicago Press, vol. 125(6), pages 1723-1727.
- 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.
- Yulei Luo, 2006. "Rational Inattention, Portfolio Choice, and the Equity Premium," Computing in Economics and Finance 2006 56, Society for Computational Economics.
- Dou, Winston Wei & Ji, Yan & Wu, Wei, 2021. "Competition, profitability, and discount rates," Journal of Financial Economics, Elsevier, vol. 140(2), pages 582-620.
- 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.
- Koehne, Sebastian & Kuhn, Moritz, 2013. "Optimal capital taxation for time-nonseparable preferences," MPRA Paper 45203, University Library of Munich, Germany.
- Moritz Kuhn & Sebastian Koehne, 2013. "Optimal capital taxation for time-nonseparable preferences," 2013 Meeting Papers 322, Society for Economic Dynamics.
- 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).
- Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2019.
"The Total Risk Premium Puzzle,"
NBER Working Papers
25653, National Bureau of Economic Research, Inc.
- Taylor, Alan M. & Jordà , Òscar & Schularick, Moritz, 2019. "The Total Risk Premium Puzzle," CEPR Discussion Papers 13595, C.E.P.R. Discussion Papers.
- Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2019. "The Total Risk Premium Puzzle?," Working Paper Series 2019-10, Federal Reserve Bank of San Francisco.
- 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.
- 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.
- Posch, Olaf & Schrimpf, Andreas, 2013. "Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79987, Verein für Socialpolitik / German Economic Association.
- 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.
- 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.).
- Geert Bekaert & Eric Engstrom, 2017. "Asset Return Dynamics under Habits and Bad Environment-Good Environment Fundamentals," Journal of Political Economy, University of Chicago Press, vol. 125(3), pages 713-760.
- Miguel Angel Iraola & Manuel S. Santos, 2009.
"Long-Term Asset Price Volatility and Macroeconomics Fluctations,"
Working Papers
0909, Centro de Investigacion Economica, ITAM.
- 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.
- Manuel S. Santos & Miguel A. Iraola, 2010. "Long-Term Asset Price Volatility and Macroeconomic Fluctuations," 2010 Meeting Papers 374, Society for Economic Dynamics.
- Manuel Santos & Miguel Iraola, 2014. "Long-Term Asset Price Volatility and Macroeconomic Fluctuations," 2014 Meeting Papers 559, Society for Economic Dynamics.
- Tobias J. Moskowitz & Annette Vissing-Jørgensen, 2002.
"The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?,"
American Economic Review, American Economic Association, vol. 92(4), pages 745-778, September.
- 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.
- 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.
- John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," NBER Working Papers 5610, National Bureau of Economic Research, Inc.
- 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.
- Morten Ravn & Stephanie Schmitt-Grohe & Martin Uribe, 2004. "Deep Habits," NBER Working Papers 10261, National Bureau of Economic Research, Inc.
- Morten O. Ravn & Stephanie Schmitt-Grohe, 2004. "Deep Habits," 2004 Meeting Papers 208, Society for Economic Dynamics.
- Ravn, Morten & Uribe, MartÃn & Schmitt-Grohé, Stephanie, 2004. "Deep Habits," CEPR Discussion Papers 4269, C.E.P.R. Discussion Papers.
- 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.
- Campbell, John & Viceira, Luis, 1999.
"Consumption and Portfolio Decisions When Expected Returns are Time Varying,"
Scholarly Articles
3163266, Harvard University Department of Economics.
- John Y. Campbell & Luis M. Viceira, 1999. "Consumption and Portfolio Decisions when Expected Returns are Time Varying," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 114(2), pages 433-495.
- John Y. Campbell & Luis M. Viceira, 1998. "Consumption and Portfolio Decisions When Expected Returns Are Time Varying," Harvard Institute of Economic Research Working Papers 1835, Harvard - Institute of Economic Research.
- John Y. Campbell & Luis M. Viceira, 1996. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," NBER Working Papers 5857, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Philip Stork & Luiz Felix & Roman Kraussl, 2017. "Implied Volatility Sentiment: A Tale of Two Tails," Tinbergen Institute Discussion Papers 17-002/IV, Tinbergen Institute, revised 26 Jan 2018.
- Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Implied volatility sentiment: A tale of two tails," CFS Working Paper Series 565, Center for Financial Studies (CFS).
- Michael Weber, 2016.
"Cash Flow Duration and the Term Structure of Equity Returns,"
NBER Working Papers
22520, National Bureau of Economic Research, Inc.
- Weber, Michael, 2018. "Cash flow duration and the term structure of equity returns," Journal of Financial Economics, Elsevier, vol. 128(3), pages 486-503.
- Michael Weber & Michael Weber, 2016. "Cash Flow Duration and the Term Structure of Equity Returns," CESifo Working Paper Series 6043, CESifo.
- 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.
- James D. Hamilton & Ethan S. Harris & Jan Hatzius & Kenneth D. West, 2015. "The Equilibrium Real Funds Rate: Past, Present and Future," NBER Working Papers 21476, National Bureau of Economic Research, Inc.
- Munk, Claus, 2015. "Financial Asset Pricing Theory," OUP Catalogue, Oxford University Press, number 9780198716457.
- 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.
- Schmeling, Maik, 2009.
"Investor sentiment and stock returns: Some international evidence,"
Journal of Empirical Finance, Elsevier, vol. 16(3), pages 394-408, June.
- Schmeling, Maik, 2008. "Investor sentiment and stock returns: Some international evidence," Hannover Economic Papers (HEP) dp-407, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- 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.
- Bursztyn, Leonardo & Ederer, Florian & Ferman, Bruno & Yuchtman, Noam, 2014. "Understanding mechanisms underlying peer effects: evidence from a field experiment on financial decisions," LSE Research Online Documents on Economics 91509, London School of Economics and Political Science, LSE Library.
- 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.
- 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.
- 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.
- Christoffel, Kai & Kilponen, Juha & Jaccard, Ivan, 2011. "Government bond risk premia and the cyclicality of fiscal policy," Working Paper Series 1411, European Central Bank.
- 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.
- 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.
- Ngotran, Duong & Ngo, Tien, 2013. "Retail Sector and Economic Development," MPRA Paper 61590, University Library of Munich, Germany, revised Aug 2014.
- 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.
- 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.
- 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.
- Chao Wei, 2007. "Inflation and Stock Prices: No Illusion," 2007 Meeting Papers 565, Society for Economic Dynamics.
- 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.).
- Jaccard, Ivan, 2013. "Liquidity constraints, risk premia, and themacroeconomic effects of liquidity shocks," Working Paper Series 1525, European Central Bank.
- 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.
- 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.
- Collard, Fabrice & Fève, Patrick & Ghattassi, Imen, 2005. "Predictability and Habit Persistence," IDEI Working Papers 339, Institut d'Économie Industrielle (IDEI), Toulouse.
- Andrea Ajello & Luca Benzoni & Olena Chyruk & Stijn Van Nieuwerburgh, 2020.
"Core and ‘Crust’: Consumer Prices and the Term Structure of Interest Rates,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(8), pages 3719-3765.
- 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.
- Olena Chyruk & Luca Benzoni & Andrea Ajello, 2012. "Core and `Crust': Consumer Prices and the Term Structure of Interest Rates," 2012 Meeting Papers 922, Society for Economic Dynamics.
- Nelson C. Mark & S.G. Cecchetti & P-s. Lam, 1997.
"Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?,"
Working Papers
017, Ohio State University, Department of Economics.
- 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.
- 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.
- Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2009. "The Determinants of Stock and Bond Return Comovements," NBER Working Papers 15260, National Bureau of Economic Research, Inc.
- Leland E. Farmer & Lawrence Schmidt & Allan Timmermann, 2023.
"Pockets of Predictability,"
Journal of Finance, American Finance Association, vol. 78(3), pages 1279-1341, June.
- Timmermann, Allan & Farmer, Leland E. & Schmidt, Lawrence, 2018. "Pockets of Predictability," CEPR Discussion Papers 12885, C.E.P.R. Discussion Papers.
- 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.
- Kevin X. D. Huang & Zheng Liu & Qi Zhu, 2013. "Temptation and Self-Control: Some Evidence and Applications," Working Paper Series 2013-23, Federal Reserve Bank of San Francisco.
- Kevin X. D. Huang & Zheng Liu & Qi Zhu, 2006. "Temptation and self-control: some evidence and applications," Staff Report 367, Federal Reserve Bank of Minneapolis.
- Kevin X.D. Huang & Zheng Liu & John Q. Zhu, 2007. "Temptation and Self-Control: Some Evidence and Applications," Vanderbilt University Department of Economics Working Papers 0711, Vanderbilt University Department of Economics.
- Nam, Eun-Young & Lee, Kiryoung & Jeon, Yoontae, 2021. "Macroeconomic uncertainty shocks and households’ consumption choice," Journal of Macroeconomics, Elsevier, vol. 68(C).
- 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.
- Dimitris Papanikolaou, 2011. "Investment Shocks and Asset Prices," Journal of Political Economy, University of Chicago Press, vol. 119(4), pages 639-685.
- 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.
- John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2023.
"Commodity futures return predictability and intertemporal asset pricing,"
Post-Print
hal-04192933, HAL.
- John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2020. "Commodity Futures Return Predictability and Intertemporal Asset Pricing," Working Papers 202011, Geary Institute, University College Dublin.
- Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023. "Commodity futures return predictability and intertemporal asset pricing," Journal of Commodity Markets, Elsevier, vol. 31(C).
- 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.
- Yamin Ahmad, 2002.
"Money Market Rates and Implied CCAPM Rates: Some International Evidence,"
Working Papers
gueconwpa~02-02-06, Georgetown University, Department of Economics.
- Ahmad, Yamin, 2005. "Money market rates and implied CCAPM rates: some international evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 699-729, September.
- Yamin Ahmad, 2004. "Money market rates and implied CCAPM rates: some international evidence," Money Macro and Finance (MMF) Research Group Conference 2003 1, Money Macro and Finance Research Group.
- Curatola, Giuliano, 2017. "Portfolio choice and asset prices when preferences are interdependent," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 197-223.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does It Work?," Management Science, INFORMS, vol. 54(11), pages 1935-1950, November.
- Hubert de La Bruslerie & Florent Pratlong, 2012.
"La valeur psychologique du temps : Une synthèse de la littérature,"
Post-Print
halshs-00636357, HAL.
- de La Bruslerie, Hubert & Pratlong, Florent, 2012. "La valeur psychologique du temps : une synthèse de la littérature," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(3), pages 361-400, Septembre.
- Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
- 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.
- 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.
- Alok Johri & Marc-André Letendre, 2006. "What do “residuals” from first-order conditions reveal about DGE models?," Department of Economics Working Papers 2006-01, McMaster University.
- Pancrazi, Roberto, 2013.
"How Benefcial Was the Great Moderation After All?,"
Economic Research Papers
270533, University of Warwick - Department of Economics.
- Pancrazi, Roberto, 2014. "How beneficial was the Great Moderation after all?," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 73-90.
- Pancrazi, Roberto, 2013. "How Beneficial was the Great Moderation After All?," The Warwick Economics Research Paper Series (TWERPS) 1016, University of Warwick, Department of Economics.
- Stephen E. Satchell & Shaun A. Bond, 2004. "Asymmetry, Loss Aversion and Forecasting," Econometric Society 2004 Australasian Meetings 160, Econometric Society.
- Curatola, Giuliano, 2016. "Optimal consumption and portfolio choice with loss aversion," SAFE Working Paper Series 130, Leibniz Institute for Financial Research SAFE.
- Benjamin Golez & Peter Koudijs, 2014. "Four Centuries of Return Predictability," NBER Working Papers 20814, National Bureau of Economic Research, Inc.
- Charles Engel, 2011.
"The Real Exchange Rate, Real Interest Rates, and the Risk Premium,"
Working Papers
272011, Hong Kong Institute for Monetary Research.
- Engel, Charles, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Economics Series 265, Institute for Advanced Studies.
- Charles Engel, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," NBER Working Papers 17116, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Eckerstorfer, Paul & Wendner, Ronald, 2013. "Asymmetric and Non-atmospheric Consumption Externalities, and Efficient Consumption Taxation," MPRA Paper 45521, University Library of Munich, Germany.
- Paul Eckerstorfer & Ronald Wendner, 2013. "Asymmetric and Non-atmospheric Consumption Externalities, and Efficient Consumption Taxation," Economics working papers 2013-01, Department of Economics, Johannes Kepler University Linz, Austria.
- Paul Eckerstorfer & Ronald Wendner, 2013. "Asymmetric and Non-atmospheric Consumption Externalities, and Efficient Consumption Taxation," Graz Economics Papers 2013-01, University of Graz, Department of Economics.
- 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.
- Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2006. "Macroeconomic implications of changes in the term premium," Working Paper Series 2006-46, Federal Reserve Bank of San Francisco.
- Hui Guo & Jason Higbee, 2006. "Market timing with aggregate and idiosyncratic stock volatilities," Working Papers 2005-073, Federal Reserve Bank of St. Louis.
- Boschi, Melisso, 2006.
"Habit formation and the transmission of financial crises,"
Economics Discussion Papers
8900, University of Essex, Department of Economics.
- Melisso Boschi & Aditya Goenka, 2007. "Relative Risk Aversion And The Transmission Of Financial Crises," CAMA Working Papers 2007-28, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Aditya Goenka & Melisso Boschi, 2004. "International capital flows and transmission of financial crises," Econometric Society 2004 Far Eastern Meetings 785, Econometric Society.
- 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.
- Sean Holly & Luisa Corrado, 2004.
"Habit formation and Interest-Rate Smoothing,"
Computing in Economics and Finance 2004
215, Society for Computational Economics.
- Luisa Corrado & Sean Holly, 2004. "Habit Formation and Interest Rate Smoothing," CDMA Conference Paper Series 0404, Centre for Dynamic Macroeconomic Analysis.
- 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.
- Jorge Selaive ; Vicente Tuesta, 2004.
"Net Foreign Assets And Imperfect Financial Integration: An Empirical Approach,"
Econometric Society 2004 Latin American Meetings
90, Econometric Society.
- 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.
- Kurt Graden Lunsford & Kenneth D. West, 2017.
"Some Evidence on Secular Drivers of US Safe Real Rates,"
Working Papers (Old Series)
1723, Federal Reserve Bank of Cleveland.
- 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.
- Kurt G. Lunsford & Kenneth D. West, 2019. "Some Evidence on Secular Drivers of US Safe Real Rates," American Economic Journal: Macroeconomics, American Economic Association, vol. 11(4), pages 113-139, October.
- 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.
- Francis Longstaff & Monika Piazzesi, 2003.
"Corporate Earnings and the Equity Premium,"
NBER Working Papers
10054, National Bureau of Economic Research, Inc.
- Longstaff, Francis A. & Piazzesi, Monika, 2004. "Corporate earnings and the equity premium," Journal of Financial Economics, Elsevier, vol. 74(3), pages 401-421, December.
- 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.
- Adrian de la Garza & Giovanni Mastrobuoni & Atsushi Sannabe & Katsunori Yamada, 2010.
"The Relative Utility Hypothesis With and Without Self-reported Reference Wages,"
ISER Discussion Paper
0798, Institute of Social and Economic Research, Osaka University, revised Jul 2012.
- 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.
- Yamada Katsunori & Sannabe Atsushi & Mastrobuoni Giovanni & De la Garza Adrián, 2010. "The Relative Utility Hypothesis With and Without Self-reported Reference Wages," Working Papers 2010-19, Banco de México.
- 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.
- 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.
- Goerke, Laszlo, 2020.
"An Efficiency-Wage Model with Habit Concerns about Wages,"
IZA Discussion Papers
13454, Institute of Labor Economics (IZA).
- Laszlo Goerke, 2020. "An Efficiency-wage Model with Habit Concerns About Wages," IAAEU Discussion Papers 202004, Institute of Labour Law and Industrial Relations in the European Union (IAAEU).
- Laszlo Goerke, 2020. "An Efficiency-Wage Model with Habit Concerns about Wages," CESifo Working Paper Series 8428, CESifo.
- 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).
- Fuerst, Michael E., 2006. "Investor risk premia and real macroeconomic fluctuations," Journal of Macroeconomics, Elsevier, vol. 28(3), pages 540-563, September.
- 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.
- Fortin, Ines & Hlouskova, Jaroslava & Tsigaris, Panagiotis, 2016. "The Consumption-Investment Decision of a Prospect Theory Household," Economics Series 322, Institute for Advanced Studies.
- Asad Ali-Rind & Sabri Boubaker & Souad Lajili Jarjir, 2023.
"Peer effects in financial economics: A literature survey,"
Post-Print
hal-04085261, HAL.
- 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).
- 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.
- 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.
- Mathias Hoffmann & Rahel Suter, 2013. "Systematic consumption risk in currency returns," ECON - Working Papers 124, Department of Economics - University of Zurich.
- Mathias Hoffmann & Rahel Suter, 2013. "Systematic Consumption Risk in Currency Returns," CESifo Working Paper Series 4273, CESifo.
- 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.
- 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.
- Emil Iantchev, 2012. "Code and data files for "Asset-Pricing Implications of Biologically Based Non-Expected Utility"," Computer Codes 11-255, Review of Economic Dynamics.
- 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.
- Bekaert, Geert & Hoerova, Marie & Xu, Nancy, 2023. "Risk, Monetary Policy and Asset Prices in a Global World," CEPR Discussion Papers 18229, C.E.P.R. Discussion Papers.
- 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.
- James B. Bullard & Steven Russell, 2004. "How costly is sustained low inflation for the U.S. economy?," Review, Federal Reserve Bank of St. Louis, vol. 86(May), pages 35-68.
- Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2019. "Security Analysis: An Investment Perspective," NBER Working Papers 26060, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Freund, L. B. & Lee, H. & Rendahl, P., 2022. "The Risk-Premium Channel of Uncertainty: Implications for Unemployment and Inflation," Janeway Institute Working Papers 2223, Faculty of Economics, University of Cambridge.
- Lukas Freund & Hanbaek Lee & Pontus Rendahl, 2023. "The Risk-Premium Channel of Uncertainty: Implications for Unemployment and Inflation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 117-137, December.
- 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.
- Michael W. Brandt & John H. Cochrane & Pedro Santa-Clara, 2001.
"International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth),"
NBER Working Papers
8404, National Bureau of Economic Research, Inc.
- Brandt, Michael W. & Cochrane, John H. & Santa-Clara, Pedro, 2001. "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)," Working Papers 01-2, University of Pennsylvania, Wharton School, Weiss Center.
- 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.
- Perotti, Enrico & Ahnert, Toni, 2015.
"Cheap but flighty: how global imbalances create financial fragility,"
CEPR Discussion Papers
10502, C.E.P.R. Discussion Papers.
- Toni Ahnert & Enrico Perotti, 2015. "Cheap But Flighty: How Global Imbalances Create Financial Fragility," Staff Working Papers 15-33, Bank of Canada.
- Enrico Perotti & Toni Ahnert, 2015. "Cheap but Flighty: How Global Imbalances create Financial Fragility," Tinbergen Institute Discussion Papers 15-036/IV/DSF89, Tinbergen Institute.
- Jim Dolmas, 2013. "Disastrous disappointments: asset-pricing with disaster risk and disappointment aversion," Working Papers 1309, Federal Reserve Bank of Dallas.
- 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.
- Bams, Dennis & Honarvar, Iman, 2021. "VIX and liquidity premium," International Review of Financial Analysis, Elsevier, vol. 74(C).
- 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.
- Chang-Jin Kim & Cheolbeom Park, 2013. "Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 933-952, August.
- Chang‐Jin Kim & Cheolbeom Park, 2013. "Disappearing Dividends: Implications for the Dividend–Price Ratio and Return Predictability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 933-952, August.
- 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.
- A. Craig Burnside & Jeremy J. Graveline, 2012.
"On the Asset Market View of Exchange Rates,"
NBER Working Papers
18646, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Brice Corgnet & Roberto Hernán-González & Praveen Kujal, 2018. "On Booms That Never Bust: Ambiguity in Experimental Asset Markets with Bubbles," Working Papers 18-15, Chapman University, Economic Science Institute.
- Brice Corgnet & Roberto Hernán-González & Praveen Kujal, 2018. "On Booms That Never Bust: Ambiguity in Experimental Asset Markets with Bubbles," Working Papers 1825, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
- Brice Corgnet & Roberto Hernán-Gonzalez & Praveen Kujal, 2020. "On booms that never bust: Ambiguity in experimental asset markets with bubbles," Post-Print halshs-03031385, HAL.
- Corgnet, Brice & Hernán-González, Roberto & Kujal, Praveen, 2020. "On booms that never bust: Ambiguity in experimental asset markets with bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 110(C).
- Dunbar, Kwamie & Owusu-Amoako, Johnson, 2021. "The impact of hedging on risk-averse agents’ output decisions," Economic Modelling, Elsevier, vol. 104(C).
- Alexandre Dmitriev & Ivo Krznar, 2010.
"Habit Persistence and International Comovements,"
Working Papers
23, The Croatian National Bank, Croatia.
- Dmitriev, Alexandre & Krznar, Ivo, 2012. "Habit Persistence And International Comovements," Macroeconomic Dynamics, Cambridge University Press, vol. 16(S3), pages 312-330, November.
- Weshah Razzak, 2020.
"The Riddle of the Natural Rate of Interest,"
Discussion Papers
2006, School of Economics and Finance, Massey University, New Zealand.
- Razzak, Weshah, 2020. "The Riddle of the Natural Rate of Interest," MPRA Paper 99747, University Library of Munich, Germany.
- Weshah Razzak, 2020. "The Riddle of the Natural Rate of Interest," EERI Research Paper Series EERI RP 2020/08, Economics and Econometrics Research Institute (EERI), Brussels.
- Razzak, Weshah, 2020. "The Riddle of the Natural Rate of Interest," MPRA Paper 102663, University Library of Munich, Germany, revised 25 Aug 2020.
- Christopher Otrok & B. Ravikumar & Charles H. Whiteman, 2000.
"Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation,"
Virginia Economics Online Papers
350, University of Virginia, Department of Economics.
- 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.
- Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 1998. "Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation," Working Papers 99-01, University of Iowa, Department of Economics, revised Jan 1999.
- Egil Matsen & Øystein Thøgersen, 2010.
"Habit formation, strategic extremism, and debt policy,"
Public Choice, Springer, vol. 145(1), pages 165-180, October.
- Egil Matsen & Øystein Thøgersen, 2007. "Habit formation, strategic extremism and debt policy," Working Paper Series 9007, Department of Economics, Norwegian University of Science and Technology.
- Egil Matsen & Øystein Thøgersen, 2007. "Habit Formation, Strategic Extremism and Debt Policy," CESifo Working Paper Series 2169, CESifo.
- Egil Matsen & �ystein Th�gersen, 2010. "Habit formation, strategic extremism, and debt policy," IEW - Working Papers 468, Institute for Empirical Research in Economics - University of Zurich.
- Laura Veldkamp, 2003.
"Learning Asymmetries in Real Business Cycles,"
Working Papers
03-21, New York University, Leonard N. Stern School of Business, Department of Economics.
- Van Nieuwerburgh, Stijn & Veldkamp, Laura, 2006. "Learning asymmetries in real business cycles," Journal of Monetary Economics, Elsevier, vol. 53(4), pages 753-772, May.
- 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.
- Marianne Andries & Thomas M. Eisenbach & R. Jay Kahn & Martin C. Schmalz, 2015. "The term structure of the price of variance risk," Staff Reports 736, Federal Reserve Bank of New York.
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2004.
"The Declining Equity Premium: What Role Does Macroeconomic Risk Play?,"
NBER Working Papers
10270, National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney C. Ludvigson, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," 2004 Meeting Papers 644, Society for Economic Dynamics.
- Lettau, Martin & Ludvigson, Sydney & Wachter, Jessica, 2006. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," CEPR Discussion Papers 5519, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2005. "The declining equity premium: what role does macroeconomic risk play?," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Gourio, François, 2012. "Macroeconomic implications of time-varying risk premia," Working Paper Series 1463, European Central Bank.
- 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.
- 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.
- Rui Castro & Claudio Campanale & Gian Luca Clementi, 2007.
"Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences,"
2007 Meeting Papers
503, Society for Economic Dynamics.
- 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).
- Javid, Attiya Yasmin, 2008. "Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms," MPRA Paper 37561, University Library of Munich, Germany.
- 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.
- 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.
- Dietz, Simon & Venmans, Frank, 2019. "The endowment effect, discounting and the environment," Journal of Environmental Economics and Management, Elsevier, vol. 97(C), pages 67-91.
- 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.
- He, Zhiguo & Kelly, Bryan & Manela, Asaf, 2017. "Intermediary asset pricing: New evidence from many asset classes," Journal of Financial Economics, Elsevier, vol. 126(1), pages 1-35.
- Oscar Lau C., 2019.
"Disentangling Intertemporal Substitution and Risk Aversion Under the Expected Utility Theorem,"
The B.E. Journal of Theoretical Economics, De Gruyter, vol. 19(2), pages 1-14, June.
- Lau, Chi-Lei Oscar, 2008. "Disentangling Intertemporal Substitution and Risk Aversion under the Expected Utility Theorem," MPRA Paper 11482, University Library of Munich, Germany.
- 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.
- Geert Bekaert & Guojun Wu, 1997.
"Asymmetric Volatility and Risk in Equity Markets,"
NBER Working Papers
6022, National Bureau of Economic Research, Inc.
- 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.
- Gadi Barlevy, 2003.
"The cost of business cycles under endogenous growth,"
Working Paper Series
WP-03-13, Federal Reserve Bank of Chicago.
- Gadi Barlevy, 2003. "The Cost of Business Cycles Under Endogenous Growth," NBER Working Papers 9970, National Bureau of Economic Research, Inc.
- Gadi Barlevy, 2004. "The Cost of Business Cycles Under Endogenous Growth," American Economic Review, American Economic Association, vol. 94(4), pages 964-990, September.
- 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.
- Clemens Sialm, 2002. "Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium," NBER Working Papers 9301, National Bureau of Economic Research, Inc.
- 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.
- Lettau, M. & Uhlig, H.F.H.V.S., 1995. "Can Habit Formation be Reconciled with Business Cycle Facts?," Discussion Paper 1995-54, Tilburg University, Center for Economic Research.
- Martin Lettau & Harald Uhlig, 2000. "Can Habit Formation be Reconciled with Business Cycle Facts?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(1), pages 79-99, January.
- 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.
- Møller, Stig Vinther, 2008.
"Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns,"
Finance Research Group Working Papers
F-2008-04, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Møller, Stig Vinther, 2009. "Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 525-536, September.
- 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.
- Eric Ghysels & Pierre Guérin & Massimiliano Marcellino, 2013.
"Regime Switches in the Risk-Return Trade-Off,"
Staff Working Papers
13-51, Bank of Canada.
- Ghysels, Eric & Guérin, Pierre & Marcellino, Massimiliano, 2014. "Regime switches in the risk–return trade-off," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 118-138.
- Ghysels, Eric & Marcellino, Massimiliano, 2013. "Regime Switches in the Risk-Return Trade-off," CEPR Discussion Papers 9698, C.E.P.R. Discussion Papers.
- Tino Berger & Lorenzo Pozzi, 2023. "Cyclical consumption," Tinbergen Institute Discussion Papers 23-064/VI, Tinbergen Institute.
- 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.
- John Cotter & Enrique Salvador, 2022. "The non-linear trade-off between return and risk and its determinants," Working Papers 202203, Geary Institute, University College Dublin.
- 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.).
- 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).
- 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.
- Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2017. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(1), pages 1-39, January.
- 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.).
- 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.
- George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
- Hall, Jamie, 2012. "Consumption dynamics in general equilibrium," MPRA Paper 43933, University Library of Munich, Germany.
- 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.
- Hanno Lustig & Adrien Verdelhan, 2008. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply," NBER Working Papers 13812, National Bureau of Economic Research, Inc.
- 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.
- Pier dup Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2015. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Finance and Economics Discussion Series 2015-64, Board of Governors of the Federal Reserve System (U.S.).
- Ray Fair, 2002.
"Risk Aversion and Stock Prices,"
Yale School of Management Working Papers
ysm311, Yale School of Management, revised 01 Aug 2007.
- Ray C. Fair, 2002. "Risk Aversion and Stock Prices," Cowles Foundation Discussion Papers 1382, Cowles Foundation for Research in Economics, Yale University, revised Feb 2003.
- Mariano M. Croce & Riccardo Colacito, 2010. "International Asset Pricing with Risk-Sensitive Rare Events," 2010 Meeting Papers 176, Society for Economic Dynamics.
- Thomas Q. Pedersen, 2010.
"Predictable return distributions,"
CREATES Research Papers
2010-38, Department of Economics and Business Economics, Aarhus University.
- Thomas Q. Pedersen, 2015. "Predictable Return Distributions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(2), pages 114-132, March.
- 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.
- Haan, M. & Maks, J.A.H., 1996. "Stackelberg and Cournot competition under equilibrium limit pricing," Research Memorandum 003, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Uluc Aysun & Adam Honig, 2008.
"Bankruptcy Costs, Liability Dollarization, and Vulnerability to Sudden Stops,"
Working papers
2008-41, University of Connecticut, Department of Economics.
- Aysun, Uluc & Honig, Adam, 2011. "Bankruptcy costs, liability dollarization, and vulnerability to sudden stops," Journal of Development Economics, Elsevier, vol. 95(2), pages 201-211, July.
- 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.
- Duernecker, Georg, 2007. "Growth Effects of Consumption Jealousy in a Two-Sector Model," Economics Series 201, Institute for Advanced Studies.
- Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society.
- Simon Oh & Jessica A. Wachter, 2018. "Cross-sectional Skewness," NBER Working Papers 25113, National Bureau of Economic Research, Inc.
- 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.
- Carlos Montoro, 2010.
"Oil shocks and optimal monetary policy,"
BIS Working Papers
307, Bank for International Settlements.
- Montoro Carlos, 2007. "Oil Shocks and Optimal Monetary Policy," Working Papers 2007-010, Banco Central de Reserva del Perú.
- Montoro, Carlos, 2012. "Oil Shocks And Optimal Monetary Policy," Macroeconomic Dynamics, Cambridge University Press, vol. 16(2), pages 240-277, April.
- 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.
- Roger E.A. Farmer, 2015.
"Global Sunspots and Asset Prices in a Monetary Economy,"
NBER Working Papers
20831, National Bureau of Economic Research, Inc.
- Farmer, Roger, 2015. "Global Sunspots and Asset Prices in a Monetary Economy," CEPR Discussion Papers 10402, C.E.P.R. Discussion Papers.
- Reyno SEYMORE & Margaret MABUGU & Jan VAN HEERDEN, 2010.
"Border Tax Adjustments to Negate the Economic Impact of an Electricity Generation Tax,"
EcoMod2010
259600155, EcoMod.
- Jan H. van Heerden & Margaret Chitiga-Mabugu & Reyno Seymore, 2015. "Border Tax Adjustments to Negate the Economic Impact of an Electricty Generation Tax," Working Papers 51, Economic Research Southern Africa.
- Reyno Seymore & Margaret Mabugu & Jan van Heerden, 2010. "Border Tax Adjustments to Negate the Economic Impact of an Electricity Generation Tax," Working Papers 201003, University of Pretoria, Department of Economics.
- 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.
- 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.
- Minford, Patrick & Lungu, Laurian, 2005.
"Explaining The Equity Risk Premium,"
CEPR Discussion Papers
5017, C.E.P.R. Discussion Papers.
- Laurian Lungu & Patrick Minford, 2006. "Explaining The Equity Risk Premium," Manchester School, University of Manchester, vol. 74(6), pages 670-700, December.
- 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.
- Byrne, Joseph & Fu, Rong, 2016. "Stock Return Prediction with Fully Flexible Models and Coefficients," MPRA Paper 75366, University Library of Munich, Germany.
- Thomas Gomez & Giulia Piccillo, 2019. "Diverse Risk Preferences and Heterogeneous Expectations in an Asset Pricing Model," CESifo Working Paper Series 8003, CESifo.
- Hengjie Ai & Mariano Massimiliano Croce & Kai Li, 2013.
"Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital,"
The Review of Financial Studies, Society for Financial Studies, vol. 26(2), pages 491-530.
- 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.
- 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).
- 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.
- 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.
- Gürtler, Marc & Hartmann, Nora, 2004. "The equity premium puzzle and emotional asset pricing," Working Papers FW10V3, Technische Universität Braunschweig, Institute of Finance.
- Steinbacher, Matjaz, 2008. "Stochastic Processes in Finance and Behavioral Finance," MPRA Paper 13603, University Library of Munich, Germany.
- Gomes, Fábio Augusto Reis & Issler, João Victor, 2017.
"Testing Consumption Optimality Using Aggregate Data,"
Macroeconomic Dynamics, Cambridge University Press, vol. 21(5), pages 1119-1140, July.
- 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).
- Gomes, Fábio Augusto Reis & Issler, João Victor, 2014. "Testing consumption optimality using aggregate data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 756, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Ghattassi, Imen, 2008. "On the predictive power of the surplus consumption ratio," Finance Research Letters, Elsevier, vol. 5(1), pages 21-31, March.
- Huang Xian Yu, 2017. "Capital Asset Pricing Model – investigation and Testing," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(6), pages 1-5.
- 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.
- Dominique Pepin, 2011. "Instabilité des comportements et cycles financiers : une relecture dans un cadre rationnel avec préférences endogènes," Working Papers hal-00960012, HAL.
- Paolo Guasoni & Gur Huberman & Dan Ren, 2020. "Shortfall aversion," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 869-920, July.
- 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.
- 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.).
- 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.
- Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
- van der Sar, Nico L., 2004. "Behavioral finance: How matters stand," Journal of Economic Psychology, Elsevier, vol. 25(3), pages 425-444, June.
- Li, Yuming & Zhong, Maosen, 2005. "Consumption habit and international stock returns," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 579-601, March.
- 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.
- 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.
- 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.
- Ina Simonovska & Espen Henriksen & Joel David, 2016.
"The Risky Capital of Emerging Markets,"
2016 Meeting Papers
125, Society for Economic Dynamics.
- Felix Gerding & Espen Henriksen & Ina Simonovska, 2014. "The Risky Capital of Emerging Markets," NBER Working Papers 20769, National Bureau of Economic Research, Inc.
- Gregory R. Duffee, 2012.
"Forecasting interest rates,"
Economics Working Paper Archive
599, The Johns Hopkins University,Department of Economics.
- Duffee, Gregory, 2013. "Forecasting Interest Rates," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 385-426, Elsevier.
- Andrei SEMENOV, 2010.
"High-Order Consumption Moments and Asset Pricing,"
EcoMod2004
330600127, EcoMod.
- Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," 2004 Meeting Papers 334, Society for Economic Dynamics.
- Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society.
- Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
- Haliassos, Michael & Gomes, Francisco, 2020.
"Household Finance,"
CEPR Discussion Papers
14502, C.E.P.R. Discussion Papers.
- 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).
- Francisco Gomes & Michael Haliassos & Tarun Ramadorai, 2021. "Household Finance," Journal of Economic Literature, American Economic Association, vol. 59(3), pages 919-1000, September.
- 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.
- Nathan S. Balke & Mark E. Wohar, 2002. "Low-Frequency Movements in Stock Prices: A State-Space Decomposition," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 649-667, November.
- Christopher D Carroll, 2000.
"Solving Consumption Models with Multiplicative Habits,"
Economics Working Paper Archive
421, The Johns Hopkins University,Department of Economics.
- Carroll, Christopher D., 2000. "Solving consumption models with multiplicative habits," Economics Letters, Elsevier, vol. 68(1), pages 67-77, July.
- 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.
- 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.
- Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2012. "Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle," NBER Working Papers 18560, National Bureau of Economic Research, Inc.
- 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.
- Haim Levy, 2020. "The Investment Home Bias with Peer Effect," JRFM, MDPI, vol. 13(5), pages 1-19, May.
- 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.
- Johannes W. Fedderke, 2021. "The South African–United States sovereign bond spread and its association with macroeconomic fundamentals," South African Journal of Economics, Economic Society of South Africa, vol. 89(4), pages 499-525, December.
- 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.
- Olkhov, Victor, 2019. "New Essentials of Economic Theory III. Economic Applications," MPRA Paper 94053, University Library of Munich, Germany.
- Smith, William T., 2002. "Consumption and saving with habit formation and durability," Economics Letters, Elsevier, vol. 75(3), pages 369-375, May.
- 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.
- 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.
- 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.
- Kraus, Alan & Sagi, Jacob S., 2006. "Asset pricing with unforeseen contingencies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 417-453, November.
- 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.
- Christopher D. Carroll, 1998.
"Why Do the Rich Save So Much?,"
NBER Working Papers
6549, National Bureau of Economic Research, Inc.
- Christopher D Carroll, 1997. "Why Do the Rich Save So Much?," Economics Working Paper Archive 388, The Johns Hopkins University,Department of Economics.
- Marlène Isore, 2012. "Essays in macro-finance," Sciences Po publications info:hdl:2441/eo6779thqgm, Sciences Po.
- Ahnert, Toni & Perotti, Enrico, 2021. "Cheap but flighty: A theory of safety-seeking capital flows," Journal of Banking & Finance, Elsevier, vol. 131(C).
- P. Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
- Park, Hyun, 2013. "Do habits generate endogenous fluctuations in a growing economy?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 54-68.
- 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.
- 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.
- 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.
- Bollerslev, Tim & Todorov, Viktor & Xu, Lai, 2015. "Tail risk premia and return predictability," Journal of Financial Economics, Elsevier, vol. 118(1), pages 113-134.
- 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.
- Takamizawa, Hideyuki, 2022. "An equilibrium model of the term structures of bonds and equities," International Review of Financial Analysis, Elsevier, vol. 84(C).
- 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.
- Elyès Jouini & Clotilde Napp, 2004.
"Conditional comonotonicity,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(2), pages 153-166, December.
- Clotilde Napp & Elyès Jouini, 2005. "Conditional Comonotonicity," Post-Print halshs-00151516, HAL.
- Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
- 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.
- 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.
- 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.
- 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.
- Chang Ma, 2018.
"Financial Stability, Growth, and Macroprudential Policy,"
2018 Meeting Papers
3, Society for Economic Dynamics.
- Ma, Chang, 2020. "Financial stability, growth and macroprudential policy," Journal of International Economics, Elsevier, vol. 122(C).
- Boyarchenko, Nina, 2012. "Ambiguity shifts and the 2007–2008 financial crisis," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 493-507.
- 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.
- 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.
- Francisco Alvarez-Cuadrado & Jose Maria Casado & Jose Maria Labeaga & Dhanoos Sutthiphisal, 2012. "Envy and habits: panel data estimates of interdependent preferences," Working Papers 1213, Banco de España.
- Casado, Jose Maria & Alvarez-Cuadrado, Francisco & Labeaga, Jose Maria & Sutthiphisal, Dhanoos, 2012. "Envy and habits: Panel data estimates of interdependent preferences," MERIT Working Papers 2012-054, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
- 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.
- 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.
- Olivier Mesly & Imed Chkir & François-Éric Racicot, 2018. "Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?," Post-Print hal-01924972, HAL.
- Stanislav Khrapov, 2012.
"Risk Premia: Short and Long-term,"
Working Papers
w0169, Center for Economic and Financial Research (CEFIR).
- Stanislav Khrapov, 2012. "Risk Premia: Short and Long-term," Working Papers w0169, New Economic School (NES).
- Muscatelli, V. Anton & Tirelli, Patrizio & Trecroci, Carmine, 2004.
"Fiscal and monetary policy interactions: Empirical evidence and optimal policy using a structural New-Keynesian model,"
Journal of Macroeconomics, Elsevier, vol. 26(2), pages 257-280, June.
- 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.
- 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.
- Seeun Jung & Carole Treibich, 2014.
"Is Self-Reported Risk Aversion Time Variant?,"
THEMA Working Papers
2014-22, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Seeun Jung & Carole Treibich, 2015. "Is Self-Reported Risk Aversion Time Variant?," Revue d'économie politique, Dalloz, vol. 125(4), pages 547-570.
- Seeun Jung & Carole Treibich, 2015. "Is Self-Reported Risk Aversion Time Variant?," Post-Print hal-01457331, HAL.
- 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).
- 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.
- 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.
- James J. Choi & Adriana Z. Robertson, 2020. "What Matters to Individual Investors? Evidence from the Horse's Mouth," Journal of Finance, American Finance Association, vol. 75(4), pages 1965-2020, August.
- 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.
- 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.
- 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).
- 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.
- 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.
- 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.
- 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.
- Jack Favilukis & Xiaoji Lin, 2012. "Wage Rigidity: A Solution to Several Asset Pricing Puzzles," 2012 Meeting Papers 589, Society for Economic Dynamics.
- Bradley Jones, 2014. "Identifying Speculative Bubbles: A Two-Pillar Surveillance Framework," IMF Working Papers 2014/208, International Monetary Fund.
- 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.
- Kurov, Alexander, 2012. "What determines the stock market's reaction to monetary policy statements?," Review of Financial Economics, Elsevier, vol. 21(4), pages 175-187.
- 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.
- Hall, Jamie, 2012. "Rapid estimation of nonlinear DSGE models," MPRA Paper 41218, University Library of Munich, Germany.
- 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.
- Backus, David & Zin, Stanley E. & Chernov, Mikhail, 2011.
"Sources of entropy in representative agent models,"
CEPR Discussion Papers
8488, C.E.P.R. Discussion Papers.
- David Backus & Mikhail Chernov & Stanley E. Zin, 2011. "Sources of Entropy in Representative Agent Models," NBER Working Papers 17219, National Bureau of Economic Research, Inc.
- 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.
- David Backus & Mikhail Chernov & Stanley Zin, 2014. "Sources of Entropy in Representative Agent Models," Journal of Finance, American Finance Association, vol. 69(1), pages 51-99, February.
- 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.
- 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.
- 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.
- Kozak, Serhiy, 2022. "Dynamics of bond and stock returns," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 188-209.
- 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.
- Leonid Kogan & Dimitris Papanikolaou, 2012. "Growth Opportunities, Technology Shocks, and Asset Prices," NBER Working Papers 17795, National Bureau of Economic Research, Inc.
- 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.
- Struck, Clemens C., 2014. "Habit persistence and the long-run labor supply," Economics Letters, Elsevier, vol. 124(2), pages 243-247.
- 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.
- Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius, 2017. "The price of variance risk," Journal of Financial Economics, Elsevier, vol. 123(2), pages 225-250.
- Giannikos, Christos I. & Koimisis, Georgios, 2021. "Habits, Wealth and Equity Risk Premium," Finance Research Letters, Elsevier, vol. 38(C).
- 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.
- John Y. Campbell, 2006.
"Household Finance,"
NBER Working Papers
12149, National Bureau of Economic Research, Inc.
- Campbell, John, 2006. "Household Finance," Scholarly Articles 3157877, Harvard University Department of Economics.
- John Y. Campbell, 2006. "Household Finance," Journal of Finance, American Finance Association, vol. 61(4), pages 1553-1604, August.
- 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.
- Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin, 2007.
"Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models,"
NBER Working Papers
13245, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Hyungbin Park, 2014. "Ross Recovery with Recurrent and Transient Processes," Papers 1410.2282, arXiv.org, revised Oct 2015.
- 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.
- Masataka Suzuki, 2014. "Hidden persistent disasters and asset prices," Annals of Finance, Springer, vol. 10(3), pages 395-418, August.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2017. "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 110-129, January.
- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2015. "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Working Papers 550, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Fedotenkov, Igor, 2016.
"Ignorance is bliss: Should a pension reform be announced?,"
Economics Letters, Elsevier, vol. 147(C), pages 135-137.
- Fedotenkov, Igor, 2016. "Ignorance is bliss: Should a pension reform be announced?," MPRA Paper 71336, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- Katsuhiro Oshima, 2021. "Heterogeneous beliefs, monetary policy, and stock price volatility," Annals of Finance, Springer, vol. 17(1), pages 79-125, March.
- 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.
- Jens Larsen & Ben May & James Talbot, 2003. "Estimating real interest rates for the United Kingdom," Bank of England working papers 200, Bank of England.
- Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2008.
"Consumption, wealth and business cycles in Germany,"
Empirical Economics, Springer, vol. 34(3), pages 451-476, June.
- Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2005. "Consumption, Wealth and Business Cycles in Germany," CESifo Working Paper Series 1443, CESifo.
- Andrew E. Clark & Paul Frijters & Michael A. Shields, 2006.
"Income and happiness: Evidence, explanations and economic implications,"
Working Papers
halshs-00590436, HAL.
- Andrew E. Clark & Paul Frijters & Michael A. Shields, 2006. "Income and happiness: Evidence, explanations and economic implications," PSE Working Papers halshs-00590436, HAL.
- Stefano DellaVigna, 2009.
"Psychology and Economics: Evidence from the Field,"
Journal of Economic Literature, American Economic Association, vol. 47(2), pages 315-372, June.
- Stefano DellaVigna, 2007. "Psychology and Economics: Evidence from the Field," NBER Working Papers 13420, National Bureau of Economic Research, Inc.
- Ramón López & Sang Won Yoon, 2013.
"Sustainable Economic Growth: Structural Transformation with Consumption Flexibility,"
Working Papers
wp375, University of Chile, Department of Economics.
- Lopez, Ramon E. & Yoon, Sang Won, 2013. "Sustainable Economic Growth: Structural Transformation with Consumption Flexibility," Working Papers 142561, University of Maryland, Department of Agricultural and Resource Economics.
- Lars A. Lochstoer & Paul C. Tetlock, 2020. "What Drives Anomaly Returns?," Journal of Finance, American Finance Association, vol. 75(3), pages 1417-1455, June.
- 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.
- Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
- 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.
- Hanno Lustig & Stijn Van Nieuwerburg & Adrien Verdelhan, 2007. "The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤," Boston University - Department of Economics - Working Papers Series WP2007-030, Boston University - Department of Economics.
- Hanno Lustig, "undated". "The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models," UCLA Economics Online Papers 420, UCLA Department of Economics.
- 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.
- Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 806-830, October.
- 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.
- 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.
- Christopher Boortz, 2016. "Irrational Exuberance and Herding in Financial Markets," SFB 649 Discussion Papers SFB649DP2016-016, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- 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.
- Michael Falkenheim, 2021. "Governmental Risk Taking Under Market Imperfections: Working Paper 2021-07," Working Papers 57255, Congressional Budget Office.
- 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.
- Alvarez, Fernando & Jermann, Urban J., 2001. "The Size of the Permanent Component of Asset Pricing Kernels," Working Papers 01-4, University of Pennsylvania, Wharton School, Weiss Center.
- 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.
- Jin, Xing & Wang, Leping & Yu, Jun, 2007.
"Temporal aggregation and risk-return relation,"
Finance Research Letters, Elsevier, vol. 4(2), pages 104-115, June.
- Jun Yu, 2006. "Temporal Aggregation and Risk-Return Relation," Working Papers 01-2007, Singapore Management University, School of Economics.
- MatthewD. Rablen, 2008.
"Relativity, Rank and the Utility of Income,"
Economic Journal, Royal Economic Society, vol. 118(528), pages 801-821, April.
- Matthew D. Rablen, 2008. "Relativity, Rank and the Utility of Income," Economic Journal, Royal Economic Society, vol. 118(528), pages 801-821, April.
- Alan Moreira & Tyler Muir, 2016. "Volatility Managed Portfolios," NBER Working Papers 22208, National Bureau of Economic Research, Inc.
- 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.
- Hafedh Bouakez & Emanuela Cardia & Francisco Ruge-Murcia, 2002. "Habit Formation and the Persistence of Monetary Shocks," Staff Working Papers 02-27, Bank of Canada.
- hafedh bouakez & emanuela cardia, 2003. "Habit Formation and the Persistence of Monetary Shocks," Computing in Economics and Finance 2003 72, Society for Computational Economics.
- BOUAKEZ, Hafedh & CARDIA, Emanuela & RUGE-MURCIA, Francisco J., 2002. "Habit Formation and the Persistence of Monetary Shocks," Cahiers de recherche 2002-08, Universite de Montreal, Departement de sciences economiques.
- Lars P. Hansen & Thomas J. Sargent, 2016. "Sets of Models and Prices of Uncertainty," NBER Working Papers 22000, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- John H. Cochrane & Monika Piazzesi, 2002.
"Bond Risk Premia,"
NBER Working Papers
9178, National Bureau of Economic Research, Inc.
- John H. Cochrane & Monika Piazzesi, 2005. "Bond Risk Premia," American Economic Review, American Economic Association, vol. 95(1), pages 138-160, March.
- 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.
- Sydney Ludvigson & Serena Ng, 2006. "The Empirical Risk-Return Relation: a factor analysis approach," 2006 Meeting Papers 236, Society for Economic Dynamics.
- Ludvigson, Sydney C. & Ng, Serena, 2007. "The empirical risk-return relation: A factor analysis approach," Journal of Financial Economics, Elsevier, vol. 83(1), pages 171-222, January.
- 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.
- 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.
- Engen, Eric & Gale, William & Uccello, Cori, 1999. "The Adequacy of Household Saving," MPRA Paper 56442, University Library of Munich, Germany.
- 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.
- 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.
- Pakos, Michal, 2004. "Asset Pricing with Durable Goods and Nonhomothetic Preferences," MPRA Paper 26167, University Library of Munich, Germany.
- 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.
- Xin Chen & Wei He & Libin Tao & Jianfeng Yu, 2023. "Attention and Underreaction-Related Anomalies," Management Science, INFORMS, vol. 69(1), pages 636-659, January.
- Zhi Da & Wei Yang & Hayong Yun, 2016. "Household Production and Asset Prices," Management Science, INFORMS, vol. 62(2), pages 387-409, February.
- 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.
- 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.
- Fatih Guvenen, 2009.
"A Parsimonious Macroeconomic Model for Asset Pricing,"
NBER Working Papers
15243, National Bureau of Economic Research, Inc.
- Fatih Guvenen, 2009. "A Parsimonious Macroeconomic Model for Asset Pricing," Econometrica, Econometric Society, vol. 77(6), pages 1711-1750, November.
- Fatih Guvenen, 2009. "A parsimonious macroeconomic model for asset pricing," Staff Report 434, Federal Reserve Bank of Minneapolis.
- 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.
- 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.
- 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.
- Patrick Toche & Lyon, 2001. "Keeping Up With the Joneses and Unemployment Risk," Economics Series Working Papers 63, University of Oxford, Department of Economics.
- 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.
- Bustamante, Maria Cecilia & Zucchi, Francesca, 2023. "Innovation, industry equilibrium, and discount rates," Working Paper Series 2835, European Central Bank.
- Laszlo Goerke, 2021. "Habit formation and wage determination," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 42(1), pages 61-76, January.
- 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.
- Bai, Hang & Zhang, Lu, 2022. "Searching for the equity premium," Journal of Financial Economics, Elsevier, vol. 143(2), pages 897-926.
- 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.
- Lim, G.C. & Maasoumi, Esfandiar & Martin, Vance L., 2006. "A reexamination of the equity-premium puzzle: A robust non-parametric approach," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 173-189, August.
- 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.
- 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.
- Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Matthew O'Brien & Andrei Shleifer, 2023.
"Long Term Expectations and Aggregate Fluctuations,"
NBER Working Papers
31578, National Bureau of Economic Research, Inc.
- 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, National Bureau of Economic Research, Inc.
- Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2010.
"Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices,"
TSE Working Papers
10-187, Toulouse School of Economics (TSE).
- Marco Bonomo & René Garcia & Nour Meddahi & Roméo Tédongap, 2011. "Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 24(1), pages 82-122.
- 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.
- 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.).
- 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.
- Budría, Santiago, 2012.
"Are Relative-Income Effects Constant across the Well-being Distribution?,"
IZA Discussion Papers
6591, Institute of Labor Economics (IZA).
- Santiago Budria, 2013. "Are Relative-Income Effects Constant Across the Well-Being Distribution?," Journal of Happiness Studies, Springer, vol. 14(4), pages 1379-1408, August.
- Motohiro Yogo & Leonid Kogan & Joao Gomes, 2007.
"Durability of Output and Expected Stock Returns,"
2007 Meeting Papers
432, Society for Economic Dynamics.
- João F. Gomes & Leonid Kogan & Motohiro Yogo, 2009. "Durability of Output and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 117(5), pages 941-986.
- Joao F. Gomes & Leonid Kogan & Motohiro Yogo, 2007. "Durability of Output and Expected Stock Returns," NBER Working Papers 12986, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Monika Piazzesi & Martin Schneider, 2006. "Equilibrium Yield Curves," NBER Working Papers 12609, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Peter Christoffersen & Du Du & Redouane Elkamhi, 2017. "Rare Disasters, Credit, and Option Market Puzzles," Management Science, INFORMS, vol. 63(5), pages 1341-1364, May.
- 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.
- Rohan Dutta & David K Levine & Salvatore Modica, 2020. "The Whip and the Bible: Punishment Versus Internalization," Levine's Working Paper Archive 11694000000000024, David K. Levine.
- Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018.
"The Risk Premia Embedded in Index Options,"
CREATES Research Papers
2018-07, Department of Economics and Business Economics, Aarhus University.
- 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.
- Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor, 2015. "The risk premia embedded in index options," Journal of Financial Economics, Elsevier, vol. 117(3), pages 558-584.
- Nam Gang Lee, 2019. "Trend Growth Shocks and Asset Prices," Working Papers 2019-4, Economic Research Institute, Bank of Korea.
- 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.
- 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.
- Joon Woo Bae & Redouane Elkamhi, 2021. "Global Equity Correlation in International Markets," Management Science, INFORMS, vol. 67(11), pages 7262-7289, November.
- 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.
- 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).
- 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.
- Emmerling, Johannes & Qari, Salmai, 2017. "Car ownership and hedonic adaptation," Journal of Economic Psychology, Elsevier, vol. 61(C), pages 29-38.
- 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).
- Stavros Panageas, 2020.
"The Implications of Heterogeneity and Inequality for Asset Pricing,"
NBER Working Papers
26974, National Bureau of Economic Research, Inc.
- Panageas, Stavros, 2020. "The Implications of Heterogeneity and Inequality for Asset Pricing," Foundations and Trends(R) in Finance, now publishers, vol. 12(3), pages 199-275, November.
- Taipalus, Katja, 2006. "Bubbles in the Finnish and US equities markets," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2006_035.
- Katsuhiro Oshima, 2019. "Subjective Beliefs, Monetary Policy, and Stock Price Volatility," KIER Working Papers 1012, Kyoto University, Institute of Economic Research.
- 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.
- 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.
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers CoFie-02-2011, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2014. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Management Science, INFORMS, vol. 60(7), pages 1772-1791, July.
- 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.
- 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.).
- Jamal, A. M. M. & Quayes, Shakil, 2004. "Demographic structure and stock prices," Economics Letters, Elsevier, vol. 84(2), pages 211-215, August.
- Lettau, Martin & Ludvigson, Sydney, 2005.
"Euler Equation Errors,"
CEPR Discussion Papers
5245, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson, 2005. "Euler Equation Errors," NBER Working Papers 11606, National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney Ludvigson, 2009. "Euler Equation Errors," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(2), pages 255-283, April.
- Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 4922, C.E.P.R. Discussion Papers.
- Sydney C. Ludvigson & Martin Lettau, 2005. "Euler Equation Errors," 2005 Meeting Papers 487, Society for Economic Dynamics.
- Yuhyeon Bak & Cheolbeom Park, 2020.
"Exchange Rate Predictability, Risk Premiums, and Predictive System,"
Discussion Paper Series
2006, Institute of Economic Research, Korea University.
- Bak, Yuhyeon & Park, Cheolbeom, 2022. "Exchange rate predictability, risk premiums, and predictive system," Economic Modelling, Elsevier, vol. 116(C).
- 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.
- Airaudo, Marco, 2020. "Temptation and forward-guidance," Journal of Economic Theory, Elsevier, vol. 186(C).
- Akdeniz,L. & Dechert,W.D., 2005. "The equity premium in Brock's asset pricing model," Working papers 3, Wisconsin Madison - Social Systems.
- Chen, Been-Lon & Lee, Shun-Fa, 2007.
"Import Tariffs and Growth in a Model with Habits,"
MPRA Paper
27667, University Library of Munich, Germany.
- Been-Lon Chen & Shun-Fa Lee & Shimomura Koji, 2009. "Import Tariffs and Growth in a Model with Habits," Springer Books, in: Takashi Kamihigashi & Laixun Zhao (ed.), International Trade and Economic Dynamics, pages 299-322, Springer.
- Roman Muraviev, 2011. "Additive habits with power utility: Estimates, asymptotics and equilibrium," Papers 1108.2889, arXiv.org.
- Samih Azar, 2011. "Retesting the CCAPM Euler equations," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(4), pages 324-346, September.
- 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.
- Jukka Ilomaki & Hannu Laurila & Michael McAleer, 2018.
"Simple Market Timing with Moving Averages,"
Tinbergen Institute Discussion Papers
18-048/III, Tinbergen Institute.
- Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018. "Simple Market Timing with Moving Averages," Econometric Institute Research Papers EI2018-19, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Laine, Olli-Matti, 2022. "The term structure of equity premia and the macroeconomy: some results," Economics Letters, Elsevier, vol. 216(C).
- Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2012_047.
- 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.
- Syriopoulos, Theodore, 2002. "Risk aversion and portfolio allocation to mutual fund classes," International Review of Economics & Finance, Elsevier, vol. 11(4), pages 427-447.
- Gkanoutas-Leventis, Angelos & Nesvetailova, Anastasia, 2015. "Financialisation, oil and the Great Recession," Energy Policy, Elsevier, vol. 86(C), pages 891-902.
- Krainer, Robert E., 2013. "Towards a program for financial stability," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 207-218.
- Thorsten Lehnert, 2020. "Fear and stock price bubbles," PLOS ONE, Public Library of Science, vol. 15(5), pages 1-17, May.
- 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.
- 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.
- Martin Andreasen, 2011. "Code and data files for "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models"," Computer Codes 11-84, Review of Economic Dynamics.
- Martin Andreasen, 2011. "Online Appendix to "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models"," Online Appendices 11-84, Review of Economic Dynamics.
- 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.
- Francke, Marc & Korevaar, Matthijs, 2021. "Housing markets in a pandemic: Evidence from historical outbreaks," Journal of Urban Economics, Elsevier, vol. 123(C).
- 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.
- Berg, Tobias, 2010. "The term structure of risk premia: new evidence from the financial crisis," Working Paper Series 1165, European Central Bank.
- 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.
- Thorsten Hens & Sabine Elmiger, 2019. "Economic Foundations for Finance," Springer Texts in Business and Economics, Springer, number 978-3-030-05427-4, September.
- 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.
- 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.
- 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.
- 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).
- 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.
- 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).
- Selahattin Imrohoroglu, 2004. "A Note on the McGrattan and Prescott (2003) Adjustments and the Equity Premium Puzzle," Macroeconomics 0402009, University Library of Munich, Germany.
- Gonçalves, Andrei S., 2021. "The short duration premium," Journal of Financial Economics, Elsevier, vol. 141(3), pages 919-945.
- Jankauskas, Tomas, 2023. "Essays in empirical finance," Other publications TiSEM 4c319f87-ba97-44be-897e-1, Tilburg University, School of Economics and Management.
- 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.
- Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," NBER Working Papers 13107, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Beeler, Jason & Campbell, John Y., 2012. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Critical Finance Review, now publishers, vol. 1(1), pages 141-182, January.
- Beeler, Jason & Campbell, John Y., 2012. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Scholarly Articles 9887621, Harvard University Department of Economics.
- Cho, Sungjun, 2013. "New return anomalies and new-Keynesian ICAPM," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 87-106.
- 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).
- René Garcia & Richard Luger, 2009.
"Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates,"
CIRANO Working Papers
2009s-20, CIRANO.
- René Garcia & Richard Luger, 2012. "Risk aversion, intertemporal substitution, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 1013-1036, September.
- 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.
- Lars Ljungqvist & Harald Uhlig, 1996.
"Catching with the Keynesians,"
Working Paper Series, Macroeconomic Issues
WP-96-15, Federal Reserve Bank of Chicago.
- Ljungqvist, Lars & Uhlig, Harald, 1998. "Catching up with the Keynesians," SSE/EFI Working Paper Series in Economics and Finance 259, Stockholm School of Economics.
- Ljungqvist, L. & Uhlig, H.F.H.V.S., 1996. "Catching up with the Keynesians," Discussion Paper 1996-96, Tilburg University, Center for Economic Research.
- Ljungqvist, L. & Uhlig, H.F.H.V.S., 1996. "Catching up with the Keynesians," Other publications TiSEM f678c765-1782-4a88-8b02-c, Tilburg University, School of Economics and Management.
- 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.
- Zhang, Tongbin, 2021. "Stock prices and the risk-free rate: An internal rationality approach," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
- Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," 2012 Meeting Papers 636, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- Berger, Dave & Turtle, H.J., 2011. "Emerging market crises and US equity market returns," Global Finance Journal, Elsevier, vol. 22(1), pages 32-41.
- Atanasov, Victoria, 2018. "World output gap and global stock returns," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 181-197.
- Ricardo J. Caballero & Stavros Panageas, 2003.
"Hedging Sudden Stops and Precautionary Contractions,"
NBER Working Papers
9778, National Bureau of Economic Research, Inc.
- Caballero, Ricardo J. & Panageas, Stavros, 2008. "Hedging sudden stops and precautionary contractions," Journal of Development Economics, Elsevier, vol. 85(1-2), pages 28-57, February.
- 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.
- 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.
- Uppal, Raman & Bhamra, Harjoat Singh, 2013.
"Asset Prices with Heterogeneity in Preferences and Beliefs,"
CEPR Discussion Papers
9459, C.E.P.R. Discussion Papers.
- Raman Uppal & Harjoat Bhamra, 2013. "Asset Prices with Heterogeneity in Preferences and Beliefs," 2013 Meeting Papers 1344, Society for Economic Dynamics.
- Harjoat S. Bhamra & Raman Uppal, 2014. "Asset Prices with Heterogeneity in Preferences and Beliefs," The Review of Financial Studies, Society for Financial Studies, vol. 27(2), pages 519-580.
- 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.
- Yang, Wei, 2011. "Long-run risk in durable consumption," Journal of Financial Economics, Elsevier, vol. 102(1), pages 45-61, October.
- 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.
- Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Evidence from the euro area, the U.K. and the U.S," Working Papers w201119, Banco de Portugal, Economics and Research Department.
- Filippo Ippolito & Alessandro Villa, 2022. "Levered Returns and Capital Structure Imbalances," Working Paper Series WP 2022-42, Federal Reserve Bank of Chicago.
- Li Liu & Zhiyuan Pan & Yudong Wang, 2022. "Shrinking return forecasts," The Financial Review, Eastern Finance Association, vol. 57(3), pages 641-661, August.
- 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.
- 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.
- 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.).
- Qiang Dai & Olesya V. Grishchenko, 2014. "An Empirical Investigation of Consumption-Based Asset Pricing Models with Stochastic Habit Formation," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-34.
- Valentin Jouvanceau & Ieva Mikaliunaite, 2020. "Euro Area Monetary Communications: Excess Sensitivity and Perception Shocks," Bank of Lithuania Working Paper Series 79, Bank of Lithuania.
- 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.
- 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.
- Samuel M. Hartzmark & David H. Solomon, 2020. "Reconsidering Returns," NBER Working Papers 27380, National Bureau of Economic Research, Inc.
- 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.
- Erik Hjalmarsson, 2008.
"Predicting global stock returns,"
International Finance Discussion Papers
933, Board of Governors of the Federal Reserve System (U.S.).
- Hjalmarsson, Erik, 2010. "Predicting Global Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(1), pages 49-80, February.
- Aaron Tornell, 2003. "Robust-H_infinity Forecasting and Asset Pricing Anomalies (December 2001)," UCLA Economics Online Papers 237, UCLA Department of Economics.
- Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2015. "Asset Pricing with Horizon-Dependent Risk Aversion," 2015 Meeting Papers 1069, Society for Economic Dynamics.
- Vivek Ghosal & Yang Ye, 2013. "Business Decision-Making under Uncertainty: Evidence from Employment and Number of Businesses," CESifo Working Paper Series 4312, CESifo.
- 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.
- Antonio N. Bojanic, 2021. "A Markov-Switching Model of Inflation in Bolivia," Economies, MDPI, vol. 9(1), pages 1-18, March.
- M. Falagiarda & M. Marzo, 2012. "A DSGE model with Endogenous Term Structure," Working Papers wp830, Dipartimento Scienze Economiche, Universita' di Bologna.
- 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.
- 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.
- 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.
- Laurent Calvet & Jean-Michel Grandmont & Isabelle Lemaire, 2004.
"Aggregation oh Heterogeneous Beliefs, Asset Pricing and Risk Sharing in Complete Financial Markets,"
Working Papers
2004-12, Center for Research in Economics and Statistics.
- 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.
- 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.
- 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.
- Florian Schulz, 2016. "On the Timing and Pricing of Dividends: Comment," American Economic Review, American Economic Association, vol. 106(10), pages 3185-3223, October.
- 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.
- Benjamin M. Friedman, 2015. "Work and Consumption in an Era of Unbalanced Technological Advance," NBER Working Papers 21713, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- Lars Ljungqvist & Harald Uhlig, 2009. "Optimal Endowment Destruction under Campbell-Cochrane Habit Formation," NBER Working Papers 14772, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Martin Lettau & Sydney C. Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York.
- 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.
- 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.
- 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.).
- Kazuo MIno & Yasuhiro Nakamoto, 2014. "Conformism and Wealth Distribution," KIER Working Papers 901, Kyoto University, Institute of Economic Research.
- Huynh, Nhan, 2023. "Unemployment beta and the cross-section of stock returns: Evidence from Australia," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Pastor, Lubos & Veronesi, Pietro, 2006.
"Was there a Nasdaq bubble in the late 1990s?,"
Journal of Financial Economics, Elsevier, vol. 81(1), pages 61-100, July.
- Veronesi, Pietro & Pástor, Luboš, 2004. "Was There A Nasdaq Bubble in the Late 1990s?," CEPR Discussion Papers 4485, C.E.P.R. Discussion Papers.
- Pietro Veronesi & Lubos Pastor, 2005. "Was There a Nasdaq Bubble in the Late 1990s?," 2005 Meeting Papers 95, Society for Economic Dynamics.
- Lubos Pastor & Pietro Veronesi, 2004. "Was There a Nasdaq Bubble in the Late 1990s?," NBER Working Papers 10581, National Bureau of Economic Research, Inc.
- Douglas T Breeden, 2016. "Consumer signals," Journal of Asset Management, Palgrave Macmillan, vol. 17(4), pages 244-263, July.
- Zhang, Yuzhao, 2014. "Contrarian flows, consumption and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 101-111.
- Sebastien Rouillon, 2017.
"Cooperative and Noncooperative Extraction in a Common Pool with Habit Formation,"
Post-Print
hal-02486334, HAL.
- Sébastien Rouillon, 2015. "Cooperative and non-cooperative extraction in a common-pool with habit formation," Post-Print hal-02274059, HAL.
- Sébastien Rouillon, 2017. "Cooperative and Noncooperative Extraction in a Common Pool with Habit Formation," Dynamic Games and Applications, Springer, vol. 7(3), pages 468-491, September.
- 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.
- Demian Pouzo & Ignacio Presno, 2012. "Sovereign default risk and uncertainty premia," Working Papers 12-11, Federal Reserve Bank of Boston.
- 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.
- 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.
- Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2020. "Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," PIER Working Paper Archive 20-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- 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.
- Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
- 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).
- 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.
- Tan Wang, 2000. "Updating Rules for Non-Bayesian Preferences," Econometric Society World Congress 2000 Contributed Papers 0157, Econometric Society.
- 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.
- Robin Greenwood & Andrei Shleifer, "undated". "Expectations of Returns and Expected Returns," Working Paper 102501, Harvard University OpenScholar.
- Greenwood, Robin Marc & Shleifer, Andrei, 2014. "Expectations of Returns and Expected Returns," Scholarly Articles 11880390, Harvard University Department of Economics.
- Robin Greenwood & Andrei Shleifer, 2013. "Expectations of Returns and Expected Returns," NBER Working Papers 18686, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Stefano DellaVigna & Attila Lindner & Balázs Reizer & Johannes F. Schmieder, 2017. "Reference-Dependent Job Search: Evidence from Hungary," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(4), pages 1969-2018.
- 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.
- 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.
- Mehra, Rajnish, 2002. "Finance," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1069-1074, July.
- Corrado, Luisa & Holly, Sean, 2011. "Multiplicative habit formation and consumption: A note," Economics Letters, Elsevier, vol. 113(2), pages 116-119.
- Ctirad Slavik, 2011. "Asset Prices and Business Cycles with Financial Frictions," 2011 Meeting Papers 587, Society for Economic Dynamics.
- 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.
- Gareth Lui-Evans & Shalini Mitra, 2019. "Informality and Bank Stability," Working Papers 201903, University of Liverpool, Department of Economics.
- Curatola, Giuliano, 2016. "Preference evolution and the dynamics of capital markets," SAFE Working Paper Series 128, Leibniz Institute for Financial Research SAFE.
- Long Chen & Hui Guo & Lu Zhang, 2006. "Equity market volatility and expected risk premium," Working Papers 2006-007, Federal Reserve Bank of St. Louis.
- 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).
- Emilio Fernandez-Corugedo, 2004. "Consumption Theory," Handbooks, Centre for Central Banking Studies, Bank of England, number 23, April.
- Ravi Bansal & Hengjie Ai, 2016. "Macro Announcement Premium and Risk Preferences," 2016 Meeting Papers 715, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- 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.
- Jianjun Miao & Bin Wei & Hao Zhou, 2018.
"Ambiguity Aversion and Variance Premium,"
FRB Atlanta Working Paper
2018-14, Federal Reserve Bank of Atlanta.
- Jianjun Miao & Bin Wei & Hao Zhou, 2019. "Ambiguity Aversion and the Variance Premium," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-36, June.
- Jianjun Miao & Bin Wei & Hao Zhou, 2012. "Ambiguity Aversion and Variance Premium," Boston University - Department of Economics - Working Papers Series WP2012-009, Boston University - Department of Economics.
- 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.
- 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.
- 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.
- 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.
- Collard, Fabrice & Dellas, Harris, 2012. "Euler equations and monetary policy," Economics Letters, Elsevier, vol. 114(1), pages 1-5.
- 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.
- 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.
- Svetlana Bender & James J. Choi & Danielle Dyson & Adriana Z. Robertson, 2020. "Millionaires Speak: What Drives Their Personal Investment Decisions?," NBER Working Papers 27969, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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-.
- 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.
- 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).
- 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.
- 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.
- 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.
- Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho.
- Veronesi, Pietro & Santos, Tano, 2016. "Habits and Leverage," CEPR Discussion Papers 11681, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Adam, Klaus & Marcet, Albert, 2011. "Booms and busts in asset prices," LSE Research Online Documents on Economics 121706, London School of Economics and Political Science, LSE Library.
- Klaus Adam & Albert Marcet, 2011. "Booms and Busts in Asset Prices," CEP Discussion Papers dp1059, Centre for Economic Performance, LSE.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin, 2005.
"A framework for exploring the macroeconomic determinants of systematic risk,"
CFS Working Paper Series
2005/04, Center for Financial Studies (CFS).
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," NBER Working Papers 11134, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," PIER Working Paper Archive 05-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- 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.
- 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.
- Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005.
"Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options,"
NBER Working Papers
11861, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- Xavier Gabaix, 2012. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 127(2), pages 645-700.
- Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
- Mariana Khapko, 2023. "Asset pricing with dynamically inconsistent agents," Finance and Stochastics, Springer, vol. 27(4), pages 1017-1046, October.
- 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.).
- 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.
- 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.
- Guo, Hui & Jiang, Xiaowen, 2021. "Aggregate Distress Risk and Equity Returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
- Nicolas Petrosky-Nadeau & Lu Zhang & Lars-Alexander Kuehn, 2010. "Aggregate Asset Pricing with Labor Market Frictions," 2010 Meeting Papers 904, Society for Economic Dynamics.
- 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.
- Robert Östling & Erik Lindqvist & David Cesarini & Joseph Briggs, 2016. "Wealth, Portfolio Allocations, and Risk Preference," 2016 Meeting Papers 1089, Society for Economic Dynamics.
- Robert E. Hall, 2003. "Corporate Earnings Track the Competitive Benchmark," NBER Working Papers 10150, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Aras, Atilla, 2021. "Solution to the Equity Premium Puzzle," OSF Preprints gj3n2, Center for Open Science.
- Edouard Challe & Benoît Mojon & Xavier Ragot, 2013. "Equilibrium risk shifting and interest rate in an opaque financial system," PSE - Labex "OSE-Ouvrir la Science Economique" halshs-00944916, HAL.
- 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.
- Jules Tinang & Nour Meddahi, 2016. "GMM estimation of the Long Run Risks model," 2016 Meeting Papers 1107, Society for Economic Dynamics.
- 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.
- Morris A. Davis & Stijn Van Nieuwerburgh, 2014. "Housing, Finance and the Macroeconomy," NBER Working Papers 20287, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Alejandro SALAZAR-ADAMS & Nicolás PINEDA-PABLOS, 2010. "Policies for Meeting Future Water Needs in Mexican Cities," EcoMod2010 259600147, EcoMod.
- 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.
- Hengjie Ai & Anmol Bhandari, 2021. "Asset Pricing With Endogenously Uninsurable Tail Risk," Econometrica, Econometric Society, vol. 89(3), pages 1471-1505, May.
- 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.
- Hasseltoft, Henrik, 2007. "The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates," SIFR Research Report Series 58, Institute for Financial Research.
- de Oliveira Souza, Thiago, 2018. "Red tape asset pricing," Discussion Papers on Economics 8/2018, University of Southern Denmark, Department of Economics.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2015. "Risk-Return Trade-Off for European Stock Markets," Working Papers 2072/246967, Universitat Rovira i Virgili, Department of Economics.
- Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2016. "Risk-return trade-off for European stock markets," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 84-103.
- 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.).
- Aleksy Leeuwenkamp & Wentao Hu, 2023. "New general dependence measures: construction, estimation and application to high-frequency stock returns," Papers 2309.00025, arXiv.org.
- 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.
- 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.
- 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.
- 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.
- Kyoung Jin Choi & Junkee Jeon & Hyeng Keun Koo, 2018. "Duesenberry's Theory of Consumption: Habit, Learning, and Ratcheting," Papers 1812.10038, arXiv.org.
- Simon H. Kwan, 2013. "The price of stock and bond risk in recoveries," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue aug19.
- 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.
- Brenner, Menachem & Izhakian, Yehuda, 2018. "Asset pricing and ambiguity: Empirical evidence⁎," Journal of Financial Economics, Elsevier, vol. 130(3), pages 503-531.
- Obregon, Carlos, 2018. "Globalization misguided views," MPRA Paper 85813, University Library of Munich, Germany.
- John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
- Vincenzo Merella & Stephen E. Satchell, 2014. "Technology Shocks and Asset Pricing: The Role of Consumer Confidence," Carlo Alberto Notebooks 352, Collegio Carlo Alberto.
- 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.
- 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.
- 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.
- 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.
- 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).
- Sakemoto, Ryuta, 2021. "Economic Evaluation of Cryptocurrency Investment," MPRA Paper 108283, University Library of Munich, Germany.
- Umar, Zaghum, 2017. "The demand of energy from an optimal portfolio choice perspective," Economic Modelling, Elsevier, vol. 61(C), pages 478-494.
- 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.
- René Garcia & Maral Kichian, 2000. "Modelling Risk Premiums in Equity and Foreign Exchange Markets," Staff Working Papers 00-9, Bank of Canada.
- 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.
- Rajnish Mehra & Arunima Sinha, 2016. "The Term Structure of Interest Rates in India," NBER Working Papers 22020, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Belén Nieto & Alfonso Novales & Gonzalo Rubio, 2015. "Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-41, December.
- 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.
- 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.
- Cejnek, Georg & Randl, Otto, 2016. "Risk and return of short-duration equity investments," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 181-198.
- 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.
- 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.
- 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.
- 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.
- John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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).
- Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023. "Predicting inflation expectations: A habit-based explanation under hedging," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Bai, Hang, 2021. "Unemployment and credit risk," Journal of Financial Economics, Elsevier, vol. 142(1), pages 127-145.
- 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].
- 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.
- 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.
- 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.
- 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.
- Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson, 2019. "How the Wealth Was Won: Factors Shares as Market Fundamentals," NBER Working Papers 25769, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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).
- Zhang, Tongbin, 2014. "Stock Price, Real Riskless Interest Rate and Learning," MPRA Paper 57090, University Library of Munich, Germany.
- 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.
- 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).
- Dunbar, Kwamie, 2023. "CBDC uncertainty: Financial market implications," International Review of Financial Analysis, Elsevier, vol. 87(C).
- 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.
- Melisso Boschi & Aditya Goenka, 2007. "Relative Risk Aversion And The Transmission Of Financial Crises," CAMA Working Papers 2007-28, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- 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.
- Astrid Matthey, 2005. "Getting Used to Risks: Reference Dependence and Risk Inclusion," SFB 649 Discussion Papers SFB649DP2005-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- 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.
- Lu Zhang, 2005. "Anomalies," NBER Working Papers 11322, National Bureau of Economic Research, Inc.
- Efstathios Avdis & Jessica A. Wachter, 2013. "Maximum likelihood estimation of the equity premium," NBER Working Papers 19684, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Adam Szeidl & Raj Chetty, 2005. "Consumption Commitments: Neoclassical Foundations for Habit Formation," 2005 Meeting Papers 122, Society for Economic Dynamics.
- 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.).
- 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.
- 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.
- Dreyer, Johannes K. & Schneider, Johannes & Smith, William T., 2013. "Saving-based asset-pricing," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3704-3715.
- Ghassan, Hassan B., 2015. "Islamic Consumer Model, Fairness Behavior and Asymptotic Utility," MPRA Paper 67141, University Library of Munich, Germany.
- 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.
- George Constantinides & John Donaldson & Rajnish Mehra, 2007. "Junior is rich: bequests as consumption," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 32(1), pages 125-155, July.
- Jules van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez, 2010.
"The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences,"
NBER Working Papers
15890, National Bureau of Economic Research, Inc.
- Rubio-RamÃrez, 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.
- van Binsbergen, Jules H. & Fernández-Villaverde, Jesús & Koijen, Ralph S.J. & Rubio-Ramírez, Juan, 2012. "The term structure of interest rates in a DSGE model with recursive preferences," Journal of Monetary Economics, Elsevier, vol. 59(7), pages 634-648.
- Jules H. van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-RamÃrez, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," PIER Working Paper Archive 10-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- 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.
- Paulo Maio, 2013. "Intertemporal CAPM with Conditioning Variables," Management Science, INFORMS, vol. 59(1), pages 122-141, April.
- 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.
- Dolmas, Jim, 2017. "Campbell and Cochrane meet Melino and Yang: Reverse engineering the surplus ratio in a Mehra–Prescott economy," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 55-62.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Stephen Turnovsky & Goncalo Monteiro, 2006.
"Consumption Externalities, Production Externalities, and Efficient Capital Accumulation under Time Non-Separable Preferences,"
Working Papers
UWEC-2006-26-P, University of Washington, Department of Economics.
- 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.
- Stephen J Turnovsky & Goncalo Monteiro, "undated". "Consumption Externalities, Production Externalities and Efficient Capital Accumulation under Time Non-separable Preferences," Discussion Papers 05/08, Department of Economics, University of York.
- 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.
- Knut K. Aase, 2016. "Recursive utility using the stochastic maximum principle," Quantitative Economics, Econometric Society, vol. 7(3), pages 859-887, November.
- 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.
- 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.
- 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.
- 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.
- De Santis, Roberto A., 2012. "Quantity theory is alive: the role of international portfolio shifts," Working Paper Series 1435, European Central Bank.
- Robert J. Shiller, 2014. "Speculative Asset Prices (Nobel Prize Lecture)," Cowles Foundation Discussion Papers 1936, Cowles Foundation for Research in Economics, Yale University.
- 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.
- 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.
- 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.
- 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.
- Azariadis, Costas & Kaas, Leo, 2007. "Asset price fluctuations without aggregate shocks," Journal of Economic Theory, Elsevier, vol. 136(1), pages 126-143, September.
- 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.
- Miller, Marcus & Zhang, Lei, 2007. "Fear and Market Failure: Global Imbalances and ¿Self-Insurance¿," IDB Publications (Working Papers) 1606, Inter-American Development Bank.
- Andres Sagner, 2020. "High Dimensional Quantile Factor Analysis," Working Papers Central Bank of Chile 886, Central Bank of Chile.
- Braun, Alexander, 2011. "Pricing catastrophe swaps: A contingent claims approach," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 520-536.
- 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.
- 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.
- Jin, Lawrence J. & Sui, Pengfei, 2022. "Asset pricing with return extrapolation," Journal of Financial Economics, Elsevier, vol. 145(2), pages 273-295.
- 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.
- 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.
- Hongye Guo & Jessica A. Wachter, 2019. ""Superstitious" Investors," NBER Working Papers 25603, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Ram Yamarthy, 2019. "Corporate Debt Maturity and the Real Economy," 2019 Meeting Papers 627, Society for Economic Dynamics.
- 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.
- Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2006.
"Option-implied preferences adjustments, density forecasts, and the equity risk premium,"
Working Papers
0630, Banco de España.
- Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2009. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Spanish Economic Review, Springer;Spanish Economic Association, vol. 11(2), pages 141-164, June.
- Ravi Jagannathan & Yong Wang, 2005. "Consumption Risk and the Cost of Equity Capital," NBER Working Papers 11026, National Bureau of Economic Research, Inc.
- Vasilev, Aleksandar, 2020.
"Indeterminacy with preferences featuring multiplicative habits in consumption: lessons from Bulgaria (1999-2016),"
EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue forthcomi.
- 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.
- Pei Kuang, 2019. "New Tests of Expectation Formation with Applications to Asset Pricing Models," 2019 Meeting Papers 187, Society for Economic Dynamics.
- Maio, Paulo & Silva, André C., 2020. "Asset pricing implications of money: New evidence," Journal of Banking & Finance, Elsevier, vol. 120(C).
- 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.
- 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.
- Yili Chien & Harold Cole & Hanno Lustig, 2011. "A Multiplier Approach to Understanding the Macro Implications of Household Finance," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 78(1), pages 199-234.
- Gregory R. Duffee, 2012.
"Bond pricing and the macroeconomy,"
Economics Working Paper Archive
598, The Johns Hopkins University,Department of Economics.
- Duffee, Gregory R., 2013. "Bond Pricing and the Macroeconomy," 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 907-967, Elsevier.
- Jeffrey R. Gerlach, 2005. "Imperfect Information and Stock Market Volatility," The Financial Review, Eastern Finance Association, vol. 40(2), pages 173-194, May.
- 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.
- 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.
- 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.
- 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.
- Santiago Budría & Antonia Díaz, 2006. "Term and Equity Premium in Economies with Habit Formation," Working Papers 2006-23, FEDEA.
- 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.
- Douch, Mohamed & Bouaddi, Mohammed, 2010. "EQUITY Premium Puzzle in a Data-Rich Environment," MPRA Paper 29440, University Library of Munich, Germany.
- 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.
- 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.
- Tano Santos & Pietro Veronesi, 2005. "Cash-Flow Risk, Discount Risk, and the Value Premium," NBER Working Papers 11816, National Bureau of Economic Research, Inc.
- Ioannis Oikonomou & Chris Brooks & Stephen Pavelin, 2012.
"The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis,"
Financial Management, Financial Management Association International, vol. 41(2), pages 483-515, June.
- 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.
- 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.
- Guihai Zhao, 2018.
"Ambiguity, Nominal Bond Yields and Real Bond Yields,"
Staff Working Papers
18-24, Bank of Canada.
- Guihai Zhao, 2020. "Ambiguity, Nominal Bond Yields, and Real Bond Yields," American Economic Review: Insights, American Economic Association, vol. 2(2), pages 177-192, June.
- 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.
- 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.
- 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.
- 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.
- 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.
- Nathalie Mathieu-Bolh & Ronald Wendner, 2018.
"We Are What We Eat: Obesity, Income, and Social Comparisons,"
Graz Economics Papers
2018-21, University of Graz, Department of Economics.
- Mathieu-Bolh, Nathalie & Wendner, Ronald, 2020. "We are what we eat: Obesity, income, and social comparisons," European Economic Review, Elsevier, vol. 128(C).
- 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.
- 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.
- Bank for International Settlements, 2006. "The recent behaviour of financial market volatility," BIS Papers, Bank for International Settlements, number 29.
- 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.).
- Paolo Guasoni, 2006. "Asymmetric Information in Fads Models," Finance and Stochastics, Springer, vol. 10(2), pages 159-177, April.
- Sanghyun Hong, 2020. "Transactions Costs and the Equity Premium Puzzle," Working Papers in Economics 20/16, University of Canterbury, Department of Economics and Finance.
- 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).
- He, Yunhao & Leippold, Markus, 2020. "Short-run risk, business cycle, and the value premium," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
- Povilas Lastauskas & Mariarosaria Comunale & Justas Dainauskas, 2021.
"What Explains Excess Trade Persistence? A Theory of Habits in the Supply Chains,"
Bank of Lithuania Working Paper Series
85, Bank of Lithuania.
- 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.
- 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.
- 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.
- 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.
- 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.
- Sydney Ludvigson & Xiaohong Chen, 2004. "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models," 2004 Meeting Papers 692, Society for Economic Dynamics.
- 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, November.
- 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.
- Casey B. Mulligan, 2004. "Robust Aggregate Implications of Stochastic Discount Factor Volatility," NBER Working Papers 10210, National Bureau of Economic Research, Inc.
- Zviadadze, Irina, 2018.
"Term Structure of Risk in Expected Returns,"
CEPR Discussion Papers
13414, C.E.P.R. Discussion Papers.
- Irina Zviadadze, 2021. "Term Structure of Risk in Expected Returns [Stock returns and volatility: Pricing the short-run and long-run components of market risk]," The Review of Financial Studies, Society for Financial Studies, vol. 34(12), pages 6032-6086.
- 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).
- 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.
- 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.
- Sarah Mouabbi & Jean-Paul Renne & Jean-Guillaume Sahuc, 2020. "Taming Debt: Can GDP-Linked Bonds Do the Trick?," Working Papers hal-04159700, HAL.
- 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.
- Cavallari, Lilia, 2020. "Monetary policy and consumers' demand," Economic Modelling, Elsevier, vol. 92(C), pages 23-36.
- 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.
- Murray Carlson & David A. Chapman & Ron Kaniel & Hong Yan, 2015. "Asset Return Predictability in a Heterogeneous Agent Equilibrium Model," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-45.
- 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.
- Sydney C. Ludvigson, 2011. "Advances in Consumption-Based Asset Pricing: Empirical Tests," NBER Working Papers 16810, National Bureau of Economic Research, Inc.
- Obregon, Carlos, 2018. "Globalización visiones equivocadas [Globalization misguided views]," MPRA Paper 86396, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Li, Yuming, 2001. "Expected Returns and Habit Persistence," The Review of Financial Studies, Society for Financial Studies, vol. 14(3), pages 861-899.
- 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.
- Nicolae B. Gârleanu & Stavros Panageas & Jianfeng Yu, 2009.
"Technological Growth and Asset Pricing,"
NBER Working Papers
15340, National Bureau of Economic Research, Inc.
- 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.
- Peter Berling & Kaj Rosling, 2005. "The Effects of Financial Risks on Inventory Policy," Management Science, INFORMS, vol. 51(12), pages 1804-1815, December.
- Dangl, Thomas & Halling, Michael, 2012. "Predictive regressions with time-varying coefficients," Journal of Financial Economics, Elsevier, vol. 106(1), pages 157-181.
- 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.
- Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007.
"The determinants of stock and bond return comovements,"
Working Paper Research
119, National Bank of Belgium.
- Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2009. "The Determinants of Stock and Bond Return Comovements," NBER Working Papers 15260, National Bureau of Economic Research, Inc.
- Katsuhiro Oshima, 2019. "Heterogeneous Beliefs, Monetary Policy, and Stock Price Volatility," KIER Working Papers 1013, Kyoto University, Institute of Economic Research.
- Park, Cheolbeom, 2010. "When does the dividend-price ratio predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 81-101, January.
- 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.
- Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
- 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).
- 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.
- 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.
- 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.
- 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.
- Johdo, Wataru, 2009. "Habit persistence and stagnation," Economic Modelling, Elsevier, vol. 26(5), pages 1110-1114, September.
- Matthijs Breugem & Stefano Colonnello & Roberto Marfe & Francesca Zucchi, 2024.
"Dynamic Equity Slope,"
Carlo Alberto Notebooks
713 JEL Classification: D, Collegio Carlo Alberto.
- Matthijs Breugem & Stefano Colonnello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Carlo Alberto Notebooks 626, Collegio Carlo Alberto.
- 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.
- Dahlquist, Magnus & Hasseltoft, Henrik, 2013. "International Bond Risk Premia," Journal of International Economics, Elsevier, vol. 90(1), pages 17-32.
- 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.
- 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.
- Thomas J. Carter & Xin Scott Chen & José Dorich, 2019. "The Neutral Rate in Canada: 2019 Update," Staff Analytical Notes 2019-11, Bank of Canada.
- 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.
- 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.
- Benjamin Hamidi & Emmanuel Jurczenko & Bertrand Maillet, 2009. "D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?," Post-Print halshs-00389773, HAL.
- 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.
- Vincenzo Merella & Stephen E. Satchell, 2019. "Asset pricing with utility from external anticipation," Carlo Alberto Notebooks 589, Collegio Carlo Alberto.
- Bourdeau-Brien, Michael & Kryzanowski, Lawrence, 2020. "Natural disasters and risk aversion," Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 818-835.
- 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.
- Melisso Boschi & Stefano d'Addona & Aditya Goenka, 2021. "Testing external habits in an asset pricing model," Discussion Papers 21-11, Department of Economics, University of Birmingham.
- 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.).
- 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.
- Campbell, John, 2008.
"Estimating the Equity Premium,"
Scholarly Articles
3196339, Harvard University Department of Economics.
- John Y. Campbell, 2007. "Estimating the Equity Premium," NBER Working Papers 13423, National Bureau of Economic Research, Inc.
- Sander, Magnus, 2018. "Market timing over the business cycle," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 130-145.
- 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).
- 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.
- 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).
- Gu, Shihao & Kelly, Bryan & Xiu, Dacheng, 2021. "Autoencoder asset pricing models," Journal of Econometrics, Elsevier, vol. 222(1), pages 429-450.
- 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.
- Ferreira, Alex & Matos, Paulo, 2020. "Precautionary risks for an open economy," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 154-167.
- 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.
- 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.
- 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.
- 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.
- 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.
- Blitz, David & Hanauer, Matthias X. & Vidojevic, Milan, 2020. "The idiosyncratic momentum anomaly," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 932-957.
- 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.
- 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.
- 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.
- 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.
- Mr. Bernhard Eckwert & Mr. Burkhard Drees, 2005. "Asset Mispricing Due to Cognitive Dissonance," IMF Working Papers 2005/009, International Monetary Fund.
- 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.
- 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.
- Li, Jun & Wang, Huijun & Yu, Jianfeng, 2018. "Aggregate Expected Investment Growth and Stock Market Returns," ADBI Working Papers 808, Asian Development Bank Institute.
- Li, Jun & Yu, Jianfeng, 2012. "Investor attention, psychological anchors, and stock return predictability," Journal of Financial Economics, Elsevier, vol. 104(2), pages 401-419.
- Kasprowicz Tomasz & Bednorz Andrzej, 2017. "Threshold Theory – modelling risk attitude," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 13(4), pages 97-109, December.
- 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).
- 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.
- 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.
- 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.
- Agostino Capponi & Sveinn Olafsson & Thaleia Zariphopoulou, 2019. "Personalized Robo-Advising: Enhancing Investment through Client Interaction," Papers 1911.01391, arXiv.org, revised Nov 2020.
- De Paoli, Bianca & Sondergaard, Jens, 2009. "Foreign exchange rate risk in a small open economy," Bank of England working papers 365, Bank of England.
- 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.
- 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.
- 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.
- Eric Swanson & Glenn Rudebusch, 2008. "Long-Run Inflation Risk and the Postwar Term Premium," 2008 Meeting Papers 988, Society for Economic Dynamics.
- 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).
- 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.
- Geert Bekaert & Steven R. Grenadier, 1999. "Stock and Bond Pricing in an Affine Economy," NBER Working Papers 7346, National Bureau of Economic Research, Inc.
- Marianne Andries, 2012. "Consumption-based Asset Pricing Loss Aversion," 2012 Meeting Papers 571, Society for Economic Dynamics.
- 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).
- 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.
- 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.
- Berling, Peter, 2008. "Real options valuation principle in the multi-period base-stock problem," Omega, Elsevier, vol. 36(6), pages 1086-1095, December.
- 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.
- Heipertz, Jonas & Mihov, Ilian & Santacreu, Ana Maria, 2022.
"Managing macroeconomic fluctuations with flexible exchange rate targeting,"
Journal of Economic Dynamics and Control, Elsevier, vol. 135(C).
- 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.
- 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.
- Mikael Priks, 2010. "Does Frustration Lead to Violence? Evidence from the Swedish Hooligan Scene," Kyklos, Wiley Blackwell, vol. 63(3), pages 450-460, August.
- 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.
- Matthijs Breugem & Adrian Buss, 2017. "Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency," Carlo Alberto Notebooks 524, Collegio Carlo Alberto.
- Massa, Massimo & Locarno, Alberto, 2005. "Monetary Policy Uncertainty and the Stock Market," CEPR Discussion Papers 4828, C.E.P.R. Discussion Papers.
- Yongseung Jung, 2010. "Asset Market Structures and Monetary Policy in a Small Open Economy," Working Papers id:3104, eSocialSciences.
- Zin, Stanley E., 2002. "Are behavioral asset-pricing models structural?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 215-228, January.
- 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.
- Diego Comin & Ana Maria Santacreu & Mark Gertler & Phuong Ngo, 2018. "Stock Price Fluctuations and Productivity Growth," 2018 Meeting Papers 1147, Society for Economic Dynamics.
- 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.
- 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.).
- Gene Amromin & Steven A. Sharpe, 2009. "Expectations of risk and return among household investors: Are their Sharpe ratios countercyclical?," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
- 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.
- 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.
- 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.
- Francisco Palomino, 2010. "Code and data files for "Bond Risk Premiums and Optimal Monetary Policy"," Computer Codes 09-159, Review of Economic Dynamics.
- 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.
- 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.
- Nicola Borri & Pietro Reichlin, 2020.
"Online Appendix to "Optimal Taxation with Home Ownership and Wealth Inequality","
Online Appendices
19-19, Review of Economic Dynamics.
- Nicola Borri & Pietro Reichlin, 2021. "Optimal Taxation with Home Ownership and Wealth Inequality," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 64-84, April.
- Gregory R. Duffee, 2023. "Macroeconomic News in Asset Pricing and Reality," Journal of Finance, American Finance Association, vol. 78(3), pages 1499-1543, June.
- 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.
- Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.
- 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.
- 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.
- Hatcher, Michael, 2011. "Time-varying volatility, precautionary saving and monetary policy," Bank of England working papers 440, Bank of England.
- Xing Jin & LepingWang & JunYu, 2007. "Temporal Aggregation and Risk-Return Relation," Finance Working Papers 21917, East Asian Bureau of Economic Research.
- 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.
- Li, Kai & Liu, Jun, 2023. "Extrapolative asset pricing," Journal of Economic Theory, Elsevier, vol. 210(C).
- 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.
- 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.
- 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.
- Enrique Martínez García, 2007. "A monetary model of the exchange rate with informational frictions," Globalization Institute Working Papers 02, Federal Reserve Bank of Dallas.
- 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.
- 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.
- 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.
- 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.
- Xiang Yu, 2014. "Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments," Papers 1408.1382, arXiv.org, revised Jul 2016.
- 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.
- 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.
- Kam, Timothy, 2007. "Interest-rate smoothing in a two-sector small open economy," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 283-304, June.
- 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.
- 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.
- Pierlauro Lopez & David Lopez-Salido & Francisco Vazquez-Grande, 2018. "Risk-Adjusted Linearizations of Dynamic Equilibrium Models," Working papers 702, Banque de France.
- Pierdzioch, Christian, 2004. "Productivity Shocks and Delayed Exchange-Rate Overshooting," Kiel Working Papers 1199, Kiel Institute for the World Economy (IfW Kiel).
- 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.
- Li, George, 2007. "Time-varying risk aversion and asset prices," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 243-257, January.
- 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.
- Atilla Aras, 2021. "Solution to the Equity Premium Puzzle Using the Sufficiency Factor of the Model," Papers 2110.14405, arXiv.org, revised Sep 2022.
- 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).
- Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
- 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.
- Larbi Alaoui & Alvaro Sandroni, 2013. "Predestination and the Protestant Ethic," Working Papers 679, Barcelona School of Economics.
- 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.
- 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.).
- 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.
- 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.
- Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.
- 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.
- 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.
- Hui Guo & Robert Savickas, 2006. "Understanding stock return predictability," Working Papers 2006-019, Federal Reserve Bank of St. Louis.
- 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.
- 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.
- 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.
- Nonejad, Nima, 2022. "Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact," Energy Economics, Elsevier, vol. 115(C).
- 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.
- 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.
- 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.
- 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.
- Long Chen & Zhi Da & Richard Priestley, 2012. "Dividend Smoothing and Predictability," Management Science, INFORMS, vol. 58(10), pages 1834-1853, October.
- 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.
- Hyun Park, 2019. "Endogenous Growth and Equilibrium Cycles under Altruistic and Envious Preferences," Korean Economic Review, Korean Economic Association, vol. 35, pages 307-344.
- 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.
- 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.
- Stefan Avdjiev & Nathan Balke, 2010. "Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations," BIS Working Papers 323, Bank for International Settlements.
- 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.
- 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.
- Cho, Sungjun, 2014. "What drives stochastic risk aversion?," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 44-63.
- 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.
- Berthold, Brendan, 2023. "The macroeconomic effects of uncertainty and risk aversion shocks," European Economic Review, Elsevier, vol. 154(C).
- 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.
- Kargar, Mahyar, 2021. "Heterogeneous intermediary asset pricing," Journal of Financial Economics, Elsevier, vol. 141(2), pages 505-532.
- 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.
- 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).
- 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).
- Marlène Isoré & Urszula Szczerbowicz, 2013. "Disaster Risk in a New Keynesian Model," Working Papers 2013-12, CEPII research center.
- 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.
- 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.
- 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.
- Tom Engsted & Stuart Hyde & Stig V. Møller, 2007. "Habit Formation, Surplus Consumption and Return Predictability: International Evidence," CREATES Research Papers 2007-31, Department of Economics and Business Economics, Aarhus University.
- 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.
- Niels Joachim Gormsen, 2021. "Time Variation of the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(4), pages 1959-1999, August.
- 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.
- Liu, Xuan & Yang, Fang & Cai, Zongwu, 2016.
"Does relative risk aversion vary with wealth? Evidence from households׳ portfolio choice data,"
Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 229-248.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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).
- Luo, Yulei & Young, Eric, 2013. "Rational Inattention in Macroeconomics: A Survey," MPRA Paper 54267, University Library of Munich, Germany.
- 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.).
- 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.
- 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.
- 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.).
- Finocchiaro, Daria, 2011. "Inattention, wealth inequality and equilibrium asset prices," Journal of Monetary Economics, Elsevier, vol. 58(2), pages 146-155, March.
- 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.
- 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.
- Jeffrey R. Brown & Zoran Ivković & Paul A. Smith & Scott Weisbenner, 2008. "Neighbors Matter: Causal Community Effects and Stock Market Participation," Journal of Finance, American Finance Association, vol. 63(3), pages 1509-1531, June.
- Ryan Banerjee & Nicoletta Batini, 2003. "UK Consumers’ Habits," Discussion Papers 13, Monetary Policy Committee Unit, Bank of England.
- Qadan, Mahmoud & Idilbi-Bayaa, Yasmeen, 2020. "Risk appetite and oil prices," Energy Economics, Elsevier, vol. 85(C).
- 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.
- Passadore, Juan & Xu, Yu, 2022. "Illiquidity in sovereign debt markets," Journal of International Economics, Elsevier, vol. 137(C).
- 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.).
- 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 -.
- Anthony Tay, 2008. "Time-Varying Incentives in the Mutual Fund Industry," Finance Working Papers 22484, East Asian Bureau of Economic Research.
- 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.
- Petkova, Ralitsa & Zhang, Lu, 2005. "Is value riskier than growth?," Journal of Financial Economics, Elsevier, vol. 78(1), pages 187-202, October.
- 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).
- Bradley Jones, 2015. "Asset Bubbles: Re-thinking Policy for the Age of Asset Management," IMF Working Papers 2015/027, International Monetary Fund.
- Ichiro Gombi & Shinsuke Ikeda, 2001. "Heterogeneous Habits and the Transfer Paradox," ISER Discussion Paper 0551, Institute of Social and Economic Research, Osaka University.
- 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.
- 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.
- 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.
- Seeun Jung & Carole Treibich, 2014.
"Is Self-Reported Risk Aversion Time Varying?,"
PSE Working Papers
halshs-00965549, HAL.
- Seeun Jung & Carole Treibich, 2014. "Is Self-Reported Risk Aversion Time Varying?," Working Papers halshs-00965549, HAL.
- Andrew B. Abel, 2006. "Equity Premia with Benchmark Levels of Consumption: Closed-Form Results," NBER Working Papers 12290, National Bureau of Economic Research, Inc.
- 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.
- 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.).
- Galvani, Valentina & Li, Lifang, 2018. "The Momentum Effect for Canadian Corporate Bonds," Working Papers 2018-16, University of Alberta, Department of Economics.
- Asger Lunde & Allan Timmermann, 2005. "Completion time structures of stock price movements," Annals of Finance, Springer, vol. 1(3), pages 293-326, August.
- Valentin Haddad, 2012. "Concentrated Ownership and Equilibrium Asset Prices," 2012 Meeting Papers 902, Society for Economic Dynamics.
- Yadav, Jayant, 2020. "Flight to Safety in Business cycles," MPRA Paper 104093, University Library of Munich, Germany.
- 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.
- Guidolin, Massimo, 2006. "Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle," Journal of Economics and Business, Elsevier, vol. 58(2), pages 85-118.
- 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.
- Torben G. Andersen & Luca Benzoni, 2008. "Realized volatility," Working Paper Series WP-08-14, Federal Reserve Bank of Chicago.
- 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.
- John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
- 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.
- Jialun Li & Kent Smetters, 2011. "Optimal Portfolio Choice with Wage-Indexed Social Security," NBER Working Papers 17025, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Lars A. Lochstoer & Tyler Muir, 2022. "Volatility Expectations and Returns," Journal of Finance, American Finance Association, vol. 77(2), pages 1055-1096, April.
- Binswanger, Johannes, 2012. "Life cycle saving: Insights from the perspective of bounded rationality," European Economic Review, Elsevier, vol. 56(3), pages 605-623.
- 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.
- 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.
- 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.
- Golez, Benjamin & Koudijs, Peter, 2018. "Four centuries of return predictability," Journal of Financial Economics, Elsevier, vol. 127(2), pages 248-263.
- Motohiro Yogo, 2006. "A Consumption‐Based Explanation of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 61(2), pages 539-580, April.
- 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.
- Lioui, Abraham & Tarelli, Andrea, 2022. "Chasing the ESG factor," Journal of Banking & Finance, Elsevier, vol. 139(C).
- Jessica A. Wachter, 2005.
"Solving Models with External Habit,"
NBER Working Papers
11559, National Bureau of Economic Research, Inc.
- Wachter, Jessica A., 2005. "Solving models with external habit," Finance Research Letters, Elsevier, vol. 2(4), pages 210-226, December.
- 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.
- 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.
- John H. Cochrane, 2017.
"Macro-Finance,"
Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
- John H. Cochrane, 2016. "Macro-Finance," NBER Working Papers 22485, National Bureau of Economic Research, Inc.
- 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.
- Robert J. Barro, 1995. "Optimal Debt Management," NBER Working Papers 5327, National Bureau of Economic Research, Inc.
- Xinglin Yang, 2023. "Unspanned macro risks in VIX futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1305-1328, September.
- 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.
- 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.
- Nikolay Arefiev, 2011. "Generalized Calvo Approach," HSE Working papers WP BRP 06/EC/2011, National Research University Higher School of Economics.
- 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.
- Alain Cohn & Michel André Maréchal, 2016. "Priming in economics," ECON - Working Papers 226, Department of Economics - University of Zurich.
- 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.
- Etro, Federico, 2017. "Research in economics and macroeconomics," Research in Economics, Elsevier, vol. 71(3), pages 373-383.
- 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.
- 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.
- Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.
- 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.
- 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.
- Guofu Zhou & Yingzi Zhu, 2015. "Macroeconomic Volatilities and Long-Run Risks of Asset Prices," Management Science, INFORMS, vol. 61(2), pages 413-430, February.
- 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.
- 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.
- 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).
- Christian Pierdzioch, 2007. "Households' Preferences and Exchange Rate Overshooting," International Economic Journal, Taylor & Francis Journals, vol. 21(2), pages 297-316.
- Campbell, John Y., 2009. "The Changing Role of Nominal Government Bonds in Asset Allocation," Scholarly Articles 10884856, Harvard University Department of Economics.
- 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.
- 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.
- 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.
- 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.
- Uddin, Ajim & Yu, Dantong, 2020. "Latent factor model for asset pricing," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
- 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.
- Gebhardt, Georg, 2011. "Investment decisions with loss aversion over relative consumption," Journal of Economic Behavior & Organization, Elsevier, vol. 80(1), pages 68-73.
- Nick Taylor, 2017. "Risk Control: Who Cares?," European Financial Management, European Financial Management Association, vol. 23(1), pages 153-179, January.
- Chabi-Yo, Fousseni & Loudis, Johnathan, 2020. "The conditional expected market return," Journal of Financial Economics, Elsevier, vol. 137(3), pages 752-786.
- 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.
- Gozluklu, Arie & Morin, Annaïg, 2019. "Stock vs. Bond yields and demographic fluctuations," Journal of Banking & Finance, Elsevier, vol. 109(C).
- Mathieu Gatumel & Florian Ielpo, 2014. "Commodity Markets through the business cycle," Post-Print hal-01302479, HAL.
- 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.
- 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.
- Gârleanu, Nicolae & Kogan, Leonid & Panageas, Stavros, 2012. "Displacement risk and asset returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 491-510.
- 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.
- 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.
- 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.
- 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.
- 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.
- Vanden, Joel M., 2005. "Equilibrium analysis of volatility clustering," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 374-417, June.
- Golec, Pascal & Perotti, Enrico, 2017. "Safe assets: a review," Working Paper Series 2035, European Central Bank.
- Qiang Kang, 2019. "Business-cycle pattern of asset returns: a general equilibrium explanation," Annals of Finance, Springer, vol. 15(4), pages 539-561, December.
- Julian Thimme, 2017. "Intertemporal Substitution In Consumption: A Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 226-257, February.
- 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.
- 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.
- 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.
- 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).
- Qingsong Yao, 2023. "Stochastic Learning of Semiparametric Monotone Index Models with Large Sample Size," Papers 2309.06693, arXiv.org, revised Oct 2023.
- Mr. Martin D Evans, 2012. "Exchange-Rate Dark Matter," IMF Working Papers 2012/066, International Monetary Fund.
- 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.
- John H. Cochrane, 1994.
"Shocks,"
NBER Working Papers
4698, National Bureau of Economic Research, Inc.
- Cochrane, John H., 1994. "Shocks," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 41(1), pages 295-364, December.
Cited by:
- 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.
- 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.
- Mr. Jinzhu Chen & Mr. Bharat Trehan & Mr. Prakash Kannan & Mr. Prakash Loungani, 2011. "New Evidenceon Cyclical and Structural Sources of Unemployment," IMF Working Papers 2011/106, International Monetary Fund.
- Zinzhu Chen & Prakash Kannan & Prakash Loungani & Bharat Trehan, 2011. "New evidence on cyclical and structural sources of unemployment," Working Paper Series 2011-17, Federal Reserve Bank of San Francisco.
- Makoto Nirei, 2004.
"Lumpy Investment, Sectoral Propagation, and Business Cycles,"
2004 Meeting Papers
774, Society for Economic Dynamics.
- Makoto Nirei, 2004. "Lumpy Investment, Sectoral Propagation, and Business Cycles," Computing in Economics and Finance 2004 330, Society for Computational Economics.
- Prakash Loungani & Bharat Trehan, 1997. "Explaining unemployment: sectoral vs aggregate shocks," Economic Review, Federal Reserve Bank of San Francisco, pages 3-15.
- 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.
- 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.
- John H. Cochrane & Lars Peter Hansen, 1992.
"Asset Pricing Explorations for Macroeconomics,"
NBER Working Papers
4088, National Bureau of Economic Research, Inc.
- 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.
Cited by:
- 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.
- Tom Doan, "undated". "RATS programs to replicate Perron-Wada state space model," Statistical Software Components RTZ00133, Boston College Department of Economics.
- Pierre Perron† & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP?," Boston University - Department of Economics - Working Papers Series WP2005-031, Boston University - Department of Economics, revised Oct 2005.
- Pierre Perron & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP," Boston University - Department of Economics - Working Papers Series wp2009-006, Boston University - Department of Economics, revised Feb 2009.
- 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.
- George CHACKO & Luis M. VICEIRA, 1999. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," FAME Research Paper Series rp11, International Center for Financial Asset Management and Engineering.
- George Chacko & Luis M. Viceira, 1999. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," NBER Working Papers 7377, National Bureau of Economic Research, Inc.
- George Chacko & Luis M. Viceira, 2005. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," The Review of Financial Studies, Society for Financial Studies, vol. 18(4), pages 1369-1402.
- 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.
- 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.
- Camilo Alvis & Cristian Castrillón, 2013. "Tamano óptimo del gasto público colombiano: una aproximación desde la teoría del crecimiento endógeno," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, December.
- Hanno Lustig, 2001.
"The Market Price of Aggregate Risk and the Wealth Distribution,"
Finance
0111004, University Library of Munich, Germany, revised 16 Nov 2001.
- Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers 299, UCLA Department of Economics.
- Hanno Lustig & Yi-Li Chien, 2005. "The Market Price of Aggregate Risk and the Wealth Distribution," NBER Working Papers 11132, National Bureau of Economic Research, Inc.
- YiLi Chien & Hanno Lustig, 2010. "The Market Price of Aggregate Risk and the Wealth Distribution," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1596-1650, April.
- Raymond Kan & Cesare Robotti, 2016. "The Exact Distribution of the Hansen–Jagannathan Bound," Management Science, INFORMS, vol. 62(7), pages 1915-1943, July.
- 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.
- 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.
- 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.
- David Backus & Mikhail Chernov & Ian Martin, 2009.
"Disasters implied by equity index options,"
NBER Working Papers
15240, National Bureau of Economic Research, Inc.
- David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters Implied by Equity Index Options," Working Papers 09-14, New York University, Leonard N. Stern School of Business, Department of Economics.
- Backus, David & Chernov, Mikhail & Martin, Ian, 2009. "Disasters implied by equity index options," CEPR Discussion Papers 7416, C.E.P.R. Discussion Papers.
- David Backus & Mikhail Chernov & Ian Martin, 2011. "Disasters Implied by Equity Index Options," Journal of Finance, American Finance Association, vol. 66(6), pages 1969-2012, December.
- Svensson, L.E.O., 1993.
"Term, Inflation and Foreign Exchange Risk Premia: A Unified Treatment,"
Papers
548, Stockholm - International Economic Studies.
- 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.
- 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.
- 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.
- S. Rao Aiyagari & Mark Gertler, 1998. ""Overreaction" of Asset Prices in General Equilibrium," NBER Working Papers 6747, National Bureau of Economic Research, Inc.
- S. Rao Aiyagari & Mark Gertler, 1999. ""Overreaction" of Asset Prices in General Equilibrium," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 2(1), pages 3-35, January.
- Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006.
"Risk, Uncertainty and Asset Prices,"
NBER Working Papers
12248, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2009. "Risk, uncertainty, and asset prices," Journal of Financial Economics, Elsevier, vol. 91(1), pages 59-82, January.
- Bekaert, Geert & Xing, Yuhang & Engstrom, Eric, 2006. "Risk, Uncertainty and Asset Prices," CEPR Discussion Papers 5947, C.E.P.R. Discussion Papers.
- Geert Bekaert & Eric Engstrom & Yuhang Xing, 2005. "Risk, uncertainty, and asset prices," Finance and Economics Discussion Series 2005-40, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- Lemmen, J.J.G. & Eijffinger, S.C.W., 1995. "Financial integration in Europe : Evidence from Euler equation tests," Other publications TiSEM edaab7e2-3771-4007-bbd2-9, Tilburg University, School of Economics and Management.
- Olkhov, Victor, 2021.
"Three Remarks On Asset Pricing,"
MPRA Paper
109238, University Library of Munich, Germany.
- Olkhov, Victor, 2021. "Three Remarks On Asset Pricing," MPRA Paper 107938, University Library of Munich, Germany.
- Victor Olkhov, 2021. "Three Remarks On Asset Pricing," Papers 2105.13903, arXiv.org, revised Jan 2024.
- Geert Bekaert & Eric Engstrom, 2009.
"Inflation and the Stock Market:Understanding the "Fed Model","
NBER Working Papers
15024, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Engstrom, Eric, 2010. "Inflation and the stock market: Understanding the "Fed Model"," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 278-294, April.
- Geert Bekaert & Eric Engstrom, 2009. "Inflation and the stock market: Understanding the “Fed Model”," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
- Charles M. Jones & Owen Lamont & Robin Lumsdaine, 1996.
"Macroeconomic News and Bond Market Volatility,"
Home Pages
_005, Princeton University, Department of Economics.
- 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.
- Charles M. Jones & Owen Lamont & Robin L. Lumsdaine, "undated". "Macroeconomic News and Bond Market Volatility," CRSP working papers 333, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Gabor Pinter, 2018.
"Macroeconomic Shocks and Risk Premia,"
Discussion Papers
1812, Centre for Macroeconomics (CFM).
- Pinter, Gabor, 2018. "Macroeconomic shocks and risk premia," LSE Research Online Documents on Economics 90370, London School of Economics and Political Science, LSE Library.
- 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.
- Lars Peter Hansen & John Heaton & Erzo G.J. Luttmer, 1993.
"Econometric Evaluation of Asset Pricing Models,"
NBER Technical Working Papers
0145, National Bureau of Economic Research, Inc.
- 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.
- Lars Hansen & Thomas Sargent & Thomas Tallarini, "undated".
"Robust Permanent Income and Pricing,"
GSIA Working Papers
1997-51, Carnegie Mellon University, Tepper School of Business.
- Lars Peter Hansen & Thomas J. Sargent & Thomas D. Tallarini, 1999. "Robust Permanent Income and Pricing," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 66(4), pages 873-907.
- Lars Peter Hansen & Thomas J. Sargent & Thomas D. Tallarini Jr., 1997. "Robust Permanent Income and Pricing," Levine's Working Paper Archive 596, David K. Levine.
- 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..
- Lawrence J. Christiano & Joshua M. Davis, 2006.
"Two Flaws In Business Cycle Accounting,"
NBER Working Papers
12647, National Bureau of Economic Research, Inc.
- Lawrence J. Christiano & Joshua M. Davis, 2006. "Two flaws in business cycle accounting," Working Paper Series WP-06-10, Federal Reserve Bank of Chicago.
- Rui Albuquerque & Martin S. Eichenbaum & Sergio Rebelo, 2012.
"Valuation Risk and Asset Pricing,"
NBER Working Papers
18617, National Bureau of Economic Research, Inc.
- Eichenbaum, Martin & Rebelo, Sérgio & Albuquerque, Rui, 2012. "Valuation Risk and Asset Pricing," CEPR Discussion Papers 9262, C.E.P.R. Discussion Papers.
- Rui Albuquerque & Martin Eichenbaum & Victor Xi Luo & Sergio Rebelo, 2016. "Valuation Risk and Asset Pricing," Journal of Finance, American Finance Association, vol. 71(6), pages 2861-2904, December.
- 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.
- Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 1997. "Habit persistence and asset returns in an exchange economy," Working Paper Series, Macroeconomic Issues WP-97-04, Federal Reserve Bank of Chicago.
- 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.
- 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.
- Dimitris Papanikolaou, 2008. "Investment-Specific Technological Change and Asset Prices," 2008 Meeting Papers 637, Society for Economic Dynamics.
- 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.
- Edward L. Glaeser, 1996. "Should Transfer Payments Be Indexed to Local Price Levels?," NBER Working Papers 5598, National Bureau of Economic Research, Inc.
- Lettau, M. & Uhlig, H.F.H.V.S., 1997.
"Preferences, Consumption Smoothing and Risk Premia,"
Other publications TiSEM
129a8e4c-f593-4f03-b35b-2, Tilburg University, School of Economics and Management.
- Lettau, Martin & Uhlig, Harald, 1997. "Preferences, Consumption Smoothing, and Risk Premia," CEPR Discussion Papers 1678, C.E.P.R. Discussion Papers.
- Lettau, M. & Uhlig, H.F.H.V.S., 1997. "Preferences, Consumption Smoothing and Risk Premia," Discussion Paper 1997-60, Tilburg University, Center for Economic Research.
- Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
- Canova, Fabio & Nicoló, Gianni De, 2000.
"Stock Returns, Term Structure, Inflation, And Real Activity: An International Perspective,"
Macroeconomic Dynamics, Cambridge University Press, vol. 4(3), pages 343-372, September.
- 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.
- Canova, Fabio & de Nicolò, Gianni, 1997. "Stock Returns, Term Structure, Inflation and Real Activity: An International Perspective," CEPR Discussion Papers 1614, C.E.P.R. Discussion Papers.
- 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.
- Wang, Qin & Ren, Yu & Zou, Yiheng, 2016. "Uninsured expense shocks and equity premia," Economic Modelling, Elsevier, vol. 58(C), pages 64-74.
- 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.
- Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
- Rui Albuquerque & Martin Eichenbaum & Dimitris Papanikolaou & Sergio Rebelo, 2015.
"Long-run Bulls and Bears,"
NBER Working Papers
20858, National Bureau of Economic Research, Inc.
- Albuquerque, Rui & Eichenbaum, Martin & Papanikolaou, Dimitris & Rebelo, Sergio, 2015. "Long-run bulls and bears," Journal of Monetary Economics, Elsevier, vol. 76(S), pages 21-36.
- Eichenbaum, Martin & Rebelo, Sérgio & Albuquerque, Rui & Papanikolaou, Dimitris, 2015. "Long-run bulls and bears," CEPR Discussion Papers 10351, C.E.P.R. Discussion Papers.
- Adem Atmaz & Suleyman Basak, 2022.
"Stock Market and No‐Dividend Stocks,"
Journal of Finance, American Finance Association, vol. 77(1), pages 545-599, February.
- Basak, Suleyman & Atmaz, Adem, 2021. "Stock Market and No-Dividend Stocks," CEPR Discussion Papers 16224, C.E.P.R. Discussion Papers.
- 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.
- Fernando Alvarez & Urban J. Jermann, 1999.
"Quantitative Asset Pricing Implications of Endogenous Solvency Constraints,"
NBER Working Papers
6953, National Bureau of Economic Research, Inc.
- Fernando Alvarez & Urban J. Jermann, "undated". "Quantitative Asset Pricing Implications of Endogenous Solvency Constraints," Rodney L. White Center for Financial Research Working Papers 10-99, Wharton School Rodney L. White Center for Financial Research.
- Alvarez, Fernando & Jermann, Urban J, 2001. "Quantitative Asset Pricing Implications of Endogenous Solvency Constraints," The Review of Financial Studies, Society for Financial Studies, vol. 14(4), pages 1117-1151.
- Fernando Alvarez & Urban J. Jermann, 1999. "Quantitative asset pricing implications of endogenous solvency constraints," Working Papers 99-5, Federal Reserve Bank of Philadelphia.
- George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, August.
- 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.
- Lawrence J. Christiano & Joshua M. Davis, 2006. "Two flaws in business cycle dating," Working Papers (Old Series) 0612, Federal Reserve Bank of Cleveland.
- 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.
- Jaccard, Ivan, 2012. "Asset pricing and housing supply in a production economy," Working Paper Series 1454, European Central Bank.
- 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.
- Elyès Jouini, 2003.
"Market imperfections , equilibrium and arbitrage,"
Post-Print
halshs-00167131, HAL.
- Elyès Jouini, 2003. "Market imperfections, equilibrium and arbitrage," Finance 0312005, University Library of Munich, Germany.
- Olkhov, Victor, 2019. "New Essentials of Economic Theory," MPRA Paper 95065, University Library of Munich, Germany.
- 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.
- Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1994.
"The implications of first-order risk aversion for asset market risk premiums,"
Working Paper Series, Macroeconomic Issues
94-22, Federal Reserve Bank of Chicago.
- 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.
- Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1994. "The Implications of First-Order Risk Aversion for Asset Market Risk Premiums," NBER Working Papers 4624, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997. "The implications of first-order risk aversion for asset market risk premiums," Journal of Monetary Economics, Elsevier, vol. 40(1), pages 3-39, September.
- Bekaert, G.R.J. & Hodrick, R. & Marshall, D., 1997. "The implications of first-order risk aversion for asset market risk premiums," Other publications TiSEM 85c0b822-2525-4400-90af-1, Tilburg University, School of Economics and Management.
- Boldrin, M. & Christiano, L.J. & Fischer, J.D.M., 1996.
"Asset Pricing Lessons for Modeling Business Cycles,"
Papers
268, Banca Italia - Servizio di Studi.
- 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.
- 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.
- Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 1995. "Asset pricing lessons for modeling business cycles," Working Papers 560, Federal Reserve Bank of Minneapolis.
- Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 1995. "Asset pricing lessons for modeling business cycles," Working Paper Series, Macroeconomic Issues 95-11, Federal Reserve Bank of Chicago.
- Boldrin, Michele & Christiano, Lawrence J. & Fisher, Jonas D. M., 1995. "Asset pricing lessons for modeling business cycles," UC3M Working papers. Economics 3915, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Hansen, Lars Peter, 2013.
"Uncertainty Outside and Inside Economic Models,"
Nobel Prize in Economics documents
2013-7, Nobel Prize Committee.
- Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," NBER Working Papers 20394, National Bureau of Economic Research, Inc.
- David K. Backus & Stanley E. Zin, 1994.
"Reverse Engineering the Yield Curve,"
NBER Working Papers
4676, National Bureau of Economic Research, Inc.
- David K. Backus & Stanley E. Zin, 1994. "Reverse Engineering the Yield Curve," Working Papers 94-09, New York University, Leonard N. Stern School of Business, Department of Economics.
- 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.
- John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
- Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2018.
"Valuation Risk Revalued,"
Working Papers
1808, Federal Reserve Bank of Dallas.
- Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2022. "Valuation risk revalued," Quantitative Economics, Econometric Society, vol. 13(2), pages 723-759, May.
- de Groot, Oliver & Richter, Alexander W. & Throckmorton, Nathaniel, 2020. "Valuation Risk Revalued," CEPR Discussion Papers 14588, C.E.P.R. Discussion Papers.
- Oliver de Groot & Alexander W. Richter & Nathanial A. Throckmorton, 2019. "Valuation Risk Revalued," Working Papers 201904, University of Liverpool, Department of Economics.
- Rajnish Mehra & Edward C. Prescott, 2003.
"The Equity Premium in Retrospect,"
NBER Working Papers
9525, National Bureau of Economic Research, Inc.
- Mehra, Rajnish & Prescott, Edward C., 2003. "The equity premium in retrospect," 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 14, pages 889-938, Elsevier.
- 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.
- 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.
- Marchese, Carla & Privileggi, Fabio, 1997. "Taxpayers' Attitudes toward Risk and Amnesty Participation: Economic Analysis and Evidence for the Italian Case," Public Finance = Finances publiques, , vol. 52(3-4), pages 394-410.
- 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.
- 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.
- Lawrence J. Christiano & Jonas D. M. Fisher, 1995. "Tobin's Q and asset returns: implications for business cycle analysis," Working Paper Series, Macroeconomic Issues 95-14, Federal Reserve Bank of Chicago.
- 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.
- Lawrence J. Christiano & Jonas Fisher, 1995. "Tobin's q and Asset Returns: Implications for Business Cycle Analysis," NBER Working Papers 5292, National Bureau of Economic Research, Inc.
- Robert R. Bliss & Nikolaos Panigirtzoglou, 2001. "Recovering risk aversion from options," Working Paper Series WP-01-15, Federal Reserve Bank of Chicago.
- 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.
- Hansen, Lars Peter & Jagannathan, Ravi, 1997. "Assessing Specification Errors in Stochastic Discount Factor Models," Journal of Finance, American Finance Association, vol. 52(2), pages 557-590, June.
- Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing specification errors in stochastic discount factor models," Staff Report 167, Federal Reserve Bank of Minneapolis.
- Efrem Castelnuovo & Salvatore Nisticò, 2010.
"Stock Market Conditions and Monetary Policy in a DSGE Model for the U.S,"
"Marco Fanno" Working Papers
0107, Dipartimento di Scienze Economiche "Marco Fanno".
- Efrem Castelnuovo & Salvatore Nisticò, 2010. "Stock market conditions and monetary policy in a DSGE model for the U.S," Post-Print hal-00732674, HAL.
- 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.
- Castelnuovo, Efrem & Nisticò, Salvatore, 2010. "Stock market conditions and monetary policy in a DSGE model for the U.S," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1700-1731, September.
- 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.
- Dirk Krueger & Hanno Lustig, 2006. "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?," NBER Working Papers 12634, National Bureau of Economic Research, Inc.
- Olkhov, Victor, 2019.
"New Essentials of Economic Theory I. Assumptions, Economic Space and Variables,"
MPRA Paper
94874, University Library of Munich, Germany.
- Olkhov, Victor, 2019. "New Essentials of Economic Theory I. Assumptions, Economic Space and Variables," MPRA Paper 93085, University Library of Munich, Germany.
- Steffen Brenner, 2015. "The Risk Preferences of U.S. Executives," Management Science, INFORMS, vol. 61(6), pages 1344-1361, June.
- 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.
- Felix Kubler & Paul S. Willen, 2006.
"Collateralized borrowing and life-cycle portfolio choice,"
Public Policy Discussion Paper
06-4, Federal Reserve Bank of Boston.
- Paul Willen & Felix Kubler, 2006. "Collateralized Borrowing And Life-Cycle Portfolio Choice," 2006 Meeting Papers 578, Society for Economic Dynamics.
- Paul Willen & Felix Kubler, 2006. "Collateralized Borrowing and Life-Cycle Portfolio Choice," NBER Working Papers 12309, National Bureau of Economic Research, Inc.
- 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.
- Olkhov, Victor, 2019. "New essentials of economic theory II. Economic transactions, expectations and asset pricing," MPRA Paper 93428, University Library of Munich, Germany.
- 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.
- Daniel Fehrle & Christopher Heiberger, 2020. "The return on everything and the business cycle in production economies," Working Papers 193, Bavarian Graduate Program in Economics (BGPE).
- 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.
- Rubio-RamÃrez, Juan Francisco & Fernández-Villaverde, Jesús, 2006. "Estimating Macroeconomic Models: A Likelihood Approach," CEPR Discussion Papers 5513, C.E.P.R. Discussion Papers.
- Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2006. "Estimating Macroeconomic Models: A Likelihood Approach," NBER Technical Working Papers 0321, National Bureau of Economic Research, Inc.
- Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez, 2006. "Estimating Macroeconomic Models: A Likelihood Approach," Levine's Bibliography 122247000000000849, UCLA Department of Economics.
- Georg Kaltenbrunner & Lars Lochstoer, 2007. "Long-Run Risk through Consumption Smoothing," 2007 Meeting Papers 25, Society for Economic Dynamics.
- 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.
- Shi, Zhan, 2019. "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, vol. 134(3), pages 617-646.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002.
"Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence,"
Journal of Political Economy, University of Chicago Press, vol. 110(4), pages 793-824, August.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, "undated". "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Rodney L. White Center for Financial Research Working Papers 23-99, Wharton School Rodney L. White Center for Financial Research.
- 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.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 8822, National Bureau of Economic Research, Inc.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 7406, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006.
"Stock and Bond Returns with Moody Investors,"
CEPR Discussion Papers
5951, C.E.P.R. Discussion Papers.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2004. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 4501, C.E.P.R. Discussion Papers.
- Geert Bekaert & Eric Engstrom & Steven R. Grenadier, 2006. "Stock and Bond Returns with Moody Investors," NBER Working Papers 12247, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010. "Stock and bond returns with Moody Investors," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 867-894, December.
- Marquering, Wessel & Verbeek, Marno, 1999.
"An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence,"
Journal of Empirical Finance, Elsevier, vol. 6(3), pages 243-265, September.
- 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.
- Viceira, Luis & Campbell, John, 2001.
"Who Should Buy Long-Term Bonds?,"
Scholarly Articles
3128709, Harvard University Department of Economics.
- John Y. CAMPBELL & Luis VICEIRA, 1998. "Who Should Buy Long-Term Bonds?," FAME Research Paper Series rp5, International Center for Financial Asset Management and Engineering.
- John Y. Campbell & Luis M. Viceira, 2000. "Who Should Buy Long-Term Bonds?," Harvard Institute of Economic Research Working Papers 1895, Harvard - Institute of Economic Research.
- LuisM. Viceira & John Y. Campbell, 2001. "Who Should Buy Long-Term Bonds?," American Economic Review, American Economic Association, vol. 91(1), pages 99-127, March.
- John Y. Campbell & Luis M. Viceira, 1998. "Who Should Buy Long-Term Bonds?," NBER Working Papers 6801, National Bureau of Economic Research, Inc.
- 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.
- Jacobs, Kris, 2000. "Estimating Nonseparable Preference Specifications for Asset Market Participants," Econometric Society World Congress 2000 Contributed Papers 1472, Econometric Society.
- Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Demand Disagreement," 2018 Meeting Papers 607, Society for Economic Dynamics.
- Jaccard, Ivan, 2018. "Stochastic discounting and the transmission of money supply shocks," Working Paper Series 2174, European Central Bank.
- Koijen, Ralph S.J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017.
"The cross-section and time series of stock and bond returns,"
Journal of Monetary Economics, Elsevier, vol. 88(C), pages 50-69.
- Koijen, Ralph S. J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017. "The Cross-Section and Time Series of Stock and Bond Returns," Research Papers 3518, Stanford University, Graduate School of Business.
- Van Nieuwerburgh, Stijn & Lustig, Hanno & Koijen, Ralph, 2012. "The Cross-Section and Time-Series of Stock and Bond Returns," CEPR Discussion Papers 9024, C.E.P.R. Discussion Papers.
- 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.
- Constantinides, George M. & Ghosh, Anisha, 2008.
"Asset pricing tests with long run risks in consumption growth,"
LSE Research Online Documents on Economics
24428, London School of Economics and Political Science, LSE Library.
- George M. Constantinides & Anisha Ghosh, 2011. "Asset Pricing Tests with Long-run Risks in Consumption Growth," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 1(1), pages 96-136.
- Anisha Ghosh & George Constantinides, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," FMG Discussion Papers dp609, Financial Markets Group.
- George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc.
- Fernando Alvarez & Urban J Jermann, 2010.
"Asset Pricing When Risk Sharing is Limited by Default,"
Levine's Working Paper Archive
1898, David K. Levine.
- Fernando Alvarez & Urban J. Jermann, 1998. "Asset Pricing when Risk Sharing is Limited by Default," NBER Working Papers 6476, National Bureau of Economic Research, Inc.
- Victor Olkhov, 2022.
"Market-Based Asset Price Probability,"
Papers
2205.07256, arXiv.org, revised Feb 2024.
- Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 115382, University Library of Munich, Germany, revised 16 Nov 2022.
- Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 113096, University Library of Munich, Germany.
- 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.
- Lettau, Martin, 1998. "Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?," CEPR Discussion Papers 1795, C.E.P.R. Discussion Papers.
- Taiji Harashima, 2005. "An Estimate of the Elasticity of Intertemporal Substitution in a Production Economy," Macroeconomics 0508030, University Library of Munich, Germany.
- Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
- Robert E. Lucas Jr., 2003. "Macroeconomic Priorities," American Economic Review, American Economic Association, vol. 93(1), pages 1-14, March.
- George M. Constantinides, 2006.
"Market Organization And The Prices Of Financial Assets,"
Manchester School, University of Manchester, vol. 74(s1), pages 1-23, September.
- 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.
- Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
- Berkowitz, Jeremy, 2001. "Generalized spectral estimation of the consumption-based asset pricing model," Journal of Econometrics, Elsevier, vol. 104(2), pages 269-288, September.
- Wayne E. Ferson & Andrew Siegel, 2002.
"Stochastic Discount Factor Bounds with Conditioning Information,"
NBER Working Papers
8789, National Bureau of Economic Research, Inc.
- Wayne E. Ferson & Andrew F. Siegel, 2003. "Stochastic Discount Factor Bounds with Conditioning Information," The Review of Financial Studies, Society for Financial Studies, vol. 16(2), pages 567-595.
- 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.
- 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.
- Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023.
"Pricing Currency Risks,"
Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
- Chernov, Mikhail & Dahlquist, Magnus & Lochstoer, Lars, 2020. "Pricing Currency Risks," CEPR Discussion Papers 15571, C.E.P.R. Discussion Papers.
- Mikhail Chernov & Magnus Dahlquist & Lars A. Lochstoer, 2020. "Pricing Currency Risks," NBER Working Papers 28260, National Bureau of Economic Research, Inc.
- Victor Olkhov, 2019. "Financial Variables, Market Transactions, and Expectations as Functions of Risk," IJFS, MDPI, vol. 7(4), pages 1-27, November.
- 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.
- Yulei Luo, 2006. "Rational Inattention, Portfolio Choice, and the Equity Premium," Computing in Economics and Finance 2006 56, Society for Computational Economics.
- 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.
- Olkhov, Victor, 2022. "Economic Policy - the Forth Dimension of the Economic Theory," MPRA Paper 112685, University Library of Munich, Germany.
- 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.
- Timothy Cogley, 1995. "Inflation uncertainty and excess returns on stocks and banks," Economic Review, Federal Reserve Bank of San Francisco, pages 21-29.
- 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.
- Emil Iantchev, 2012. "Code and data files for "Asset-Pricing Implications of Biologically Based Non-Expected Utility"," Computer Codes 11-255, Review of Economic Dynamics.
- 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.
- Christopher Otrok & B. Ravikumar & Charles H. Whiteman, 2000.
"Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation,"
Virginia Economics Online Papers
350, University of Virginia, Department of Economics.
- 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.
- Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 1998. "Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation," Working Papers 99-01, University of Iowa, Department of Economics, revised Jan 1999.
- 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.
- 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.
- Lettau, M. & Uhlig, H.F.H.V.S., 1995. "Can Habit Formation be Reconciled with Business Cycle Facts?," Discussion Paper 1995-54, Tilburg University, Center for Economic Research.
- Martin Lettau & Harald Uhlig, 2000. "Can Habit Formation be Reconciled with Business Cycle Facts?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(1), pages 79-99, January.
- George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
- Joshua V. Rosenberg & Robert F. Engle, 1997. "Option Hedging Using Empirical Pricing Kernels," NBER Working Papers 6222, National Bureau of Economic Research, Inc.
- 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.
- Lawrence J. Christiano & Michele Boldrin & Jonas D. M. Fisher, 2001. "Habit Persistence, Asset Returns, and the Business Cycle," American Economic Review, American Economic Association, vol. 91(1), pages 149-166, March.
- Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 2000. "Habit persistence, asset returns and the business cycle," Staff Report 280, Federal Reserve Bank of Minneapolis.
- Asada, Toichiro & Semmler, Willi, 1995. "Growth and finance: An intertemporal model," Journal of Macroeconomics, Elsevier, vol. 17(4), pages 623-649.
- Larry G. Epstein & Angelo Melino, 1995.
"A Revealed Preference Analysis of Asset Pricing Under Recursive Utility,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 62(4), pages 597-618.
- 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.
- 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.
- Minford, Patrick & Lungu, Laurian, 2005.
"Explaining The Equity Risk Premium,"
CEPR Discussion Papers
5017, C.E.P.R. Discussion Papers.
- Laurian Lungu & Patrick Minford, 2006. "Explaining The Equity Risk Premium," Manchester School, University of Manchester, vol. 74(6), pages 670-700, December.
- Juha Ilmari Seppala, 2000.
"Asset Prices and Business Cycles Under Limited Commitment,"
Econometric Society World Congress 2000 Contributed Papers
0244, Econometric Society.
- Juha Seppala, 2000. "Asset Prices And Business Cycles Under Limited Commitment," Computing in Economics and Finance 2000 319, Society for Computational Economics.
- 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.
- 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.
- Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
- 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.
- Yacine Ait-Sahalia & Andrew W. Lo, 2000. "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers 6130, National Bureau of Economic Research, Inc.
- Olkhov, Victor, 2023. "Economic Theory as Successive Approximations of Statistical Moments," MPRA Paper 118722, University Library of Munich, Germany.
- 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.
- Cogley, Timothy, 2002. "Idiosyncratic risk and the equity premium: evidence from the consumer expenditure survey," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 309-334, March.
- 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.
- 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.
- 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.
- 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.
- Enrique Sentana, 1993. "The econometrics of the stock market II: asset pricing," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 421-444, September.
- 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.
- Alvarez, Fernando & Jermann, Urban J., 2001. "The Size of the Permanent Component of Asset Pricing Kernels," Working Papers 01-4, University of Pennsylvania, Wharton School, Weiss Center.
- 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.
- Pakos, Michal, 2004. "Asset Pricing with Durable Goods and Nonhomothetic Preferences," MPRA Paper 26167, University Library of Munich, Germany.
- Olkhov, Victor, 2019. "Methods of Economic Theory: Variables, Transactions and Expectations as Functions of Risks," MPRA Paper 95628, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- Massimo Marinacci, 2015.
"Model Uncertainty,"
Working Papers
553, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Massimo Marinacci, 2015. "Model Uncertainty," Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1022-1100, December.
- Elie Appelbaum & Parantap Basu, 2010.
"A new methodology for studying the equity premium,"
Working Papers
2010_3, York University, Department of Economics.
- Elie Appelbaum & Parantap Basu, 2010. "A new methodology for studying the equity premium," Annals of Operations Research, Springer, vol. 176(1), pages 109-126, April.
- Parantap Basu & Elie Appelbaum, 2004. "A New Methodology For Studying The Equity Premium," Royal Economic Society Annual Conference 2004 72, Royal Economic Society.
- 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.
- 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.
- Michel Normandin, 2003. "Canadian and U.S. Financial Markets: Testing the International Integration Hypothesis Under Time-Varying Conditional Volatility," Cahiers de recherche 03-08, HEC Montréal, Institut d'économie appliquée.
- Juha Ilmari Seppala, 2000.
"The Term Structure of Real Interest Rates: Theory and Evidence from the U.K. Index-Linked Bonds,"
Econometric Society World Congress 2000 Contributed Papers
0245, Econometric Society.
- 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.
- 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).
- 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.
- 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.
- 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.
- Munir A. Jalil B. & Martha Misas A, 2006. "Evaluación de pronósticos del tipo de cambio utilizando redes neuronales y funciones de perdida asimétricas," Borradores de Economia 376, Banco de la Republica de Colombia.
- 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.
- 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.
- John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- Mauricio Larraín, 2007.
"Inflation Compensation and Inflation Expectations in Chile,"
Working Papers Central Bank of Chile
421, Central Bank of Chile.
- Mauricio Larraín, 2007. "Inflation compensation and inflation expectations in Chile," Monetaria, CEMLA, vol. 0(3), pages 305-329, julio-sep.
- 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.
- Andrew Atkeson & Christopher Phelan, 1994. "Reconsidering the Costs of Business Cycles with Incomplete Markets," NBER Working Papers 4719, National Bureau of Economic Research, Inc.
- Douch, Mohamed & Bouaddi, Mohammed, 2010. "EQUITY Premium Puzzle in a Data-Rich Environment," MPRA Paper 29440, University Library of Munich, Germany.
- Casey B. Mulligan, 2004. "Robust Aggregate Implications of Stochastic Discount Factor Volatility," NBER Working Papers 10210, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez, 2004. "Estimating nonlinear dynamic equilibrium economies: a likelihood approach," FRB Atlanta Working Paper 2004-1, Federal Reserve Bank of Atlanta.
- 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.
- Olkhov, Victor, 2022.
"Why Economic Theories and Policies Fail? Unnoticed Variables and Overlooked Economics,"
MPRA Paper
114187, University Library of Munich, Germany.
- Victor Olkhov, 2022. "Why Economic Theories and Policies Fail? Unnoticed Variables and Overlooked Economics," Papers 2208.07839, arXiv.org.
- 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.
- 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.
- 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.
- 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.
- Poletti Laurini, Márcio & Moura, Marcelo, 2010. "Constrained smoothing B-splines for the term structure of interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 339-350, April.
- 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.
- Xavier Gabaix & David Laibson, 2002. "The 6D Bias and the Equity-Premium Puzzle," NBER Chapters, in: NBER Macroeconomics Annual 2001, Volume 16, pages 257-330, National Bureau of Economic Research, Inc.
- 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-.
- 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.
- 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.
- 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.
- 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.
- 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-.
- 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.
- 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.
- Rodríguez López, Rosa, 1996. "Modelos intertemporales de valoración de activos: análisis empírico para el caso español," DEE - Documentos de Trabajo. EconomÃa de la Empresa. DB 6415, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- 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.
- 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:
- Ravi Jagannathan & Zhenyu Wang, 1996.
"The conditional CAPM and the cross-section of expected returns,"
Staff Report
208, Federal Reserve Bank of Minneapolis.
- Jagannathan, Ravi & Wang, Zhenyu, 1996. "The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
- Avanidhar Subrahmanyam & Sheridan Titman, 2013.
"Financial Market Shocks and the Macroeconomy,"
NBER Working Papers
19383, National Bureau of Economic Research, Inc.
- Avanidhar Subrahmanyam & Sheridan Titman, 2013. "Financial Market Shocks and the Macroeconomy," The Review of Financial Studies, Society for Financial Studies, vol. 26(11), pages 2687-2717.
- Campbell, John & Cochrane, John H., 1999.
"By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior,"
Scholarly Articles
3119444, Harvard University Department of Economics.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Hansen, Lars Peter & Jagannathan, Ravi, 1997. "Assessing Specification Errors in Stochastic Discount Factor Models," Journal of Finance, American Finance Association, vol. 52(2), pages 557-590, June.
- Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing specification errors in stochastic discount factor models," Staff Report 167, Federal Reserve Bank of Minneapolis.
- Wayne E. Ferson & Andrew F. Siegel, 2006. "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers 12098, National Bureau of Economic Research, Inc.
- 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.
- Couch, Robert & Wu, Wei, 2012. "Private investment and public equity returns," Journal of Economics and Business, Elsevier, vol. 64(2), pages 160-184.
- Wayne E. Ferson & Andrew Siegel, 2002.
"Stochastic Discount Factor Bounds with Conditioning Information,"
NBER Working Papers
8789, National Bureau of Economic Research, Inc.
- Wayne E. Ferson & Andrew F. Siegel, 2003. "Stochastic Discount Factor Bounds with Conditioning Information," The Review of Financial Studies, Society for Financial Studies, vol. 16(2), pages 567-595.
- 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.
- Christopherson, Jon A & Ferson, Wayne E & Glassman, Debra A, 1998. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," The Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 111-142.
- 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.
- 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).
- Asada, Toichiro & Semmler, Willi, 1995. "Growth and finance: An intertemporal model," Journal of Macroeconomics, Elsevier, vol. 17(4), pages 623-649.
- 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.
- 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.
- Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis.
- 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.
- 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.
- 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.
- Vidal-García, Javier, 2013. "The persistence of European mutual fund performance," Research in International Business and Finance, Elsevier, vol. 28(C), pages 45-67.
- 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.
- Ravi Jagannathan & Zhenyu Wang, 1996.
"The conditional CAPM and the cross-section of expected returns,"
Staff Report
208, Federal Reserve Bank of Minneapolis.
- 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.
- 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.
Cited by:
- Filippov, Mikhail G, 2002. "Russian Voting and the Initial Economic Shock of Hyperinflation," Public Choice, Springer, vol. 111(1-2), pages 73-104, March.
- 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.
- Diehl, Markus, 1993. "Stabilization without crisis: The case of Vietnam," Kiel Working Papers 578, Kiel Institute for the World Economy (IfW Kiel).
- John H. Cochrane, 1991.
"Volatility Tests and Efficient Markets: A Review Essay,"
NBER Working Papers
3591, National Bureau of Economic Research, Inc.
- Cochrane, John H., 1991. "Volatility tests and efficient markets : A review essay," Journal of Monetary Economics, Elsevier, vol. 27(3), pages 463-485, June.
Cited by:
- John H Cochrane, 2003.
"Where is the Market Going: Uncertain Facts and Novel Theories,"
Levine's Working Paper Archive
618897000000000762, David K. Levine.
- 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.
- John H. Cochrane, 1998. "Where is the Market Going? Uncertain Facts and Novel Theories," NBER Working Papers 6207, National Bureau of Economic Research, Inc.
- Gabriele Fiorentini & Enrique Sentana, 2009.
"Dynamic Specification Tests for Static Factor Models,"
Working Papers
wp2009_0912, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2010. "Dynamic Specification Tests for Static Factor Models," Working Paper series 04_10, Rimini Centre for Economic Analysis.
- Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2009.
"The Price Is (Almost) Right,"
Journal of Finance, American Finance Association, vol. 64(6), pages 2739-2782, December.
- Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2003. "The Price is (Almost) Right," NBER Working Papers 10131, National Bureau of Economic Research, Inc.
- Campbell, John Y., 2001.
"Why long horizons? A study of power against persistent alternatives,"
Journal of Empirical Finance, Elsevier, vol. 8(5), pages 459-491, December.
- 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.
- Campbell, John, 2001. "Why Long Horizons? A Study of Power Against Persistent Alternatives," Scholarly Articles 3196341, Harvard University Department of Economics.
- Weinbaum, David, 2010. "Preference heterogeneity and asset prices: An exact solution," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2238-2246, September.
- 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..
- H. Henry Cao & Richard K. Lyons & Martin D.D. Evans, 2003. "Inventory Information," NBER Working Papers 9893, National Bureau of Economic Research, Inc.
- Martin D.D. Evans, H. Henry Cao, Richard K. Lyons, 2003. "Inventory Information," Working Papers gueconwpa~03-03-33, Georgetown University, Department of Economics.
- H. Henry Cao & Martin D. Evans & Richard K. Lyons, 2006. "Inventory Information," The Journal of Business, University of Chicago Press, vol. 79(1), pages 325-364, January.
- 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.
- Ariane Szafarz, 2015. "Market Efficiency and Crises: Don’t Throw the Baby out with the Bathwater," Working Papers CEB 15-036, ULB -- Universite Libre de Bruxelles.
- Ariane Szafarz, 2015. "Market Efficiency and Crises:Don’t Throw the Baby out with the Bathwater," Bankers, Markets & Investors, ESKA Publishing, issue 139, pages 20-26, November-.
- 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.
- Martin Lettau & Sydney C. Ludvigson, 1999.
"Consumption, aggregate wealth and expected stock returns,"
Staff Reports
77, Federal Reserve Bank of New York.
- Lettau, Martin & Ludvigson, Sydney, 1999. "Consumption, Aggregate Wealth and Expected Stock Returns," CEPR Discussion Papers 2223, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney Ludvigson, 2001. "Consumption, Aggregate Wealth, and Expected Stock Returns," Journal of Finance, American Finance Association, vol. 56(3), pages 815-849, June.
- 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.
- Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2010. "Dividend predictability around the world," CREATES Research Papers 2010-03, Department of Economics and Business Economics, Aarhus University.
- Yashiv, E., 1999.
"Hiring as Investment Behavior,"
Papers
35-99, Tel Aviv.
- Eran Yashiv, 2000. "Hiring as Investment Behavior," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(3), pages 486-522, July.
- Campbell, John & Cochrane, John H., 1999.
"By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior,"
Scholarly Articles
3119444, Harvard University Department of Economics.
- 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.
- 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.
- 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.
- 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.
- Hirshleifer, David, 2001.
"Investor Psychology and Asset Pricing,"
MPRA Paper
5300, University Library of Munich, Germany.
- David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
- 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.
- 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.
- Eugene F. Fama & Kenneth R. French, 2002. "The Equity Premium," Journal of Finance, American Finance Association, vol. 57(2), pages 637-659, April.
- 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.
- 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.
- John H. Cochrane, 1999.
"New Facts in Finance,"
NBER Working Papers
7169, National Bureau of Economic Research, Inc.
- John H. Cochrane, 1999. "New Facts in Finance," CRSP working papers 490, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
- Elyès Jouini & Clotilde Napp, 2010.
"Unbiased Disagreement in financial markets, waves of pessimism and the risk return tradeoff,"
Post-Print
halshs-00488481, HAL.
- 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.
- Groen, Jan J.J. & Balakrishnan, Ravi, 2006.
"Asset price based estimates of sterling exchange rate risk premia,"
Journal of International Money and Finance, Elsevier, vol. 25(1), pages 71-92, February.
- 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.
- 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.
- Ariane Szafarz, 2009. "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?," Working Papers CEB 09-048.RS, ULB -- Universite Libre de Bruxelles.
- 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.
- 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.
- 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.
- Hwang, Min & Quigley, John M., 2006.
"Economic Fundamentals in Local Housing Markets: Evidence from U.S. Metropolitan Regions,"
Berkeley Program on Housing and Urban Policy, Working Paper Series
qt79d325cm, Berkeley Program on Housing and Urban Policy.
- 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.
- 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.
- Lucy Ackert & William Hunter, 2001. "An Empirical Examination of the Price-Dividend Relation with Dividend Management," Journal of Financial Services Research, Springer;Western Finance Association, vol. 19(2), pages 115-129, April.
- 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.).
- 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.
- Adam Goliński & João Madeira & Dooruj Rambaccussing, 2015.
"Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices,"
Dundee Discussion Papers in Economics
284, Economic Studies, University of Dundee.
- 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).
- 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.
- 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.
- Leonardo Becchetti & Roberto Rocci & Giovanni Trovato, 2007. "Industry and time specific deviations from fundamental values in a random coefficient model," Annals of Finance, Springer, vol. 3(2), pages 257-276, March.
- Bruce N. Lehmann, 1991. "Asset Pricing and Intrinsic Values: A Review Essay," NBER Working Papers 3873, National Bureau of Economic Research, Inc.
- Fiorentini, Gabriele & Sentana, Enrique, 2021.
"New testing approaches for mean–variance predictability,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
- Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
- 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.
- Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers 98s-20, CIRANO.
- 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.
- Ait-Sahalia, Yacine, 1998. "Dynamic equilibrium and volatility in financial asset markets," Journal of Econometrics, Elsevier, vol. 84(1), pages 93-127, May.
- Yacine Ait-Sahalia, 1996. "Dynamic Equilibrium and Volatility in Financial Asset Markets," NBER Working Papers 5479, National Bureau of Economic Research, Inc.
- William Butos & Roger Koppl, 1993. "Hayekian expectations: Theory and empirical applications," Constitutional Political Economy, Springer, vol. 4(3), pages 303-329, September.
- 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).
- David Gruen, 1995. "Financial Market Volatility and the World-wide Fall in Inflation," RBA Research Discussion Papers rdp9513, Reserve Bank of Australia.
- 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.
- 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.
- 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.
- Caporale, Guglielmo Maria & Gil-Alaña, Luis A., 2000. "Fractional cointegration and tests of present value models," SFB 373 Discussion Papers 2000,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004. "Fractional cointegration and tests of present value models," Review of Financial Economics, John Wiley & Sons, vol. 13(3), pages 245-258.
- Tro Kortian, 1995. "Modern Approaches to Asset Price Formation: A Survey of Recent Theoretical Literature," RBA Research Discussion Papers rdp9501, Reserve Bank of Australia.
- Tuomo Vuolteenaho, 2001. "What Drives Firm-Level Stock Returns?," NBER Working Papers 8240, National Bureau of Economic Research, Inc.
- Bernard Dumas & Alexander Kurshev & Raman Uppal, 2006.
"What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?,"
Swiss Finance Institute Research Paper Series
06-19, Swiss Finance Institute.
- 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.
- Uppal, Raman & Dumas, Bernard & Kurshev, Alexander, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," CEPR Discussion Papers 5367, C.E.P.R. Discussion Papers.
- 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.
- 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.
- 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.
- 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.
- 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.
- Giovanni Ferri & Doris Neuberger, 2014. "The Banking Regulatory Bubble and How to Get out of It," CERBE Working Papers wpC01, CERBE Center for Relationship Banking and Economics.
- 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.
- Nathan S. Balke & Mark E. Wohar, 2002. "Low-Frequency Movements in Stock Prices: A State-Space Decomposition," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 649-667, November.
- 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.
- 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.
- Tuomo Vuolteenaho, 2002. "What Drives Firm‐Level Stock Returns?," Journal of Finance, American Finance Association, vol. 57(1), pages 233-264, February.
- 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.
- 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.
- 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.
- Brennan, Michael J. & Xia, Yihong, 2005. "tay's as good as cay," Finance Research Letters, Elsevier, vol. 2(1), pages 1-14, March.
- 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.
- 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.
- 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.
- 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.
- Taipalus, Katja, 2006. "Bubbles in the Finnish and US equities markets," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2006_035.
- Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2012_047.
- 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.
- 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.
- Berardi, Michele, 2021. "Uncertainty, sentiments and time-varying risk premia," MPRA Paper 106922, University Library of Munich, Germany.
- Eugene N. White, 2006.
"Bubbles and Busts: The 1990s in the Mirror of the 1920s,"
NBER Working Papers
12138, National Bureau of Economic Research, Inc.
- 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.
- Simon H. Kwan, 2013. "The price of stock and bond risk in recoveries," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue aug19.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
- John H. Cochrane, 1994.
"Shocks,"
NBER Working Papers
4698, National Bureau of Economic Research, Inc.
- Cochrane, John H., 1994. "Shocks," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 41(1), pages 295-364, December.
- 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.
- 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.
- Wayne E. Ferson & Andrea Heuson & Tie Su, 2004.
"Weak and Semi-Strong Form Stock Return Predictability, Revisited,"
NBER Working Papers
10689, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
- 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.
- 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).
- John H. Cochrane, 2017.
"Macro-Finance,"
Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
- John H. Cochrane, 2016. "Macro-Finance," NBER Working Papers 22485, National Bureau of Economic Research, Inc.
- 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.
- 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:
- 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.
- 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:
- 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.
- 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.
- Engle, R. F. & Issler, João Victor, 1994. "Estimating sectoral cycles using cointegration and common features," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 232, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- 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.
- Mr. Jinzhu Chen & Mr. Bharat Trehan & Mr. Prakash Kannan & Mr. Prakash Loungani, 2011. "New Evidenceon Cyclical and Structural Sources of Unemployment," IMF Working Papers 2011/106, International Monetary Fund.
- Zinzhu Chen & Prakash Kannan & Prakash Loungani & Bharat Trehan, 2011. "New evidence on cyclical and structural sources of unemployment," Working Paper Series 2011-17, Federal Reserve Bank of San Francisco.
- Bharat Trehan, 1991. "Using consumption to forecast income," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jun7.
- Jordi Galí & Richard Clarida, 1993.
"Sources of real exchage rate fluctuations: How important are nominal shocks?,"
Economics Working Papers
66, Department of Economics and Business, Universitat Pompeu Fabra, revised Jan 1994.
- Richard H. Clarida & Jordi Gali, 1994. "Sources of real exchange rate fluctuations: how important are nominal shocks?," Proceedings, Federal Reserve Bank of Dallas, issue Apr.
- 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.
- Clarida, Richard & Gali, Jordi, 1994. "Sources of real exchange-rate fluctuations: How important are nominal shocks?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 41(1), pages 1-56, December.
- Clarida, Richard & Galí, Jordi, 1994. "Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks?," CEPR Discussion Papers 951, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Corbae, Dean & Ouliaris, Sam & Phillips, Peter C B, 1994. "A Reexamination of the Consumption Function Using Frequency Domain Regressions," Empirical Economics, Springer, vol. 19(4), pages 595-609.
- 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.
- Valerie A. Ramey, 1991. "The Source of Fluctuations in Money: Evidence From Trade Credit," NBER Working Papers 3756, National Bureau of Economic Research, Inc.
- Henin Pierre-yves & Jobert Thomas, 1991. "An okun's law approach to unemployment persistence," CEPREMAP Working Papers (Couverture Orange) 9108, CEPREMAP.
- Nir Jaimovich, 2004.
"Firm Dynamics, Markup Variations, and the Business Cycle,"
Discussion Papers
07-013, Stanford Institute for Economic Policy Research, revised Mar 2007.
- Jaimovich, Nir & Floetotto, Max, 2008. "Firm dynamics, markup variations, and the business cycle," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1238-1252, October.
- 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.).
- John H. Cochrane, 1989.
"Explaining the Variance of Price Dividend Ratios,"
NBER Working Papers
3157, National Bureau of Economic Research, Inc.
- 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.
Cited by:
- 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).
- Fatih Guvenen, 2005. "A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation of Cross-sectional Heterogeneity?," Finance 0507009, University Library of Munich, Germany.
- 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.
- Chunsheng Zhou, 1996. "Forecasting long- and short-horizon stock returns in a unified framework," Finance and Economics Discussion Series 96-4, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- James Peck & Matthew O. Jackson, 1999. "Asymmetric information in a competitive market game: Reexamining the implications of rational expectations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 13(3), pages 603-628.
- Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2009.
"The Price Is (Almost) Right,"
Journal of Finance, American Finance Association, vol. 64(6), pages 2739-2782, December.
- Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2003. "The Price is (Almost) Right," NBER Working Papers 10131, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Owen Lamont, "undated".
"Earnings and Expected Returns,"
CRSP working papers
345, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Owen Lamont, 1996. "Earnings and Expected Returns," NBER Working Papers 5671, National Bureau of Economic Research, Inc.
- Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016. "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 31-38.
- 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.
- Eran Yashiv, 2016.
"Aggregate Hiring and the Value of Jobs Along the Business Cycle,"
Discussion Papers
1637, Centre for Macroeconomics (CFM).
- Yashiv, Eran, 2016. "Aggregate Hiring and the Value of Jobs Along the Business Cycle," CEPR Discussion Papers 11076, C.E.P.R. Discussion Papers.
- Refet Gurkaynak, 2005.
"Econometric Tests of Asset Price Bubbles: Taking Stock,"
Finance
0504008, University Library of Munich, Germany.
- Refet S. Gürkaynak, 2008. "Econometric Tests Of Asset Price Bubbles: Taking Stock," Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 166-186, February.
- Refet S. Gürkaynak, 2005. "Econometric tests of asset price bubbles: taking stock," Finance and Economics Discussion Series 2005-04, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2012. "A Theory of Asset Prices Based on Heterogeneous Information," Levine's Working Paper Archive 786969000000000347, David K. Levine.
- Hellwig, Christian & Tsyvinski, Aleh & Albagli, Elias, 2013. "A Theory of Asset Prices based on Heterogeneous Information," CEPR Discussion Papers 9291, C.E.P.R. Discussion Papers.
- Christian Hellwig & Aleh Tsyvinski & Elias Albagli, 2012. "A theory of asset prices based on heterogeneous information," 2012 Meeting Papers 394, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- Martin Lettau & Sydney C. Ludvigson, 1999.
"Consumption, aggregate wealth and expected stock returns,"
Staff Reports
77, Federal Reserve Bank of New York.
- Lettau, Martin & Ludvigson, Sydney, 1999. "Consumption, Aggregate Wealth and Expected Stock Returns," CEPR Discussion Papers 2223, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney Ludvigson, 2001. "Consumption, Aggregate Wealth, and Expected Stock Returns," Journal of Finance, American Finance Association, vol. 56(3), pages 815-849, June.
- Geert Bekaert & Eric Engstrom, 2009.
"Inflation and the Stock Market:Understanding the "Fed Model","
NBER Working Papers
15024, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Engstrom, Eric, 2010. "Inflation and the stock market: Understanding the "Fed Model"," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 278-294, April.
- Geert Bekaert & Eric Engstrom, 2009. "Inflation and the stock market: Understanding the “Fed Model”," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
- Jessica Wachter, 2010.
"Asset Allocation,"
NBER Working Papers
16255, National Bureau of Economic Research, Inc.
- Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December.
- 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.
- Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2010. "Dividend predictability around the world," CREATES Research Papers 2010-03, Department of Economics and Business Economics, Aarhus University.
- Sanchirico, James & Newell, Richard & Papps, Kerry, 2005.
"Asset Pricing in Created Markets for Fishing Quotas,"
RFF Working Paper Series
dp-05-46, Resources for the Future.
- 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.
- Yashiv, E., 1999.
"Hiring as Investment Behavior,"
Papers
35-99, Tel Aviv.
- Eran Yashiv, 2000. "Hiring as Investment Behavior," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(3), pages 486-522, July.
- 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 EconomÃa de la Empresa.
- 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 República, vol. 26(56), pages 114-148, June.
- 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.
- 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.
- Esteban Gómez & sandra Rozo, 2007. "Beyond Bubbles:The role of asset prices in early-warning indicators," Borradores de Economia 4050, Banco de la Republica.
- Esteban Gómez & Sandra Rozo, 2007. "Beyond Bubbles: The role of asset prices in early-warning indicators," Borradores de Economia 4245, Banco de la Republica.
- Engsted, Tom, 2006. "Explosive bubbles in the cointegrated VAR model," Finance Research Letters, Elsevier, vol. 3(2), pages 154-162, June.
- 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.
- 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.
- 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.
- Kai Li & Chenjie Xu, 2023. "Asset pricing with a financial sector," Financial Management, Financial Management Association International, vol. 52(1), pages 67-95, March.
- John Krainer & Chishen Wei, 2004. "House prices and fundamental value," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct1.
- 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.
- Botshekan, Mahmoud & Kräussl, Roman & Lucas, André, 2010. "Cash flow and discount rate risk in up and down markets: What is actually priced?," CFS Working Paper Series 2010/20, Center for Financial Studies (CFS).
- Mahmoud Botshekan & Roman Kraeussl & Andre Lucas, 2010. "Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?," Tinbergen Institute Discussion Papers 10-116/2/DSF 3, Tinbergen Institute.
- Larrain, Borja & Yogo, Motohiro, 2008.
"Does firm value move too much to be justified by subsequent changes in cash flow,"
Journal of Financial Economics, Elsevier, vol. 87(1), pages 200-226, January.
- 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.
- Borja Larrain & Motohiro Yogo, 2007. "Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?," NBER Working Papers 12847, National Bureau of Economic Research, Inc.
- Rey, Hélène & Gourinchas, Pierre-Olivier & Sauzet, Maxime, 2019.
"The International Monetary and Financial System,"
CEPR Discussion Papers
13714, C.E.P.R. Discussion Papers.
- Pierre-Olivier Gourinchas & Hélène Rey & Maxime Sauzet, 2019. "The International Monetary and Financial System," Annual Review of Economics, Annual Reviews, vol. 11(1), pages 859-893, August.
- Gourinchas, Pierre-Olivier & Rey, Hélène & Sauzet, Maxime, 2019. "The International Monetary and Financial System," Department of Economics, Working Paper Series qt19n967tz, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Pierre-Olivier Gourinchas & Hélène Rey & Maxime Sauzet, 2019. "The International Monetary and Financial System," NBER Working Papers 25782, National Bureau of Economic Research, Inc.
- 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).
- 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.
- Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
- Timmermann, Allan & Pettenuzzo, Davide & Sabbatucci, Riccardo, 2019.
"Cash Flow News and Stock Price Dynamics,"
CEPR Discussion Papers
14117, C.E.P.R. Discussion Papers.
- Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2020. "Cash Flow News and Stock Price Dynamics," Journal of Finance, American Finance Association, vol. 75(4), pages 2221-2270, August.
- 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.
- Martin Lettau & Jessica A. Wachter, 2007. "Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium," Journal of Finance, American Finance Association, vol. 62(1), pages 55-92, February.
- Martin Lettau & Jessica Wachter, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," NBER Working Papers 11144, National Bureau of Economic Research, Inc.
- Jessica Wachter & Martin Lettau, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers 302, Society for Economic Dynamics.
- Shiller, Robert J., 2013.
"Speculative Asset Prices,"
Nobel Prize in Economics documents
2013-6, Nobel Prize Committee.
- Robert J. Shiller, 2014. "Speculative Asset Prices," American Economic Review, American Economic Association, vol. 104(6), pages 1486-1517, June.
- 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.
- Hui Guo, 2003. "Limited stock market participation and asset prices in a dynamic economy," Working Papers 2000-031, Federal Reserve Bank of St. Louis.
- Deev, Oleg & Kajurova, Veronika & Stavarek, Daniel, 2013. "Testing rational speculative bubbles in Central European stock markets," MPRA Paper 46582, University Library of Munich, Germany.
- Yan Li & Liyan Yang, 2013. "Asset-Pricing Implications of Dividend Volatility," Management Science, INFORMS, vol. 59(9), pages 2036-2055, September.
- 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.
- Jessica A. Wachter & Missaka Warusawitharana, 2007.
"Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?,"
NBER Working Papers
13165, National Bureau of Economic Research, Inc.
- Wachter, Jessica A. & Warusawitharana, Missaka, 2009. "Predictable returns and asset allocation: Should a skeptical investor time the market?," Journal of Econometrics, Elsevier, vol. 148(2), pages 162-178, February.
- 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.
- 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.
- Gourieroux, C. & Jasiak, J. & Monfort, A., 2020.
"Stationary bubble equilibria in rational expectation models,"
Journal of Econometrics, Elsevier, vol. 218(2), pages 714-735.
- Christian Gouriéroux & Joann Jasiak & Alain Monfort, 2016. "Stationary Bubble Equilibria in Rational Expectation Models," Working Papers 2016-31, Center for Research in Economics and Statistics.
- Christian Gouriéroux & Joann Jasiak & Alain Monfort, 2020. "Stationary Bubble Equilibria in Rational Expectation Models," Post-Print hal-03330912, HAL.
- Safdar, Irfan, 2018. "The information content of aggregate profitability," The British Accounting Review, Elsevier, vol. 50(5), pages 497-515.
- Bansal, Ravi & Khatchatrian, Varoujan & Yaron, Amir, 2005.
"Interpretable asset markets?,"
European Economic Review, Elsevier, vol. 49(3), pages 531-560, April.
- Ravi Bansal & Varoujan Khatachtrian & Amir Yaron, 2002. "Interpretable Asset Markets?," NBER Working Papers 9383, National Bureau of Economic Research, Inc.
- Ravi Bansal & Varoujan Khatchatrian & Amir Yaron, 2004. "Interpretable Asset Markets?," 2004 Meeting Papers 136b, Society for Economic Dynamics.
- 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.).
- Chunsheng Zhou, "undated". "Stock Market Fluctuations and the Term Structure," Finance and Economics Discussion Series 1996-03, Board of Governors of the Federal Reserve System (U.S.), revised 04 Dec 2019.
- 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.
- Berneburg, Marian, 2006. "Excess Volatility in European Equity Style Indices - New Evidence," IWH Discussion Papers 16/2006, Halle Institute for Economic Research (IWH).
- Berneburg, Marian, 2007. "Systematic Mispricing in European Equity Prices?," IWH Discussion Papers 6/2007, Halle Institute for Economic Research (IWH).
- 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.
- 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.
- Rambaccussing, Dooruj, 2010. "A real-time trading rule," MPRA Paper 27148, University Library of Munich, Germany.
- Benjamin Beckers, 2015.
"The Real-Time Predictive Content of Asset Price Bubbles for Macro Forecasts,"
Discussion Papers of DIW Berlin
1496, DIW Berlin, German Institute for Economic Research.
- 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.
- Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
- 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.
- Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
- 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.
- Krivenko, Pavel, 2023. "Asset prices in a labor search model with confidence shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
- 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.
- 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.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006.
"Stock and Bond Returns with Moody Investors,"
CEPR Discussion Papers
5951, C.E.P.R. Discussion Papers.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2004. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 4501, C.E.P.R. Discussion Papers.
- Geert Bekaert & Eric Engstrom & Steven R. Grenadier, 2006. "Stock and Bond Returns with Moody Investors," NBER Working Papers 12247, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010. "Stock and bond returns with Moody Investors," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 867-894, December.
- 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.
- Martin Lettau & Jessica A. Wachter, 2009.
"The Term Structures of Equity and Interest Rates,"
NBER Working Papers
14698, National Bureau of Economic Research, Inc.
- Lettau, Martin & Wachter, Jessica A., 2011. "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, vol. 101(1), pages 90-113, July.
- 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.
- Chernov, Mikhail & Backus, David & Boyarchenko, Nina, 2016. "Term structures of asset prices and returns," CEPR Discussion Papers 11227, C.E.P.R. Discussion Papers.
- David K. Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Staff Reports 774, Federal Reserve Bank of New York.
- David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term Structures of Asset Prices and Returns," NBER Working Papers 22162, National Bureau of Economic Research, Inc.
- Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018. "Term structures of asset prices and returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 1-23.
- 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.
- 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.
- Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
- Lansing, Kevin J., 2016. "On variance bounds for asset price changes," Journal of Financial Markets, Elsevier, vol. 28(C), pages 132-148.
- Lin, Hai & Wang, Junbo & Wu, Chunchi, 2014. "Predictions of corporate bond excess returns," Journal of Financial Markets, Elsevier, vol. 21(C), pages 123-152.
- 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.
- 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.
- Vassilis Polimenis & Ioannis Neokosmidis, 2019.
"Non-stationary dividend-price ratios,"
Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 552-567, December.
- Vassilis Polimenis & Ioannis Neokosmidis, 2019. "Non-Stationary Dividend-Price Ratios," Papers 1902.06053, arXiv.org.
- John H. Cochrane, 2010.
"Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic,"
NBER Working Papers
16087, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Yashiv, Eran, 2015. "Countercyclical Recruiting Rates and the Value of Jobs," IZA Discussion Papers 9364, Institute of Labor Economics (IZA).
- 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.
- Chryssi Giannitsarou & Andrew Scott, 2006. "Inflation Implications of Rising Government Debt," NBER Working Papers 12654, National Bureau of Economic Research, Inc.
- Scott, Andrew & Giannitsarou, Chryssi, 2006. "Inflation Implications of Rising Government Debt," CEPR Discussion Papers 5961, C.E.P.R. Discussion Papers.
- Tuomo Vuolteenaho, 2001. "What Drives Firm-Level Stock Returns?," NBER Working Papers 8240, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500," Cowles Foundation Discussion Papers 1914, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500," Working Papers 04-2013, Singapore Management University, School of Economics.
- Miguel Angel Iraola & Manuel S. Santos, 2009.
"Long-Term Asset Price Volatility and Macroeconomics Fluctations,"
Working Papers
0909, Centro de Investigacion Economica, ITAM.
- 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.
- Manuel S. Santos & Miguel A. Iraola, 2010. "Long-Term Asset Price Volatility and Macroeconomic Fluctuations," 2010 Meeting Papers 374, Society for Economic Dynamics.
- Manuel Santos & Miguel Iraola, 2014. "Long-Term Asset Price Volatility and Macroeconomic Fluctuations," 2014 Meeting Papers 559, Society for Economic Dynamics.
- 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.
- Jessica A. Wachter, 2013. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," Journal of Finance, American Finance Association, vol. 68(3), pages 987-1035, June.
- Jessica Wachter, 2008. "Can time-varying risk of rare disasters explain aggregate stock market volatility?," 2008 Meeting Papers 944, Society for Economic Dynamics.
- Benjamin Golez & Peter Koudijs, 2014. "Four Centuries of Return Predictability," NBER Working Papers 20814, National Bureau of Economic Research, Inc.
- Matthew O. Jackson & James Peck, 1993. "Costly Information Acquisition," Discussion Papers 1087, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2018. "High-frequency Cash Flow Dynamics," Working Papers 120, Brandeis University, Department of Economics and International Business School.
- Watson, Mark W, 1993.
"Measures of Fit for Calibrated Models,"
Journal of Political Economy, University of Chicago Press, vol. 101(6), pages 1011-1041, December.
- Mark W. Watson, 1991. "Measures of Fit for Calibrated Models," NBER Technical Working Papers 0102, National Bureau of Economic Research, Inc.
- Mark W. Watson, 1991. "Measures of fit for calibrated models," Working Paper Series, Macroeconomic Issues 91-9, Federal Reserve Bank of Chicago.
- 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.
- 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.).
- 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.
- 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.
- Nathan S. Balke & Mark E. Wohar, 2002. "Low-Frequency Movements in Stock Prices: A State-Space Decomposition," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 649-667, November.
- 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.
- 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.
- Andreas Neuhierl & Michael Weber, 2016.
"Monetary Policy and the Stock Market: Time-Series Evidence,"
NBER Working Papers
22831, National Bureau of Economic Research, Inc.
- Andreas Neuhierl & Michael Weber & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," CESifo Working Paper Series 6199, CESifo.
- Michael Weber & Andreas Neuhierl, 2017. "Monetary Policy and the Stock Market: Time Series Evidence," 2017 Meeting Papers 304, Society for Economic Dynamics.
- 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.
- 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.
- John H. Cochrane, 1998. "A Frictionless View of U.S. Inflation," NBER Working Papers 6646, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- Alvarez, Fernando & Jermann, Urban J., 2001. "The Size of the Permanent Component of Asset Pricing Kernels," Working Papers 01-4, University of Pennsylvania, Wharton School, Weiss Center.
- Thomadakis, Apostolos, 2016. "Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence," MPRA Paper 71589, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
- Berg, Tobias, 2010. "The term structure of risk premia: new evidence from the financial crisis," Working Paper Series 1165, European Central Bank.
- 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.
- 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.
- 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.
- 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.
- 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.
- Robin Greenwood & Andrei Shleifer, "undated". "Expectations of Returns and Expected Returns," Working Paper 102501, Harvard University OpenScholar.
- Greenwood, Robin Marc & Shleifer, Andrei, 2014. "Expectations of Returns and Expected Returns," Scholarly Articles 11880390, Harvard University Department of Economics.
- Robin Greenwood & Andrei Shleifer, 2013. "Expectations of Returns and Expected Returns," NBER Working Papers 18686, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Ilaria Piatti & Fabio Trojani, 2020.
"Dividend Growth Predictability and the Price–Dividend Ratio,"
Management Science, INFORMS, vol. 66(1), pages 130-158, January.
- Ilaria Piatti & Fabio Trojani, 2012. "Dividend Growth Predictability and the Price-Dividend Ratio," Swiss Finance Institute Research Paper Series 12-42, Swiss Finance Institute.
- Simon H. Kwan, 2013. "The price of stock and bond risk in recoveries," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue aug19.
- 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.
- Juho Kanniainen & Robert Pich'e, 2012. "Stock Price Dynamics and Option Valuations under Volatility Feedback Effect," Papers 1209.4718, arXiv.org.
- Ko, Jun-Hyung, 2011. "Productivity shocks and housing market inflations in new Keynesian models," MPRA Paper 33848, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Cochrane, John H., 1991.
"Volatility tests and efficient markets : A review essay,"
Journal of Monetary Economics, Elsevier, vol. 27(3), pages 463-485, June.
- John H. Cochrane, 1991. "Volatility Tests and Efficient Markets: A Review Essay," NBER Working Papers 3591, National Bureau of Economic Research, Inc.
- 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.
- Geert Bekaert & Steven R. Grenadier, 1999. "Stock and Bond Pricing in an Affine Economy," NBER Working Papers 7346, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Hamidi Sahneh, Mehdi, 2017. "News, Noise, and Tests of Present Value Models," MPRA Paper 82715, University Library of Munich, Germany.
- 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.
- 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.
- Long Chen & Zhi Da & Richard Priestley, 2012. "Dividend Smoothing and Predictability," Management Science, INFORMS, vol. 58(10), pages 1834-1853, October.
- 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.
- John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
- Golez, Benjamin & Koudijs, Peter, 2018. "Four centuries of return predictability," Journal of Financial Economics, Elsevier, vol. 127(2), pages 248-263.
- Turtle, H.J. & Wang, Kainan, 2016. "The benefits of improved covariance estimation," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 233-246.
- R. Glen Donaldson & Mark Kamstra, "undated". "Forecasting Fundamental Asset Return Distributions," Computing in Economics and Finance 1997 176, Society for Computational Economics.
- 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.
- John H. Cochrane, 1988.
"Production Based Asset Pricing,"
NBER Working Papers
2776, National Bureau of Economic Research, Inc.
Cited by:
- Casey B. Mulligan, 2002. "Capital, Interest, and Aggregate Intertemporal Substitution," NBER Working Papers 9373, National Bureau of Economic Research, Inc.
- Pierre-Olivier Gourinchas & Hélène Rey, 2007.
"International Financial Adjustment,"
Journal of Political Economy, University of Chicago Press, vol. 115(4), pages 665-703, August.
- Helene Rey & Pierre Olivier Gourinchas, 2005. "International Financial Adjustment," 2005 Meeting Papers 169, Society for Economic Dynamics.
- Gourinchas, Pierre-Olivier & Rey, Hélène, 2005. "International Financial Adjustment," Department of Economics, Working Paper Series qt124628cx, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Pierre-Olivier Gourinchas & Hélène Rey, 2005. "International Financial Adjustment," International Finance 0505004, University Library of Munich, Germany.
- Pierre-Olivier Gourinchas & Helene Rey, 2005. "International Financial Adjustment," NBER Working Papers 11155, National Bureau of Economic Research, Inc.
- Rey, Hélène & Gourinchas, Pierre-Olivier, 2005. "International Financial Adjustment," CEPR Discussion Papers 4923, C.E.P.R. Discussion Papers.
- Pierre-Olivier Gourinchas & Helene Rey, 2005. "International financial adjustment," Proceedings, Federal Reserve Bank of San Francisco.
- Gourinchas, Pierre-Olivier & Rey, Hélène, 2005. "International Financial Adjustment," Center for International and Development Economics Research, Working Paper Series qt124628cx, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
- Monika Piazzesi & Martin Schneider & Selale Tuzel, 2006.
"Housing, Consumption, and Asset Pricing,"
NBER Working Papers
12036, National Bureau of Economic Research, Inc.
- Piazzesi, Monika & Schneider, Martin & Tuzel, Selale, 2007. "Housing, consumption and asset pricing," Journal of Financial Economics, Elsevier, vol. 83(3), pages 531-569, March.
- Monika Piazzesi & Martin Schneider & Selale Tuzel, 2004. "Housing, Consumption and Asset Pricing," 2004 Meeting Papers 357c, Society for Economic Dynamics.
- 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.
- Urban Jermann, 2013.
"A Production-Based Model for the Term Structure,"
NBER Working Papers
18774, National Bureau of Economic Research, Inc.
- Jermann, Urban J., 2013. "A production-based model for the term structure," Journal of Financial Economics, Elsevier, vol. 109(2), pages 293-306.
- 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.).
- Thomas Tallarini & Harold Zhang, "undated". "External Habit and the Cyclicality of Expected Stock Returns," GSIA Working Papers 1997-26, Carnegie Mellon University, Tepper School of Business.
- Thomas D. Tallarini, Jr. & Harold H. Zhang, 2005. "External Habit and the Cyclicality of Expected Stock Returns," The Journal of Business, University of Chicago Press, vol. 78(3), pages 1023-1048, May.
- 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.
- Bianconi, Marcelo, 2003. "Private information, growth, and asset prices with stochastic disturbances," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 1-24.
- Madsen, Jakob B., 2009. "Taxes and the fundamental value of houses," Regional Science and Urban Economics, Elsevier, vol. 39(3), pages 365-376, May.
- Christopher Polk & Paola Sapienza, 2004.
"The Real Effects of Investor Sentiment,"
NBER Working Papers
10563, National Bureau of Economic Research, Inc.
- Sapienza, Paola & Polk, Christopher, 2003. "The Real Effects of Investor Sentiment," CEPR Discussion Papers 3826, C.E.P.R. Discussion Papers.
- Belo, Frederico, 2010. "Production-based measures of risk for asset pricing," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 146-163, March.
- 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.
- 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.
- Ellen R. McGrattan & Edward C. Prescott, 2001.
"Taxes, regulations, and asset prices,"
Working Papers
610, Federal Reserve Bank of Minneapolis.
- Ellen R. McGrattan & Edward C. Prescott, 2001. "Taxes, Regulations, and Asset Prices," NBER Working Papers 8623, National Bureau of Economic Research, Inc.
- 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.
- Ravi Jagannathan & Keiichi Kubota & Hitoshi Takehara, 1997. "Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market," Discussion Paper / Institute for Empirical Macroeconomics 117, Federal Reserve Bank of Minneapolis.
- 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.
- 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.
- Ellen R. McGrattan & Edward C. Prescott, 2001.
"Is the Stock Market Overvalued?,"
NBER Working Papers
8077, National Bureau of Economic Research, Inc.
- Ellen R. McGrattan & Edward C. Prescott, 2000. "Is the stock market overvalued?," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 24(Fall), pages 20-40.
- 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.
- Menzie D. Chinn & Ron Alquist, 2006. "Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment," NBER Working Papers 12481, National Bureau of Economic Research, Inc.
- Rui Albuquerque & Neng Wang, 2007.
"Agency Conflicts, Investment, and Asset Pricing,"
NBER Working Papers
13251, National Bureau of Economic Research, Inc.
- Albuquerque, Rui & Wang, Neng, 2005. "Agency Conflicts, Investment and Asset Pricing," CEPR Discussion Papers 4955, C.E.P.R. Discussion Papers.
- Neng Wang & Rui Albuquerque, 2005. "Agency Conflicts, Investment, and Asset Pricing," Computing in Economics and Finance 2005 351, Society for Computational Economics.
- Rui Albuquerue & Neng Wang, 2008. "Agency Conflicts, Investment, and Asset Pricing," Journal of Finance, American Finance Association, vol. 63(1), pages 1-40, February.
- Robert E. Hall, 2000.
"The stock market and capital accumulation,"
Proceedings, Federal Reserve Bank of San Francisco, issue Apr.
- Robert E. Hall, 2001. "The Stock Market and Capital Accumulation," American Economic Review, American Economic Association, vol. 91(5), pages 1185-1202, December.
- Robert E. Hall, 1999. "The Stock Market and Capital Accumulation," NBER Working Papers 7180, National Bureau of Economic Research, Inc.
- Urban Jermann, 2006.
"The Equity Premium Implied by Production,"
NBER Working Papers
12487, National Bureau of Economic Research, Inc.
- Jermann, Urban J., 2010. "The equity premium implied by production," Journal of Financial Economics, Elsevier, vol. 98(2), pages 279-296, November.
- Urban J. Jermann, 2005. "The Equity Premium Implied by Production," 2005 Meeting Papers 630, Society for Economic Dynamics.
- 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.
- Joao F. Gomes & Amir Yaron & Lu Zhang, 2003. "Asset Prices and Business Cycles with Costly External Finance," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 767-788, October.
- Joao Gomes & Amir Yaron & Lu Zhang, 2002. "Asset Prices and Business Cycles with Costly External Finance," NBER Working Papers 9364, National Bureau of Economic Research, Inc.
- Rui Castro & Claudio Campanale & Gian Luca Clementi, 2007.
"Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences,"
2007 Meeting Papers
503, Society for Economic Dynamics.
- 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).
- 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.
- Gomes, Joao & Kogan, Leonid & Zhang, Lu, 2002. "Equilibrium Cross-Section of Returns," CEPR Discussion Papers 3482, C.E.P.R. Discussion Papers.
- Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society.
- 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.
- Nektarios Aslanidis & Denise Osborn & Marianne Sensier, 2003. "Explaining movements in UK stock prices:," Working Papers 0302, University of Crete, Department of Economics.
- Vassalou, Maria & Li, Qing & Xing, Yuhang, 2001. "An Investment-Growth Asset Pricing Model," CEPR Discussion Papers 3058, C.E.P.R. Discussion Papers.
- Hui Guo, 2002. "Stock market returns, volatility, and future output," Review, Federal Reserve Bank of St. Louis, vol. 84(Sep), pages 75-86.
- Francois Gourio, 2005.
"Operating Leverage, Stock Market Cyclicality, and the Cross-Section of Returns,"
2005 Meeting Papers
66, Society for Economic Dynamics.
- François Gourio, 2005. "Operating Leverage,Stock Market Cyclicality,and the Cross-Section of Returns," Boston University - Department of Economics - Working Papers Series WP2005-002, Boston University - Department of Economics.
- 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.
- 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.
- 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.
- 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.
Cited by:
- Martin Browning & M. Dolores Collado, 2001.
"The Response of Expenditures to Anticipated Income Changes: Panel Data Estimates,"
American Economic Review, American Economic Association, vol. 91(3), pages 681-692, June.
- 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).
- 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.
- Ralph S.J. Koijen & Stijn Nieuwerburgh & Motohiro Yogo, 2016. "Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice," Journal of Finance, American Finance Association, vol. 71(2), pages 957-1010, April.
- Stijn Van Nieuwerburgh & Motohiro Yogo & Ralph S. J. Koijen, 2011. "Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice," 2011 Meeting Papers 633, Society for Economic Dynamics.
- Ralph Koijen & Stijn Van Nieuwerburgh & Motohiro Yogo, 2011. "Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice," NBER Working Papers 17325, National Bureau of Economic Research, Inc.
- 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.
- Monica Paiella, 2007. "The Forgone Gains of Incomplete Portfolios," The Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1623-1646, 2007 13.
- Monica Paiella, 2007. "The forgone gains of incomplete portfolios," Temi di discussione (Economic working papers) 625, Bank of Italy, Economic Research and International Relations Area.
- 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.
- Florin Bilbiie, 2008. "Limited Asset Market Participation, Monetary Policy and (Inverted) Aggregate Demand Logic," Post-Print hal-00622865, HAL.
- Bilbiie, Florin O., 2008. "Limited asset markets participation, monetary policy and (inverted) aggregate demand logic," Journal of Economic Theory, Elsevier, vol. 140(1), pages 162-196, May.
- Martin Browning & Thomas Crossley, 2001.
"The life-cycle model of consumption and saving,"
IFS Working Papers
W01/15, Institute for Fiscal Studies.
- 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.
- Martin Browning & Thomas F. Crossley, 2000. "The Life Cycle Model of Consumption and Saving," Social and Economic Dimensions of an Aging Population Research Papers 28, McMaster University.
- Dew-Becker, Ian & Nathanson, Charles G., 2019.
"Directed attention and nonparametric learning,"
Journal of Economic Theory, Elsevier, vol. 181(C), pages 461-496.
- Ian Dew-Becker & Charles G. Nathanson, 2017. "Directed Attention and Nonparametric Learning," NBER Working Papers 23917, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Chetty, Nadarajan, 2012.
"Bounds on Elasticities With Optimization Frictions: A Synthesis of Micro and Macro Evidence on Labor Supply,"
Scholarly Articles
9748524, Harvard University Department of Economics.
- 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.
- Raj Chetty, 2012. "Bounds on Elasticities With Optimization Frictions: A Synthesis of Micro and Macro Evidence on Labor Supply," Econometrica, Econometric Society, vol. 80(3), pages 969-1018, May.
- Krebs, Tom & Krishna, Pravin & Maloney, William F., 2013.
"Income Mobility and Welfare,"
Working Papers
13-02, University of Mannheim, Department of Economics.
- Mr. Tom Krebs & Mr. Pravin Krishna & Mr. William Maloney, 2013. "Income Mobility and Welfare," IMF Working Papers 2013/024, International Monetary Fund.
- 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.
- Melvin Stephens & Takashi Unayama, 2011. "The Consumption Response to Seasonal Income: Evidence from Japanese Public Pension Benefits," American Economic Journal: Applied Economics, American Economic Association, vol. 3(4), pages 86-118, October.
- 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.
- Thomas M. Mertens & Tarek A. Hassan, 2010.
"The Social Cost of Near-Rational Investment,"
2010 Meeting Papers
370, Society for Economic Dynamics.
- Hassan, Tarek & Mertens, Thomas M., 2014. "The Social Cost of Near-Rational Investment," CEPR Discussion Papers 10007, C.E.P.R. Discussion Papers.
- Tarek A. Hassan & Thomas M. Mertens, 2016. "The Social Cost of Near-Rational Investment," Working Paper Series 2016-16, Federal Reserve Bank of San Francisco.
- Tarek A. Hassan & Thomas M. Mertens, 2011. "The Social Cost of Near-Rational Investment," NBER Working Papers 17027, National Bureau of Economic Research, Inc.
- Tarek A. Hassan & Thomas M. Mertens, 2017. "The Social Cost of Near-Rational Investment," American Economic Review, American Economic Association, vol. 107(4), pages 1059-1103, April.
- Alexander L. Brown & Zhikang Eric Chua & Colin F. Camerer, 2009.
"Learning and Visceral Temptation in Dynamic Saving Experiments,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 124(1), pages 197-231.
- 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.
- Pischke, Jorn-Steffen, 1995.
"Individual Income, Incomplete Information, and Aggregate Consumption,"
Econometrica, Econometric Society, vol. 63(4), pages 805-840, July.
- Pischke, Jörn-Steffen, 1991. "Individual income, incomplete information, and aggregate consumption," ZEW Discussion Papers 91-07, ZEW - Leibniz Centre for European Economic Research.
- Pischke, J., 1992. "Individual Income, Incomplete Information, and Aggregate Consumption," Other publications TiSEM b374da88-f46b-4727-8ce6-6, Tilburg University, School of Economics and Management.
- Pischke, J.S., 1993. "Individual Income, Incomplete Information, and Aggregate Consumption," Working papers 93-16, Massachusetts Institute of Technology (MIT), Department of Economics.
- Jorn-Steffen Pischke, 1991. "Individual Income, Incomplete Information and Aggregate Consumption," Working Papers 669, Princeton University, Department of Economics, Industrial Relations Section..
- Pishke, J.S., 1992. "Individual Income, Incomplete Information and Aggregate Consumption," Papers 9238, Tilburg - Center for Economic Research.
- Pischke, J., 1992. "Individual Income, Incomplete Information, and Aggregate Consumption," Discussion Paper 1992-38, Tilburg University, Center for Economic Research.
- 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.
- Michael Brandt, Qi Zeng and Lu Zhang, 2001.
"Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States,"
Computing in Economics and Finance 2001
41, Society for Computational Economics.
- 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.
- Ricardo Reis, 2004.
"Inattentive Consumers,"
NBER Working Papers
10883, National Bureau of Economic Research, Inc.
- Reis, Ricardo, 2006. "Inattentive consumers," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1761-1800, November.
- Ricardo Reis, 2004. "Inattentive Consumers," Working Papers 135, Princeton University, School of Public and International Affairs, Discussion Papers in Economics.
- 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.).
- 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.
- Bartosz Mackowiak & Mirko Wiederholt, 2008.
"Business Cycle Dynamics under Rational Inattention,"
2008 Meeting Papers
1059, Society for Economic Dynamics.
- Maćkowiak, Bartosz & Wiederholt, Mirko, 2011. "Business cycle dynamics under rational inattention," Working Paper Series 1331, European Central Bank.
- Bartosz Maćkowiak & Mirko Wiederholt, 2015. "Business Cycle Dynamics under Rational Inattention," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(4), pages 1502-1532.
- Mackowiak, Bartosz & Wiederholt, Mirko, 2010. "Business Cycle Dynamics under Rational Inattention," CEPR Discussion Papers 7691, C.E.P.R. Discussion Papers.
- Hatzinikolaou, Dimitris, 1999. "Modelling consumption: permanent-income or rule-of-thumb behaviour?," Economic Modelling, Elsevier, vol. 16(2), pages 293-306, April.
- 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.
- Rostam-Afschar, Davud & Meissner, Thomas, 2014. "Do tax cuts increase consumption? An experimental test of Ricardian Equivalence," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100348, Verein für Socialpolitik / German Economic Association.
- Meissner, Thomas & Rostam-Afschar, Davud, 2014. "Do tax cuts increase consumption? An experimental test of Ricardian Equivalence," Discussion Papers 2014/16, Free University Berlin, School of Business & Economics.
- Thomas Meissner & Davud Rostam-Afschar, "undated". "Do Tax Cuts Increase Consumption? An Experimental Test of Ricardian Equivalence," BDPEMS Working Papers 2014003, Berlin School of Economics.
- Meissner, Thomas & Rostam-Afschar, Davud, 2017. "Learning Ricardian Equivalence," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 273-288.
- 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.
- 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.).
- David Gruen, 1997. "Ignorance and Ricardian Equivalence," The Economic Record, The Economic Society of Australia, vol. 73(220), pages 35-44, March.
- Emilio Fernandez-Corugedo & Simon Price, 2002. "Financial liberalisation and consumers' expenditure: 'FLIB' re-examined," Bank of England working papers 157, Bank of England.
- Michael Boutros, 2022. "Windfall Income Shocks with Finite Planning Horizons," Staff Working Papers 22-40, Bank of Canada.
- Pok-sang Lam & Stephen G. Cecchetti & Nelson C. Mark, 2000.
"Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?,"
American Economic Review, American Economic Association, vol. 90(4), pages 787-805, September.
- 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.
- 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.
- Shapiro, Jesse M., 2005. "Is there a daily discount rate? Evidence from the food stamp nutrition cycle," Journal of Public Economics, Elsevier, vol. 89(2-3), pages 303-325, February.
- Iacono, Roberto, 2017.
"A comparison of fiscal rules for resource-rich economies,"
Economic Analysis and Policy, Elsevier, vol. 55(C), pages 179-193.
- Roberto Iacono, 2012. "Is it really worse with a Bird in Hand? A comparison of fiscal rules for resource-rich economies," Working Paper Series 12612, Department of Economics, Norwegian University of Science and Technology.
- 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.
- Greg Kaplan & Giovanni L. Violante & Justin Weidner, 2014.
"The Wealthy Hand-to-Mouth,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 45(1 (Spring), pages 77-153.
- Violante, Giovanni & Kaplan, Greg & Weidner, Justin, 2014. "The Wealthy Hand-to-Mouth," CEPR Discussion Papers 9954, C.E.P.R. Discussion Papers.
- Gianluca Violante & Greg Kaplan & Justin Weidner, 2014. "The Wealthy Hand-to-Mouth," 2014 Meeting Papers 192, Society for Economic Dynamics.
- Greg Kaplan & Giovanni L. Violante & Justin Weidner, 2014. "The Wealthy Hand-to-Mouth," NBER Working Papers 20073, National Bureau of Economic Research, Inc.
- Laurence Ball, 2000.
"Near-Rationality and Inflation in Two Monetary Regimes,"
Economics Working Paper Archive
435, The Johns Hopkins University,Department of Economics.
- Laurence Ball, 2000. "Near-Rationality and Inflation in Two Monetary Regimes," NBER Working Papers 7988, National Bureau of Economic Research, Inc.
- Laurence Ball, 2000. "Near-rationality and inflation in two monetary regimes," Proceedings, Federal Reserve Bank of San Francisco.
- 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.
- John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
- Rodepeter, Ralf & Winter, Joachim, 1999.
"Rules of thumb in life-cycle savings models,"
Sonderforschungsbereich 504 Publications
99-81, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Rodepeter, Ralf & Winter, Joachim, 1999. "Rules of thumb in life-cycle savings models," Papers 99-81, Sonderforschungsbreich 504.
- Ralf Rodepeter & Joachim K. Winter, 2000. "Rules of Thumb in Life-Cycle Savings Models," Econometric Society World Congress 2000 Contributed Papers 1222, Econometric Society.
- 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.
- Orazio P. Attanasio & Guglielmo Weber, 2010. "Consumption and Saving: Models of Intertemporal Allocation and Their Implications for Public Policy," Journal of Economic Literature, American Economic Association, vol. 48(3), pages 693-751, September.
- Adam, K., 2000.
"Adaptive Learning and the Cyclical Behavior of Output and Inflation,"
Economics Working Papers
eco2000/25, European University Institute.
- Klaus Adam, 2002. "Adaptive Learning and Cyclical Behavior of Output and Inflation," Macroeconomics 0211013, University Library of Munich, Germany.
- Peter Howitt & Ömer Özak, 2009.
"Adaptive Consumption Behavior,"
NBER Working Papers
15427, National Bureau of Economic Research, Inc.
- Howitt, Peter & Özak, Ömer, 2014. "Adaptive consumption behavior," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 37-61.
- Chen Lian, 2021. "Mistakes in Future Consumption, High MPCs Now," NBER Working Papers 29517, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Yulei Luo, 2024.
"Consumption Dynamics under Information Processing Constraints,"
CEMA Working Papers
622, China Economics and Management Academy, Central University of Finance and Economics.
- Yulei Luo, 2008. "Consumption Dynamics under Information Processing Constraints," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(2), pages 366-385, April.
- 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.
- Luo, Yulei & Young, Eric, 2014. "Induced Uncertainty, Market Price of Risk, and the Dynamics of Consumption and Wealth," MPRA Paper 57111, University Library of Munich, Germany.
- Klaus Adam, 2003.
"Learning to Forecast and Cyclical Behavior of Output and Inflation,"
Computing in Economics and Finance 2003
297, Society for Computational Economics.
- Adam, Klaus, 2003. "Learning to Forecast and Cyclical Behavior of Output and Inflation," CFS Working Paper Series 2003/01, Center for Financial Studies (CFS).
- Adam, Klaus, 2005. "Learning To Forecast And Cyclical Behavior Of Output And Inflation," Macroeconomic Dynamics, Cambridge University Press, vol. 9(1), pages 1-27, February.
- 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.
- 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.
- Harold L. Cole & Maurice Obstfeld, 1989. "Commodity Trade and International Risk Sharing: How Much Do Financial Markets Matter?," NBER Working Papers 3027, National Bureau of Economic Research, Inc.
- 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.
- Alfonso A. Irarrazabal & Lin Ma & Juan Carlos Parra-Alvarez, 2023. "Optimal asset allocation for commodity sovereign wealth funds," Quantitative Finance, Taylor & Francis Journals, vol. 23(3), pages 471-495, March.
- 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.
- David W.R. Gruen & Marianne C. Gizycki, 1993. "Explaining Forward Discount Bias: Is it Anchoring?," RBA Research Discussion Papers rdp9307, Reserve Bank of Australia.
- Charles S. Tapiero, 2015. "A financial CCAPM and economic inequalities," Quantitative Finance, Taylor & Francis Journals, vol. 15(3), pages 521-534, March.
- 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.
- Gianluca Violante & Greg Kaplan, 2011. "A Model of the Consumption Response to Fiscal Stimulus Payments," 2011 Meeting Papers 243, Society for Economic Dynamics.
- Violante, Giovanni & Kaplan, Greg, 2011. "A Model of the Consumption Response to Fiscal Stimulus Payments," CEPR Discussion Papers 8562, C.E.P.R. Discussion Papers.
- Greg Kaplan & Giovanni L. Violante, 2014. "A Model of the Consumption Response to Fiscal Stimulus Payments," Econometrica, Econometric Society, vol. 82(4), pages 1199-1239, July.
- John H. Cochrane, 1988. "Production Based Asset Pricing," NBER Working Papers 2776, National Bureau of Economic Research, Inc.
- Sonia Bhalotra, 2006. "Near rationality in wage setting," Applied Economics, Taylor & Francis Journals, vol. 38(21), pages 2513-2521.
- Ricardo J. Caballero, 1992.
"Near-Rationality, Heterogeneity and Aggregate Consumption,"
NBER Working Papers
4035, National Bureau of Economic Research, Inc.
- Caballero, Ricardo J, 1995. "Near-Rationality, Heterogeneity, and Aggregate Consumption," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(1), pages 29-48, February.
- 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.
- Arthur, W.B. & LeBaron, B. & Palmer, R., 1997. "Time Series Properties of an Artificial Stock Market," Working papers 9725, Wisconsin Madison - Social Systems.
- Sebastian Gechert & Jan Siebert, 2019. "Preferences over wealth," IMK Working Paper 200-2019, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- 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.
- 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.
- 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.
- Aydın, Deniz, 2021. "Consumption Response to Credit Expansions: Evidence from Experimental Assignment of 45,307 Credit Lines," EconStor Preprints 222359, ZBW - Leibniz Information Centre for Economics.
- 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.
- Suleyman Basak & Hongjun Yan, 2008. "Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion," Yale School of Management Working Papers amz2402, Yale School of Management, revised 01 Aug 2009.
- Suleyman Basak & Hongjun Yan, 2010. "Equilibrium Asset Prices and Investor Behaviour in the Presence of Money Illusion," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 77(3), pages 914-936.
- 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.
- Nelson C. Mark & S.G. Cecchetti & P-s. Lam, 1997.
"Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?,"
Working Papers
017, Ohio State University, Department of Economics.
- 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.
- 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.
- 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.
- Per Krusell & Anthony A. Smith & Jr., 1998. "Income and Wealth Heterogeneity in the Macroeconomy," Journal of Political Economy, University of Chicago Press, vol. 106(5), pages 867-896, October.
- Krusell, P & Smith Jr, A-A, 1995. "Income and Wealth Heterogeneity in the Macroeconomic," RCER Working Papers 399, University of Rochester - Center for Economic Research (RCER).
- Fuchs-Schündeln, N. & Hassan, T.A., 2016.
"Natural Experiments in Macroeconomics,"
Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 923-1012,
Elsevier.
- Nicola Fuchs-Schuendeln & Tarek Alexander Hassan, 2015. "Natural Experiments in Macroeconomics," NBER Working Papers 21228, National Bureau of Economic Research, Inc.
- Fuchs-Schündeln, Nicola & Hassan, Tarek, 2015. "Natural Experiments in Macroeconomics," CEPR Discussion Papers 10628, C.E.P.R. Discussion Papers.
- Yulei Luo, 2005.
"Consumption Dynamics under Information Processing Constraints,"
Macroeconomics
0505011, University Library of Munich, Germany, revised 04 Jun 2005.
- Yulei Luo, 2008. "Consumption Dynamics under Information Processing Constraints," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(2), pages 366-385, April.
- Per Krusell & Anthony A. Smith, Jr., "undated".
"On the Welfare Effects of Eliminating Business Cycles,"
GSIA Working Papers
243, Carnegie Mellon University, Tepper School of Business.
- 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.
- Reiter, Michael, 1999. "Ricardian equivalence with uninformed consumers?," European Journal of Political Economy, Elsevier, vol. 15(4), pages 747-758, November.
- 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.
- 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.
- Melvin Stephens Jr., 2002. "'3rd of tha Month': Do Social Security Recipients Smooth Consumption Between Checks?," NBER Working Papers 9135, National Bureau of Economic Research, Inc.
- Sheng-Cheng Hu, 1996. "Myopia and Social Security Financing," Public Finance Review, , vol. 24(3), pages 319-348, July.
- Bhalotra, Sonia, 1998.
"Investigating rationality in wage-setting,"
LSE Research Online Documents on Economics
6682, London School of Economics and Political Science, LSE Library.
- Sonia R Bhalotra, 1998. "Investigating Rationality in Wage-Setting," STICERD - Development Economics Papers - From 2008 this series has been superseded by Economic Organisation and Public Policy Discussion Papers 10, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Sonia R. Bhalotra, 2000. "Investigating Rationality in Wage-Setting," Econometric Society World Congress 2000 Contributed Papers 1759, Econometric Society.
- 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.
- Constantinos Kardaras & Hyeng Keun Koo & Johannes Ruf, 2022. "Estimation of growth in fund models," Papers 2208.02573, arXiv.org.
- 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.
- Julia Campos & Neil R. Ericsson, 2000. "Constructive data mining: modeling consumers' expenditure in Venezuela," International Finance Discussion Papers 663, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- Xavier Gabaix, 2016.
"Behavioral Macroeconomics Via Sparse Dynamic Programming,"
NBER Working Papers
21848, National Bureau of Economic Research, Inc.
- Gabaix, Xavier, 2015. "Behavioral Macroeconomics Via Sparse Dynamic Programming," CEPR Discussion Papers 11026, C.E.P.R. Discussion Papers.
- 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.
- 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 Paper Research 432, National Bank of Belgium.
- Gabe de Bondt, 1999. "Credit channels and consumption in Europe: empirical evidence," BIS Working Papers 69, Bank for International Settlements.
- Stijn Van Nieuwerburgh & Motohiro Yogo & Ralph S.J. Koijen, 2009.
"Optimal Health and Longevity Insurance,"
2009 Meeting Papers
185, Society for Economic Dynamics.
- Ralph Koijen & Stijn Van Nieuwerburgh & Motohiro Yogo, 2011. "Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice," NBER Working Papers 17325, National Bureau of Economic Research, Inc.
- John Conlisk, 1996. "Why Bounded Rationality?," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 669-700, June.
- 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.
- 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.
- Kyle Chauvin & David Laibson & Johanna Mollerstrom, 2011. "Asset Bubbles and the Cost of Economic Fluctuations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(s1), pages 233-260, August.
- Kyle Chauvin & David Laibson & Johanna Mollerstrom, 2011. "Asset Bubbles and the Cost of Economic Fluctuations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43, pages 233-260, August.
- Emilio Fernandez-Corugedo, 2004. "Consumption Theory," Handbooks, Centre for Central Banking Studies, Bank of England, number 23, April.
- 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.
- J r my Boccanfuso, 2022. "Consumption Response Heterogeneity and Dynamics with an Inattention Region," Working Papers wp1172, Dipartimento Scienze Economiche, Universita' di Bologna.
- 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.
- Gechert, Sebastian & Siebert, Jan, 2022. "Preferences over wealth: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 1297-1317.
- 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.
- 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).
- Ogaki, Masao & Park, Joon Y., 1997. "A cointegration approach to estimating preference parameters," Journal of Econometrics, Elsevier, vol. 82(1), pages 107-134.
- Martin Eichenbaum, 2012. "Comment," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 49-60.
- 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.
- 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.
- Florin Bilbiie, 2005. "Limited Asset Markets Participation, Monetary Policy and (Inverted) Keynesian Logic," Economics Papers 2005-W09, Economics Group, Nuffield College, University of Oxford.
- Yulei Luo, 2005. "Consumption Dynamics, Asset Pricing, and Welfare Effects under Information Processing Constraints," 2005 Meeting Papers 345, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- Xavier Gabaix & David Laibson, 2002. "The 6D Bias and the Equity-Premium Puzzle," NBER Chapters, in: NBER Macroeconomics Annual 2001, Volume 16, pages 257-330, National Bureau of Economic Research, Inc.
- Kenneth J. Singleton, 2014. "Investor Flows and the 2008 Boom/Bust in Oil Prices," Management Science, INFORMS, vol. 60(2), pages 300-318, February.
- 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.
- Eric R. Young & Yulei Luo, 2008.
"Risk-sensitive Consumption and Savings under Rational Inattention,"
2008 Meeting Papers
64, Society for Economic Dynamics.
- 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.
- Finocchiaro, Daria, 2011. "Inattention, wealth inequality and equilibrium asset prices," Journal of Monetary Economics, Elsevier, vol. 58(2), pages 146-155, March.
- Ryan Banerjee & Nicoletta Batini, 2003. "UK Consumers’ Habits," Discussion Papers 13, Monetary Policy Committee Unit, Bank of England.
- 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.).
- Kaminsky, Graciela L. & Pereira, Alfredo, 1996. "The debt crisis: lessons of the 1980s for the 1990s," Journal of Development Economics, Elsevier, vol. 50(1), pages 1-24, June.
- S. Rao Aiyagari, 1994. "Macroeconomics with frictions," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 18(Sum), pages 24-40.
- 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.
- 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.
- 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.
- John H. Cochrane, 1988.
"A Test of Consumption Insurance,"
NBER Working Papers
2642, National Bureau of Economic Research, Inc.
Cited by:
- Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva, 2004.
"Similarities and Convergence in G7 Cycles,"
CEPR Discussion Papers
4534, C.E.P.R. Discussion Papers.
- Fabio Canova & Matteo Ciccarelli & Eva Ortega, 2004. "Similarities and convergence in G-7 cycles," Working Papers 0404, Banco de España.
- 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.
- Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva, 2004. "Similarities and convergence in G-7 cycles," Working Paper Series 312, European Central Bank.
- Fabio Canova & Matteo Ciccarelli & Eva Ortega, 2003. "Similarities and convergence in G-7 cycles," Economics Working Papers 924, Department of Economics and Business, Universitat Pompeu Fabra, revised Aug 2004.
- 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.
- Joseph G. Altonji & Fumio Hayashi & Laurence J. Kotlikoff, 1989. "Is the Extended Family Altruistically Linked? Direct Tests Using Micro Data," NBER Working Papers 3046, National Bureau of Economic Research, Inc.
- 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.
- Fumio Hayashi & Joseph Altonji & Laurence Kotlikoff, 1991. "Risk-Sharing, Altruism, and the Factor Structure of Consumption," NBER Working Papers 3834, National Bureau of Economic Research, Inc.
- Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva, 2004.
"Similarities and Convergence in G7 Cycles,"
CEPR Discussion Papers
4534, C.E.P.R. Discussion Papers.
Articles
- 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.
- John H. Cochrane, 2019. "The Fiscal Roots of Inflation," NBER Working Papers 25811, National Bureau of Economic Research, Inc.
- John Cochrane, 2021. "Online Appendix to "The fiscal root of inflation"," Online Appendices 20-493, Review of Economic Dynamics.
- John Cochrane, 2021. "Code and data files for "The fiscal root of inflation"," Computer Codes 20-493, Review of Economic Dynamics.
- 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.
- John Cochrane, 2021. "Online Appendix to "A fiscal theory of monetary policy with partially repaid long-term debt"," Online Appendices 20-44, Review of Economic Dynamics.
- 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.
- John Cochrane, 2021. "Code and data files for "A fiscal theory of monetary policy with partially repaid long-term debt"," Computer Codes 20-44, Review of Economic Dynamics.
- 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:
- 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.
- 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.
- John H. Cochrane, 2014. "Monetary Policy with Interest on Reserves," NBER Working Papers 20613, National Bureau of Economic Research, Inc.
- 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:
- 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.
- 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.
- Eduardo Davila, 2014.
"Optimal Financial Transaction Taxes,"
2014 Meeting Papers
114, Society for Economic Dynamics.
- Eduardo Dávila, 2020. "Optimal Financial Transaction Taxes," NBER Working Papers 27826, National Bureau of Economic Research, Inc.
- Eduardo Dávila, 2023. "Optimal Financial Transaction Taxes," Journal of Finance, American Finance Association, vol. 78(1), pages 5-61, February.
- 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.
- Ewens, Michael & Xiao, Kairong & Xu, Ting, 2020. "Regulatory Costs of Being Public: Evidence from Bunching Estimation," SocArXiv pdv8n, Center for Open Science.
- 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.
- Francesco Trebbi & Kairong Xiao, 2015. "Regulation and Market Liquidity," NBER Working Papers 21739, National Bureau of Economic Research, Inc.
- 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.
- Christian Leuz, 2018. "Evidence-based policymaking: promise, challenges and opportunities for accounting and financial markets research," Accounting and Business Research, Taylor & Francis Journals, vol. 48(5), pages 582-608, July.
- Leuz, Christian, 2018. "Evidence-based policymaking: Promise, challenges and opportunities for accounting and financial markets research," CFS Working Paper Series 611, Center for Financial Studies (CFS).
- 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.
- Berggren, Niclas & Bjørnskov, Christian, 2018.
"Regulation and Government Debt,"
Working Paper Series
1239, Research Institute of Industrial Economics.
- Niclas Berggren & Christian Bjørnskov, 2019. "Regulation and government debt," Public Choice, Springer, vol. 178(1), pages 153-178, January.
- Gadi Barlevy, 2015. "Bubbles and Fools," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q II.
- Miller, Steph & Barth, James, 2017.
"Benefits and Costs of a Higher Bank Leverage Ratio,"
Working Papers
07847, George Mason University, Mercatus Center.
- Barth, James R. & Miller, Stephen Matteo, 2018. "Benefits and costs of a higher bank “leverage ratio”," Journal of Financial Stability, Elsevier, vol. 38(C), pages 37-52.
- Buch, Claudia M. & Vogel, Edgar & Weigert, Benjamin, 2018. "Evaluating macroprudential policies," ESRB Working Paper Series 76, European Systemic Risk Board.
- Ellig, Jerry, 2016. "Improvements in SEC Economic Analysis since Business Roundtable: A Structured Assessment," Working Papers 07002, George Mason University, Mercatus Center.
- 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.
- 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.
- 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.
- 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.
- John H. Cochrane, 2013. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," NBER Working Papers 18768, National Bureau of Economic Research, Inc.
- 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.
- John H. Cochrane, 2013. "Finance: Function Matters, not Size," NBER Working Papers 18944, National Bureau of Economic Research, Inc.
- 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:
- 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.
- Jens Hilscher & Alon Raviv, 2012. "Bank stability and market discipline: The effect of contingent capital on risk taking and default probability," Working Papers 53, Brandeis University, Department of Economics and International Business School, revised Jan 2014.
- Guglielmo Maria Caporale & Woo-Young Kang, 2019.
"On the preferences of CoCo bond buyers and sellers,"
CESifo Working Paper Series
7551, CESifo.
- Caporale, Guglielmo Maria & Kang, Woo-Young, 2021. "On the preferences of CoCo bond buyers and sellers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
- 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.
- 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.
- 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.
- 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.
- 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.
- John H. Cochrane, 2012. "Continuous-Time Linear Models," NBER Working Papers 18181, National Bureau of Economic Research, Inc.
- John H. Cochrane, 2011.
"Presidential Address: Discount Rates,"
Journal of Finance, American Finance Association, vol. 66(4), pages 1047-1108, August.
Cited by:
- Nieto, Belén & Rubio, Gonzalo, 2022. "The risk aversion and uncertainty channels between finance and macroeconomics," Finance Research Letters, Elsevier, vol. 45(C).
- 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.
- 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.
- Hou, Kewei & Xue, Chen & Zhang, Lu, 2012.
"Digesting Anomalies: An Investment Approach,"
Working Paper Series
2012-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Kewei Hou & Chen Xue & Lu Zhang, 2012. "Digesting Anomalies: An Investment Approach," NBER Working Papers 18435, National Bureau of Economic Research, Inc.
- Jäckel, Christoph, 2013. "Model uncertainty and expected return proxies," MPRA Paper 51978, University Library of Munich, Germany.
- Benjamin A. Jansen, 2020. "Cash Flow Growth and Stock Return," Working Papers 202004, Middle Tennessee State University, Department of Economics and Finance.
- 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.
- Moench, Emanuel & Adrian, Tobias & Crump, Richard K., 2015. "Regression Based Estimation of Dynamic Asset Pricing Models," CEPR Discussion Papers 10449, C.E.P.R. Discussion Papers.
- Tobias Adrian & Richard K. Crump & Emanuel Moench, 2011. "Regression-based estimation of dynamic asset pricing models," Staff Reports 493, Federal Reserve Bank of New York.
- 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.
- Valenti, Daniele & Manera, Matteo & Sbuelz, Alessandro, 2020. "Interpreting the oil risk premium: Do oil price shocks matter?," Energy Economics, Elsevier, vol. 91(C).
- Valenti, Daniele & Manera, Matteo & Sbuelz, Alessandro, 2018. "Interpreting the Oil Risk Premium: do Oil Price Shocks Matter?," ETA: Economic Theory and Applications 268730, Fondazione Eni Enrico Mattei (FEEM).
- López Gaviria, José Ignacio, 2019.
"Predictibilidad del mercado accionario colombiano,"
Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 91, pages 117-150, July.
- Jose Ignacio Lopez, 2018. "Predictibilidad del Mercado Accionario Colombiano," Documentos CEDE 16086, Universidad de los Andes, Facultad de Economía, CEDE.
- 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).
- 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.
- Cosmin L. Ilut & Hikaru Saijo, 2016.
"Learning, Confidence, and Business Cycles,"
NBER Working Papers
22958, National Bureau of Economic Research, Inc.
- Hikaru Saijo & Cosmin Ilut, 2016. "Learning, Confidence and Business Cycle," 2016 Meeting Papers 664, Society for Economic Dynamics.
- Hikaru Saijo & Cosmin Ilut, 2015. "Learning, Confidence, and Business Cycles," 2015 Meeting Papers 917, Society for Economic Dynamics.
- Angus Moore, 2016.
"Measuring Economic Uncertainty and Its Effects,"
RBA Research Discussion Papers
rdp2016-01, Reserve Bank of Australia.
- Angus Moore, 2017. "Measuring Economic Uncertainty and Its Effects," The Economic Record, The Economic Society of Australia, vol. 93(303), pages 550-575, December.
- 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.
- Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2016. "Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds," CEPR Discussion Papers 11401, C.E.P.R. Discussion Papers.
- Tobias Adrian & Richard K. Crump & Erik Vogt, 2015. "Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds," Staff Reports 723, Federal Reserve Bank of New York.
- Julien Albertini & Arthur Poirier, 2014. "Discount Factor Shocks and Labor Market Dynamics," SFB 649 Discussion Papers SFB649DP2014-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- 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.
- 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.
- 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.
- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019. "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers 25481, National Bureau of Economic Research, Inc.
- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020. "Taming the Factor Zoo: A Test of New Factors," Journal of Finance, American Finance Association, vol. 75(3), pages 1327-1370, June.
- Paul Schneider & Christian Wagner & Josef Zechner, 2019.
"Low Risk Anomalies?,"
Swiss Finance Institute Research Paper Series
19-50, Swiss Finance Institute.
- Paul Schneider & Christian Wagner & Josef Zechner, 2020. "Low‐Risk Anomalies?," Journal of Finance, American Finance Association, vol. 75(5), pages 2673-2718, October.
- Schneider, Paul & Wagner, Christian & Zechner, Josef, 2016. "Low risk anomalies?," CFS Working Paper Series 550, Center for Financial Studies (CFS).
- 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.
- 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.
- Monschang, Verena & Wilfling, Bernd, 2019. "Sup-ADF-style bubble detection methods under test," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203568, Verein für Socialpolitik / German Economic Association.
- Verena Monschang & Bernd Wilfling, 2021. "Sup-ADF-style bubble-detection methods under test," Empirical Economics, Springer, vol. 61(1), pages 145-172, July.
- 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.
- Mittnik, Stefan & Semmler, Willi, 2013.
"The real consequences of financial stress,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1479-1499.
- Stefan Mittnik & Willi Semmler, 2013. "The Real Consequences of Financial Stress," SFB 649 Discussion Papers SFB649DP2013-011, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- 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.
- 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.
- Penasse, J.N.G. & Renneboog, L.D.R., 2014. "Bubbles and Trading Frenzies : Evidence from the Art Market," Discussion Paper 2014-068, Tilburg University, Center for Economic Research.
- Penasse, J.N.G. & Renneboog, L.D.R., 2014. "Bubbles and Trading Frenzies : Evidence from the Art Market," Discussion Paper 2014-046, Tilburg University, Tilburg Law and Economic Center.
- Penasse, J.N.G. & Renneboog, L.D.R., 2014. "Bubbles and Trading Frenzies : Evidence from the Art Market," Other publications TiSEM bf0d8984-df7f-4f02-afc7-3, Tilburg University, School of Economics and Management.
- Gaetan Bakalli & St'ephane Guerrier & Olivier Scaillet, 2022.
"A penalized two-pass regression to predict stock returns with time-varying risk premia,"
Papers
2208.00972, arXiv.org.
- Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series 21-09, Swiss Finance Institute.
- Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Post-Print hal-04325655, HAL.
- 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).
- Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016. "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 31-38.
- 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).
- Valentin Haddad & Erik Loualiche & Matthew Plosser, 2013.
"Buyout activity: the impact of aggregate discount rates,"
Staff Reports
606, Federal Reserve Bank of New York.
- 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.
- Valentin Haddad & Erik Loualiche & Matthew Plosser, 2017. "Buyout Activity: The Impact of Aggregate Discount Rates," Journal of Finance, American Finance Association, vol. 72(1), pages 371-414, February.
- Andrew Coleman, 2019. "Liquidity, the government balance sheet, and the public sector discount rate," Working Papers 19_13, Motu Economic and Public Policy Research.
- Eduard Krkoska & Klaus Reiner Schenk-Hoppé, 2019. "Herding in Smart-Beta Investment Products," JRFM, MDPI, vol. 12(1), pages 1-14, March.
- 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.
- 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).
- Marlene Amstad & Frank Packer & Jimmy Shek, 2018. "Does sovereign risk in local and foreign currency differ?," BIS Working Papers 709, Bank for International Settlements.
- Marlene Amstad & Frank Packer & Jimmy Shek, 2018. "Does Sovereign Risk in Local and Foreign Currency Differ?," IMES Discussion Paper Series 18-E-01, Institute for Monetary and Economic Studies, Bank of Japan.
- 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.
- Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap, 2012. "Risk Premium, Variance Premium and the Maturity Structure of Uncertainty," Staff Working Papers 12-11, Bank of Canada.
- Feunou, Bruno & Fontaine, Jean-Sébastien & Taamouti, Abderrahim & Tédongap, Roméo, 2011. "Risk premium, variance premium and the maturity structure of uncertainty," UC3M Working papers. Economics we1144, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- 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.
- 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.
- Robert E. Hall, 2016.
"Macroeconomics of Persistent Slumps,"
NBER Working Papers
22230, National Bureau of Economic Research, Inc.
- Hall, R.E., 2016. "Macroeconomics of Persistent Slumps," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2131-2181, Elsevier.
- Ng, Joe Cho Yiu & Leung, Charles Ka Yui & Chan, Suikang, 2022.
"Corporate Real Estate Holding and Stock Returns: International Evidence from Listed Companies,"
MPRA Paper
111691, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- 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.
- Thesmar, David & Bouchaud, Jean-Philippe & Krueger, Philipp & Landier, Augustin, 2017. "Sticky Expectations and the Profi tability Anomaly," CEPR Discussion Papers 12528, C.E.P.R. Discussion Papers.
- Jean‐Philippe Bouchaud & Philipp Krüger & Augustin Landier & David Thesmar, 2019. "Sticky Expectations and the Profitability Anomaly," Journal of Finance, American Finance Association, vol. 74(2), pages 639-674, April.
- 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.
- Zheng Liu & Pengfei Wang & Tao Zha, 2019.
"A Theory of Housing Demand Shocks,"
NBER Working Papers
25667, National Bureau of Economic Research, Inc.
- Zheng Liu & Pengfei Wang & Tao Zha, 2019. "A Theory of Housing Demand Shocks," 2019 Meeting Papers 78, Society for Economic Dynamics.
- Ding Dong & Zheng Liu & Pengfei Wang & Tao Zha, 2022. "A Theory of Housing Demand Shocks," Working Paper Series 2019-9, Federal Reserve Bank of San Francisco.
- Zheng Liu & Pengfei Wang & Tao Zha, 2019. "A Theory of Housing Demand Shocks," FRB Atlanta Working Paper 2019-4, Federal Reserve Bank of Atlanta.
- Dong, Ding & Liu, Zheng & Wang, Pengfei & Zha, Tao, 2022. "A theory of housing demand shocks," Journal of Economic Theory, Elsevier, vol. 203(C).
- 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.
- 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.
- Schneider, Martin & Piazzesi, Monika, 2016.
"Housing and macroeconomics,"
CEPR Discussion Papers
11519, C.E.P.R. Discussion Papers.
- Piazzesi, M. & Schneider, M., 2016. "Housing and Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1547-1640, Elsevier.
- Monika Piazzesi & Martin Schneider, 2016. "Housing and Macroeconomics," NBER Working Papers 22354, National Bureau of Economic Research, Inc.
- Baltzer, Markus & Koehl, Alexandra & Reitz, Stefan, 2019.
"Procyclical leverage in Europe and its role in asset pricing,"
Discussion Papers
10/2019, Deutsche Bundesbank.
- Baltzer, Markus & Koehl, Alexandra & Reitz, Stefan, 2020. "Procyclical leverage in Europe and its role in asset pricing," Journal of International Money and Finance, Elsevier, vol. 107(C).
- Lof, Matthijs, 2013. "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper 59064, University Library of Munich, Germany.
- Qihui Chen & Nikolai Roussanov & Xiaoliang Wang, 2021.
"Semiparametric Conditional Factor Models: Estimation and Inference,"
Papers
2112.07121, arXiv.org, revised Sep 2023.
- Qihui Chen & Nikolai Roussanov & Xiaoliang Wang, 2023. "Semiparametric Conditional Factor Models: Estimation and Inference," NBER Working Papers 31817, National Bureau of Economic Research, Inc.
- 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.
- Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
- 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.
- Samuel Hanson & Andrei Shleifer & Jeremy C. Stein & Robert W. Vishny, "undated".
"Banks as patient fixed-income investors,"
Working Paper
238646, Harvard University OpenScholar.
- Samuel G. Hanson & Andrei Shleifer & Jeremy C. Stein & Robert W. Vishny, 2014. "Banks as Patient Fixed-Income Investors," NBER Working Papers 20288, National Bureau of Economic Research, Inc.
- Samuel G. Hanson & Andrei Shleifer & Jeremy C. Stein & Robert W. Vishny, 2014. "Banks as Patient Fixed Income Investors," Working Paper 151246, Harvard University OpenScholar.
- 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.
- Samuel Hanson & Andrei Shleifer & Jeremy C. Stein & Robert W. Vishny, 2014. "Banks as Patient Fixed Income Investors," Finance and Economics Discussion Series 2014-15, Board of Governors of the Federal Reserve System (U.S.).
- Maik Schmeling & Andreas Schrimpf & Sigurd A. M. Steffensen, 2022.
"Monetary policy expectation errors,"
BIS Working Papers
996, Bank for International Settlements.
- Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
- 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.
- John Y. Campbell & Stefano Giglio & Christopher Polk, 2010.
"Hard Times,"
NBER Working Papers
16222, National Bureau of Economic Research, Inc.
- John Y. Campbell & Stefano Giglio & Christopher Polk, 2013. "Hard Times," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 3(1), pages 95-132.
- Campbell, John Y. & Giglio, Stefano & Polk, Christopher, 2013. "Hard Times," Scholarly Articles 12172786, Harvard University Department of Economics.
- 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.
- 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.
- Jérémy Leymarie & Christophe Hurlin & Antoine Patin, 2018.
"Loss Functions for LGD Models Comparison,"
Post-Print
hal-01923050, HAL.
- Christophe Hurlin & Jérémy Leymarie & Antoine Patin, 2018. "Loss functions for LGD model comparison," Working Papers halshs-01516147, HAL.
- Patrick J. Kehoe & Pierlauro Lopez & Virgiliu Midrigan & Elena Pastorino, 2020.
"Asset Prices and Unemployment Fluctuations,"
Staff Report
591, Federal Reserve Bank of Minneapolis.
- 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.
- Patrick J. Kehoe & Pierlauro Lopez & Virgiliu Midrigan & Elena Pastorino, 2020. "Asset Prices and Unemployment Fluctuations," Working Papers 20-10, Federal Reserve Bank of Cleveland.
- Patrick Kehoe & Elena Pastorino & Pierlauro Lopez & Virgiliu Midrigan, 2018. "Asset Prices and Unemployment Fluctuations," 2018 Meeting Papers 1119, Society for Economic Dynamics.
- 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.
- Barras, Laurent, 2019. "A large-scale approach for evaluating asset pricing models," Journal of Financial Economics, Elsevier, vol. 134(3), pages 549-569.
- 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.
- Li, Jiahan & Tsiakas, Ilias, 2017. "Equity premium prediction: The role of economic and statistical constraints," Journal of Financial Markets, Elsevier, vol. 36(C), pages 56-75.
- 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.
- Robert E. Hall, 2014. "Quantifying the Lasting Harm to the U.S. Economy from the Financial Crisis," NBER Working Papers 20183, National Bureau of Economic Research, Inc.
- Robert E. Hall, 2014. "Quantifying the Lasting Harm to the US Economy from the Financial Crisis," NBER Chapters, in: NBER Macroeconomics Annual 2014, Volume 29, pages 71-128, National Bureau of Economic Research, Inc.
- Balduzzi, Pierluigi & Brancati, Emanuele & Schiantarelli, Fabio, 2013.
"Financial Markets, Banks' Cost of Funding, and Firms' Decisions: Lessons from Two Crises,"
IZA Discussion Papers
7872, Institute of Labor Economics (IZA).
- 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.
- Pierluigi Balduzzi & Emanuele Brancati & Fabio Schiantarelli, 2014. "Financial Markets, BanksÕ Cost of Funding, and FirmsÕ Decisions: Lessons from Two Crises," Working Papers CASMEF 1404, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Balduzzi, Pierluigi & Brancati, Emanuele & Schiantarelli, Fabio, 2018. "Financial markets, banks’ cost of funding, and firms’ decisions: Lessons from two crises," Journal of Financial Intermediation, Elsevier, vol. 36(C), pages 1-15.
- Pierluigi Balduzzi & Emanuele Brancati & Fabio Schiantarelli, 2015. "Financial Markets, Banks' Cost of Funding, and Firms' Decisions: Lessons from Two Crises," CESifo Working Paper Series 5669, CESifo.
- Farmer, Roger & Nourry, Carine & Venditti, Alain, 2013.
"The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World,"
CEPR Discussion Papers
9283, C.E.P.R. Discussion Papers.
- Roger E.A. Farmer & Carine Nourry & Alain Venditti, 2012. "The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World," NBER Working Papers 18647, National Bureau of Economic Research, Inc.
- 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.
- Roger Farmer & Carine Nourry & Alain Venditti, 2014. "The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World," 2014 Meeting Papers 516, Society for Economic Dynamics.
- Roger E.A. Farmer & Carine Nourry & Alain Venditti, 2013. "The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World," Working Papers halshs-00796672, HAL.
- François Legendre & Djibril Togola, 2015.
"Explicit solutions to dynamic portfolio choice problems: A continuous-time detour,"
Working Papers
hal-01117787, HAL.
- Legendre, François & Togola, Djibril, 2016. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Economic Modelling, Elsevier, vol. 58(C), pages 627-641.
- Franc{c}ois Legendre & Djibril Togola, 2015. "Explicit solution to dynamic portfolio choice problem : The continuous-time detour," Papers 1504.03079, arXiv.org.
- François Legendre & Djibril Togola, 2016. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Post-Print hal-01342195, HAL.
- François Legendre & Djibril Togola, 2015. "Explicit solution to dynamic portfolio choice problem: the continuous-time detour," Erudite Working Paper 2015-01, Erudite.
- Lutzenberger, Fabian T., 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, vol. 23(3), pages 120-130.
- Naji Massad & Jørgen Vitting Andersen, 2019. "Defining an intrinsic "stickiness" parameter of stock price returns," Post-Print halshs-02385901, HAL.
- 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.
- John H. Cochrane, 2013. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," NBER Working Papers 18768, National Bureau of Economic Research, Inc.
- 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.
- Bianchi, Francesco & Ilut, Cosmin & Schneider, Martin, 2017. "Uncertainty shocks, asset supply and pricing over the business cycle," CEPR Discussion Papers 11950, C.E.P.R. Discussion Papers.
- Francesco Bianchi & Cosmin L. Ilut & Martin Schneider, 2014. "Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle," NBER Working Papers 20081, National Bureau of Economic Research, Inc.
- Martin Schneider & Cosmin Ilut & Francesco Bianchi, 2013. "Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle," 2013 Meeting Papers 202, Society for Economic Dynamics.
- de Oliveira Souza, Thiago, 2016. "The size premium and intertemporal risk," Discussion Papers on Economics 3/2016, University of Southern Denmark, Department of Economics.
- 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.
- 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.
- 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.
- Gabriel Chodorow-Reich & Plamen T. Nenov & Alp Simsek, 2019. "Stock Market Wealth and the Real Economy: A Local Labor Market Approach," NBER Working Papers 25959, National Bureau of Economic Research, Inc.
- Gabriel Chodorow-Reich & Alp Simsek & Plamen Nenov, 2019. "Stock Market Wealth and the Real Economy: A Local Labor Market Approach," 2019 Meeting Papers 1240, Society for Economic Dynamics.
- Gabriel Chodorow-Reich & Plamen T. Nenov & Alp Simsek, 2021. "Stock Market Wealth and the Real Economy: A Local Labor Market Approach," American Economic Review, American Economic Association, vol. 111(5), pages 1613-1657, May.
- 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.
- 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.
- Ricardo J. Caballero & Alp Simsek, 2022. "Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect," CESifo Working Paper Series 9632, CESifo.
- Ricardo J. Caballero & Alp Simsek, 2020. "Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect," NBER Working Papers 27712, National Bureau of Economic Research, Inc.
- Gueorgui I. Kolev, 2013. "Two gold return puzzles," Economics Bulletin, AccessEcon, vol. 33(3), pages 1762-1770.
- David, Joel M. & Simonovska, Ina, 2016.
"Correlated beliefs, returns, and stock market volatility,"
Journal of International Economics, Elsevier, vol. 99(S1), pages 58-77.
- Joel M. David & Ina Simonovska, 2016. "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Chapters, in: NBER International Seminar on Macroeconomics 2015, National Bureau of Economic Research, Inc.
- Joel M. David & Ina Simonovska, 2015. "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Working Papers 21480, National Bureau of Economic Research, Inc.
- Ina Simonovska & Joel David, 2016. "Correlated Beliefs, Returns, and Stock Market Volatility," 2016 Meeting Papers 130, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2012. "Convective Risk Flows in Commodity Futures Markets," NBER Working Papers 17921, National Bureau of Economic Research, Inc.
- Frank Kleibergen & Zhaoguo Zhan, 2022. "Misspecification and Weak Identification in Asset Pricing," Papers 2206.13600, arXiv.org.
- Olli-Matti Laine, 2023.
"Monetary Policy and Stock Market Valuation,"
International Journal of Central Banking, International Journal of Central Banking, vol. 19(1), pages 365-416, March.
- Laine, Olli-Matti, 2020. "Monetary policy and stock market valuation," Bank of Finland Research Discussion Papers 16/2020, Bank of Finland.
- 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.
- David E. Allen & Michael McAleer, 2023. "Drawbacks in the 3-Factor Approach of Fama and French (2018)," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 1-26, March.
- McMillan, David G., 2013. "Consumption and stock prices: Evidence from a small international panel," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 76-88.
- 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.
- 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).
- Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, "undated".
"X-CAPM: An Extrapolative Capital Asset Pricing Model,"
Working Paper
86521, Harvard University OpenScholar.
- Barberis, Nicholas & Greenwood, Robin & Jin, Lawrence & Shleifer, Andrei, 2015. "X-CAPM: An extrapolative capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 115(1), pages 1-24.
- Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, 2013. "X-CAPM: An Extrapolative Capital Asset Pricing Model," NBER Working Papers 19189, National Bureau of Economic Research, Inc.
- Adrien Verdelhan, 2012.
"The Share of Systematic Variation in Bilateral Exchange Rates,"
2012 Meeting Papers
763, Society for Economic Dynamics.
- Adrien Verdelhan, 2018. "The Share of Systematic Variation in Bilateral Exchange Rates," Journal of Finance, American Finance Association, vol. 73(1), pages 375-418, February.
- 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.
- Robinson, David T. & Sensoy, Berk A., 2016.
"Cyclicality, performance measurement, and cash flow liquidity in private equity,"
Journal of Financial Economics, Elsevier, vol. 122(3), pages 521-543.
- 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.
- 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.
- Tom Engsted & Thomas Q. Pedersen, 2012. "Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries," CREATES Research Papers 2012-58, Department of Economics and Business Economics, Aarhus University.
- 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.
- 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).
- Adam, Klaus & Nagel, Stefan & Matveev, Dmitry, 2018.
"Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?,"
CEPR Discussion Papers
13213, C.E.P.R. Discussion Papers.
- Adam, Klaus & Matveev, Dmitry & Nagel, Stefan, 2021. "Do survey expectations of stock returns reflect risk adjustments?," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 723-740.
- Adam, Klaus & Matveev, Dmitry & Nagel, Stefan, 2018. "Do survey expectations of stock returns reflect risk-adjustments?," CFS Working Paper Series 600, Center for Financial Studies (CFS).
- Klaus Adam & Dmitry Matveev & Stefan Nagel, 2019. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," 2019 Meeting Papers 641, Society for Economic Dynamics.
- Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CESifo Working Paper Series 7285, CESifo.
- 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.
- Klaus Adam & Dmitry Matveev & Stefan Nagel, 2019. "Do Survey Expectations of Stock Returns Reflect Risk Adjustments?," Staff Working Papers 19-11, Bank of Canada.
- Michaely, Roni & Rossi, Stefano & Weber, Michael, 2021.
"Signaling safety,"
Journal of Financial Economics, Elsevier, vol. 139(2), pages 405-427.
- Rossi, Stefano & Weber, Michael & Michaely, Roni, 2019. "Signaling Safety," CEPR Discussion Papers 14174, C.E.P.R. Discussion Papers.
- Roni Michaely & Stefano Rossi & Michael Weber, 2018. "Signaling Safety," NBER Working Papers 24237, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Tsiakas, Ilias & Li, Jiahan & Zhang, Haibin, 2020. "Equity premium prediction and the state of the economy," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 75-95.
- 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.
- 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.
- 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.
- Adrian, Tobias & Liang, Nellie, 2016.
"Monetary Policy, Financial Conditions, and Financial Stability,"
CEPR Discussion Papers
11394, C.E.P.R. Discussion Papers.
- Tobias Adrian & Nellie Liang, 2018. "Monetary Policy, Financial Conditions, and Financial Stability," International Journal of Central Banking, International Journal of Central Banking, vol. 14(1), pages 73-131, January.
- Tobias Adrian & Nellie Liang, 2014. "Monetary Policy, Financial Conditions, and Financial Stability," IMES Discussion Paper Series 14-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
- Tobias Adrian & J. Nellie Liang, 2014. "Monetary policy, financial conditions, and financial stability," Staff Reports 690, Federal Reserve Bank of New York.
- 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.
- 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.
- Bryan Kelly & Seth Pruitt & Yinan Su, 2018. "Characteristics Are Covariances: A Unified Model of Risk and Return," NBER Working Papers 24540, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Georges Prat, 2012.
"Equity risk premium and time horizon: what do the U.S. secular data say?,"
Working Papers
12-06, Association Française de Cliométrie (AFC).
- Prat, Georges, 2013. "Equity risk premium and time horizon: What do the U.S. secular data say?," Economic Modelling, Elsevier, vol. 34(C), pages 76-88.
- 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.
- 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).
- 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.
- Julian Kozlowski & Laura Veldkamp & Venky Venkateswaran, 2019. "The Tail that Wags the Economy: Beliefs and Persistent Stagnation," Working Papers 2019-6, Federal Reserve Bank of St. Louis.
- Julian Kozlowski & Laura Veldkamp & Venky Venkateswaran, 2020. "The Tail That Wags the Economy: Beliefs and Persistent Stagnation," Journal of Political Economy, University of Chicago Press, vol. 128(8), pages 2839-2879.
- Veldkamp, Laura & Venkateswaran, Venky, 2018. "The Tail that Wags the Economy: Beliefs and Persistent Stagnation," CEPR Discussion Papers 11352, C.E.P.R. Discussion Papers.
- Peter Koudijs & Hans-Joachim Voth, 2014.
"Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending,"
NBER Working Papers
19957, National Bureau of Economic Research, Inc.
- Voth, Hans-Joachim & Koudijs, Peter, 2014. "Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending," CEPR Discussion Papers 9920, C.E.P.R. Discussion Papers.
- Peter Koudijs & Joachim Voth, 2013. "Leverage and beliefs: Personal experience and risk taking in margin lending," Economics Working Papers 1343, Department of Economics and Business, Universitat Pompeu Fabra.
- 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.
- Peter Koudijs & Hans-Joachim Voth, 2014. "Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending," ECON - Working Papers 148, Department of Economics - University of Zurich.
- Koudijs, Peter & Voth, Hans-Joachim, 2014. "Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending," Research Papers 3103, Stanford University, Graduate School of Business.
- 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).
- Zechner, Josef & Chaderina, Maria & Weiss, Patrick, 2020.
"The Maturity Premium,"
CEPR Discussion Papers
14570, C.E.P.R. Discussion Papers.
- Chaderina, Maria & Weiss, Patrick & Zechner, Josef, 2022. "The maturity premium," Journal of Financial Economics, Elsevier, vol. 144(2), pages 670-694.
- 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.
- Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2023.
"Beta-Sorted Portfolios,"
Staff Reports
1068, Federal Reserve Bank of New York.
- Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2022. "Beta-Sorted Portfolios," Papers 2208.10974, arXiv.org, revised Jul 2023.
- 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.
- 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.
- 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.).
- Susanto Basu & Giacomo Candian & Ryan Chahrour & Rosen Valchev, 2021.
"Risky Business Cycles,"
NBER Working Papers
28693, National Bureau of Economic Research, Inc.
- Susanto Basu & Giacomo Candian & Ryan Chahrour & Rosen Valchev, 2021. "Risky Business Cycles," Boston College Working Papers in Economics 1029, Boston College Department of Economics.
- Lajili Jarjir, Souad & Nasreddine, Aya & Desban, Marc, 2022. "Corporate social responsibility as a common risk factor," Global Finance Journal, Elsevier, vol. 52(C).
- 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.
- 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.
- MGino Cenedese & Enrico Mallucci, 2015. "What moves international stock and bond markets?," Discussion Papers 1514, Centre for Macroeconomics (CFM).
- Gino Cenedese & Enrico Mallucci, 2015. "What moves international stock and bond markets?," Working Paper series 15-23, Rimini Centre for Economic Analysis.
- Cenedese, Gino & Mallucci, Enrico, 2015. "What moves international stock and bond markets?," Bank of England working papers 534, Bank of England.
- Cenedese, Gino & Mallucci, Enrico, 2016. "What moves international stock and bond markets?," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 94-113.
- 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.
- Lu Zhang & Howard Kung & Hang Bai, 2013. ""Shooting" the CAPM," 2013 Meeting Papers 905, Society for Economic Dynamics.
- 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).
- 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.
- Wolfgang Schadner, 2021. "Feasible Implied Correlation Matrices from Factor Structures," Papers 2107.00427, arXiv.org.
- 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.
- 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.).
- 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.
- Vigo Pereira, Caio, 2021. "Portfolio efficiency with high-dimensional data as conditioning information," International Review of Financial Analysis, Elsevier, vol. 77(C).
- Niels Joachim Gormsen & Eben Lazarus, 2023. "Duration‐Driven Returns," Journal of Finance, American Finance Association, vol. 78(3), pages 1393-1447, June.
- Bagnara, Matteo & Goodarzi, Milad, 2023. "Clustering-based sector investing," SAFE Working Paper Series 397, Leibniz Institute for Financial Research SAFE.
- Jianjun Miao & Pengfei Wang & Tao Zha, 2014.
"Discount Shock, Price-Rent Dynamics, and the Business Cycle,"
NBER Working Papers
20377, National Bureau of Economic Research, Inc.
- 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.
- Jianjun Miao & Pengfei Wang & Tao Zha, 2020. "Discount Shock, Price–Rent Dynamics, And The Business Cycle," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(3), pages 1229-1252, August.
- 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.
- 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.
- Evan Anderson & Ai-ru (Meg) Cheng, 2022. "Portfolio Choices with Many Big Models," Management Science, INFORMS, vol. 68(1), pages 690-715, January.
- 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.
- Friberg, Richard & Huse, Cristian, 2012. "How to use demand systems to evaluate risky projects, with an application to automobile production," CEPR Discussion Papers 9266, C.E.P.R. Discussion Papers.
- Walkshäusl, Christian, 2016. "Mispricing and the five-factor model," Economics Letters, Elsevier, vol. 147(C), pages 99-102.
- Stijn Claessens & M. Ayhan Kose, 2017.
"Asset prices and macroeconomic outcomes: A survey,"
CAMA Working Papers
2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1718, Koc University-TUSIAD Economic Research Forum.
- Claessens,Stijn & Kose,Ayhan, 2017. "Asset prices and macroeconomic outcomes : a survey," Policy Research Working Paper Series 8259, The World Bank.
- Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
- Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
- Sebastian Di Tella, 2018. "A Neoclassical Theory of Liquidity Traps," 2018 Meeting Papers 96, Society for Economic Dynamics.
- Sebastian Di Tella & Robert E. Hall, 2020. "Risk Premium Shocks Can Create Inefficient Recessions," NBER Working Papers 26721, National Bureau of Economic Research, Inc.
- 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.
- Duc Huynh, Toan Luu & Burggraf, Tobias & Wang, Mei, 2020. "Gold, platinum, and expected Bitcoin returns," Journal of Multinational Financial Management, Elsevier, vol. 56(C).
- 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.
- Christiane Baumeister, 2021.
"Measuring Market Expectations,"
Working Papers
202163, University of Pretoria, Department of Economics.
- Christiane Baumeister, 2021. "Measuring Market Expectations," CESifo Working Paper Series 9305, CESifo.
- Christiane Baumeister, 2021. "Measuring Market Expectations," NBER Working Papers 29232, National Bureau of Economic Research, Inc.
- Baumeister, Christiane, 2021. "Measuring Market Expectations," CEPR Discussion Papers 16520, C.E.P.R. Discussion Papers.
- 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.
- 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.
- 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.
- Ulrike Malmendier & Demian Pouzo & Victoria Vanasco, 2016.
"Investor Experiences and Financial Market Dynamics,"
Papers
1612.09553, arXiv.org, revised Feb 2019.
- Ulrike Malmendier & Demian Pouzo & Victoria Vanasco, 2018. "Investor Experiences and Financial Market Dynamics," NBER Working Papers 24697, National Bureau of Economic Research, Inc.
- Malmendier, Ulrike & Pouzo, Demian & Vanasco, Victoria, 2020. "Investor experiences and financial market dynamics," Journal of Financial Economics, Elsevier, vol. 136(3), pages 597-622.
- Dison, Will & Theodoridis, Konstantinos, 2017. "Do macro shocks matter for equities?," Bank of England working papers 692, Bank of England.
- Allen, David, 2022. "Asset Pricing Tests, Endogeneity issues and Fama-French factors," MPRA Paper 113610, University Library of Munich, Germany.
- 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.
- Oleg Rytchkov & Xun Zhong, 2020. "Information Aggregation and P-Hacking," Management Science, INFORMS, vol. 66(4), pages 1605-1626, April.
- 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.
- Robin Greenwood & Samuel Hanson, 2013. "Waves in Ship Prices and Investment," NBER Working Papers 19246, National Bureau of Economic Research, Inc.
- Julian Kozlowski & Laura Veldkamp & Venky Venkateswaran, 2018.
"The Tail That Keeps the Riskless Rate Low,"
NBER Chapters, in: NBER Macroeconomics Annual 2018, volume 33, pages 253-283,
National Bureau of Economic Research, Inc.
- Julian Kozlowski & Laura Veldkamp & Venky Venkateswaran, 2019. "The Tail That Keeps the Riskless Rate Low," NBER Macroeconomics Annual, University of Chicago Press, vol. 33(1), pages 253-283.
- Julian Kozlowski & Laura Veldkamp & Venky Venkateswaran, 2018. "The Tail that Keeps the Riskless Rate Low," NBER Working Papers 24362, National Bureau of Economic Research, Inc.
- Julian Kozlowski & Laura Veldkamp & Venky Venkateswaran, 2018. "The Tail that Keeps the Riskless Rate Low," 2018 Meeting Papers 1111, Society for Economic Dynamics.
- Julian Kozlowski & Laura Veldkamp & Venky Venkateswaran, 2018. "The Tail that Keeps the Riskless Rate Low," Working Papers 18-01, New York University, Leonard N. Stern School of Business, Department of Economics.
- 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.
- Charles F. Manski, 2017. "Survey Measurement of Probabilistic Macroeconomic Expectations: Progress and Promise," NBER Working Papers 23418, National Bureau of Economic Research, Inc.
- Charles F. Manski, 2017. "Survey Measurement of Probabilistic Macroeconomic Expectations: Progress and Promise," NBER Chapters, in: NBER Macroeconomics Annual 2017, volume 32, pages 411-471, National Bureau of Economic Research, Inc.
- 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.
- Tom Engsted & Simon J. Hviid & Thomas Q. Pedersen, 2015. "Explosive bubbles in house prices? Evidence from the OECD countries," CREATES Research Papers 2015-01, Department of Economics and Business Economics, Aarhus University.
- 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).
- 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.
- 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.
- 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.
- Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
- 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.).
- Andrew Y Chen & Tom Zimmermann & Jeffrey Pontiff, 2020. "Publication Bias and the Cross-Section of Stock Returns," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(2), pages 249-289.
- Benjamin Keefer, 2016. "Sensitization and Extraordinary Persistence," Working Papers 2016-01, Carleton College, Department of Economics.
- Belloni, Alexandre & Chen, Mingli & Madrid Padilla, Oscar Hernan & Wang, Zixuan (Kevin), 2019.
"High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing,"
The Warwick Economics Research Paper Series (TWERPS)
1230, University of Warwick, Department of Economics.
- 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.
- Auh, Jun Kyung & Cho, Wonho, 2023. "Factor-based portfolio optimization," Economics Letters, Elsevier, vol. 228(C).
- 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.
- 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.
- Choi, Jaehyung, 2012. "Spontaneous symmetry breaking of arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3206-3218.
- 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.
- 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.
- Martin, Ian & Nagel, Stefan, 2019.
"Market Efficiency in the Age of Big Data,"
CEPR Discussion Papers
14235, C.E.P.R. Discussion Papers.
- Ian Martin & Stefan Nagel, 2019. "Market Efficiency in the Age of Big Data," CESifo Working Paper Series 8015, CESifo.
- Martin, Ian W.R. & Nagel, Stefan, 2022. "Market efficiency in the age of big data," Journal of Financial Economics, Elsevier, vol. 145(1), pages 154-177.
- Ian Martin & Stefan Nagel, 2019. "Market Efficiency in the Age of Big Data," NBER Working Papers 26586, National Bureau of Economic Research, Inc.
- Martin, Ian W.R. & Nagel, Stefan, 2022. "Market efficiency in the age of big data," LSE Research Online Documents on Economics 112960, London School of Economics and Political Science, LSE Library.
- Niels J. Gormsen & Ralph S. J. Koijen, 2020.
"Coronavirus: Impact on Stock Prices and Growth Expectations,"
NBER Working Papers
27387, National Bureau of Economic Research, Inc.
- Niels Joachim Gormsen & Ralph S J Koijen & Nikolai Roussanov, 0. "Coronavirus: Impact on Stock Prices and Growth Expectations," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(4), pages 574-597.
- Koijen, Ralph & Gormsen, Niels Joachim, 2020. "Coronavirus: Impact on Stock Prices and Growth Expectations," CEPR Discussion Papers 14875, C.E.P.R. Discussion Papers.
- Lin, Qi, 2018. "Technical analysis and stock return predictability: An aligned approach," Journal of Financial Markets, Elsevier, vol. 38(C), pages 103-123.
- ÅžimÅŸek, Alp & Caballero, Ricardo, 2019.
"Prudential Monetary Policy,"
CEPR Discussion Papers
13832, C.E.P.R. Discussion Papers.
- Ricardo J. Caballero & Alp Simsek, 2019. "Prudential Monetary Policy," NBER Working Papers 25977, National Bureau of Economic Research, Inc.
- Constantin Charles & Cary D. Frydman & Mete Kilic, 2022. "Insensitive Investors," CESifo Working Paper Series 10067, CESifo.
- Jank, Stephan, 2011.
"Mutual fund flows, expected returns, and the real economy,"
CFR Working Papers
11-04, University of Cologne, Centre for Financial Research (CFR).
- Jank, Stephan, 2012. "Mutual fund flows, expected returns, and the real economy," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3060-3070.
- 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.
- Ivan Jaccard & Gauthier Vermandel & Ghassane Benmir, 2022.
"Green asset pricing,"
Working Papers
hal-03510811, HAL.
- Benmir, Ghassane & Jaccard, Ivan & Vermandel, Gauthier, 2020. "Green asset pricing," Working Paper Series 2477, European Central Bank.
- 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.
- 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.
- 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).
- Demetrescu, Matei & Rodrigues, Paulo MM & Taylor, AM Robert, 2022. "Transformed Regression-based Long-Horizon Predictability Tests," Essex Finance Centre Working Papers 30620, University of Essex, Essex Business School.
- 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.
- 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.
- Matthijs Lof, 2015.
"Rational Speculators, Contrarians, and Excess Volatility,"
Management Science, INFORMS, vol. 61(8), pages 1889-1901, August.
- Lof, Matthijs, 2012. "Rational Speculators, Contrarians and Excess Volatility," MPRA Paper 43490, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- Guofu Zhou, 2018. "Measuring Investor Sentiment," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 239-259, November.
- 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.
- 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.
- Jacob Boudoukh & Ronen Israel & Matthew P. Richardson, 2020. "Biases in Long-Horizon Predictive Regressions," NBER Working Papers 27410, National Bureau of Economic Research, Inc.
- 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.
- ÅžimÅŸek, Alp, 2021. "The Macroeconomics of Financial Speculation," CEPR Discussion Papers 15733, C.E.P.R. Discussion Papers.
- 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).
- David Edmund Allen & Elisa Luciano, 2019. "Risk Analysis and Portfolio Modelling," JRFM, MDPI, vol. 12(4), pages 1-4, September.
- 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).
- Marie Briere & Ariane Szafarz, 2015. "Factor-Based v. Industry-Based Asset Allocation: The Contest," Working Papers CEB 15-035, ULB -- Universite Libre de Bruxelles.
- 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).
- 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.
- 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.
- 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.
- 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.
- 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.
- Billio, Monica & Caporin, Massimiliano & Panzica, Roberto & Pelizzon, Loriana, 2023. "The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 196-223.
- Martin Lettau & Markus Pelger, 2018.
"Factors that Fit the Time Series and Cross-Section of Stock Returns,"
NBER Working Papers
24858, National Bureau of Economic Research, Inc.
- Martin Lettau & Markus Pelger & Stijn Van Nieuwerburgh, 2020. "Factors That Fit the Time Series and Cross-Section of Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2274-2325.
- 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.
- Kozak, Serhiy & Nagel, Stefan & Santosh, Shrihari, 2020.
"Shrinking the cross-section,"
Journal of Financial Economics, Elsevier, vol. 135(2), pages 271-292.
- Serhiy Kozak & Stefan Nagel & Shrihari Santosh, 2017. "Shrinking the Cross Section," NBER Working Papers 24070, National Bureau of Economic Research, Inc.
- Nagel, Stefan & Santosh, Shrihari & Kozak, Serhiy, 2017. "Shrinking the Cross Section," CEPR Discussion Papers 12463, C.E.P.R. Discussion Papers.
- 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.
- Miguel Leon-Ledesma & Katsuyuki Shibayama, 2023. "(Endogenous) Growth Slowdowns," Studies in Economics 2303, School of Economics, University of Kent.
- Farmer, Roger, 2019.
"The Indeterminacy School in Macroeconomics,"
CEPR Discussion Papers
13745, C.E.P.R. Discussion Papers.
- Roger E.A. Farmer, 2019. "The Indeterminacy School in Macroeconomics," NBER Working Papers 25879, National Bureau of Economic Research, Inc.
- 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.
- Thiago De Oliveira Souza, 2013. "Discount Rates, Market Frictions and the Mystery of the Size Premium," Working Papers ECARES ECARES 2013-43, ULB -- Universite Libre de Bruxelles.
- Thiago de Oliveira Souza, 2013. "Discount rates, market frictions and the mystery of the size premium," 2013 Papers pde868, Job Market Papers.
- 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.
- Chen, Jian & Tang, Guohao & Yao, Jiaquan & Zhou, Guofu, 2023. "Employee sentiment and stock returns," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
- Adam Goliński & João Madeira & Dooruj Rambaccussing, 2015.
"Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices,"
Dundee Discussion Papers in Economics
284, Economic Studies, University of Dundee.
- 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).
- Souza, Thiago de Oliveira, 2020. "Dollar carry timing," Discussion Papers on Economics 10/2020, University of Southern Denmark, Department of Economics.
- 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).
- 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.
- M. Isoré & U. Szczerbowicz, 2016.
"Disaster Risk and Preference Shifts in a New Keynesian Model,"
Working papers
614, Banque de France.
- Marlène Isoré & Urszula Szczerbowicz, 2015. "Disaster Risk and Preference Shifts in a New Keynesian Model," Working Papers 2015-16, CEPII research center.
- Isoré, Marlène & Szczerbowicz, Urszula, 2017. "Disaster risk and preference shifts in a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 97-125.
- Isoré, Marlène & Szczerbowicz, Urszula, 2015. "Disaster risk and preference shifts in a New Keynesian model," MPRA Paper 65643, University Library of Munich, Germany.
- Willi Semmler & Stefan Mittnik, 2012. "Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR," EcoMod2012 4122, EcoMod.
- 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.
- 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.
- Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2020.
"Factor Timing,"
NBER Working Papers
26708, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- Cars Hommes & Daan in't Veld, 2015. "Booms, Busts and Behavioural Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers 15-088/II, Tinbergen Institute.
- Hommes, C.H. & in 't Veld, D., 2014. "Booms, busts and behavioural heterogeneity in stock prices," CeNDEF Working Papers 14-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- 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).
- Jaccard, Ivan, 2018. "Stochastic discounting and the transmission of money supply shocks," Working Paper Series 2174, European Central Bank.
- Danny Yagan, 2014. "Riding the Bubble? Chasing Returns into Illiquid Assets," NBER Working Papers 20360, National Bureau of Economic Research, Inc.
- Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2019. "Financial Market Risk Perceptions and the Macroeconomy," NBER Working Papers 26290, National Bureau of Economic Research, Inc.
- 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.
- 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.).
- 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.
- Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
- 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.
- 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.
- 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.
- 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.
- 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.
- Clifford S. Asness & Andrea Frazzini & Lasse Heje Pedersen, 2019. "Quality minus junk," Review of Accounting Studies, Springer, vol. 24(1), pages 34-112, March.
- 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.
- Nitschka, Thomas, 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, Elsevier, vol. 22(3), pages 118-124.
- 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.
- 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.
- 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.
- 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.
- Mr. Sohrab Rafiq, 2015. "How Important are Debt and Growth Expectations for Interest Rates?," IMF Working Papers 2015/094, International Monetary Fund.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2018.
"Dissecting Characteristics Nonparametrically,"
CESifo Working Paper Series
7187, CESifo.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 6391, CESifo.
- 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.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," NBER Working Papers 23227, National Bureau of Economic Research, Inc.
- Dahlquist, Magnus & Pénasse, Julien, 2022. "The missing risk premium in exchange rates," Journal of Financial Economics, Elsevier, vol. 143(2), pages 697-715.
- 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).
- 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.).
- Breinlich, Holger, 2014.
"Heterogeneous firm-level responses to trade liberalization: A test using stock price reactions,"
Journal of International Economics, Elsevier, vol. 93(2), pages 270-285.
- Breinlich, Holger, 2011. "Heterogeneous Firm-Level Responses to Trade Liberalization: A Test Using Stock Price Reactions," CEPR Discussion Papers 8600, C.E.P.R. Discussion Papers.
- 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.
- Breinlich, Holger, 2011. "Heterogeneous firm-level responses to trade liberalisation: a test using stock price reactions," LSE Research Online Documents on Economics 121748, London School of Economics and Political Science, LSE Library.
- Vassilis Polimenis & Ioannis Neokosmidis, 2019.
"Non-stationary dividend-price ratios,"
Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 552-567, December.
- Vassilis Polimenis & Ioannis Neokosmidis, 2019. "Non-Stationary Dividend-Price Ratios," Papers 1902.06053, arXiv.org.
- Chava, Sudheer & Gallmeyer, Michael & Park, Heungju, 2015. "Credit conditions and stock return predictability," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 117-132.
- 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.
- Bollerslev, Tim & Xu, Lai & Zhou, Hao, 2015. "Stock return and cash flow predictability: The role of volatility risk," Journal of Econometrics, Elsevier, vol. 187(2), pages 458-471.
- 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.
- Victoria Galsband & Dr. Thomas Nitschka, 2013. "Currency excess returns and global downside market risk," Working Papers 2013-07, Swiss National Bank.
- 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.
- 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.
- Matteo Maggiori & Stefano Giglio & Johannes Stroebel, "undated". "No-Bubble Condition: Model-Free Tests in Housing Markets," Working Paper 181786, Harvard University OpenScholar.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014. "No-Bubble Condition: Model-free Tests in Housing Markets," NBER Working Papers 20154, National Bureau of Economic Research, Inc.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2016. "No‐Bubble Condition: Model‐Free Tests in Housing Markets," Econometrica, Econometric Society, vol. 84, pages 1047-1091, May.
- 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.
- B. Li & S. Boubaker & Z. Liu & W. Louhichi & Y. Yao, 2023. "Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China," Post-Print hal-04435519, HAL.
- 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.
- 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.
- Anna Kovner & Peter Van Tassel, 2018. "Evaluating regulatory reform: banks’ cost of capital and lending," Staff Reports 854, Federal Reserve Bank of New York.
- Pontus Rendahl & Renato Faccini, 2016. "Unemployment Insurance and Unemployment Volatility," 2016 Meeting Papers 910, Society for Economic Dynamics.
- 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.
- 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.
- Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2019. "Estimation of Large Dimensional Conditional Factor Models in Finance," Swiss Finance Institute Research Paper Series 19-46, Swiss Finance Institute.
- 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.
- 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.
- 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.
- 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.
- Usman Ali & David Hirshleifer, 2018.
"Shared Analyst Coverage: Unifying Momentum Spillover Effects,"
NBER Working Papers
25201, National Bureau of Economic Research, Inc.
- Ali, Usman & Hirshleifer, David, 2020. "Shared analyst coverage: Unifying momentum spillover effects," Journal of Financial Economics, Elsevier, vol. 136(3), pages 649-675.
- 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.
- Ricardo J. Caballero & Alp Simsek, 2017.
"A Risk-centric Model of Demand Recessions and Speculation,"
NBER Working Papers
23614, National Bureau of Economic Research, Inc.
- ÅžimÅŸek, Alp & Caballero, Ricardo, 2019. "A Risk-centric Model of Demand Recessions and Speculation," CEPR Discussion Papers 13815, C.E.P.R. Discussion Papers.
- Ricardo J Caballero & Alp Simsek, 2020. "A Risk-Centric Model of Demand Recessions and Speculation," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 135(3), pages 1493-1566.
- 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.
- 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.
- 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).
- 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.
- 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.
- 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.
- Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019.
"A diagnostic criterion for approximate factor structure,"
Journal of Econometrics, Elsevier, vol. 212(2), pages 503-521.
- Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016. "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series 16-51, Swiss Finance Institute, revised Dec 2016.
- Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "A diagnostic criterion for approximate factor structure," Papers 1612.04990, arXiv.org, revised Aug 2017.
- Rahul Roy & Santhakumar Shijin, 2018. "A six-factor asset pricing model," Papers 1810.07790, arXiv.org.
- Dou, Winston Wei & Ji, Yan & Wu, Wei, 2021. "Competition, profitability, and discount rates," Journal of Financial Economics, Elsevier, vol. 140(2), pages 582-620.
- 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).
- 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.
- 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.
- Joel M. David & Lukas Schmid & David Zeke, 2020. "Risk-Adjusted Capital Allocation and Misallocation," Working Paper Series WP-2020-34, Federal Reserve Bank of Chicago.
- Schmid, Lukas & David, Joel & Zeke, David, 2018. "Risk-Adjusted Capital Allocation and Misallocation," CEPR Discussion Papers 13205, C.E.P.R. Discussion Papers.
- 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).
- 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.
- 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.
- 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.
- Martin Lettau & Matteo Maggiori & Michael Weber, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," NBER Working Papers 18844, National Bureau of Economic Research, Inc.
- Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2014. "Conditional risk premia in currency markets and other asset classes," Journal of Financial Economics, Elsevier, vol. 114(2), pages 197-225.
- 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).
- 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.
- Flint O'Neil, 2020. "Existence and Uniqueness of Recursive Utility Models in $L_p$," Papers 2005.07067, arXiv.org.
- 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.
- Goulding, Christian L. & Harvey, Campbell R. & Mazzoleni, Michele G., 2023. "Momentum turning points," Journal of Financial Economics, Elsevier, vol. 149(3), pages 378-406.
- Møller, Stig V. & Sander, Magnus, 2017. "Dividends, earnings, and predictability," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 153-163.
- 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.
- 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.
- Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
- 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.
- 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.
- John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2023.
"Commodity futures return predictability and intertemporal asset pricing,"
Post-Print
hal-04192933, HAL.
- John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2020. "Commodity Futures Return Predictability and Intertemporal Asset Pricing," Working Papers 202011, Geary Institute, University College Dublin.
- Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023. "Commodity futures return predictability and intertemporal asset pricing," Journal of Commodity Markets, Elsevier, vol. 31(C).
- Naji Massad & Jørgen Vitting Andersen, 2020. "Defining an intrinsic "stickiness" parameter of stock price returns," Post-Print halshs-03483251, HAL.
- Ai, Hengjie & Li, Kai & Yang, Fang, 2020.
"Financial intermediation and capital reallocation,"
Journal of Financial Economics, Elsevier, vol. 138(3), pages 663-686.
- Kai Li & Fang Yang & Hengjie Ai, 2015. "Financial Intermediation and Capital Reallocation," 2015 Meeting Papers 429, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- 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.
- Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2018. "High-frequency Cash Flow Dynamics," Working Papers 120, Brandeis University, Department of Economics and International Business School.
- 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.
- 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.
- 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.
- Mark Egan & Alexander MacKay & Hanbin Yang, 2022. "Recovering Investor Expectations from Demand for Index Funds [American Association of Individual Investors (AAII) Investor Sentiment Survey]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(5), pages 2559-2599.
- 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).
- 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.
- 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.
- 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.
- Nneji, Ogonna, 2015. "Liquidity shocks and stock bubbles," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 132-146.
- 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).
- Hall, Jamie, 2012. "Consumption dynamics in general equilibrium," MPRA Paper 43933, University Library of Munich, Germany.
- 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.
- Joao Sousa Andrade & Irina Syssoyeva-Masson, 2016. "Investigating the presence of long memory in debt series and its relation with growth," EcoMod2016 9627, EcoMod.
- 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.
- 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.
- 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.
- 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.
- 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.).
- 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.
- 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).
- 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.
- 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.
- 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.
- Cujean, Julien & Andrei, Daniel & Wilson, Mungo, 2018. "The Lost Capital Asset Pricing Model," CEPR Discussion Papers 12607, C.E.P.R. Discussion Papers.
- 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.
- 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.
- 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.
- 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.
- Olivier Mesly & Imed Chkir & François-Éric Racicot, 2018. "Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?," Post-Print hal-01924972, HAL.
- Lan, Chunhua & Doan, Bao, 2022. "Stock price movements: Evidence from global equity markets," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 123-143.
- Qihui Chen, 2022. "A Unified Framework for Estimation of High-dimensional Conditional Factor Models," Papers 2209.00391, arXiv.org.
- John R. Graham, 2022. "Presidential Address: Corporate Finance and Reality," Journal of Finance, American Finance Association, vol. 77(4), pages 1975-2049, August.
- 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.
- 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.
- Bradley Jones, 2014. "Identifying Speculative Bubbles: A Two-Pillar Surveillance Framework," IMF Working Papers 2014/208, International Monetary Fund.
- 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.
- 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.
- 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.
- Yu, Deshui & Huang, Difang, 2023. "Cross-sectional uncertainty and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 321-340.
- Wei Liu & James W. Kolari, 2022. "Multifactor Market Indexes," JRFM, MDPI, vol. 15(4), pages 1-26, March.
- 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.
- Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
- 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.
- 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).
- 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.
- Constantinos Kardaras & Hyeng Keun Koo & Johannes Ruf, 2022. "Estimation of growth in fund models," Papers 2208.02573, arXiv.org.
- 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.
- Elliot Beck & Gianluca De Nard & Michael Wolf, 2023. "Improved inference in financial factor models," ECON - Working Papers 430, Department of Economics - University of Zurich.
- Bustamante, Maria Cecilia & Zucchi, Francesca, 2023. "Innovation, industry equilibrium, and discount rates," Working Paper Series 2835, European Central Bank.
- 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.
- 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.
- Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Matthew O'Brien & Andrei Shleifer, 2023.
"Long Term Expectations and Aggregate Fluctuations,"
NBER Working Papers
31578, National Bureau of Economic Research, Inc.
- 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, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Loïc Maréchal, 2023. "A tale of two premiums revisited," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(5), pages 580-614, May.
- Li, Zhiyong & Rao, Xiao, 2023. "Exploring the zoo of predictors for mutual fund performance in China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
- 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.
- Barrero, Jose Maria & Bloom, Nick & Davis, Steven J., 2020. "COVID-19 Is Also a Reallocation Shock," SocArXiv bw7vz, Center for Open Science.
- Jose Maria Barrero & Nicholas Bloom & Steven J. Davis, 2020. "COVID-19 Is Also a Reallocation Shock," NBER Working Papers 27137, National Bureau of Economic Research, Inc.
- Jose Maria Barrero & Nicholas Bloom & Steven J. Davis, 2020. "COVID-19 Is Also a Reallocation Shock," Working Papers 2020-60, Becker Friedman Institute for Research In Economics.
- 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.
- Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
- 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.
- 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.
- Beqiraj, Elton & Patella, Valeria & Tancioni, Massimiliano, 2021. "Fiscal stance and the sovereign risk pass-through," Economic Modelling, Elsevier, vol. 102(C).
- 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.
- 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.
- Michal Andrle, 2019. "The Present Value of Corporate Profits: A Forecasters' Survey Perspective," IMF Working Papers 2019/012, International Monetary Fund.
- Gonçalves, Andrei S., 2021. "The short duration premium," Journal of Financial Economics, Elsevier, vol. 141(3), pages 919-945.
- 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.
- 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.
- 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.
- 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.
- Atanasov, Victoria, 2018. "World output gap and global stock returns," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 181-197.
- Narayan, Paresh Kumar, 2019. "Can stale oil price news predict stock returns?," Energy Economics, Elsevier, vol. 83(C), pages 430-444.
- Dmitry Kuvshinov & Kaspar Zimmermann, 2018. "The Big Bang: Stock Market Capitalization in the Long Run," Working Papers 0136, European Historical Economics Society (EHES).
- Claudio Boido & Antonio Fasano, 2023. "Mean-variance investing with factor tilting," Risk Management, Palgrave Macmillan, vol. 25(2), pages 1-24, June.
- 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.
- 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.
- Samuel M. Hartzmark & David H. Solomon, 2020. "Reconsidering Returns," NBER Working Papers 27380, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.).
- 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.
- Kuvshinov, Dmitry & Zimmermann, Kaspar, 2018. "The Big Bang: Stock Market Capitalization in the Long Run," MPRA Paper 88581, University Library of Munich, Germany.
- 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.
- Robin Greenwood & Andrei Shleifer, "undated". "Expectations of Returns and Expected Returns," Working Paper 102501, Harvard University OpenScholar.
- Greenwood, Robin Marc & Shleifer, Andrei, 2014. "Expectations of Returns and Expected Returns," Scholarly Articles 11880390, Harvard University Department of Economics.
- Robin Greenwood & Andrei Shleifer, 2013. "Expectations of Returns and Expected Returns," NBER Working Papers 18686, National Bureau of Economic Research, Inc.
- Atif Ellahie, 2021. "Earnings beta," Review of Accounting Studies, Springer, vol. 26(1), pages 81-122, March.
- 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.
- Corry Bedwell & Ryan Guttridge, 2019. "Modern Asset Theory: A Framework for Successful Active Management," Papers 1903.09683, arXiv.org.
- 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.
- 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.
- Michael W. McCracken & Giorgio Valente, 2018. "Asymptotic Inference for Performance Fees and the Predictability of Asset Returns," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(3), pages 426-437, July.
- Hammami, Yacine & Zhu, Jie, 2020. "Understanding time-varying short-horizon predictability✰," Finance Research Letters, Elsevier, vol. 32(C).
- 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.
- Yoshiro Miwa, 2013. "How Strongly Do "Financing Constraints" Affect Firm Behavior? Japanese Corporate Investment since the Mid-1980s," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 9(1), pages 203-255, January.
- Andrew Paskaramoorthy & Terence van Zyl & Tim Gebbie, 2020. "A Framework for Online Investment Algorithms," Papers 2003.13360, arXiv.org.
- Holger Kraft & Eduardo S. Schwartz & Farina Weiss, 2013. "Growth Options and Firm Valuation," NBER Working Papers 18836, National Bureau of Economic Research, Inc.
- Walkshäusl, Christian, 2014. "The MAX effect: European evidence," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 1-10.
- Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
- 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.).
- 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.
- 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.
- Hung, Chiayu & Lai, Hung-Neng, 2022. "Information asymmetry and the profitability of technical analysis," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Cederburg, Scott & O’Doherty, Michael S., 2015. "Asset-pricing anomalies at the firm level," Journal of Econometrics, Elsevier, vol. 186(1), pages 113-128.
- 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.
- 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.
- Javier Estrada, 2023. "Multifactor funds: an early (bearish) assessment," Journal of Asset Management, Palgrave Macmillan, vol. 24(4), pages 299-311, July.
- 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.
- Gabriel Zsurkis, 2022. "Determinants of cost of equity for listed euro area banks," Working Papers w202209, Banco de Portugal, Economics and Research Department.
- 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).
- de Oliveira Souza, Thiago, 2018. "Red tape asset pricing," Discussion Papers on Economics 8/2018, University of Southern Denmark, Department of Economics.
- Borup, Daniel, 2019. "Asset pricing model uncertainty," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 166-189.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2018.
"Predictability Hidden by Anomalous Observations,"
School of Economics Discussion Papers
0418, School of Economics, University of Surrey.
- Lorenzo Camponovo & O. Scaillet & Fabio Trojani, 2013. "Predictability Hidden by Anomalous Observations," Swiss Finance Institute Research Paper Series 13-05, Swiss Finance Institute.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2016. "Predictability Hidden by Anomalous Observations," Papers 1612.05072, arXiv.org.
- Emanuel Kopp & Peter D. Williams, 2018. "A Macroeconomic Approach to the Term Premium," IMF Working Papers 2018/140, International Monetary Fund.
- 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.
- Chevillon, Guillaume & Mavroeidis, Sophocles, 2018. "Perpetual learning and apparent long memory," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 343-365.
- 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.
- 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.
- 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.
- 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.
- Misha van Beek, 2020. "Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation," Papers 2004.09042, arXiv.org.
- 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).
- Geertsema, Paul & Lu, Helen, 2020. "The correlation structure of anomaly strategies," Journal of Banking & Finance, Elsevier, vol. 119(C).
- 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.
- Hongqi Liu & Cameron Peng & Wei A. Xiong & Wei Xiong, 2020. "Taming the Bias Zoo," NBER Working Papers 26911, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Carter Davis, 2023. "The Elasticity of Quantitative Investment," Papers 2303.14533, arXiv.org.
- Jin, Lawrence J. & Sui, Pengfei, 2022. "Asset pricing with return extrapolation," Journal of Financial Economics, Elsevier, vol. 145(2), pages 273-295.
- 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.
- Hongye Guo & Jessica A. Wachter, 2019. ""Superstitious" Investors," NBER Working Papers 25603, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- John B. Donaldson & Rajnish Mehra, 2019. "Average Crossing Time: An Alternative Characterization of Mean Aversion and Reversion," NBER Working Papers 25519, National Bureau of Economic Research, Inc.
- Shimon Kogan & Vitaly Meursault, 2021. "Corporate Disclosure: Facts or Opinions?," Working Papers 21-40, Federal Reserve Bank of Philadelphia.
- 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).
- 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.
- Peter Van Tassel, 2016. "Merger options and risk arbitrage," Staff Reports 761, Federal Reserve Bank of New York.
- 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.
- 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.
- 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.
- Hollstein, Fabian & Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2019.
"International tail risk and World Fear,"
Journal of International Money and Finance, Elsevier, vol. 93(C), pages 244-259.
- 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.
- Ilut, Cosmin & Saijo, Hikaru, 2021. "Learning, confidence, and business cycles," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 354-376.
- Jonathan Willis & Russell Cooper, 2015. "Discounting: Investment Sensitivity and Aggregate Implications," 2015 Meeting Papers 607, Society for Economic Dynamics.
- Adil Rengim Cetingoz & Olivier Gu'eant, 2023. "Factor Risk Budgeting and Beyond," Papers 2312.11132, arXiv.org.
- 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).
- Li, Yulin & Wald, John K. & Wang, Zijun, 2020. "Sovereign bonds, coskewness, and monetary policy regimes," Journal of Financial Stability, Elsevier, vol. 50(C).
- Andras Fulop & Jun Yu, 2017.
"Bayesian Analysis of Bubbles in Asset Prices,"
Econometrics, MDPI, vol. 5(4), pages 1-23, October.
- Andras Fulop & Jun Yu, 2014. "Bayesian Analysis of Bubbles in Asset Prices," Working Papers 04-2014, Singapore Management University, School of Economics.
- 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.
- 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.
- Piccotti, Louis R., 2017. "Financial contagion risk and the stochastic discount factor," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 230-248.
- 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.
- 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.
- 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.
- 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.
- John H. Cochrane, 2013.
"Finance: Function Matters, Not Size,"
Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 29-50, Spring.
- John H. Cochrane, 2013. "Finance: Function Matters, not Size," NBER Working Papers 18944, National Bureau of Economic Research, Inc.
- George P. Gao & Xiaomeng Lu & Zhaogang Song, 2019. "Tail Risk Concerns Everywhere," Management Science, INFORMS, vol. 65(7), pages 3111-3130, July.
- 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.
- Robert E. Hall, 2017.
"High Discounts and High Unemployment,"
American Economic Review, American Economic Association, vol. 107(2), pages 305-330, February.
- Robert E. Hall, 2014. "High Discounts and High Unemployment," NBER Working Papers 19871, National Bureau of Economic Research, Inc.
- 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.
- Yung, Julieta, 2021.
"Can interest rate factors explain exchange rate fluctuations?,"
Journal of Empirical Finance, Elsevier, vol. 61(C), pages 34-56.
- Julieta Yung, 2014. "Can interest rate factors explain exchange rate fluctuations?," Globalization Institute Working Papers 207, Federal Reserve Bank of Dallas.
- 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).
- 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).
- 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.
- 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.
- Herculano, Miguel C. & Lütkebohmert, Eva, 2023. "Investor sentiment and global economic conditions," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 134-152.
- 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).
- 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.
- 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.
- 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.
- 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.
- Bank, Matthias & Insam, Franz, 2021. "Corporate aging and changes in the pricing of stock characteristics," Finance Research Letters, Elsevier, vol. 42(C).
- 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.
- 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.
- 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.
- Ward, Colin, 2020. "Is the IT revolution over? An asset pricing view," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 283-316.
- 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.
- Bogousslavsky, Vincent, 2021. "The cross-section of intraday and overnight returns," Journal of Financial Economics, Elsevier, vol. 141(1), pages 172-194.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Hamidi Sahneh, Mehdi, 2017. "News, Noise, and Tests of Present Value Models," MPRA Paper 82715, University Library of Munich, Germany.
- Rahul Roy & Santhakumar Shijin, 2018. "A six-factor asset pricing model," Post-Print hal-01878923, HAL.
- 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.
- 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.
- 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.
- 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.
- 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.
- Naji Massad & J{o}rgen Vitting Andersen, 2020. "Defining an intrinsic stickiness parameter of stock price returns," Papers 2005.02351, arXiv.org.
- 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.
- Arash, Aloosh, 2011. "Variance Risk Premium Differentials and Foreign Exchange Returns," MPRA Paper 40829, University Library of Munich, Germany, revised 18 Aug 2012.
- Niels Joachim Gormsen, 2021. "Time Variation of the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(4), pages 1959-1999, August.
- 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.
- 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).
- 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.).
- 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.
- 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).
- 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).
- Ifrim, Adrian, 2023. "Sentimental Discount Rate Shocks," EconStor Preprints 268363, ZBW - Leibniz Information Centre for Economics.
- Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
- 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.
- Eugene F. Fama, 2014. "Two Pillars of Asset Pricing," American Economic Review, American Economic Association, vol. 104(6), pages 1467-1485, June.
- Golez, Benjamin & Koudijs, Peter, 2018. "Four centuries of return predictability," Journal of Financial Economics, Elsevier, vol. 127(2), pages 248-263.
- 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.
- John H. Cochrane, 2017.
"Macro-Finance,"
Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
- John H. Cochrane, 2016. "Macro-Finance," NBER Working Papers 22485, National Bureau of Economic Research, Inc.
- 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.
- de Oliveira Souza, Thiago, 2019. "A critique of momentum anomalies," Discussion Papers on Economics 5/2019, University of Southern Denmark, Department of Economics.
- Gârleanu, Nicolae & Pedersen, Lasse Heje, 2016. "Dynamic portfolio choice with frictions," Journal of Economic Theory, Elsevier, vol. 165(C), pages 487-516.
- 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.
- 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).
- 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.
- 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.
- Guanhao Feng & Jingyu He, 2019. "Factor Investing: A Bayesian Hierarchical Approach," Papers 1902.01015, arXiv.org, revised Sep 2020.
- 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.
- 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.
- B. De Backer, 2018. "Does financial market volatility influence the real economy?," Economic Review, National Bank of Belgium, issue iv, pages 107-124, december.
- 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.
- Julien Pénasse, 2022. "Understanding Alpha Decay," Management Science, INFORMS, vol. 68(5), pages 3966-3973, May.
- Lin, Qi & Lin, Xi, 2021. "Cash conversion cycle and aggregate stock returns," Journal of Financial Markets, Elsevier, vol. 52(C).
- 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.
- 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:
- 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).
- Dooruj Rambaccussing, 2015. "Modelling Housing Prices using a Present Value State Space Model," Dundee Discussion Papers in Economics 285, Economic Studies, University of Dundee.
- Rambaccussing, Dooruj, 2015. "Modelling Housing Prices using a Present Value State Space Model," SIRE Discussion Papers 2015-32, Scottish Institute for Research in Economics (SIRE).
- 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.
- Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
- 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.
- Heise, Arne, 2014. "The Future of Economics in a Lakatos–Bourdieu Framework," MPRA Paper 80024, University Library of Munich, Germany.
- 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.
- Paolo Gelain & Kevin J. Lansing, 2013.
"House prices, expectations, and time-varying fundamentals,"
Working Paper
2013/05, Norges Bank.
- Gelain, Paolo & Lansing, Kevin J., 2014. "House prices, expectations, and time-varying fundamentals," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 3-25.
- Paolo Gelain & Kevin J. Lansing, 2013. "House Prices, Expectations, and Time-Varying Fundamentals," Working Paper Series 2013-03, Federal Reserve Bank of San Francisco.
- 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.
- 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.
- Stijn Claessens & M. Ayhan Kose, 2017.
"Asset prices and macroeconomic outcomes: A survey,"
CAMA Working Papers
2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1718, Koc University-TUSIAD Economic Research Forum.
- Claessens,Stijn & Kose,Ayhan, 2017. "Asset prices and macroeconomic outcomes : a survey," Policy Research Working Paper Series 8259, The World Bank.
- Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
- Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
- 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).
- 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.
- Hendrik P. van Dalen, 2019. "Values of Economists Matter in the Art and Science of Economics," Kyklos, Wiley Blackwell, vol. 72(3), pages 472-499, August.
- van Dalen, Hendrik Peter, 2019. "Do the Values of Economists Matter in the Art and Science of Economics?," Discussion Paper 2019-004, Tilburg University, Center for Economic Research.
- van Dalen, Hendrik Peter, 2019. "Values of economists matter in the art and science of economics," Other publications TiSEM eb9877cc-e840-4625-bcee-9, Tilburg University, School of Economics and Management.
- 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.
- Francesco Marchionne & Beniamino Pisicoli & Michele Fratianni, 2017.
"Regulation, financial crises, and liberalization traps,"
Mo.Fi.R. Working Papers
143, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
- Francesco Marchionne & Beniamino Pisicali & Michele Fratianni, 2019. "Regulation, Financial Crises, and Liberalization Traps," CESifo Working Paper Series 7724, CESifo.
- Marchionne, Francesco & Pisicoli, Beniamino & Fratianni, Michele, 2022. "Regulation, financial crises, and liberalization traps," Journal of Financial Stability, Elsevier, vol. 63(C).
- 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.
- Beckers, Benjamin & Bernoth, Kerstin, 2016. "Monetary Policy and Asset Mispricing," VfS Annual Conference 2016 (Augsburg): Demographic Change 145684, Verein für Socialpolitik / German Economic Association.
- 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.
- 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).
- Arne Heise, 2018. "Reclaiming the University: transforming economics as a discipline," The Journal of Philosophical Economics, Bucharest Academy of Economic Studies, The Journal of Philosophical Economics, vol. 11(2), pages 37-66, May.
- 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.
- 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).
- 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.
- John H. Cochrane, 2010. "Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic," NBER Working Papers 16087, National Bureau of Economic Research, Inc.
- 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.
- John H. Cochrane, 2007. "Determinacy and Identification with Taylor Rules," NBER Working Papers 13410, National Bureau of Economic Research, Inc.
- John H. Cochrane, 2007. "Determinacy and Identification with Taylor Rules," NBER Working Papers 13409, National Bureau of Economic Research, Inc.
- 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:
- 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.
- Li, Kui-Wai, 2012. "The US monetary performance prior to the 2008 crisis," MPRA Paper 41036, University Library of Munich, Germany.
- 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.
- 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.
- Anat R. Admati & Peter M. DeMarzo & Martin F. Hellwig & Paul Pfleiderer, 2013. "The Leverage Ratchet Effect," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2013_13, Max Planck Institute for Research on Collective Goods, revised Sep 2017.
- Admati, Anat R. & DeMarzo, Peter M. & Hellwig, Martin F. & Pfleiderer, Paul, 2017. "The Leverage Ratchet Effect," Research Papers repec:ecl:stabus:3029, Stanford University, Graduate School of Business.
- Anat R. Admati & Peter M. Demarzo & Martin F. Hellwig & Paul Pfleiderer, 2018. "The Leverage Ratchet Effect," Journal of Finance, American Finance Association, vol. 73(1), pages 145-198, February.
- Admati, Anat R. & DeMarzo, Peter M. & Hellwig, Martin F. & Pfleiderer, Paul, 2015. "The Leverage Ratchet Effect," Research Papers 3435, Stanford University, Graduate School of Business.
- 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.
- Dimitrios Tsomocos & Alexandros Vardoulakis & Anil Kashyap, 2015.
"How does macroprudential regulation change bank credit supply?,"
2015 Meeting Papers
1338, Society for Economic Dynamics.
- 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.
- Jungherr, Joachim, 2018.
"Bank opacity and financial crises,"
Journal of Banking & Finance, Elsevier, vol. 97(C), pages 157-176.
- Joachim Jungherr, 2016. "Bank Opacity and Financial Crises," Working Papers 882, Barcelona School of Economics.
- Carlos León & Clara Machado & Andrés Murcia, 2013.
"Macro-prudential assessment of Colombian financial institutions’ systemic importance,"
Borradores de Economia
11105, Banco de la Republica.
- Machado, C. & Murcia, A. & León, C., 2014. "Macro-Prudential Assessment of Colombian Financial Institutions’ Systemic Importance," Discussion Paper 2014-040, Tilburg University, Center for Economic Research.
- Carlos León & Clara Machado & Andrés Murcia, 2013. "Macro-prudential assessment of Colombian financial institutions’ systemic importance," Borradores de Economia 800, Banco de la Republica de Colombia.
- Machado, C. & Murcia, A. & León, C., 2014. "Macro-Prudential Assessment of Colombian Financial Institutions’ Systemic Importance," Other publications TiSEM 87eff4c2-5f54-41ad-ae95-2, Tilburg University, School of Economics and Management.
- 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.
- Leonard Nakamura, 2011. "Durable Financial Regulation: Monitoring Financial Instruments as a Counterpart to Regulating Financial Institutions," NBER Working Papers 17006, National Bureau of Economic Research, Inc.
- Leonard Nakamura, 2014. "Durable Financial Regulation: Monitoring Financial Instruments as a Counterpart to Regulating Financial Institutions," NBER Chapters, in: Measuring Wealth and Financial Intermediation and Their Links to the Real Economy, pages 67-88, National Bureau of Economic Research, Inc.
- Leonard I. Nakamura, 2010. "Durable financial regulation: monitoring financial instruments as a counterpart to regulating financial institutions," Working Papers 10-22, Federal Reserve Bank of Philadelphia.
- Mishkin, Frederic S., 2017. "Rethinking monetary policy after the crisis," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 252-274.
- Chakravarty, Surajeet & Choo, Lawrence & Fonseca, Miguel A. & Kaplan, Todd R., 2021.
"Should regulators always be transparent? a bank run experiment,"
European Economic Review, Elsevier, vol. 136(C).
- 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.
- 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.
- Frederic S. Mishkin, 2011. "Over the Cliff: From the Subprime to the Global Financial Crisis," Journal of Economic Perspectives, American Economic Association, vol. 25(1), pages 49-70, Winter.
- 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.
- Meixing Dai & François Barry, 2013.
"La dimension macro-prudentielle de la régulation financière introduite par Bâle III,"
Bulletin de l'Observatoire des politiques économiques en Europe, Observatoire des Politiques Économiques en Europe (OPEE), vol. 28(1), pages 25-35, June.
- Meixing Dai & François Barry, 2013. "La dimension macro-prudentielle de la régulation financière introduite par Bâle III," Post-Print hal-04080461, HAL.
- Freddy Cepeda L. & Fabio Ortega C., 2015.
"A dynamic approach to intraday liquidity needs,"
Borradores de Economia
877, Banco de la Republica de Colombia.
- Freddy Cepeda L. & Fabio Ortega C., 2015. "A dynamic approach to intraday liquidity needs," Borradores de Economia 12686, Banco de la Republica.
- 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.
- Chen, Yi & Du, Kai, 2020. "The role of information disclosure in financial intermediation with investment risk," Journal of Financial Stability, Elsevier, vol. 46(C).
- 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.
- 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.
- Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2010.
"Neglected Risks, Financial Innovation, and Financial Fragility,"
Working Papers
502, Barcelona School of Economics.
- Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2010. "Neglected Risks, Financial Innovation, and Financial Fragility," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.
- Gennaioli, Nicola & Shleifer, Andrei & Vishny, Robert, 2012. "Neglected Risks, Financial Innovation, and Financial Fragility," Scholarly Articles 10886835, Harvard University Department of Economics.
- Gennaioli, Nicola & Shleifer, Andrei & Vishny, Robert, 2012. "Neglected risks, financial innovation, and financial fragility," Journal of Financial Economics, Elsevier, vol. 104(3), pages 452-468.
- Nicola Gennaioli & Andrei Shleifer & Robert W. Vishny, 2010. "Neglected Risks, Financial Innovation, and Financial Fragility," NBER Working Papers 16068, National Bureau of Economic Research, Inc.
- Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2010. "Neglected risks, financial innovation and financial fragility," Economics Working Papers 1251, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010.
- 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.
- Boubaker, Sabri & Liu, Zhenya & Zhai, Ling, 2021.
"Big data, news diversity and financial market crash,"
Technological Forecasting and Social Change, Elsevier, vol. 168(C).
- Sabri Boubaker & Zhenya Liu & Ling Zhai, 2021. "Big data, news diversity and financial market crash," Post-Print hal-03511405, HAL.
- 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.
- 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.
- Martin F. Hellwig, 2021. "„Capitalism: What Has Gone Wrong?“ Who Went Wrong? Capitalism? The Market Economy? Governments? “Neoliberal” Economics?," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2021_15, Max Planck Institute for Research on Collective Goods.
- David Berger & Nicholas Turner & Eric Zwick, 2020.
"Stimulating Housing Markets,"
Journal of Finance, American Finance Association, vol. 75(1), pages 277-321, February.
- David Berger & Nicholas Turner & Eric Zwick, 2016. "Stimulating Housing Markets," NBER Working Papers 22903, National Bureau of Economic Research, Inc.
- Nicholas Turner & Eric Zwick & David Berger, 2016. "Stimulating Housing Markets," 2016 Meeting Papers 227, Society for Economic Dynamics.
- Carlos León, 2012. "Estimating financial institutions’ intraday liquidity risk: a Monte Carlo simulation approach," Borradores de Economia 703, Banco de la Republica de Colombia.
- 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.
- 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.
- 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.
- 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.
- 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.
- Holmen, Martin & Kirchler, Michael & Kleinlercher, Daniel, 2014. "Do option-like incentives induce overvaluation? Evidence from experimental asset markets," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 179-194.
- 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.
- 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.
- Gaetano Antinolfi & Francesca Carapella & Charles Kahn & Antoine Martin & David Mills & Ed Nosal, 2015. "Repos, Fire Sales, and Bankruptcy Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(1), pages 21-31, January.
- 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.
- Aizenman, Joshua & Pinto, Brian & Sushko, Vladyslav, 2013. "Financial sector ups and downs and the real sector in the open economy: Up by the stairs, down by the parachute," Emerging Markets Review, Elsevier, vol. 16(C), pages 1-30.
- 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.
- Jens Hilscher & Alon Raviv, 2012. "Bank stability and market discipline: The effect of contingent capital on risk taking and default probability," Working Papers 53, Brandeis University, Department of Economics and International Business School, revised Jan 2014.
- Jacques Pézier, 2011. "Rationalization of Investment Preference Criteria," ICMA Centre Discussion Papers in Finance icma-dp2011-12, Henley Business School, University of Reading.
- Farmer, J. Doyne & Goodhart, C. A. E. & Kleinnijenhuis, Alissa M., 2021.
"Systemic implications of the bail-in design,"
LSE Research Online Documents on Economics
111903, London School of Economics and Political Science, LSE Library.
- 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.
- Andrei Shleifer & Robert Vishny, 2011.
"Fire Sales in Finance and Macroeconomics,"
Journal of Economic Perspectives, American Economic Association, vol. 25(1), pages 29-48, Winter.
- Shleifer, Andrei & Vishny, Robert, 2011. "Fire Sales in Finance and Macroeconomics," Scholarly Articles 33077925, Harvard University Department of Economics.
- Andrei Shleifer & Robert W. Vishny, 2010. "Fire Sales in Finance and Macroeconomics," NBER Working Papers 16642, National Bureau of Economic Research, Inc.
- , 2016. "Funding Illiquidity," Working Papers on Finance 1601, University of St. Gallen, School of Finance, revised Sep 2019.
- 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.
- 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.
- 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.
- 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.
- Jozsef Mezei & Peter Sarlin, 2014. "Aggregation operators for the measurement of systemic risk," Papers 1412.5452, arXiv.org, revised Dec 2014.
- 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.
- 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.
- 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.
- Damjanovic, Tatiana & Damjanovic, Vladislav & Nolan, Charles, 2012. "Universal banking, competition and risk in a macro model," SIRE Discussion Papers 2012-19, Scottish Institute for Research in Economics (SIRE).
- Garcia-Macia, Daniel & Villacorta, Alonso, 2016.
"Macroprudential policy with liquidity panics,"
ESRB Working Paper Series
24, European Systemic Risk Board.
- 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.
- 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.
- Caterina Mendicino & Kalin Nikolov & Javier Suarez, 2017. "Equity versus Bail-in Debt in Banking: An Agency Perspective," Working Papers wp2017_1712, CEMFI.
- Mendicino, Caterina & Nikolov, Kalin & Suarez, Javier, 2017. "Equity versus bail-in debt in banking: an agency perspective," ESRB Working Paper Series 50, European Systemic Risk Board.
- 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.
- 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.
- 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.
- Brown, James R. & Martinsson, Gustav & Thomann, Christian, 2021. "Government lending in a crisis," Journal of Corporate Finance, Elsevier, vol. 71(C).
- 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.
- 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.
- 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.
- 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.
- 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.
- Gete, Pedro & Gómez, Juan-Pedro, 2015. "Compensation contracts and fire sales," Journal of Financial Stability, Elsevier, vol. 18(C), pages 154-171.
- 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).
- Frederic S. Mishkin, 2011. "Monetary Policy Strategy: Lessons from the Crisis," NBER Working Papers 16755, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Marine Charlotte André & Meixing Dai, 2019. "Politique macro-prudentielle dans la zone euro," Post-Print hal-04080472, HAL.
- 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.
- Samano, Daniel, 2011.
"In the quest of macroprudential policy tools,"
MPRA Paper
30738, University Library of Munich, Germany.
- Sámano Daniel, 2011. "In the Quest of Macroprudential Policy Tools," Working Papers 2011-17, Banco de México.
- Bo, Wang & Suli, Zheng, 2020. "Heterogeneous fragility, systematic panic and optimal transparency," Economics Letters, Elsevier, vol. 191(C).
- 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.
- Gera Kiewiet & Iman van Lelyveld & Sweder van Wijnbergen, 2017. "Contingent Convertibles: Can the Market Handle them?," Tinbergen Institute Discussion Papers 17-095/VI, Tinbergen Institute.
- Martínez, Constanza & León, Carlos, 2016.
"The cost of collateralized borrowing in the Colombian money market: Does connectedness matter?,"
Journal of Financial Stability, Elsevier, vol. 25(C), pages 193-205.
- 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.
- Constanza Martínez & Carlos León, 2014. "The Cost of Collateralized Borrowing in the Colombian Money Market: Does Connectedness Matter?," Borradores de Economia 803, Banco de la Republica de Colombia.
- 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.
- Annalisa Fabretti & Tommy Gärling & Stefano Herzel & Martin Holmen, 2015. "Convex Incentives in Financial Markets: an Agent-Based Analysis," CEIS Research Paper 337, Tor Vergata University, CEIS, revised 08 Apr 2015.
- Laurence J. Kotlikoff, 2018. "The Big Con – Reassessing the "Great" Recession and its "Fix"," NBER Working Papers 25213, National Bureau of Economic Research, Inc.
- 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.
- Carlos León, 2012. "Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints," Borradores de Economia 743, Banco de la Republica de Colombia.
- 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.
- Seyyed Mostafa Mousavi & Robert Mackay & Alistair Tucker, 2016. "Contagion and Stability in Financial Networks," Papers 1603.04099, arXiv.org.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Trigilia, Giulio, 2016. "Optimal Leverage and Strategic Disclosure," CRETA Online Discussion Paper Series 18, Centre for Research in Economic Theory and its Applications CRETA.
- Jessica A. Wachter & Michael Jacob Kahana, 2019. "A Retrieved-Context Theory Of Financial Decisions," NBER Working Papers 26200, National Bureau of Economic Research, Inc.
- Carlos Léon, 2012. "Estimating financial institutions´ intraday liquidity risk: a Monte Carlo simulation approach," Borradores de Economia 9441, Banco de la Republica.
- 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.
- Martin Keller-Ressel & Stephanie Nargang, 2020. "The hyperbolic geometry of financial networks," Papers 2005.00399, arXiv.org, revised May 2020.
- 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.
- 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.
- 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.
- 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.
- 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.
- Anat Admati, 2014.
"The Compelling Case for Stronger and More Effective Leverage Regulation in Banking,"
Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(71), pages 7-38, December.
- Admati, Anat R., 2014. "The Compelling Case for Stronger and More Effective Leverage Regulation in Banking," Research Papers 3030, Stanford University, Graduate School of Business.
- 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.
- Trigilia, Giulio, 2016. "Optimal Leverage and Strategic Disclosure," Economic Research Papers 269584, University of Warwick - Department of Economics.
- 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.
- Admati, Anat R. & DeMarzo, Peter M. & Hellwig, Martin F. & Pfleiderer, Paul, 2010.
"Fallacies, Irrelevant Facts, and Myths in the Discussion of Capital Regulation: Why Bank Equity Is Not Expensive,"
Research Papers
2065, Stanford University, Graduate School of Business.
- 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.
- 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.
- 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.
- 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.
- 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.
- Trigilia, Giulio, 2016. "Optimal Leverage and Strategic Disclosure," The Warwick Economics Research Paper Series (TWERPS) 1111, University of Warwick, Department of Economics.
- Hesse, Henning, 2018. "Incentive effects from write-down CoCo bonds: An empirical analysis," SAFE Working Paper Series 212, Leibniz Institute for Financial Research SAFE.
- 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.
- 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.
- 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.
- 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.
- 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.
- John H. Cochrane, 2009. "Can Learnability Save New-Keynesian Models?," NBER Working Papers 15459, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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:
- Michael D. Bauer, 2015.
"Restrictions on Risk Prices in Dynamic Term Structure Models,"
CESifo Working Paper Series
5241, CESifo.
- Michael D. Bauer, 2011. "Restrictions on Risk Prices in Dynamic Term Structure Models," Working Paper Series 2011-03, Federal Reserve Bank of San Francisco.
- 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.
- 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.
- 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.
- 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.
- 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.
- Michael D. Bauer, 2015.
"Restrictions on Risk Prices in Dynamic Term Structure Models,"
CESifo Working Paper Series
5241, CESifo.
- 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:
- 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.
- 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.
- 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.
- François Gourio & Michael Siemer & Adrien Verdelhan, 2011.
"International Risk Cycles,"
NBER Working Papers
17277, National Bureau of Economic Research, Inc.
- Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013. "International risk cycles," Journal of International Economics, Elsevier, vol. 89(2), pages 471-484.
- 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.).
- Martin Bodenstein, 2005. "International Asset Markets and Real Exchange Rate Volatility," 2005 Meeting Papers 352, Society for Economic Dynamics.
- Martin Bodenstein, 2008. "International Asset Markets and Real Exchange Rate Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(3), pages 688-705, July.
- Engel, Charles, 2014.
"Exchange Rates and Interest Parity,"
Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 453-522,
Elsevier.
- Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
- Gavazzoni, Federico & Santacreu, Ana Maria, 2020.
"International R&D spillovers and asset prices,"
Journal of Financial Economics, Elsevier, vol. 136(2), pages 330-354.
- Ana Maria Santacreu & Federico Gavazzoni, 2015. "International R&D Spillovers and Asset Prices," 2015 Meeting Papers 405, Society for Economic Dynamics.
- Federico Gavazzoni & Ana Maria Santacreu, 2015. "International R&D Spillovers and Asset Prices," Working Papers 2015-41, Federal Reserve Bank of St. Louis.
- 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.
- Giancarlo Corsetti & Luca Dedola & Francesca Viani, 2011. "Traded and Nontraded Goods Prices, and International Risk Sharing: an Empirical Investigation," NBER Working Papers 17501, National Bureau of Economic Research, Inc.
- Giancarlo Corsetti & Luca Dedola & Francesca Viani, 2012. "Traded and nontraded goods prices, and international risk sharing: an empirical investigation," Working Papers 1242, Banco de España.
- Corsetti, Giancarlo & Dedola, Luca & Viani, Francesca, 2011. "Traded and nontraded goods prices, and international risk sharing: an empirical investigation," CEPR Discussion Papers 8613, C.E.P.R. Discussion Papers.
- Giancarlo Corsetti & Luca Dedola & Francesca Viani, 2011. "Traded and Nontraded Goods Prices and International Risk Sharing: An Empirical Investigation," NBER Chapters, in: NBER International Seminar on Macroeconomics 2011, pages 403-466, National Bureau of Economic Research, Inc.
- Daragh Clancy & Lorenzo Ricci, 2019. "Loss aversion, economic sentiments and international consumption smoothing," Working Papers 35, European Stability Mechanism.
- 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.
- 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.
- Hakon Tretvoll, 2017. "Code and data files for "Real Exchange Variability in a Two-Country Business Cycle Model"," Computer Codes 13-34, Review of Economic Dynamics.
- 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.
- 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.
- Karen K. Lewis, 2011.
"Global Asset Pricing,"
Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
- Karen K. Lewis, 2011. "Global Asset Pricing," NBER Working Papers 17261, National Bureau of Economic Research, Inc.
- Karen K. Lewis, 2011. "Global asset pricing," Globalization Institute Working Papers 88, Federal Reserve Bank of Dallas.
- Adrien Verdelhan, 2006.
"A Habit-Based Explanation of the Exchange Rate Risk Premium,"
Computing in Economics and Finance 2006
217, Society for Computational Economics.
- Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series WP2006-047, Boston University - Department of Economics.
- Adrien Verdelhan, 2010. "A Habit‐Based Explanation of the Exchange Rate Risk Premium," Journal of Finance, American Finance Association, vol. 65(1), pages 123-146, February.
- Adrien Verdelhan, 2005. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series WP2005-032, Boston University - Department of Economics.
- Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," 2006 Meeting Papers 872, Society for Economic Dynamics.
- 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.
- Giuseppe Cavaliere & Luca Fanelli & Attilio Gardini, 2006.
"International dynamic risk sharing,"
Quaderni di Dipartimento
1, Department of Statistics, University of Bologna.
- 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.
- Oleg Itskhoki, 2020.
"The Story of the Real Exchange Rate,"
NBER Working Papers
28225, National Bureau of Economic Research, Inc.
- Itskhoki, Oleg, 2020. "The Story of the Real Exchange Rate," CEPR Discussion Papers 15572, C.E.P.R. Discussion Papers.
- Oleg Itskhoki, 2021. "The Story of the Real Exchange Rate," Annual Review of Economics, Annual Reviews, vol. 13(1), pages 423-455, August.
- 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.
- 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.
- Matteo Maggiori, 2013. "The U.S. Dollar Safety Premium," 2013 Meeting Papers 75, Society for Economic Dynamics.
- 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.
- Maurice J. Roche & Michael J. Moore, 2007. "Solving Exchange Rate Puzzles with neither Sticky Prices nor Trade Costs," Economics Department Working Paper Series n1750507, Department of Economics, National University of Ireland - Maynooth.
- Maurice J. Roche & Michael J. Moore, 2009. "Solving Exchange Rate Puzzles with neither Sticky Prices nor Trade Costs," Working Papers 001, Ryerson University, Department of Economics.
- Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
- 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).
- Matos, Paulo Rogério Faustino & Costa, Carlos Eugênio da & Issler, João Victor, 2007. "The forward- and the equity-premium puzzles: two symptoms of the same illness?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 649, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Costa, Carlos Eugênio da & Issler, João Victor & Matos, Paulo Rogério Faustino, 2012. "The forward- and the equity-premium puzzles: two symptoms of the same illness?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 732, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Costa, Carlos Eugênio da & Issler, João Victor & Matos, Paulo Rogério Faustino, 2010. "The forward- and the equity-premium puzzles: two symptoms of the same illness?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 712, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Adrien Verdelhan, 2012.
"The Share of Systematic Variation in Bilateral Exchange Rates,"
2012 Meeting Papers
763, Society for Economic Dynamics.
- Adrien Verdelhan, 2018. "The Share of Systematic Variation in Bilateral Exchange Rates," Journal of Finance, American Finance Association, vol. 73(1), pages 375-418, February.
- Arash Aloosh & Geert Bekaert, 2019.
"Currency Factors,"
NBER Working Papers
25449, National Bureau of Economic Research, Inc.
- Arash Aloosh & Geert Bekaert, 2022. "Currency Factors," Management Science, INFORMS, vol. 68(6), pages 4042-4064, June.
- Bekaert, Geert & Aloosh, Arash, 2019. "Currency Factors," CEPR Discussion Papers 13464, C.E.P.R. Discussion Papers.
- Mo, Henry & Wu, Liuren, 2007. "International capital asset pricing: Evidence from options," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 465-498, September.
- 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.
- Jianfeng Yu, 2011. "A sentiment-based explanation of the forward premium puzzle," Globalization Institute Working Papers 90, Federal Reserve Bank of Dallas.
- 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.
- Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2016. "Common Information in Carry Trade Risk Factors," MPRA Paper 75367, University Library of Munich, Germany.
- 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.
- Parantap Basu & Andrei Semenovz & Kenji Wadax, 2007.
"Uninsurable Risk and Financial Market Puzzles,"
CDMA Conference Paper Series
0701, Centre for Dynamic Macroeconomic Analysis.
- Basu, Parantap & Semenov, Andrei & Wada, Kenji, 2009. "Uninsurable Risk and Financial Market Puzzles," MPRA Paper 23351, University Library of Munich, Germany.
- Jonathan Heathcote & Fabrizio Perri, 2016.
"On the Desirability of Capital Controls,"
NBER Working Papers
21898, National Bureau of Economic Research, Inc.
- Jonathan Heathcote & Fabrizio Perri, 2016. "On the Desirability of Capital Controls," Staff Report 523, Federal Reserve Bank of Minneapolis.
- Jonathan Heathcote & Fabrizio Perri, 2016. "On the Desirability of Capital Controls," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(1), pages 75-102, May.
- Fabrizio Perri & Jonathan Heathcote, 2015. "On the desirability of capital controls," 2015 Meeting Papers 1349, Society for Economic Dynamics.
- Heathcote, Jonathan & Perri, Fabrizio, 2016. "On the Desirability of Capital Controls," CEPR Discussion Papers 11080, C.E.P.R. Discussion Papers.
- Charles Engel & John H Rogers, 2009.
"Expected Consumption Growth from Cross-Country Surveys: Implications for Assessing International Capital Markets,"
IMF Staff Papers, Palgrave Macmillan, vol. 56(3), pages 543-573, August.
- 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.).
- 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.
- Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2005. "Time-varying risk, interest rates and exchange rates in general equilibrium," Working Papers 627, Federal Reserve Bank of Minneapolis.
- Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2008. "Time-varying risk, interest rates, and exchange rates in general equilibrium," Staff Report 371, Federal Reserve Bank of Minneapolis.
- Chan R. Mang, 2014. "Uncertain Risk and Return in Bond Markets, I," 2014 Papers pma1706, Job Market Papers.
- Cociuba, Simona E. & Ramanarayanan, Ananth, 2019.
"International risk sharing with endogenously segmented asset markets,"
Journal of International Economics, Elsevier, vol. 117(C), pages 61-78.
- Simona E. Cociuba & Ananth Ramanarayanan, 2017. "International Risk Sharing with Endogenously Segmented Asset Markets," University of Western Ontario, Departmental Research Report Series 20171, University of Western Ontario, Department of Economics.
- Simona E. Cociuba & Ananth Ramanarayanan, 2011. "International Risk Sharing with Endogenously Segmented Asset Markets," 2011 Meeting Papers 853, Society for Economic Dynamics.
- Clancy, Daragh & Ricci, Lorenzo, 2022.
"Economic sentiments and international risk sharing,"
International Economics, Elsevier, vol. 169(C), pages 208-229.
- Daragh Clancy & Lorenzo Ricci, 2022. "Economic sentiments and international risk sharing," International Economics, CEPII research center, issue 169, pages 208-229.
- 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.
- Andreas Stathopoulos & Andrea Vedolin & Philippe Mueller, 2012. "International Correlation Risk," 2012 Meeting Papers 818, Society for Economic Dynamics.
- Philippe Mueller & Andreas Stathopoulos & Andrea Vedolin, "undated". "International Correlation Risk," FMG Discussion Papers dp716, Financial Markets Group.
- Fang, Xiang & Liu, Yang, 2021. "Volatility, intermediaries, and exchange rates," Journal of Financial Economics, Elsevier, vol. 141(1), pages 217-233.
- 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.
- 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.
- Pavlova, Anna & Rigobon, Roberto, 2004.
"Asset Prices and Exchange Rates,"
Working papers
4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Pavlova, Anna & Rigobon, Roberto, 2003. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Roberto Rigobon & Anna Pavlova, 2004. "Asset Prices and Exchange Rates," Econometric Society 2004 North American Winter Meetings 579, Econometric Society.
- Anna Pavlova & Roberto Rigobon, 2003. "Asset Prices and Exchange Rates," NBER Working Papers 9834, National Bureau of Economic Research, Inc.
- Anna Pavlova & Roberto Rigobon, 2007. "Asset Prices and Exchange Rates," The Review of Financial Studies, Society for Financial Studies, vol. 20(4), pages 1139-1180.
- 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.
- Lustig, Hanno & Verdelhan, Adrien, 2016. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," Research Papers 3412, Stanford University, Graduate School of Business.
- Hanno Lustig & Adrien Verdelhan, 2016. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," NBER Working Papers 22023, National Bureau of Economic Research, Inc.
- 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.
- Basu, Parantap & Semenov, Andrei & Wada, Kenji, 2009. "Uninsurable Risk and Financial Market Puzzles," MPRA Paper 23351, University Library of Munich, Germany.
- 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.
- Mathias Hoffmann, 2010. "International financial markets' influence on the welfare performance of alternative exchange rate regimes," Oxford Economic Papers, Oxford University Press, vol. 62(3), pages 442-477, July.
- 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.
- Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2011. "Risk, Monetary Policy and the Exchange Rate," NBER Working Papers 17133, National Bureau of Economic Research, Inc.
- Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2012. "Risk, Monetary Policy, and the Exchange Rate," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 247-309.
- 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.
- Melecky, Martin, 2007. "A structural investigation of third-currency shocks to bilateral exchange rates," MPRA Paper 7402, University Library of Munich, Germany.
- 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.
- 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.
- Edith Liu & Karen Lewis, 2012. "International Consumption Risk Is Shared After All: An Asset Return View," 2012 Meeting Papers 643, Society for Economic Dynamics.
- Bianca De Paoli, Alasdair Scott, Olaf Weeken, 2007.
"Asset pricing implications for a New Keynesian model,"
Money Macro and Finance (MMF) Research Group Conference 2006
156, Money Macro and Finance Research Group.
- Bianca De Paoli & Alasdair Scott & Olaf Weeken, 2006. "Asset pricing implications of a New Keynesian model," Computing in Economics and Finance 2006 358, Society for Computational Economics.
- Bianca De Paoli & Alasdair Scott & Olaf Weeken, 2007. "Asset pricing implications of a New Keynesian model," Bank of England working papers 326, Bank of England.
- Bianca de Paoli & Alasdair Scott & Olaf Weeken, 2010. "Asset pricing implications of a new keynesian model," Post-Print hal-00732761, HAL.
- 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.
- 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.
- 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.
- Carrasco-Gutierrez, Carlos Enrique & Piazza, Wagner, 2011.
"Evaluating Asset Pricing Models in a Simulated Multifactor Approach,"
MPRA Paper
66063, University Library of Munich, Germany, revised 2012.
- 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.
- Pistaferri, Luigi & Kocherlakota, Narayana, 2007.
"Household Heterogeneity and Real Exchange Rates,"
CEPR Discussion Papers
6192, C.E.P.R. Discussion Papers.
- Narayana R. Kocherlakota & Luigi Pistaferri, 2006. "Household heterogeneity and real exchange rates," Staff Report 372, Federal Reserve Bank of Minneapolis.
- Narayana R. Kocherlakota & Luigi Pistaferri, 2007. "Household Heterogeneity and Real Exchange Rates," Economic Journal, Royal Economic Society, vol. 117(519), pages 1-25, March.
- Narayana R. Kocherlakota & Luigi Pistaferri, 2006. "Household Heterogeneity and Real Exchange Rates," Levine's Bibliography 122247000000001275, UCLA Department of Economics.
- Metodij Hadzi-Vaskov & Clemens J.M. Kool, 2007. "Stochastic Discount Factor Approach to International Risk-Sharing: A Trilateral Framework," EcoMod2007 23900031, EcoMod.
- 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.
- 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.
- 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.
- Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2014. "The Term Structure of Currency Carry Trade Risk Premia," 2014 Meeting Papers 837, Society for Economic Dynamics.
- Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan, 2013. "The Term Structure of Currency Carry Trade Risk Premia," NBER Working Papers 19623, National Bureau of Economic Research, Inc.
- YiLi Chien & Hanno Lustig & Kanda Naknoi, 2015.
"Why Are Exchange Rates So Smooth? A Household Finance Explanation,"
Working Papers
2015-39, Federal Reserve Bank of St. Louis.
- YiLi Chien & Hanno Lustig & Kanda Naknoi, 2017. "Why Are Exchange Rates So Smooth? A Household Finance Explanation," Working papers 2017-20, University of Connecticut, Department of Economics.
- 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.
- Devereux, Michael B. & Smith, Gregor W. & Yetman, James, 2012.
"Consumption and real exchange rates in professional forecasts,"
Journal of International Economics, Elsevier, vol. 86(1), pages 33-42.
- 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.
- Michael B Devereux & Gregor W Smith & James Yetman, 2009. "Consumption and real exchange rates in professional forecasts," BIS Working Papers 295, Bank for International Settlements.
- James Yetman & Gregor W. Smith, 2009. "Consumption And Real Exchange Rates In Professional Forecasts," Working Paper 1195, Economics Department, Queen's University.
- Shaojun Zhang, 2021.
"Limited Risk Sharing and International Equity Returns,"
Journal of Finance, American Finance Association, vol. 76(2), pages 893-933, April.
- 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.
- 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.
- Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2007. "If Exchange Rates are Random Walks, Then Almost Everything We Say About Monetary Policy is Wrong," American Economic Review, American Economic Association, vol. 97(2), pages 339-345, May.
- Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2008. "If exchange rates are random walks, then almost everything we say about monetary policy is wrong," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Jul, pages 2-9.
- Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2007. "If exchange rates are random walks, then almost everything we say about monetary policy is wrong," Staff Report 388, Federal Reserve Bank of Minneapolis.
- Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2017.
"Nominal Exchange Rate Stationarity and Long-Term Bond Returns,"
2017 Meeting Papers
1633, Society for Economic Dynamics.
- Lustig, Hanno & Stathopoulos, Andreas & Verdelhan, Adrien, 2016. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," Research Papers 3411, Stanford University, Graduate School of Business.
- 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.
- 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.).
- 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.
- Andreas Stathopoulos, 2012. "Portfolio Home Bias and External Habit Formation," 2012 Meeting Papers 502, Society for Economic Dynamics.
- Emmanuel Farhi, 2008.
"Rare Disasters and Exchange Rates,"
2008 Meeting Papers
47, Society for Economic Dynamics.
- Emmanuel Farhi & Xavier Gabaix, "undated". "Rare Disasters and Exchange Rates," Working Paper 71001, Harvard University OpenScholar.
- Gabaix, Xavier & Farhi, Emmanuel, 2015. "Rare Disasters and Exchange Rates," CEPR Discussion Papers 10334, C.E.P.R. Discussion Papers.
- Emmanuel Farhi & Xavier Gabaix, 2008. "Rare Disasters and Exchange Rates," NBER Working Papers 13805, National Bureau of Economic Research, Inc.
- Charles Engel, 2016.
"Exchange Rates, Interest Rates, and the Risk Premium,"
American Economic Review, American Economic Association, vol. 106(2), pages 436-474, February.
- Charles Engel, 2015. "Exchange Rates, Interest Rates, and the Risk Premium," NBER Working Papers 21042, National Bureau of Economic Research, Inc.
- Alessandro Ferrari & Anna Rogantini Picco, 2016. "International Risk Sharing in the EMU," Working Papers 17, European Stability Mechanism.
- 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.
- Charles Engel, 2011.
"The Real Exchange Rate, Real Interest Rates, and the Risk Premium,"
Working Papers
272011, Hong Kong Institute for Monetary Research.
- Engel, Charles, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Economics Series 265, Institute for Advanced Studies.
- Charles Engel, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," NBER Working Papers 17116, National Bureau of Economic Research, Inc.
- Ravi Bansal, 2007.
"Long-run risks and financial markets,"
Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 283-300.
- Ravi Bansal, 2007. "Long-Run Risks and Financial Markets," NBER Working Papers 13196, National Bureau of Economic Research, Inc.
- Jonathan Heathcote & Fabrizio Perri, 2013.
"Assessing International Efficiency,"
NBER Working Papers
18956, National Bureau of Economic Research, Inc.
- Jonathan Heathcote & Fabrizio Perri, 2013. "Assessing International Efficiency," Working Papers 476, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Jonathan Heathcote & Fabrizio Perri, 2013. "Assessing international efficiency," Staff Report 480, Federal Reserve Bank of Minneapolis.
- Heathcote, Jonathan & Perri, Fabrizio, 2013. "Assessing International Efficiency," CEPR Discussion Papers 9424, C.E.P.R. Discussion Papers.
- Heathcote, Jonathan & Perri, Fabrizio, 2014. "Assessing International Efficiency," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 523-584, Elsevier.
- A. Craig Burnside & Jeremy J. Graveline, 2012.
"On the Asset Market View of Exchange Rates,"
NBER Working Papers
18646, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2017. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(1), pages 1-39, January.
- Mariano M. Croce & Riccardo Colacito, 2010. "International Asset Pricing with Risk-Sensitive Rare Events," 2010 Meeting Papers 176, Society for Economic Dynamics.
- 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.
- 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.
- Mr. Phurichai Rungcharoenkitkul, 2011. "Risk Sharing and Financial Contagion in Asia: An Asset Price Perspective," IMF Working Papers 2011/242, International Monetary Fund.
- Chernov, Mikhail & Creal, Drew, 2022.
"International yield curves and currency puzzles,"
CEPR Discussion Papers
13252, C.E.P.R. Discussion Papers.
- Mikhail Chernov & Drew D. Creal, 2018. "International Yield Curves and Currency Puzzles," NBER Working Papers 25206, National Bureau of Economic Research, Inc.
- Mikhail Chernov & Drew Creal, 2023. "International Yield Curves and Currency Puzzles," Journal of Finance, American Finance Association, vol. 78(1), pages 209-245, February.
- 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.
- 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.
- 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.
- Kose, M. Ayhan & Prasad, Eswar & Terrones, Marco E., 2007. "How Does Financial Globalization Affect Risk Sharing? Patterns and Channels," IZA Discussion Papers 2903, Institute of Labor Economics (IZA).
- 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.
- Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig, 2021. "Foreign Safe Asset Demand and the Dollar Exchange Rate," Journal of Finance, American Finance Association, vol. 76(3), pages 1049-1089, June.
- Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig, 2018. "Foreign Safe Asset Demand and the Dollar Exchange Rate," NBER Working Papers 24439, National Bureau of Economic Research, Inc.
- Jiang, Zhengyang & Krishnamurthy, Arvind & Lustig, Hanno, 2019. "Foreign Safe Asset Demand and the Dollar Exchange Rate," Research Papers 3775, Stanford University, Graduate School of Business.
- Maurer, Thomas & Tran, Ngoc-Khanh, 2021. "Entangled risks in incomplete FX markets," Journal of Financial Economics, Elsevier, vol. 142(1), pages 146-165.
- Branger, Nicole & Herold, Michael & Muck, Matthias, 2021. "International stochastic discount factors and covariance risk," Journal of Banking & Finance, Elsevier, vol. 123(C).
- 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.
- 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.
- 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.
- 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.
- 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.
- Lee, Eunhee, 2019. "Asset prices with stochastic volatilities and a UIP puzzle," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 41-61.
- Hornstein, Abigail S. & Naknoi, Kanda, 2023. "FDI commitments increase when uncertainty is resolved: Evidence from Asia," Journal of Asian Economics, Elsevier, vol. 87(C).
- Orlov, Vitaly, 2016. "Currency momentum, carry trade, and market illiquidity," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 1-11.
- 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.
- 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.
- 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.
- 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.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010.
"Countercyclical Currency Risk Premia,"
NBER Working Papers
16427, National Bureau of Economic Research, Inc.
- Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien, 2014. "Countercyclical currency risk premia," Journal of Financial Economics, Elsevier, vol. 111(3), pages 527-553.
- 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.
- Yu, Changhua, 2015. "Evaluating international financial integration in a center-periphery economy," Journal of International Economics, Elsevier, vol. 95(1), pages 129-144.
- 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.
- Yu, Jianfeng, 2013. "A sentiment-based explanation of the forward premium puzzle," Journal of Monetary Economics, Elsevier, vol. 60(4), pages 474-491.
- 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.
- 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.
- 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.).
- Epstein, Brendan & Mukherjee, Rahul & Ramnath, Shanthi, 2016. "Taxes and international risk sharing," Journal of International Economics, Elsevier, vol. 102(C), pages 310-326.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Ferreira, Alex & Matos, Paulo, 2020. "Precautionary risks for an open economy," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 154-167.
- Costa, Carlos Eugênio da & Issler, João Victor & Matos, Paulo Rogério Faustino, 2013.
"A note on the forward and the equity-premium puzzles: two symptoms of the same illness?,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
743, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- 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.
- 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.
- Robert Ready & Mariano Croce & Federico Gavazzoni & Riccardo Colacito, 2016. "Currency Risk Factors in a Recursive Multi-Country Economy," 2016 Meeting Papers 297, Society for Economic Dynamics.
- Ana Maria Santacreu & Federico Gavazzoni, 2014. "International Comovement through Endogenous Long Run Risk," 2014 Meeting Papers 993, Society for Economic Dynamics.
- 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.
- 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.
- Borja Larrain, 2005. "The stock market and cross country differences in relative prices," Working Papers 05-6, Federal Reserve Bank of Boston.
- 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.
- 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).
- Du, Du, 2013. "General equilibrium pricing of currency and currency options," Journal of Financial Economics, Elsevier, vol. 110(3), pages 730-751.
- Xinglin Yang, 2023. "Unspanned macro risks in VIX futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1305-1328, September.
- 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.
- 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.
- 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.
- 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.
- 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.
- John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
- 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.
- John H. Cochrane & Monika Piazzesi, 2002. "Bond Risk Premia," NBER Working Papers 9178, National Bureau of Economic Research, Inc.
- Cochrane, John H., 2005.
"Money as stock,"
Journal of Monetary Economics, Elsevier, vol. 52(3), pages 501-528, April.
Cited by:
- Gonzalez-Astudillo, Manuel, 2013.
"Monetary-Fiscal Policy Interactions: Interdependent Policy Rule Coefficients,"
MPRA Paper
50040, University Library of Munich, Germany.
- Manuel Gonzalez-Astudillo, 2013. "Monetary-fiscal policy interactions: interdependent policy rule coefficients," Finance and Economics Discussion Series 2013-58, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- 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).
- Ekundayo P. Mesagan & Ismaila A. Yusuf, 2019. "Economic Stabilisation and Performance in West Africa: The Role of Fiscal and Monetary Policy," Research Africa Network Working Papers 19/097, Research Africa Network (RAN).
- Ekundayo P. Mesagan & Ismaila A. Yusuf, 2019. "Economic Stabilisation and Performance in West Africa: The Role of Fiscal and Monetary Policy," Working Papers of the African Governance and Development Institute. 19/097, African Governance and Development Institute..
- 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.
- 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.
- Troy Davig & Eric M. Leeper, 2009. "Monetary-Fiscal Policy Interactions and Fiscal Stimulus," NBER Working Papers 15133, National Bureau of Economic Research, Inc.
- Davig, Troy & Leeper, Eric M., 2011. "Monetary-fiscal policy interactions and fiscal stimulus," European Economic Review, Elsevier, vol. 55(2), pages 211-227, February.
- Leeper, Eric M., 2009. "Monetary-Fiscal Policy Interactions and Fiscal Stimulus," CEPR Discussion Papers 7509, C.E.P.R. Discussion Papers.
- Troy Davig & Eric M. Leeper, 2009. "Monetary-fiscal policy interactions and fiscal stimulus," Research Working Paper RWP 09-12, Federal Reserve Bank of Kansas City.
- 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.
- Marco Bassetto & Wei Cui, 2017. "The Fiscal Theory of the Price Level in a World of Low Interest Rates," Discussion Papers 1731, Centre for Macroeconomics (CFM).
- Bassetto, Marco & Cui, Wei, 2017. "The fiscal theory of the price level in a world of low interest rates," LSE Research Online Documents on Economics 84951, London School of Economics and Political Science, LSE Library.
- Bassetto, Marco & Cui, Wei, 2018. "The fiscal theory of the price level in a world of low interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 89(C), pages 5-22.
- Mitsuru Katagiri & Hideki Konishi & Kozo Ueda, 2014.
"Aging and Deflation from a Fiscal Perspective,"
Working Papers
1413, Waseda University, Faculty of Political Science and Economics.
- 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.
- Mitsuru Katagiri & Hideki Konishi & Kozo Ueda, 2014. "Aging and deflation from a fiscal perspective," Globalization Institute Working Papers 218, Federal Reserve Bank of Dallas.
- Katagiri, Mitsuru & Konishi, Hideki & Ueda, Kozo, 2020. "Aging and deflation from a fiscal perspective," Journal of Monetary Economics, Elsevier, vol. 111(C), pages 1-15.
- Mitsuru Katagiri & Hideki Konishi & Kozo Ueda, 2014. "Aging and Deflation from a Fiscal Perspective," KIER Working Papers 905, Kyoto University, Institute of Economic Research.
- 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.
- Patrick Bolton & Haizhou Huang, 2017. "The Capital Structure of Nations," NBER Working Papers 23612, National Bureau of Economic Research, Inc.
- Alessandro Piergallini & Giorgio Rodano, 2012.
"Public Debt, Distortionary Taxation, and Monetary Policy,"
Rivista italiana degli economisti, Società editrice il Mulino, issue 2, pages 225-248.
- Piergallini, Alessandro & Rodano, Giorgio, 2010. "Public Debt, Distortionary Taxation, and Monetary Policy," MPRA Paper 26318, University Library of Munich, Germany.
- Alessandro Piergallini & Giorgio Rodano, 2012. "Public Debt, Distortionary Taxation, and Monetary Policy," CEIS Research Paper 220, Tor Vergata University, CEIS, revised 07 Feb 2012.
- Piergallini, Alessandro & Rodano, Giorgio, 2009. "Public Debt, Distortionary Taxation, and Monetary Policy," MPRA Paper 15348, University Library of Munich, Germany.
- 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.
- Ricardo Lagos & Shengxing Zhang, 2021. "The Limits of onetary Economics: On Money as a Latent Medium of Exchange," Discussion Papers 2104, Centre for Macroeconomics (CFM).
- Guillaume Plantin & Jean Barthélemy, 2018.
"Fiscal and Monetary Regimes: A Strategic Approach,"
Sciences Po publications
DP 12903, Sciences Po.
- Jean Barthélemy & Guillaume Plantin, 2018. "Fiscal and Monetary Regimes: A Strategic Approach," SciencePo Working papers Main hal-03393134, HAL.
- Jean Barthélemy & Guillaume Plantin, 2018. "Fiscal and Monetary Regime: A Strategic Approach," Working Papers hal-03815028, HAL.
- Plantin, Guillaume & Barthélemy, Jean, 2018. "Fiscal and Monetary Regimes: A Strategic Approach," CEPR Discussion Papers 12903, C.E.P.R. Discussion Papers.
- Jean Barthélemy & Guillaume Plantin, 2018. "Fiscal and Monetary Regime: A Strategic Approach," SciencePo Working papers Main hal-03815028, HAL.
- Jean Barthélemy & Guillaume Plantin, 2018. "Fiscal and Monetary Regimes: A Strategic Approach," Working Papers hal-03393134, HAL.
- Jean Barthélemy & Guillaume Plantin, 2018. "Fiscal and Monetary Regime: A Strategic Approach," SciencePo Working papers hal-03815028, HAL.
- Jean Barthélemy & Guillaume Plantin, 2019. "Fiscal and Monetary Regimes: A Strategic Approach," Working papers 742, Banque de France.
- 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.
- 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.
- Harashima, Taiji, 2007. "Hyperinflation, disinflation, deflation, etc.: A unified and micro-founded explanation for inflation," MPRA Paper 3836, University Library of Munich, Germany.
- 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.
- 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.
- Fan, Jingwen & Minford, Patrick & Ou, Zhirong, 2014.
"The role of Fiscal policy in Britain s Great Inflation,"
Cardiff Economics Working Papers
E2014/20, Cardiff University, Cardiff Business School, Economics Section.
- 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.
- Fan, Jingwen & Minford, Patrick & Ou, Zhirong, 2016. "The role of fiscal policy in Britain's Great Inflation," Economic Modelling, Elsevier, vol. 58(C), pages 203-218.
- Bajo-Rubio, Oscar & Díaz-Roldán, Carmen & Esteve, Vicente, 2009.
"Deficit sustainability and inflation in EMU: An analysis from the Fiscal Theory of the Price Level,"
European Journal of Political Economy, Elsevier, vol. 25(4), pages 525-539, December.
- 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.
- Mr. Michael Kumhof & Mr. Ricardo C Nunes & Mrs. Irina Yakadina, 2007.
"Simple Monetary Rules Under Fiscal Dominance,"
IMF Working Papers
2007/271, International Monetary Fund.
- Michael Kumhof & Ricardo Nunes & Irina Yakadina, 2010. "Simple Monetary Rules under Fiscal Dominance," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 63-92, February.
- Michael, Kumhof & Ricardo, Nunes & Irina, Yakadina, 2007. "Simple Monetary Rules under Fiscal Dominance," MPRA Paper 4462, University Library of Munich, Germany.
- Michael Kumhof & Ricardo Nunes & Irina Yakadina, 2010. "Simple Monetary Rules under Fiscal Dominance," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 63-92, February.
- Michael Kumhof & Ricardo Nunes & Irina Yakadina, 2008. "Simple monetary rules under fiscal dominance," International Finance Discussion Papers 937, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- Oscar Bajo-Rubio & Carmen Díaz-Roldán & Vicente Esteve, 2014. "Government deficit sustainability, and monetary versus fiscal dominance:the case of Spain, 1850-2000," Working Papers 09/14, Instituto Universitario de Análisis Económico y Social.
- Bajo-Rubio, Oscar & Díaz-Roldán, Carmen & Esteve, Vicente, 2014. "Deficit sustainability, and monetary versus fiscal dominance: The case of Spain, 1850–2000," Journal of Policy Modeling, Elsevier, vol. 36(5), pages 924-937.
- Oscar Bajo-Rubio & Carmen Díaz-Roldán & Vicente Esteve, 2014. "Government Deficit Sustainability, And Monetary Versus Fiscal Dominance: The Case Of Spain, 1850-2000," Working Papers 1408, Department of Applied Economics II, Universidad de Valencia.
- 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.
- Eric M. Leeper, 2010.
"Monetary science, fiscal alchemy,"
Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 361-434.
- Eric M. Leeper, 2010. "Monetary Science, Fiscal Alchemy," NBER Working Papers 16510, National Bureau of Economic Research, Inc.
- 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.
- Cochrane, John H., 2017. "The new-Keynesian liquidity trap," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 47-63.
- 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.
- Howard Kung & Gonzalo Morales & Francesco Bianchi, 2015. "Monetary/Fiscal Policy Mix and Asset Prices," 2015 Meeting Papers 1224, Society for Economic Dynamics.
- 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.
- Marco Bassetto, 2001. "A game-theoretic view of the fiscal theory of the price level," Working Papers 612, Federal Reserve Bank of Minneapolis.
- Marco Bassetto, 2002. "A Game-Theoretic View of the Fiscal Theory of the Price Level," Econometrica, Econometric Society, vol. 70(6), pages 2167-2195, November.
- 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.
- Libo Xu & Apostolos Serletis, 2017. "Financial Frictions and the Fiscal Theory of Price Level Determination," Open Economies Review, Springer, vol. 28(2), pages 251-272, April.
- Hess Chung & Troy Davig & Eric Leeper, 2004.
"Monetary and Fiscal Policy Switching,"
Computing in Economics and Finance 2004
325, Society for Computational Economics.
- Hess Chung & Troy Davig & Eric M. Leeper, 2007. "Monetary and Fiscal Policy Switching," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(4), pages 809-842, June.
- 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.
- Troy Davig & Eric M. Leeper & Hess Chung, 2004. "Monetary and Fiscal Policy Switching," NBER Working Papers 10362, National Bureau of Economic Research, Inc.
- Hess Chung & Troy Davig & Eric Leeper, 2004. "Monetary and Fiscal Policy Switching," Econometric Society 2004 North American Summer Meetings 274, Econometric Society.
- Hess Chung & Troy Davig & Eric M. Leeper, 2007. "Monetary and Fiscal Policy Switching," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(4), pages 809-842, June.
- 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.
- Marco Bassetto & Carlo Galli, 2019.
"Is Inflation Default? The Role of Information in Debt Crises,"
American Economic Review, American Economic Association, vol. 109(10), pages 3556-3584, October.
- Bassetto, Marco & Galli, Carlo, 2017. "Is inflation default? The role of information in debt crises," LSE Research Online Documents on Economics 86160, London School of Economics and Political Science, LSE Library.
- Carlo Galli & Marco Bassetto, 2016. "Is Inflation Default? The Role of Information in Debt Crises," 2016 Meeting Papers 308, Society for Economic Dynamics.
- Marco Bassetto & Carlo Galli, 2017. "Is inflation default? The role of information in debt crises," IFS Working Papers W17/05, Institute for Fiscal Studies.
- Marco Bassetto & Carlo Galli, 2017. "Is Inflation Default? The Role of Information in Debt Crises," Discussion Papers 1715, Centre for Macroeconomics (CFM).
- Marco Bassetto & Carlo Galli, 2017. "Is Inflation Default? The Role of Information in Debt Crises," Working Paper Series WP-2017-6, Federal Reserve Bank of Chicago.
- Buiter, Willem, 2017. "The Good and the Bad Fiscal Theory of the Price Level," CEPR Discussion Papers 11975, C.E.P.R. Discussion Papers.
- John H. Cochrane, 2014.
"Monetary Policy with Interest on Reserves,"
NBER Working Papers
20613, National Bureau of Economic Research, Inc.
- Cochrane, John H., 2014. "Monetary policy with interest on reserves," Journal of Economic Dynamics and Control, Elsevier, vol. 49(C), pages 74-108.
- 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.
- Buiter, Willem H. & Sibert, Anne C., 2017.
"The fallacy of the fiscal theory of the price level - one last time,"
Economics Discussion Papers
2017-84, Kiel Institute for the World Economy (IfW Kiel).
- 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.
- 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.
- Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2021. "Quantifying sovereign risk in the euro area," Economic Modelling, Elsevier, vol. 95(C), pages 76-96.
- Minford, Patrick & Ou, Zhirong & Fan, Jingwen, 2013.
"The Fiscal Theory of the Price Level - identification and testing for the UK in the 1970s,"
CEPR Discussion Papers
9763, C.E.P.R. Discussion Papers.
- 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.
- Harashima, Taiji, 2013.
"The Phillips Curve and a Micro-foundation of Trend Inflation,"
MPRA Paper
51305, University Library of Munich, Germany.
- Taiji HARASHIMA, 2013. "The Phillips Curve And A Micro-Foundation Of Trend Inflation," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 4(2), pages 151-182.
- 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.
- 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.
- Gliksberg, Baruch, 2013.
"Monetary policy and fiscal limits with no-default,"
European Economic Review, Elsevier, vol. 64(C), pages 285-304.
- Gliksberg, Baruch, "undated". "Monetary Policy and Fiscal Limits with No-Default," Working Papers WP2012/6, University of Haifa, Department of Economics.
- Lin, Hsin-Yi & Chu, Hao-Pang, 2013. "Are fiscal deficits inflationary?," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 214-233.
- 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.).
- Rym Aloui & Michel Guillard, 2018.
"The Fiscal Theory of the Price Level in non-Ricardian Economy,"
Working Papers
halshs-01896632, HAL.
- Rym Aloui & Michel Guillard, 2018. "The Fiscal Theory of the Price Level in non-Ricardian Economy," Working Papers 1824, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
- Rym Aloui & Michel Guillard, 2020. "The Fiscal Theory of the Price Level in a Non-Ricardian Economy," Annals of Economics and Statistics, GENES, issue 137, pages 65-82.
- Rym Aloui & Michel Guillard, 2020. "The Fiscal Theory of the Price Level in a Non-Ricardian Economy," Post-Print halshs-03052061, HAL.
- Sasakura, Kazuyuki, 2021. "A macroeconomic theory of price determination," Structural Change and Economic Dynamics, Elsevier, vol. 59(C), pages 214-227.
- Kocherlakota, N., 2012. "Central bank independence and sovereign default," Financial Stability Review, Banque de France, issue 16, pages 151-154, April.
- Mr. Roger Farmer & Pawel Zabczyk, 2019. "A Requiem for the Fiscal Theory of the Price Level," IMF Working Papers 2019/219, International Monetary Fund.
- 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.
- Farmer, Roger & Zabczyk, Pawel, 2022. "Monetary and Fiscal Policy when People have Finite Lives," CEPR Discussion Papers 13432, C.E.P.R. Discussion Papers.
- Jean-Pascal Bénassy, 2007.
"Interest rate rules and global determinacy: An alternative to the Taylor principle,"
PSE Working Papers
halshs-00587724, HAL.
- Jean-Pascal Bénassy, 2009. "Interest rate rules and global determinacy: An alternative to the Taylor principle," Post-Print halshs-00754322, HAL.
- Jean-Pascal Bénassy, 2007. "Interest rate rules and global determinacy: An alternative to the Taylor principle," Working Papers halshs-00587724, HAL.
- Jean‐Pascal Bénassy, 2009. "Interest rate rules and global determinacy: An alternative to the Taylor principle," International Journal of Economic Theory, The International Society for Economic Theory, vol. 5(4), pages 359-374, December.
- 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.
- Michel GUILLARD & Rym ALOUI, 2010. "A Simple "Public Debt-Deflation" Theory: Leeper revisited," EcoMod2010 259600067, EcoMod.
- Emiliano Delfau, 2020. "Biopsia de un inversor (¿conservador?) de renta fija," CEMA Working Papers: Serie Documentos de Trabajo. 766, Universidad del CEMA.
- 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.
- Aleksander Berentsen & Christopher J. Waller, 2017. "Liquidity Premiums on Government Debt and the Fiscal Theory of the Price Level," Working Papers 2017-8, Federal Reserve Bank of St. Louis.
- John H. Cochrane, 2010.
"Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic,"
NBER Working Papers
16087, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Betty Daniel, 2008. "Exchange Rate Crises and Fiscal Solvency," Discussion Papers 08-09, University at Albany, SUNY, Department of Economics.
- Harashima, Taiji, 2008. "A Microfounded Mechanism of Observed Substantial Inflation Persistence," MPRA Paper 10668, University Library of Munich, Germany.
- Mathieu Boullot, 2017. "Secular Stagnation, Liquidity Trap and Rational Asset Price Bubbles," Working Papers halshs-01295012, HAL.
- 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.
- Bilbiie, Florin, 2018.
"Monetary Policy and Heterogeneity: An Analytical Framework,"
CEPR Discussion Papers
12601, C.E.P.R. Discussion Papers.
- Florin Bilbiie, 2019. "Monetary Policy and Heterogeneity: An Analytical Framework," 2019 Meeting Papers 178, Society for Economic Dynamics.
- Roberto Robatto, 2018. "Flight to Liquidity and Systemic Bank Runs," 2018 Meeting Papers 276, Society for Economic Dynamics.
- Bennett T. McCallum, 2008.
"Inflation Determination with Taylor Rules: Is New Keynesian Analysis Critically Flawed?,"
NBER Working Papers
14534, National Bureau of Economic Research, Inc.
- 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.
- Daniel, Betty C. & Shiamptanis, Christos, 2012.
"Fiscal risk in a monetary union,"
European Economic Review, Elsevier, vol. 56(6), pages 1289-1309.
- Betty Daniel & Christos Shiamptanis, 2008. "Fiscal Risk in a Monetary Union," Discussion Papers 08-12, University at Albany, SUNY, Department of Economics.
- George-Marios Angeletos & Chen Lian, 2021. "Determinacy without the Taylor Principle," NBER Working Papers 28881, National Bureau of Economic Research, Inc.
- 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.
- David B. Gordon & Eric M. Leeper, 2002. "The Price Level, the Quantity Theory of Money, and the Fiscal Theory of the Price Level," NBER Working Papers 9084, National Bureau of Economic Research, Inc.
- 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.
- Harashima, Taiji, 2017. "Should a Government Fiscally Intervene in a Recession and, If So, How?," MPRA Paper 78053, University Library of Munich, Germany.
- Howard Kung & Gonzalo Morales & Alexandre Corhay, 2017. "Fiscal Discount Rates and Debt Maturity," 2017 Meeting Papers 840, Society for Economic Dynamics.
- 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.
- Roberto Robatto, 2019.
"Online Appendix to "Systemic Banking Panics, Liquidity Risk, and Monetary Policy","
Online Appendices
18-235, Review of Economic Dynamics.
- Roberto Robatto, 2019. "Systemic Banking Panics, Liquidity Risk, and Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 34, pages 20-42, October.
- 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.
- 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.
- Bennett T. McCallum & Edward Nelson, 2006. "Monetary and Fiscal Theories of the Price Level: The Irreconcilable Differences," NBER Working Papers 12089, National Bureau of Economic Research, Inc.
- Bennett T. McCallum & Edward Nelson, 2005. "Monetary and Fiscal Theories of the Price Level: The Irreconcilable Differences," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 21(4), pages 565-583, Winter.
- 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.
- 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).
- 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.
- 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.
- Roger Farmer & Pawel Zabczyk, 2019. "The Fiscal Theory of the Price Level in Overlapping Generations Models," 2019 Meeting Papers 39, Society for Economic Dynamics.
- Karnaukh, Nina, 2016. "Currency Strategies and Sovereign Ratings," Working Papers on Finance 1620, University of St. Gallen, School of Finance.
- Marco Bassetto & Todd Messer, 2013.
"Fiscal Consequences of Paying Interest on Reserves,"
Fiscal Studies, Institute for Fiscal Studies, vol. 34, pages 413-436, December.
- Marco Bassetto & Todd Messer, 2013. "Fiscal consequences of paying interest on reserves," Working Paper Series WP-2013-04, Federal Reserve Bank of Chicago.
- 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.
- 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).
- 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.
- 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.
- Harashima, Taiji, 2019. "A Theory of Inflation: The Law of Motion for Inflation under the MDC-based Procedure," MPRA Paper 113161, University Library of Munich, Germany.
- Neziri, Hekuran, 2008. "Can Credit Default Swaps Predict Financial Crises: An Empirical Test on Emerging Markets," MPRA Paper 13096, University Library of Munich, Germany.
- David Miller, 2019. "A Monetary-Fiscal Theory of the Price Level," 2019 Meeting Papers 613, Society for Economic Dynamics.
- 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).
- Joshua R. Hendrickson, 2017. "Jürg Niehans and the Cashless Economy," The American Economist, Sage Publications, vol. 62(2), pages 149-164, October.
- 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.
- Max Gillman & Charles Nolan, 2008. "The Optimum Quantity of Money with Gold Reserves," CDMA Conference Paper Series 0804, Centre for Dynamic Macroeconomic Analysis.
- 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.
- 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.
- 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.
- 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.
- Óscar J. Arce, 2005. "Reflections on fiscalist divergent price-paths," Working Papers 0533, Banco de España.
- Piet-Hein Van Eeghen, 2011. "Rethinking equilibrium conditions in macromonetary theory: A conceptually rigorous approach," Working Papers 255, Economic Research Southern Africa.
- 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.
- 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.
- 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.
- Bolton, Patrick & Huang, Haizhou, 2017. "The Capital Structure of Nations," CEPR Discussion Papers 12157, C.E.P.R. Discussion Papers.
- Liu, Zehao & He, Ping, 2022. "Real liquidity and banking," Journal of Financial Intermediation, Elsevier, vol. 49(C).
- 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.
- Gonzalez-Astudillo, Manuel, 2013.
"Monetary-Fiscal Policy Interactions: Interdependent Policy Rule Coefficients,"
MPRA Paper
50040, University Library of Munich, Germany.
- 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.
- 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.
- John H. Cochrane, 2001. "The Risk and Return of Venture Capital," NBER Working Papers 8066, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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:
- 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.
- 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.
- 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.
- John H. Cochrane, 1998. "Long-term Debt and Optimal Policy in the Fiscal Theory of the Price Level," CRSP working papers 478, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- 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.
- 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.
- Campbell, John & Cochrane, John, 2000. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," Scholarly Articles 3163265, Harvard University Department of Economics.
- John Y. Campbell & John H. Cochrane, 1999. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," NBER Working Papers 7237, National Bureau of Economic Research, Inc.
- 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.
- John H. Cochrane & Jesús Saá-Requejo, 1998. "Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets," CRSP working papers 430, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- 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.
- 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.
- John H. Cochrane, 1999. "New Facts in Finance," CRSP working papers 490, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- John H. Cochrane, 1999. "New Facts in Finance," NBER Working Papers 7169, National Bureau of Economic Research, Inc.
- 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.
- John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," NBER Working Papers 7170, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- Campbell, John & Cochrane, John H., 1999. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Scholarly Articles 3119444, Harvard University Department of Economics.
- 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.
- 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.
- 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.
- John H. Cochrane, 1998. "Where is the Market Going? Uncertain Facts and Novel Theories," NBER Working Papers 6207, National Bureau of Economic Research, Inc.
- John H Cochrane, 2003. "Where is the Market Going: Uncertain Facts and Novel Theories," Levine's Working Paper Archive 618897000000000762, David K. Levine.
- 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:
- 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.
- Lin, Xiaoji & Wang, Chong & Wang, Neng & Yang, Jinqiang, 2016. "Investment, Tobin's q, and Interest Rates," Working Paper Series 2016-20, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Xioaji Lin & Chong Wang & Neng Wang & Jinqiang Yang, 2013. "Investment, Tobin's q, and Interest Rates," NBER Working Papers 19327, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Hui Guo, 2005.
"Time-varying risk premia and the cross section of stock returns,"
Working Papers
2002-013, Federal Reserve Bank of St. Louis.
- 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.
- Xiaoji Lin, 2009.
"Endogenous Technological Progress and the Cross Section of Stock Returns,"
FMG Discussion Papers
dp634, Financial Markets Group.
- Lin, Xiaoji, 2012. "Endogenous Technological Progress and the Cross Section of Stock Returns," Working Paper Series 2012-22, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Lin, Xiaoji, 2012. "Endogenous technological progress and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 103(2), pages 411-427.
- Lin, Xiaoji, 2009. "Endogenous technological progress and the cross section of stock returns," LSE Research Online Documents on Economics 29047, London School of Economics and Political Science, LSE Library.
- Lin, Xiaoji, 2009. "Endogenous technological progress and the cross section of stock returns," MPRA Paper 14829, University Library of Munich, Germany.
- Frederico Belo & Chen Xue & Lu Zhang, 2010. "Cross-sectional Tobin's Q," NBER Working Papers 16336, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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).
- 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.
- Hirokazu Mizobata, 2014. "Differing factor adjustment costs across industries: Evidence from Japan," KIER Working Papers 885, Kyoto University, Institute of Economic Research.
- 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.
- Gaetan Bakalli & St'ephane Guerrier & Olivier Scaillet, 2022.
"A penalized two-pass regression to predict stock returns with time-varying risk premia,"
Papers
2208.00972, arXiv.org.
- Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series 21-09, Swiss Finance Institute.
- Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Post-Print hal-04325655, HAL.
- 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).
- 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.
- J. Ginger Meng & Gang Hu & Jushan Bai, 2011. "Olive: A Simple Method For Estimating Betas When Factors Are Measured With Error," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 34(1), pages 27-60, March.
- 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.
- 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.
- Stefan Nagel, 2013.
"Empirical Cross-Sectional Asset Pricing,"
Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
- Nagel, Stefan, 2012. "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers 9227, C.E.P.R. Discussion Papers.
- Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Hanno N. Lustig & Stijn G. Van Nieuwerburgh, 2005. "Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective," Journal of Finance, American Finance Association, vol. 60(3), pages 1167-1219, June.
- Monika Piazzesi & Martin Schneider & Selale Tuzel, 2006.
"Housing, Consumption, and Asset Pricing,"
NBER Working Papers
12036, National Bureau of Economic Research, Inc.
- Piazzesi, Monika & Schneider, Martin & Tuzel, Selale, 2007. "Housing, consumption and asset pricing," Journal of Financial Economics, Elsevier, vol. 83(3), pages 531-569, March.
- Monika Piazzesi & Martin Schneider & Selale Tuzel, 2004. "Housing, Consumption and Asset Pricing," 2004 Meeting Papers 357c, Society for Economic Dynamics.
- 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).
- 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.
- Chen, Ming-Hsiang, 2003. "Risk and return: CAPM and CCAPM," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 369-393.
- 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.
- Wu, Jin (Ginger) & Zhang, Lu, 2010. "Does Risk Explain Anomalies? Evidence from Expected Return Estimates," Working Paper Series 2010-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Joao Gomes & Amir Yaron & Lu Zhang, 2002.
"Asset Pricing Implications of Firms' Financing Constraints,"
NBER Working Papers
9365, National Bureau of Economic Research, Inc.
- João F. Gomes & Amir Yaron & Lu Zhang, 2006. "Asset Pricing Implications of Firms' Financing Constraints," The Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1321-1356.
- Yaron, Amir & Gomes, Joao & Zhang, Lu, 2002. "Asset Pricing Implications of Firms' Financing Constraints," CEPR Discussion Papers 3495, C.E.P.R. Discussion Papers.
- Masud Alam, 2021. "Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return," Papers 2107.10455, arXiv.org.
- 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.
- 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).
- 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.
- 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.
- Huntley Schaller, 1993. "Investment, Taxes, and the Cost of Capital: An Euler Equation Specification Test," Carleton Economic Papers 93-11, Carleton University, Department of Economics.
- 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.
- 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.
- 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.
- 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.
- Jonathan Lewellen & Stefan Nagel & Jay Shanken, 2006. "A Skeptical Appraisal of Asset-Pricing Tests," NBER Working Papers 12360, National Bureau of Economic Research, Inc.
- 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.
- Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, 2011.
"Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets,"
Swiss Finance Institute Research Paper Series
11-41, Swiss Finance Institute.
- Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets," Econometrica, Econometric Society, vol. 84, pages 985-1046, May.
- Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, 2011. "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series 11-40, Swiss Finance Institute.
- 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.
- 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.
- Chambers, Robert G. & Quiggin, John, 2008.
"Narrowing the no-arbitrage bounds,"
Journal of Mathematical Economics, Elsevier, vol. 44(1), pages 1-14, January.
- 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.
- Chambers, Robert G. & Quiggin, John, 2003. "Narrowing the no-arbitrage bounds," Risk and Sustainable Management Group Working Papers 150346, University of Queensland, School of Economics.
- Zhang, Lu, 2015.
"The Investment CAPM,"
Working Paper Series
2015-19, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Lu Zhang, 2017. "The Investment CAPM," NBER Working Papers 23226, National Bureau of Economic Research, Inc.
- Lu Zhang, 2017. "The Investment CAPM," European Financial Management, European Financial Management Association, vol. 23(4), pages 545-603, September.
- 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.
- 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.
- Borys, Magdalena Morgese Borys, 2011. "Testing Multi-Factor Asset Pricing Models in the Visegrad Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(2), pages 118-139, June.
- Matteo Maggiori, 2013. "The U.S. Dollar Safety Premium," 2013 Meeting Papers 75, Society for Economic Dynamics.
- 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.
- Dimitris Papanikolaou, 2008. "Investment-Specific Technological Change and Asset Prices," 2008 Meeting Papers 637, Society for Economic Dynamics.
- 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).
- 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.
- 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.
- Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
- Belo, Frederico, 2010. "Production-based measures of risk for asset pricing," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 146-163, March.
- 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.
- 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.
- 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.
- Anisha Ghosh & Christian Julliard, 2011. "What is the Consumption-CAPM missing? An informative-Theoretic Framework for the Analysis of Asset Pricing Models," FMG Discussion Papers dp691, Financial Markets Group.
- Ghosh, Anisha & Julliard, Christian & Taylor, Alex. P, 2017. "What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models," LSE Research Online Documents on Economics 65131, London School of Economics and Political Science, LSE Library.
- Ghosh, Anisha & Julliard, Christian & Taylor, Alex, 2011. "What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models," LSE Research Online Documents on Economics 119061, London School of Economics and Political Science, LSE Library.
- 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.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2008.
"Common Risk Factors in Currency Markets,"
NBER Working Papers
14082, National Bureau of Economic Research, Inc.
- Nick Roussanov & Adrien Verdelhan & Hanno Lustig, 2008. "Common Risk Factors in Currency Markets," 2008 Meeting Papers 711, Society for Economic Dynamics.
- 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.
- Julliard, Christian & Ghosh, Anisha, 2008.
"Can rare events explain the equity premium puzzle?,"
LSE Research Online Documents on Economics
4808, London School of Economics and Political Science, LSE Library.
- Julliard, Christian & Ghosh, Anisha, 2012. "Can Rare Events Explain the Equity Premium Puzzle?," CEPR Discussion Papers 8899, C.E.P.R. Discussion Papers.
- Anisha Ghosh & Christian Julliard, 2008. "Can Rare Events Explain the Equity Premium Puzzle?," FMG Discussion Papers dp610, Financial Markets Group.
- Christian Julliard & Anisha Ghosh, 2012. "Can Rare Events Explain the Equity Premium Puzzle?," The Review of Financial Studies, Society for Financial Studies, vol. 25(10), pages 3037-3076.
- Anisha Ghosh & Christian Julliard, 2008. "Can Rare Events Explain the Equity Premium Puzzle?," 2008 Meeting Papers 1090, Society for Economic Dynamics.
- 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.
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, June.
- 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.
- Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2023.
"Beta-Sorted Portfolios,"
Staff Reports
1068, Federal Reserve Bank of New York.
- Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2022. "Beta-Sorted Portfolios," Papers 2208.10974, arXiv.org, revised Jul 2023.
- Boucher, Christophe, 2006. "Stock prices-inflation puzzle and the predictability of stock market returns," Economics Letters, Elsevier, vol. 90(2), pages 205-212, February.
- 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.
- 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.
- Miquel Faig, 1999. "Asset Pricing, Growth, And The Business Cycle With Irreversible Investment," Working Papers faig-98-02, University of Toronto, Department of Economics.
- 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.
- 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.
- 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.
- 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.
- Schrimpf, Andreas & Grammig, Joachim G., 2007. "Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032 [rev.], ZEW - Leibniz Centre for European Economic Research.
- Joachim Grammig & Andreas Schrimpf, 2009. "Asset pricing with a reference level of consumption: New evidence from the cross‐section of stock returns," Review of Financial Economics, John Wiley & Sons, vol. 18(3), pages 113-123, August.
- Grammig, Joachim & Schrimpf, Andreas, 2009. "Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns," CFR Working Papers 07-05, University of Cologne, Centre for Financial Research (CFR).
- 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.
- Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 2008. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 331-353, June.
- 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.
- Thomas Philippon, 2006. "The Bond Market's q," NBER Working Papers 12462, National Bureau of Economic Research, Inc.
- Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
- Raymond Kan & Cesare Robotti, 2009.
"Model Comparison Using the Hansen-Jagannathan Distance,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3449-3490, September.
- Raymond Kan & Cesare Robotti, 2007. "Model comparison using the Hansen-Jagannathan distance," FRB Atlanta Working Paper 2007-04, Federal Reserve Bank of Atlanta.
- Clark Lundberg, 2019. "Identifying horizon-based heterogeneity in the cross section of portfolio returns," Economics Bulletin, AccessEcon, vol. 39(2), pages 1163-1175.
- Victoria Atanasov, 2014. "Common Risk Factors in Equity Markets," Tinbergen Institute Discussion Papers 14-070/IV, Tinbergen Institute.
- 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.
- Ravi Jagannathan & Keiichi Kubota & Hitoshi Takehara, 1997. "Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market," Discussion Paper / Institute for Empirical Macroeconomics 117, Federal Reserve Bank of Minneapolis.
- Campbell, John, 2000.
"Asset Pricing at the Millennium,"
Scholarly Articles
3294737, Harvard University Department of Economics.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
- 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.
- 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.
- John H. Cochrane, 1999.
"New Facts in Finance,"
NBER Working Papers
7169, National Bureau of Economic Research, Inc.
- John H. Cochrane, 1999. "New Facts in Finance," CRSP working papers 490, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
- 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.
- González-Sánchez, Mariano, 2022. "Factorial asset pricing models using statistical anomalies," Research in International Business and Finance, Elsevier, vol. 60(C).
- Groen, Jan J.J. & Balakrishnan, Ravi, 2006.
"Asset price based estimates of sterling exchange rate risk premia,"
Journal of International Money and Finance, Elsevier, vol. 25(1), pages 71-92, February.
- 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.
- 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.
- 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.
- Franzoni, Francesco & Adrian, Tobias, 2005. "Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM," HEC Research Papers Series 828, HEC Paris.
- Francesco Franzoni & Tobias Adrian, 2005. "Learning about Beta: Time-varying factor loadings, expected returns, and the Conditional CAPM," Working Papers hal-00587579, HAL.
- Tobias Adrian & Francesco Franzoni, 2008. "Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM," Staff Reports 193, Federal Reserve Bank of New York.
- Adrian, Tobias & Franzoni, Francesco, 2009. "Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 537-556, September.
- 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.
- Nikolai Roussanov, 2010. "Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns," NBER Working Papers 16073, National Bureau of Economic Research, Inc.
- 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.
- Stefano Giglio & Ian Dew-Becker, 2013. "Asset pricing in the frequency domain: theory and empirics," 2013 Meeting Papers 1244, Society for Economic Dynamics.
- Ian Dew-Becker & Stefano Giglio, 2013. "Asset Pricing in the Frequency Domain: Theory and Empirics," NBER Working Papers 19416, National Bureau of Economic Research, Inc.
- 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.
- Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015. "Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 205-232.
- 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.
- 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.
- 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.
- António Rua & João Pedro Pereira, 2012.
"Asset pricing with a bank risk factor,"
Working Papers
w201202, Banco de Portugal, Economics and Research Department.
- 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.
- 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.
- Fung, Ka Wai Terence & Demir, Ender & Zhou, Lu, 2014. "Capital Asset Pricing Model and Stochastic Volatility: A Case study of India," MPRA Paper 56180, University Library of Munich, Germany.
- 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.
- Ravi Jagannathan & Zhenyu Wang, 2001. "Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods," NBER Working Papers 8098, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2010. "Macroeconomic Risks and Characteristic-Based Factor Models," MPRA Paper 47344, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- Li, Yan & Yang, Liyan, 2011. "Testing conditional factor models: A nonparametric approach," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 972-992.
- 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.
- 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.
- Abdoh, Hussein & Varela, Oscar, 2021. "What lies behind the asset growth effect?," Global Finance Journal, Elsevier, vol. 48(C).
- 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.
- John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Campbell, John & Cochrane, John, 2000.
"Explaining the Poor Performance of Consumption-Based Asset Pricing Models,"
Scholarly Articles
3163265, Harvard University Department of Economics.
- 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.
- John Y. Campbell & John H. Cochrane, 1999. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," NBER Working Papers 7237, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Michael Nwogugu, 2020. "Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences," Papers 2005.01709, arXiv.org.
- 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.
- 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.
- 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.
- 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).
- Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
- 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.
- Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Evidence from the euro area, the U.K. and the U.S," Working Papers w201119, Banco de Portugal, Economics and Research Department.
- João M. Sousa & Ricardo M. Sousa, 2019. "Asset Returns Under Model Uncertainty: Evidence from the Euro Area, the US and the UK," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 139-176, June.
- 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.
- 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.
- 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.
- John H. Cochrane, 2001. "A Rehabilitation of Stochastic Discount Factor Methodology," NBER Working Papers 8533, National Bureau of Economic Research, Inc.
- 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.
- Bansal, Ravi & Dahlquist, Magnus, 2002. "Expropriation Risk and Return in Global Equity Markets," SIFR Research Report Series 8, Institute for Financial Research.
- Raymond Kan & Cesare Robotti & Jay Shanken, 2009.
"Pricing model performance and the two-pass cross-sectional regression methodology,"
FRB Atlanta Working Paper
2009-11, Federal Reserve Bank of Atlanta.
- 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.
- Raymond Kan & Cesare Robotti & Jay Shanken, 2013. "Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology," Journal of Finance, American Finance Association, vol. 68(6), pages 2617-2649, December.
- Ferson, Wayne & Mo, Haitao, 2016. "Performance measurement with selectivity, market and volatility timing," Journal of Financial Economics, Elsevier, vol. 121(1), pages 93-110.
- 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.
- 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.
- 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.
- Robert Chambers & John Quiggin, 2010. "Cost minimization and the stochastic discount factor," Annals of Operations Research, Springer, vol. 176(1), pages 349-368, April.
- 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.
- 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.
- Borup, Daniel & Schütte, Erik Christian Montes, 2022. "Asset pricing with data revisions," Journal of Financial Markets, Elsevier, vol. 59(PB).
- Jeong-Joon Lee, 2006.
"The Adjusted Solow Residual and Asset Returns,"
CIRJE F-Series
CIRJE-F-396, CIRJE, Faculty of Economics, University of Tokyo.
- Jeong-Joon Lee, 2007. "The Adjusted Solow Residual and Asset Returns," Eastern Economic Journal, Eastern Economic Association, vol. 33(2), pages 231-255, Spring.
- Marquering, Wessel & Verbeek, Marno, 1999.
"An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence,"
Journal of Empirical Finance, Elsevier, vol. 6(3), pages 243-265, September.
- 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.
- 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.
- Joost Driessen & Bertrand Melenberg & Theo Nijman, 2000. "Testing Affine Term Structure Models in Case of Transaction Costs," Econometric Society World Congress 2000 Contributed Papers 0553, Econometric Society.
- Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2005. "Testing affine term structure models in case of transaction costs," Journal of Econometrics, Elsevier, vol. 126(1), pages 201-232, May.
- Roméo Tédongap, 2015. "Consumption Volatility and the Cross-Section of Stock Returns," Review of Finance, European Finance Association, vol. 19(1), pages 367-405.
- Nieto, Belén & Rodríguez López, Rosa, 2004. "Modelos de valoración de activos condicionales: un panorama comparativo con datos españoles," DEE - Documentos de Trabajo. EconomÃa de la Empresa. DB db040202, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- 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.
- 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.
- Srisuksai, Pithak & Vanitcharearntham, Vimut, . "Asset Pricing with Idiosyncratic Shocks," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 23(1).
- 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.
- Allen Head & Gregor W. Smith, 2002. "The Ccapm Meets Euro-interest Rate Persistence, 1960-2000," Working Paper 1250, Economics Department, Queen's University.
- Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2019. "Financial Market Risk Perceptions and the Macroeconomy," NBER Working Papers 26290, National Bureau of Economic Research, Inc.
- Dmitry Livdan & Horacio Sapriza & Lu Zhang, 2006.
"Financially Constrained Stock Returns,"
NBER Working Papers
12555, National Bureau of Economic Research, Inc.
- Dmitry Livdan & Horacio Sapriza & Lu Zhang, 2009. "Financially Constrained Stock Returns," Journal of Finance, American Finance Association, vol. 64(4), pages 1827-1862, August.
- 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.
- Sönksen, Jantje & Grammig, Joachim, 2020. "Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach," CFR Working Papers 14-06, University of Cologne, Centre for Financial Research (CFR), revised 2020.
- 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.
- 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.
- Balduzzi, Pierluigi & Robotti, Cesare, 2010. "Asset pricing models and economic risk premia: A decomposition," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 54-80, January.
- 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.
- 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.
- Couch, Robert & Wu, Wei, 2012. "Private investment and public equity returns," Journal of Economics and Business, Elsevier, vol. 64(2), pages 160-184.
- 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.
- 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).
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2019. "Estimation of Large Dimensional Conditional Factor Models in Finance," Swiss Finance Institute Research Paper Series 19-46, Swiss Finance Institute.
- Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
- Woon Gyu Choi, 2007.
"Measuring Interest Rates as Determined by Thrift and Productivity,"
Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 167-195, May.
- Choi, Woon Gyu & Wen, Yi, 2000. "Measuring Interest Rates as Determined by Thrift and Productivity," Working Papers 00-03, Cornell University, Center for Analytic Economics.
- 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.
- 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).
- Bandi, Federico M. & Perron, Benoît, 2008. "Long-run risk-return trade-offs," Journal of Econometrics, Elsevier, vol. 143(2), pages 349-374, April.
- 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.
- Asgharian, Hossein & Karlsson, Sonnie, 2006.
"Evaluating a nonlinear asset pricing model on international data,"
Working Papers
2006:5, Lund University, Department of Economics.
- Asgharian, Hossein & Karlsson, Sonnie, 2008. "Evaluating a non-linear asset pricing model on international data," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 604-621, June.
- 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.
- Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019.
"A diagnostic criterion for approximate factor structure,"
Journal of Econometrics, Elsevier, vol. 212(2), pages 503-521.
- Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016. "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series 16-51, Swiss Finance Institute, revised Dec 2016.
- Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "A diagnostic criterion for approximate factor structure," Papers 1612.04990, arXiv.org, revised Aug 2017.
- 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.
- Luigi Guiso & Paola Sapienza & Luigi Zingales, 2004. "Cultural Biases in Economic Exchange," NBER Working Papers 11005, National Bureau of Economic Research, Inc.
- Guiso, Luigi & Zingales, Luigi & Sapienza, Paola, 2005. "Cultural Biases in Economic Exchange," CEPR Discussion Papers 4837, C.E.P.R. Discussion Papers.
- Luigi Guiso & Paola Sapienza & Luigi Zingales, 2007. "Cultural Biases in Economic Exchange?," Economics Working Papers ECO2007/42, European University Institute.
- Luigi Guiso & Paola Sapienza & Luigi Zingales, 2005. "Cultural Biases in Economic Exchange," 2005 Meeting Papers 234, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- 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.
- Yan Li & Liangjun Su & Yuewu Xu, 2014.
"A Combined Approach to the Inference of Conditional Factor Models,"
Working Papers
10-2014, Singapore Management University, School of Economics.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Wang, Zhi, 2000. "Production-based asset pricing: a cross-industry study," ISU General Staff Papers 2000010108000013294, Iowa State University, Department of Economics.
- 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.
- 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.
- Zhang, Xiaoyan, 2006. "Specification tests of international asset pricing models," Journal of International Money and Finance, Elsevier, vol. 25(2), pages 275-307, March.
- Frederico Belo & Xiaoji Lin & Fan Yang, 2014.
"External Equity Financing Shocks, Financial Flows, and Asset Prices,"
NBER Working Papers
20210, National Bureau of Economic Research, Inc.
- 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.
- Belo, Frederico & Lin, Xiaoji & Yang, Fan, 2014. "External Equity Financing Shocks, Financial Flows, and Asset Prices," Working Paper Series 2014-08, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- 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.
- Susanne M. Schennach, 2007. "Point estimation with exponentially tilted empirical likelihood," Papers 0708.1874, arXiv.org.
- 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.
- Gabor Pinter, 2016.
"The Macroeconomic Shock with the Highest Price of Risk,"
Discussion Papers
1623, Centre for Macroeconomics (CFM), revised Apr 2017.
- Pinter, Gabor, 2016. "The macroeconomic shock with the highest price of risk," Bank of England working papers 616, Bank of England.
- 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.
- Javid, Attiya Yasmin, 2008. "Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms," MPRA Paper 37561, University Library of Munich, Germany.
- Yuan Liao & Xiye Yang, 2017. "Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models," Papers 1711.04392, arXiv.org, revised Dec 2018.
- 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.
- George Papanastasopoulos & Dimitrios Thomakos & Tao Wang, 2007. "Information in Balance Sheets for Future Stock Returns: Evidence from Net Operating Assets," Working Paper series 45_07, Rimini Centre for Economic Analysis.
- 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.
- Gomes, Joao & Kogan, Leonid & Zhang, Lu, 2002. "Equilibrium Cross-Section of Returns," CEPR Discussion Papers 3482, C.E.P.R. Discussion Papers.
- 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.
- Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society.
- Dahlquist, Magnus & Bansal, Ravi, 2001. "Sovereign Risk and Return in Global Equity Markets," CEPR Discussion Papers 3034, C.E.P.R. Discussion Papers.
- 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).
- Li, Yuming & Zhong, Maosen, 2005. "Consumption habit and international stock returns," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 579-601, March.
- Kwon, Ji Ho, 2019. "Tail risk and the consumption CAPM," Finance Research Letters, Elsevier, vol. 30(C), pages 69-75.
- 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.
- 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.
- 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.
- Xiaoji Lin & Fan Yang & Frederico Belo, 2014. "External Equity Financing Costs, Financial Flows, and Asset Prices," 2014 Meeting Papers 863, Society for Economic Dynamics.
- 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.
- Pierlauro Lopez, 2018.
"A New Keynesian Q Theory and the Link Between Inflation and the Stock Market,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 29, pages 85-105, July.
- Pierlauro Lopez, 2017. "Code and data files for "A New Keynesian Q Theory and the Link Between Inflation and the Stock Market"," Computer Codes 16-134, Review of Economic Dynamics.
- 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.
- 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.
- Lorenzo Bretscher, 2023. "From Local to Global: Offshoring and Asset Prices," Management Science, INFORMS, vol. 69(3), pages 1420-1448, March.
- 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.
- Grammig, Joachim G. & Jank, Stephan, 2010. "Creative destruction and asset prices," CFR Working Papers 10-14, University of Cologne, Centre for Financial Research (CFR).
- Andrea L. Eisfeldt & Tyler Muir, 2014. "Aggregate External Financing and Savings Waves," NBER Working Papers 20442, National Bureau of Economic Research, Inc.
- Li, Qi, 1999. "Consistent model specification tests for time series econometric models," Journal of Econometrics, Elsevier, vol. 92(1), pages 101-147, September.
- 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.
- Hall, Alastair R. & Inoue, Atsushi, 2003.
"The large sample behaviour of the generalized method of moments estimator in misspecified models,"
Journal of Econometrics, Elsevier, vol. 114(2), pages 361-394, June.
- 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.
- 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.
- 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.
- 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.
- 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.
- Leonid Kogan & Dimitris Papanikolaou, 2012. "Growth Opportunities, Technology Shocks, and Asset Prices," NBER Working Papers 17795, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Kogan, Leonid, 2004. "Asset prices and real investment," Journal of Financial Economics, Elsevier, vol. 73(3), pages 411-431, September.
- 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.
- 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.
- 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.
- 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.
- 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.
- Wayne E. Ferson, 2013. "Ruminations on Investment Performance Measurement," European Financial Management, European Financial Management Association, vol. 19(1), pages 4-13, January.
- Tolga Cenesizoglu & Jonathan J. Reeves, 2013. "CAPM, Components of Beta and the Cross Section of Expected Returns," CIRANO Working Papers 2013s-09, CIRANO.
- Shi, Lei, 2016. "Consumption-based CAPM with belief heterogeneity," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 30-46.
- 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.
- Pakos, Michal, 2004. "Asset Pricing with Durable Goods and Nonhomothetic Preferences," MPRA Paper 26167, University Library of Munich, Germany.
- 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).
- Hsu, Yen-Ju & Wang, Yanzhi, 2023. "Technology spillover, corporate investment, and stock returns," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 238-250.
- 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.
- Hodrick, Robert J. & Zhang, Xiaoyan, 2001.
"Evaluating the specification errors of asset pricing models,"
Journal of Financial Economics, Elsevier, vol. 62(2), pages 327-376, November.
- Robert J. Hodrick & Xiaoyan Zhang, 2000. "Evaluating the Specification Errors of Asset Pricing Models," NBER Working Papers 7661, National Bureau of Economic Research, Inc.
- Abdoh, Hussein, 2019. "Product market competition and earnings exposure to productivity shocks," Economics Letters, Elsevier, vol. 174(C), pages 31-34.
- Akbari, Amir & Carrieri, Francesca, 2023. "Global risk and market conditions," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 51-70.
- 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).
- Jonathan Brogaard & Andrew Detzel, 2015. "The Asset-Pricing Implications of Government Economic Policy Uncertainty," Management Science, INFORMS, vol. 61(1), pages 3-18, January.
- Warusawitharana, Missaka, 2013. "The expected real return to equity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1929-1946.
- 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.
- de Roon, F.A. & Nijman, T.E., 1998. "Testing for mean-variance spanning : A survey," Discussion Paper 1998-132, Tilburg University, Center for Economic Research.
- 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.
- Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Evidence from the euro area, the U.K. and the U.S," Working Papers w201119, Banco de Portugal, Economics and Research Department.
- Lu, Xun & Su, Liangjun, 2015.
"Jackknife model averaging for quantile regressions,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 40-58.
- Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers 11-2014, Singapore Management University, School of Economics.
- 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.
- Coudert, Virginie & Gex, Mathieu, 2008. "Does risk aversion drive financial crises? Testing the predictive power of empirical indicators," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 167-184, March.
- 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.
- 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.
- Willi Semmler, 2006.
"Asset Prices, Booms and Recessions,"
Springer Books,
Springer,
edition 0, number 978-3-540-24696-1, June.
- Willi Semmler, 2011. "Asset Prices, Booms and Recessions," Springer Books, Springer, number 978-3-642-20680-1, June.
- Toni M. Whited & Lu Zhang, 2006. "Testing the q-Theory of Anomalies," 2006 Meeting Papers 380, Society for Economic Dynamics.
- 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.
- Martin Lettau & Sydney C. Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York.
- 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.
- 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).
- 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.
- 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).
- 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.
- 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.
- 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.
- 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.
- Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Sun, Yuying & Hong, Yongmiao & Lee, Tae-Hwy & Wang, Shouyang & Zhang, Xinyu, 2021. "Time-varying model averaging," Journal of Econometrics, Elsevier, vol. 222(2), pages 974-992.
- 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.
- John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
- 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.
- 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.
- 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.
- 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.
- 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.
- Lu Zhang, 2005. "Anomalies," NBER Working Papers 11322, National Bureau of Economic Research, Inc.
- 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.
- Paulo Maio, 2013. "Intertemporal CAPM with Conditioning Variables," Management Science, INFORMS, vol. 59(1), pages 122-141, April.
- 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.
- Long Chen & Lu Zhang, 2009. "The stock market and aggregate employment," NBER Working Papers 15219, National Bureau of Economic Research, Inc.
- Geoffrey Shuetrim, 1998. "Systematic Risk Characteristics of Corporate Equity," RBA Research Discussion Papers rdp9802, Reserve Bank of Australia.
- 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.
- Raymond Kan & Guofu Zhou, 1999.
"A Critique of the Stochastic Discount Factor Methodology,"
CEMA Working Papers
12, China Economics and Management Academy, Central University of Finance and Economics.
- 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.
- Jaime Casassus & Freddy Higuera, 2011. "Stock Return Predictability and Oil Prices," Documentos de Trabajo 406, Instituto de Economia. Pontificia Universidad Católica de Chile..
- 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.
- 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.
- 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.).
- 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.
- 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.
- Xiaoji Lin & Lu Zhang, 2011. "Covariances versus Characteristics in General Equilibrium," NBER Working Papers 17285, National Bureau of Economic Research, Inc.
- Vassalou, Maria & Li, Qing & Xing, Yuhang, 2001. "An Investment-Growth Asset Pricing Model," CEPR Discussion Papers 3058, C.E.P.R. Discussion Papers.
- Maio, Paulo & Silva, André C., 2020. "Asset pricing implications of money: New evidence," Journal of Banking & Finance, Elsevier, vol. 120(C).
- 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.
- Dat Thanh Tran & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2021. "Bilinear Input Normalization for Neural Networks in Financial Forecasting," Papers 2109.00983, arXiv.org.
- Hirshleifer, David & Hsu, Po-Hsuan & Li, Dongmei, 2013. "Innovative efficiency and stock returns," Journal of Financial Economics, Elsevier, vol. 107(3), pages 632-654.
- 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).
- 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.
- Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008. "Testing Conditional Asset Pricing Models: An Emerging Market Perspective," Monash Econometrics and Business Statistics Working Papers 3/08, Monash University, Department of Econometrics and Business Statistics.
- 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.
- Gao, Lin & Hitzemann, Steffen & Shaliastovich, Ivan & Xu, Lai, 2022. "Oil volatility risk," Journal of Financial Economics, Elsevier, vol. 144(2), pages 456-491.
- 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.
- 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.
- Andrew Ang & Joseph Chen, 2005.
"CAPM Over the Long Run: 1926-2001,"
NBER Working Papers
11903, National Bureau of Economic Research, Inc.
- Ang, Andrew & Chen, Joseph, 2007. "CAPM over the long run: 1926-2001," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 1-40, January.
- 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.
- Sydney C. Ludvigson, 2011. "Advances in Consumption-Based Asset Pricing: Empirical Tests," NBER Working Papers 16810, National Bureau of Economic Research, Inc.
- Li, Jay Y. & Mauer, David C., 2016. "Financing uncertain growth," Journal of Corporate Finance, Elsevier, vol. 41(C), pages 241-261.
- Nicolae B. Gârleanu & Stavros Panageas & Jianfeng Yu, 2009.
"Technological Growth and Asset Pricing,"
NBER Working Papers
15340, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- Ward, Colin, 2020. "Is the IT revolution over? An asset pricing view," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 283-316.
- 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.
- Wang, Qiao & Balvers, Ronald, 2021. "Determinants and predictability of commodity producer returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
- 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.
- 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.).
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Andrew Ang & Joseph Chen & Yuhang Xing, 2001. "Downside Risk and the Momentum Effect," NBER Working Papers 8643, National Bureau of Economic Research, Inc.
- 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.
- Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.
- 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.
- Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc.
- 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.
- 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).
- Mizobata, Hirokazu, 2016. "Differing factor adjustment costs across industries: Evidence from Japan," Economic Modelling, Elsevier, vol. 54(C), pages 382-391.
- 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.
- 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.
- 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.
- 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.
- Jin Ginger Wu & Lu Zhang & X. Frank Zhang, 2007. "Understanding the Accrual Anomaly," NBER Working Papers 13525, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Wagner, Alexander F. & Schrimpf, Paul & Schmidt, Peter S. & von Arx, Urs & Ziegler, Andreas, 2015. "Size and Momentum Profitability in International Stock Markets," CEPR Discussion Papers 10804, C.E.P.R. Discussion Papers.
- Ball, Ray & Sadka, Gil, 2015. "Aggregate earnings and why they matter," Journal of Accounting Literature, Elsevier, vol. 34(C), pages 39-57.
- 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.
- 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.
- John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
- Eisfeldt, Andrea L. & Muir, Tyler, 2016. "Aggregate external financing and savings waves," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 116-133.
- 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.
- 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.
- 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.
- Maria Cecillia Bustamante, 2011. "Strategic Investment, Industry Concentration and the Cross Section of Returns," FMG Discussion Papers dp681, Financial Markets Group.
- Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers 3145, C.E.P.R. Discussion Papers.
- 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.
- Christopher Malloy & Tobias Moskowitz, 2005. "Human Capital Risk, Stockholder Consumption, and Asset Returns," 2005 Meeting Papers 123, Society for Economic Dynamics.
- 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.
- Huang, Dayong & Wang, Fang, 2009. "Cash, investments and asset returns," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2301-2311, December.
- Evgeny Lyandres & Le Sun & Lu Zhang, 2005. "Investment-Based Underperformance Following Seasoned Equity Offerings," NBER Working Papers 11459, National Bureau of Economic Research, Inc.
- 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.
- Francisco Palomino & Erica Li, 2010. "Monetary Policy Risk and the Cross-Section of Stock Returns," 2010 Meeting Papers 935, Society for Economic Dynamics.
- Vanden, Joel M., 2005. "Equilibrium analysis of volatility clustering," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 374-417, June.
- Andrew Ang & Jun Liu, 2003. "How to Discount Cashflows with Time-Varying Expected Returns," NBER Working Papers 10042, National Bureau of Economic Research, Inc.
- Wu, Juan (Julie) & Zhang, Jianzhong (Andrew), 2019. "Short selling and market anomalies," Journal of Financial Markets, Elsevier, vol. 46(C).
- Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-based asset pricing with rare disaster risk," CFS Working Paper Series 480, Center for Financial Studies (CFS).
- 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.
- 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.
- 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.
- 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:
- 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.
- Ralph S.J. Koijen & Stijn Nieuwerburgh & Motohiro Yogo, 2016. "Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice," Journal of Finance, American Finance Association, vol. 71(2), pages 957-1010, April.
- Stijn Van Nieuwerburgh & Motohiro Yogo & Ralph S. J. Koijen, 2011. "Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice," 2011 Meeting Papers 633, Society for Economic Dynamics.
- Ralph Koijen & Stijn Van Nieuwerburgh & Motohiro Yogo, 2011. "Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice," NBER Working Papers 17325, National Bureau of Economic Research, Inc.
- 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.
- Baumann Florian & Meier Volker & Werding Martin, 2008. "Transferable Ageing Provisions in Individual Health Insurance Contracts," German Economic Review, De Gruyter, vol. 9(3), pages 287-311, August.
- Florian Baumann & Volker Meier & Martin Werding, 2004. "Transferable Ageing Provisions in Individual Health Insurance Contracts," CESifo Working Paper Series 1116, CESifo.
- Florian Baumann & Volker Meier & Martin Werding, 2008. "Transferable Ageing Provisions in Individual Health Insurance Contracts," German Economic Review, Verein für Socialpolitik, vol. 9(3), pages 287-311, August.
- Florian Baumann & Volker Meier & Martin Werding, 2006. "Transferable Ageing Provisions in Individual Health Insurance Contracts," ifo Working Paper Series 32, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- 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.
- Igal Hendel & Alessandro Lizzeri, 2003. "The Role of Commitment in Dynamic Contracts: Evidence from Life Insurance," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 118(1), pages 299-328.
- Santos, Tano & Veronesi, Pietro, 2022. "Leverage," Journal of Financial Economics, Elsevier, vol. 145(2), pages 362-386.
- Renaud Bourlès, 2008.
"Moral Hazard In Dynamic Insurance Classification Risk And Prepayment,"
Working Papers
halshs-00340830, HAL.
- Renaud Bourlès, 2015. "Prevention Incentives in Long-Term Insurance Contracts," Working Papers halshs-01214592, HAL.
- Renaud Bourlès, 2010. "The incentive for prevention in public health Systems," IDEP Working Papers 1001, Institut d'economie publique (IDEP), Marseille, France, revised 17 Feb 2010.
- Renaud Bourlès, 2017. "Prevention incentives in long‐term insurance contracts," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 26(3), pages 661-674, September.
- Renaud Bourlès, 2015. "Prevention Incentives in Long-Term Insurance Contracts," AMSE Working Papers 1541, Aix-Marseille School of Economics, France, revised Oct 2015.
- Renaud Bourlès, 2017. "Prevention incentives in long-term insurance contracts," Post-Print hal-01589993, HAL.
- Francesca Barigozzi & Dominique Henriet, 2008.
"Genetic Information: Comparing Alternative Regulatory Approaches when Prevention Matters,"
CHILD Working Papers
wp01_09, CHILD - Centre for Household, Income, Labour and Demographic economics - ITALY.
- 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.
- F. Barigozzi & D. Henriet, 2009. "Genetic Information: Comparing Alternative Regulatory Approaches when Prevention Matters," Working Papers 657, Dipartimento Scienze Economiche, Universita' di Bologna.
- 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.
- Iourii Manovskii & Bjoern Bruegemann, 2009.
"Fragility: A Quantitative Analysis of the US Health Insurance System,"
2009 Meeting Papers
1246, Society for Economic Dynamics.
- Iourii Manovskii & Bjoern Bruegemann, 2010. "Fragility: A Quantitative Analysis of the US Health Insurance System," 2010 Meeting Papers 787, Society for Economic Dynamics.
- Iwamoto, Yasushi & Kohara, Miki & Saito, Makoto, 2010.
"On the consumption insurance effects of long-term care insurance in Japan: Evidence from micro-level household data,"
Journal of the Japanese and International Economies, Elsevier, vol. 24(1), pages 99-115, March.
- 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.
- 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.
- Francesca Barigozzi & Dominique Henriet, 2006. "Endogenous Information and Self-Insurance in Insurance Markets : a Welfare Analysis," Working Papers halshs-00411337, HAL.
- Bardey, David & De Donder, Philippe, 2012.
"Genetic testing with primary prevention and moral hazard,"
IDEI Working Papers
729, Institut d'Économie Industrielle (IDEI), Toulouse.
- David Bardey & Philippe De Donder, 2011. "Genetic testing with primary prevention and moral hazard," Documentos de Trabajo 9083, Universidad del Rosario.
- De Donder, Philippe & Bardey, David, 2012. "Genetic testing with primary prevention and moral hazard," CEPR Discussion Papers 8977, C.E.P.R. Discussion Papers.
- Bardey, David & De Donder, Philippe, 2012. "Genetic testing with primary prevention and moral hazard," TSE Working Papers 12-320, Toulouse School of Economics (TSE).
- 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.
- David Bardey & Philippe De Donder, 2012. "Genetic testing with primary prevention and moral hazard," Documentos CEDE 9798, Universidad de los Andes, Facultad de Economía, CEDE.
- 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.
- Konrad, Kai A. & Thum, Marcel, 2012.
"The role of economic policy in climate change adaptation,"
EIB Working Papers
2012/02, European Investment Bank (EIB).
- Konrad, Kai A. & Thum, Marcel, 2014. "The Role of Economic Policy in Climate Change Adaptation," Munich Reprints in Economics 22181, University of Munich, Department of Economics.
- Kai A. Konrad & Marcel Thum, 2012. "The Role of Economic Policy in Climate Change Adaptation," CESifo Working Paper Series 3959, CESifo.
- 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.
- 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.
- 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.
- Wenan Fei & Claude Fluet & Harris Schlesinger, 2007. "Uncertain Bequest Needs and Long-Term Insurance Contracts," Cahiers de recherche 0742, CIRPEE.
- Wenan Fei & Claude Fluet & Harris Schlesinger, 2008. "Uncertain Bequest Needs and Long-Term Insurance Contracts," CESifo Working Paper Series 2505, CESifo.
- 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.
- 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.
- Martin Dumav, 2013. "Health Insurance over the Life Cycle with Adverse Selection," 2013 Meeting Papers 1138, Society for Economic Dynamics.
- M. Bundorf & Jonathan Levin & Neale Mahoney, "undated".
"Pricing and Welfare in Health Plan Choice,"
Discussion Papers
07-047, Stanford Institute for Economic Policy Research.
- M. Kate Bundorf & Jonathan D. Levin & Neale Mahoney, 2008. "Pricing and Welfare in Health Plan Choice," NBER Working Papers 14153, National Bureau of Economic Research, Inc.
- M. Kate Bundorf & Jonathan Levin & Neale Mahoney, 2012. "Pricing and Welfare in Health Plan Choice," American Economic Review, American Economic Association, vol. 102(7), pages 3214-3248, December.
- 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.
- Pashchenko, Svetlana & Porapakkarm, Ponpoje, 2011. "Welfare costs of reclassification risk in the health insurance market," MPRA Paper 34189, University Library of Munich, Germany.
- Pashchenko, Svetlana & Porapakkarm, Ponpoje, 2011. "Welfare costs of reclassification risk in the health insurance market," Working Paper Series, Center for Fiscal Studies 2011:13, Uppsala University, Department of Economics.
- Koijen, Ralph & Van Nieuwerburgh, Stijn, 2018.
"Financing the War on Cancer,"
CEPR Discussion Papers
12990, C.E.P.R. Discussion Papers.
- Ralph Koijen & Stijn Van Nieuwerburgh, 2018. "Financing the War on Cancer," NBER Working Papers 24730, National Bureau of Economic Research, Inc.
- Hanming Fang & Alessandro Gavazza, 2011.
"Dynamic Inefficiencies in an Employment-Based Health Insurance System: Theory and Evidence,"
American Economic Review, American Economic Association, vol. 101(7), pages 3047-3077, December.
- Hanming Fang & Alessandro Gavazza, 2007. "Dynamic Inefficiencies in Employment-Based Health Insurance System Theory and Evidence," NBER Working Papers 13371, National Bureau of Economic Research, Inc.
- 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.
- 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.
- He, Daifeng, 2011. "Is there dynamic adverse selection in the life insurance market?," Economics Letters, Elsevier, vol. 112(1), pages 113-115, July.
- 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.
- Martin Gaynor & Kate Ho & Robert Town, 2014.
"The Industrial Organization of Health Care Markets,"
NBER Working Papers
19800, National Bureau of Economic Research, Inc.
- Benjamin R. Handel & Kate Ho, 2021. "Industrial Organization of Health Care Markets," NBER Working Papers 29137, National Bureau of Economic Research, Inc.
- Martin Gaynor & Kate Ho & Robert J. Town, 2015. "The Industrial Organization of Health-Care Markets," Journal of Economic Literature, American Economic Association, vol. 53(2), pages 235-284, June.
- 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.
- Michael Geruso & Timothy Layton, 2017.
"Selection in Health Insurance Markets and Its Policy Remedies,"
NBER Working Papers
23876, National Bureau of Economic Research, Inc.
- Michael Geruso & Timothy J. Layton, 2017. "Selection in Health Insurance Markets and Its Policy Remedies," Journal of Economic Perspectives, American Economic Association, vol. 31(4), pages 23-50, Fall.
- Ponpoje Porapakkarm & Svetlana Pashchenko, 2011.
"Quantitative Analysis of Health Insurance Reform: Separating Community Rating from Income Redistribution,"
2011 Meeting Papers
1254, Society for Economic Dynamics.
- 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.
- 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.
- Marcus C. Christiansen & Martin Eling & Jan-Philipp Schmidt & Lorenz Zirkelbach, 2016. "Who is Changing Health Insurance Coverage? Empirical Evidence on Policyholder Dynamics," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 269-300, June.
- Phoebe Tian, 2024. "The Role of Long-Term Contracting in Business Lending," Staff Working Papers 24-2, Bank of Canada.
- 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.
- 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.
- Hans van Kippersluis & Tom van Ourti & Owen O'Donnell & Eddy van Doorslaer, 2008. "Health and Income across the Life Cycle and Generations in Europe," Tinbergen Institute Discussion Papers 08-009/3, Tinbergen Institute.
- 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.
- 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.
- 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.
- 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.
- 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.
- Amy Finkelstein & Kathleen McGarry & Amir Sufi, 2005. "Dynamic Inefficiencies in Insurance Markets: Evidence from Long-Term Care Insurance," American Economic Review, American Economic Association, vol. 95(2), pages 224-228, May.
- Michael Hoy & Afrasiab Mirza & Asha Sadanand, 2018.
"Guaranteed Renewable Life Insurance Under Demand Uncertainty,"
CESifo Working Paper Series
7103, CESifo.
- Michael Hoy & Afrasiab Mirza & Asha Sadanand, 2021. "Guaranteed renewable life insurance under demand uncertainty," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(1), pages 131-159, March.
- Feldman, Roger & Dowd, Bryan, 2000. "Risk segmentation: goal or problem?," Journal of Health Economics, Elsevier, vol. 19(4), pages 499-512, July.
- Volker Meier, 2005.
"Efficient Transfer of Aging Provisions in Private Health Insurance,"
Journal of Economics, Springer, vol. 84(3), pages 249-275, May.
- Volker Meier, 2003. "Efficient Transfer of Aging Provisions in Private Health Insurance," CESifo Working Paper Series 862, CESifo.
- Meier, Volker, 2005. "Efficient transfer of aging provisions in private health insurance," Munich Reprints in Economics 19184, University of Munich, Department of Economics.
- Dominique Henriet, 2004. "Assurance maladie : intervention publique et rôle de la concurrence," Revue d'économie politique, Dalloz, vol. 114(5), pages 587-594.
- 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.
- 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.
- 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.
- H. E. Frech & Michael P. Smith, 2015. "Anatomy of a Slow-Motion Health Insurance Death Spiral," North American Actuarial Journal, Taylor & Francis Journals, vol. 19(1), pages 60-72, January.
- 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.
- 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.
- Wiseman, Thomas, 2018. "Competitive long-term health insurance," Journal of Health Economics, Elsevier, vol. 58(C), pages 144-150.
- 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.
- 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.
- Bradley Herring & Mark Pauly, 2003. "Incentive-Compatible Guaranteed Renewable Health Insurance," NBER Working Papers 9888, National Bureau of Economic Research, Inc.
- 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.
- Friedrich Breyer & Andreas Haufler, 2000.
"Health Care Reform: Separating Insurance from Income Redistribution,"
International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 7(4), pages 445-461, August.
- Breyer, Friedrich & Haufler, Andreas, 1999. "Health care reform: Separating insurance from income redistribution," Discussion Papers, Series I 296, University of Konstanz, Department of Economics.
- Breyer, Friedrich & Haufler, Andreas, 2000. "Health Care Reform: Separating Insurance from Income Redistribution," Munich Reprints in Economics 20114, University of Munich, Department of Economics.
- Friedrich Breyer & Andreas Haufler, 2000. "Health Care Reform: Separating Insurance from Income Redistribution," Discussion Papers of DIW Berlin 205, DIW Berlin, German Institute for Economic Research.
- 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.
- Buchholz, Wolfgang & Wiegard, Wolfgang, 1997. "Zeit(in)konsistente Steuerpolitik," Tübinger Diskussionsbeiträge 115, University of Tübingen, School of Business and Economics.
- 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.
- Jeske, Karsten & Kitao, Sagiri, 2009. "U.S. tax policy and health insurance demand: Can a regressive policy improve welfare?," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 210-221, March.
- Sherry Glied, 2003. "Health Care Costs: On the Rise Again," Journal of Economic Perspectives, American Economic Association, vol. 17(2), pages 125-148, Spring.
- 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.
- David M. Cutler & Richard J. Zeckhauser, 1999. "The Anatomy of Health Insurance," NBER Working Papers 7176, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- Sebastián Fleitas & Gautam Gowrisankaran & Anthony Lo Sasso, 2018. "Reclassification Risk in the Small Group Health Insurance Market," NBER Working Papers 24663, National Bureau of Economic Research, Inc.
- 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.
- 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.
- David M. Cutler & Richard J. Zeckhauser, 1997.
"Reinsurance for Catastrophes and Cataclysms,"
NBER Working Papers
5913, National Bureau of Economic Research, Inc.
- David M. Cutler & Richard J. Zeckhauser, 1999. "Reinsurance for Catastrophes and Cataclysms," NBER Chapters, in: The Financing of Catastrophe Risk, pages 233-274, National Bureau of Economic Research, Inc.
- Jayanta Bhattacharya & William B. Vogt, 2006. "Employment and Adverse Selection in Health Insurance," NBER Working Papers 12430, National Bureau of Economic Research, Inc.
- 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.
- Hilary W. Hoynes & Erzo F.P. Luttmer, 2010.
"The Insurance Value of State Tax-and-Transfer Programs,"
NBER Working Papers
16280, National Bureau of Economic Research, Inc.
- Hoynes, Hilary W. & Luttmer, Erzo F.P., 2011. "The insurance value of state tax-and-transfer programs," Journal of Public Economics, Elsevier, vol. 95(11), pages 1466-1484.
- 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.
- 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.
- Kanika Kapur, 2003. "Labor Market Implications of State Small Group Health Insurance Reform," Public Finance Review, , vol. 31(6), pages 571-600, November.
- 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.
- Owen (O.A.) O'Donnell, 2019. "Financial Protection Against Medical Expense," Tinbergen Institute Discussion Papers 19-010/V, Tinbergen Institute.
- 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.
- Martin Eling & Ruo Jia & Yi Yao, 2017.
"Between-Group Adverse Selection: Evidence From Group Critical Illness Insurance,"
Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(2), pages 771-809, June.
- 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.
- Atal, Juan Pablo & Fang, Hanming & Karlsson, Martin & Ziebarth, Nicolas R., 2021.
"Long-term health insurance: Theory meets evidence,"
ZEW Discussion Papers
21-094, ZEW - Leibniz Centre for European Economic Research.
- 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.
- Juan Pablo Atal & Hanming Fang & Martin Karlsson & Nicolas R. Ziebarth, 2020. "Long-Term Health Insurance: Theory Meets Evidence," PIER Working Paper Archive 20-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- 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.
- 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.
- Gabrielle Demange & Pierre-Yves Geoffard, 2004. "À quoi peut servir la concurrence en assurance santé ?," Post-Print halshs-00576806, HAL.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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).
- 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.
- 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:
- 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.
- Michael Kiley, 2010.
"Output gaps,"
2010 Meeting Papers
266, Society for Economic Dynamics.
- Michael T. Kiley, 2010. "Output gaps," Finance and Economics Discussion Series 2010-27, Board of Governors of the Federal Reserve System (U.S.).
- Kiley, Michael T., 2013. "Output gaps," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 1-18.
- Paresh Kumar Narayan & Russell Smyth, 2005.
"Are Shocks To Energy Consumption Permanent Or Temporary? Evidence From 182 Countries,"
Monash Economics Working Papers
06/05, Monash University, Department of Economics.
- 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.
- Machokoto, Michael & Tanveer, Umair & Ishaq, Shamaila & Areneke, Geofry, 2021. "Decreasing investment-cash flow sensitivity: Further UK evidence," Finance Research Letters, Elsevier, vol. 38(C).
- 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..
- 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.
- 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.
- 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.
- 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.
- Owen Lamont, "undated".
"Earnings and Expected Returns,"
CRSP working papers
345, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Owen Lamont, 1996. "Earnings and Expected Returns," NBER Working Papers 5671, National Bureau of Economic Research, Inc.
- 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.
- Attfield, Cliff & Temple, Jonathan R.W., 2010. "Balanced growth and the great ratios: New evidence for the US and UK," Journal of Macroeconomics, Elsevier, vol. 32(4), pages 937-956, December.
- D. Ventosa-Santaulària, 2009.
"Spurious Regression,"
Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.
- Ventosa-Santaulària, Daniel, 2008. "Spurious Regression," MPRA Paper 59008, University Library of Munich, Germany.
- 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.
- Gunes Kamber & James Morley & Benjamin Wong, 2016. "Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter," Discussion Papers 2016-09, School of Economics, The University of New South Wales.
- Gunes Kamber & James Morley & Benjamin Wong, 2017. "Intuitive and reliable estimates of the output gap from a Beveridge-Nelson Filter," CAMA Working Papers 2017-03, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Gunes Kamber & James Morley & Benjamin Wong, 2017. "Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter," Discussion Papers 2016-09A, School of Economics, The University of New South Wales.
- Günes Kamber & James Morley & Benjamin Wong, 2018. "Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter," The Review of Economics and Statistics, MIT Press, vol. 100(3), pages 550-566, July.
- Güneş Kamber & James Morley & Benjamin Wong, 2016. "Intuitive and reliable estimates of the output gap from a Beveridge-Nelson filter," BIS Working Papers 584, Bank for International Settlements.
- Luca Benati & Thomas A. Lubik, 2021.
"Searching for Hysteresis,"
Working Paper
21-03, Federal Reserve Bank of Richmond.
- Luca Benati & Thomas A. Lubik, 2022. "Searching for Hysteresis," Working Paper 22-05, Federal Reserve Bank of Richmond.
- 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.
- 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.
- Cribari-Neto, Francisco, 1996. "On time series econometrics," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(Supplemen), pages 37-60.
- 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.
- Patrick Fève & Alain Guay, 2010.
"Identification of Technology Shocks in Structural Vars,"
Economic Journal, Royal Economic Society, vol. 120(549), pages 1284-1318, December.
- Fève, Patrick & Guay, Alain, 2009. "Identification of Technology Shocks in Structural VARs," TSE Working Papers 09-028, Toulouse School of Economics (TSE).
- Patrick Fève & Alain Guay, 2007. "Identification of Technology Shocks in Structural VARs," Cahiers de recherche 0736, CIRPEE.
- Fève, Patrick & Guay, Alain, 2006. "Identification of Technology Shocks in Structural VARs," IDEI Working Papers 383, Institut d'Économie Industrielle (IDEI), Toulouse.
- 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.
- 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.
- Mr. Dong He & Wei Liao & Tommy Wu, 2015. "Hong Kong’s Growth Synchronization with China and the U.S.: A Trend and Cycle Analysis," IMF Working Papers 2015/082, International Monetary Fund.
- He, Dong & Liao, Wei & Wu, Tommy, 2015. "Hong Kong's growth synchronization with China and the US: A trend and cycle analysis," Journal of Asian Economics, Elsevier, vol. 40(C), pages 10-28.
- Weder, Mark, 2003.
"Some Observations on the Great Depression in Germany,"
CEPR Discussion Papers
3716, C.E.P.R. Discussion Papers.
- Mark Weder, 2006. "Some Observations on the Great Depression in Germany," German Economic Review, Verein für Socialpolitik, vol. 7(1), pages 113-133, February.
- Weder Mark, 2006. "Some Observations on the Great Depression in Germany," German Economic Review, De Gruyter, vol. 7(1), pages 113-133, February.
- 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.
- Michael T. Kiley, 2007. "Habit persistence, non-separability between consumption and leisure, or rule-of thumb consumers: which accounts for the predictability of consumption growth?," Finance and Economics Discussion Series 2007-48, Board of Governors of the Federal Reserve System (U.S.).
- Ghoshray, Atanu & Johnson, Ben, 2010. "Trends in world energy prices," Energy Economics, Elsevier, vol. 32(5), pages 1147-1156, September.
- Sbordone, Argia M., 1996.
"Cyclical productivity in a model of labor hoarding,"
Journal of Monetary Economics, Elsevier, vol. 38(2), pages 331-361, October.
- Argia M. Sbordone, 1993. "Cyclical productivity in a model of labor hoarding," Working Paper Series, Macroeconomic Issues 93-20, Federal Reserve Bank of Chicago.
- 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.
- Glenn Magerman & Karolien De Bruyne & Emmanuel Dhyne & Jan Van Hove, 2016. "Heterogeneous Firms and the Micro Origins of Aggregate Fluctuations," Working Papers ECARES ECARES 2016-35, ULB -- Universite Libre de Bruxelles.
- 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.
- Yunjong Eo & James Morley, 2015. "Likelihood‐ratio‐based confidence sets for the timing of structural breaks," Quantitative Economics, Econometric Society, vol. 6(2), pages 463-497, July.
- Martin Lettau & Sydney C. Ludvigson, 1999.
"Consumption, aggregate wealth and expected stock returns,"
Staff Reports
77, Federal Reserve Bank of New York.
- Lettau, Martin & Ludvigson, Sydney, 1999. "Consumption, Aggregate Wealth and Expected Stock Returns," CEPR Discussion Papers 2223, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney Ludvigson, 2001. "Consumption, Aggregate Wealth, and Expected Stock Returns," Journal of Finance, American Finance Association, vol. 56(3), pages 815-849, June.
- 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.
- Zeynep Senyuz, 2011. "Factor analysis of permanent and transitory dynamics of the US economy and the stock market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 975-998, September.
- 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.
- Antonio Ribba, 2009.
"On Some Neglected Implications of the Fisher Effect,"
Center for Economic Research (RECent)
033, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Antonio Ribba, 2011. "On some neglected implications of the Fisher effect," Empirical Economics, Springer, vol. 40(2), pages 451-470, April.
- Antonio RIBBA, 2008. "On Some Neglected Implications of the Fisher Effect," EcoMod2008 23800114, EcoMod.
- Davide Debortoli & Mario Forni & Luca Gambetti & Luca Sala, 2023.
"Asymmetric Monetary Policy Tradeoffs,"
Working Papers
1404, Barcelona School of Economics.
- 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.
- 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.
- Chen, Jie, 2006. "Housing Wealth and Aggregate Consumption in Sweden," Working Paper Series 2006:16, Uppsala University, Department of Economics.
- 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.
- 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.
- David Dupuis & David Tessier, 2003. "The U.S. Stock Market and Fundamentals: A Historical Decomposition," Staff Working Papers 03-20, Bank of Canada.
- Issler, Joao Victor & de Mello Franco-Neto, Afonso Arinos & de Carvalho Guillen, Osmani Teixeira, 2008.
"The welfare cost of macroeconomic uncertainty in the post-war period,"
Economics Letters, Elsevier, vol. 98(2), pages 167-175, February.
- João Victor Issler & Afonso Arinos de Mello Franco & Osmani Teixeira de Carvalho Guillén, 2006. "The Welfare Cost of Macroeconomic Uncertainty in the Post-War Period," IBMEC RJ Economics Discussion Papers 2006-02, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- 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).
- Franco Neto, Afonso Arinos de Mello & Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2005. "The welfare cost of macroeconomic uncertainty in the post-war period," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 605, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- 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.
- Kim, Chang-Jin & Piger, Jeremy, 2002. "Common stochastic trends, common cycles, and asymmetry in economic fluctuations," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1189-1211, September.
- Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Working Papers 0021, University of Washington, Department of Economics.
- Chang-Jin Kim & Jeremy M. Piger, 2000. "Common stochastic trends, common cycles, and asymmetry in economic fluctuations," International Finance Discussion Papers 681, Board of Governors of the Federal Reserve System (U.S.).
- Chang-Jin Kim & Jeremy M. Piger, 2001. "Common stochastic trends, common cycles, and asymmetry in economic fluctuations," Working Papers 2001-014, Federal Reserve Bank of St. Louis.
- Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Econometric Society World Congress 2000 Contributed Papers 1465, Econometric Society.
- 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.
- Anthony Garratt & Donald Robertson & Stephen Wright, 2006. "Permanent vs transitory components and economic fundamentals," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 521-542, May.
- Donald Robertson & Anthony Garratt & Stephen Wright, 2006. "Permanent vs transitory components and economic fundamentals," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 521-542.
- Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2008.
"Are output growth-rate distributions fat-tailed? some evidence from OECD countries,"
Post-Print
hal-03417062, HAL.
- Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2006. "Are output growth-rate distributions fat-tailed? Some evidence from OECD countries," SciencePo Working papers Main hal-01065643, HAL.
- Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2006. "Are output growth-rate distributions fat-tailed? Some evidence from OECD countries," Working Papers hal-01065643, HAL.
- Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2006. "Are Output Growth-Rate Distributions Fat-Tailed? Some Evidence from OECD Countries," Working Papers 36/2006, University of Verona, Department of Economics.
- Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2008. "Are output growth-rate distributions fat-tailed? some evidence from OECD countries," SciencePo Working papers Main hal-03417062, HAL.
- Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2006. "Are Output Growth-Rate Distributions Fat-Tailed? Some Evidence from OECD Countries," LEM Papers Series 2006/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2008. "Are output growth-rate distributions fat-tailed? some evidence from OECD countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 639-669.
- Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2006. "Are output growth-rate distributions fat-tailed? Some evidence from OECD countries," Sciences Po publications 36, Sciences Po.
- 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.
- 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.
- Campbell, John & Cochrane, John H., 1999.
"By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior,"
Scholarly Articles
3119444, Harvard University Department of Economics.
- 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.
- 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.
- 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.
- 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.
- Andrew Mountford & Harald Uhlig, 2009.
"What are the effects of fiscal policy shocks?,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 960-992.
- Tom Doan, "undated". "RATS programs to replicate Mountford and Uhlig JAE 2009 sign-constrained VAR," Statistical Software Components RTZ00121, Boston College Department of Economics.
- Uhlig, Harald & Mountford, Andrew, 2002. "What are the Effects of Fiscal Policy Shocks?," CEPR Discussion Papers 3338, C.E.P.R. Discussion Papers.
- Andrew Mountford & Harald Uhlig, 2008. "What are the Effects of Fiscal Policy Shocks?," NBER Working Papers 14551, National Bureau of Economic Research, Inc.
- Mountford, A.W. & Uhlig, H.F.H.V.S., 2002. "What are the Effects of Fiscal Policy Shocks?," Discussion Paper 2002-31, Tilburg University, Center for Economic Research.
- 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.
- Mountford, A.W. & Uhlig, H.F.H.V.S., 2002. "What are the Effects of Fiscal Policy Shocks?," Other publications TiSEM af6a2f09-0045-471e-bba4-b, Tilburg University, School of Economics and Management.
- 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.
- King, Robert G & Watson, Mark W, 1996.
"Money, Prices, Interest Rates and the Business Cycle,"
The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 35-53, February.
- 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.
- Morley, James C., 2002. "A state-space approach to calculating the Beveridge-Nelson decomposition," Economics Letters, Elsevier, vol. 75(1), pages 123-127, March.
- 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.
- Maslyuk, Svetlana & Smyth, Russell, 2008. "Unit root properties of crude oil spot and futures prices," Energy Policy, Elsevier, vol. 36(7), pages 2591-2600, July.
- 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.
- Xiaohong Chen & Zhijie Xiao & Bo Wang, 2020. "Copula-Based Time Series With Filtered Nonstationarity," Cowles Foundation Discussion Papers 2242R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2020.
- 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.
- Harald Uhlig, 2001. "Did the Fed Surprise the Markets in 2001? A Case Study for VARs with Sign Restrictions," CESifo Working Paper Series 629, CESifo.
- Uhlig, Harald, 2001. "Did the Fed surprise the markets in 2001? A case study for VARs with sign restrictions," SFB 373 Discussion Papers 2001,98, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- 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.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2008. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," The Review of Financial Studies, Society for Financial Studies, vol. 21(5), pages 2097-2137, September.
- 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.
- 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.
- Eugene F. Fama & Kenneth R. French, 2002. "The Equity Premium," Journal of Finance, American Finance Association, vol. 57(2), pages 637-659, April.
- Almeida, Caio & Brandao, Diego, 2019. "Measuring Long Run Risks for Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 39(1), July.
- 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.
- Sharon Kozicki, 1996. "Multivariate detrending under common trend restrictions: implications for business cycle research," Research Working Paper 96-01, Federal Reserve Bank of Kansas City.
- Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 120-130, January.
- 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.
- Fischer, Andreas & Dueker, Michael & Dittmar, Robert, 2002.
"Stochastic Capital Depreciation and the Comovement of Hours and Productivity,"
CEPR Discussion Papers
3192, C.E.P.R. Discussion Papers.
- 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.
- Dueker Michael & Fischer Andreas & Dittmar Robert, 2007. "Stochastic Capital Depreciation and the Co-movement of Hours and Productivity," The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(3), pages 1-24, January.
- Fischer, Andreas & Michael J Dueker & Robert D Dittmar, 2003. "Stochastic Capital Depreciation and the Comovement of Hours and Productivity," Royal Economic Society Annual Conference 2003 80, Royal Economic Society.
- Robert Dittmar & Michael J. Dueker & Andreas M. Fischer, 2004. "Stochastic capital depreciation and the comovement of hours and productivity," Working Papers 2002-003, Federal Reserve Bank of St. Louis.
- 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.
- Richard G. Anderson & Michael Bordo & John V. Duca, 2016. "Money and Velocity During Financial Crises: From the Great Depression to the Great Recession," NBER Working Papers 22100, National Bureau of Economic Research, Inc.
- Richard G. Anderson & Michael D. Bordo & John V. Duca, 2015. "Money and velocity during financial crises: from the Great Depression to the Great Recession," Working Papers 1503, Federal Reserve Bank of Dallas.
- Anderson, Richard G. & Bordo, Michael & Duca, John V., 2017. "Money and velocity during financial crises: From the great depression to the great recession," Journal of Economic Dynamics and Control, Elsevier, vol. 81(C), pages 32-49.
- 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.
- Smyth, Russell, 2013. "Are fluctuations in energy variables permanent or transitory? A survey of the literature on the integration properties of energy consumption and production," Applied Energy, Elsevier, vol. 104(C), pages 371-378.
- 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.
- 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).
- Odile Chagny & Jörg Döpke, 2001. "Measures of the Output Gap in the Euro-Zone: An Empirical Assessment of Selected Methods," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 70(3), pages 310-332.
- 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.
- Paolo Guarda, 2002. "Potential output and the output gap in Luxembourg: some alternative methods," BCL working papers 4, Central Bank of Luxembourg.
- Hyeon-Seung Huh & David Kim, 2014.
"Do SVAR Models Justify Discarding the Technology-Shock-Driven Real Business Cycle Hypothesis?,"
The Economic Record, The Economic Society of Australia, vol. 90(288), pages 98-118, March.
- 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.
- 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.
- 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).
- Maximiliano Dvorkin & Juan M. Sanchez & Horacio Sapriza & Emircan Yurdagul, 2018. "News, sovereign debt maturity, and default risk," Working Papers 2018-033, Federal Reserve Bank of St. Louis, revised 18 May 2020.
- Maximiliano Dvorkin & Emircan Yurdagul & Horacio Sapriza & Juan Sanchez, 2019. "News, sovereign debt maturity, and default risk," 2019 Meeting Papers 918, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- 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.
- Ryan R. Brady & Derek Stimel, 2011. "How the Housing and Financial Wealth Effects have changed over Time," Departmental Working Papers 31, United States Naval Academy Department of Economics.
- Majid Haghani Rizi & N. Kundan Kishor & Hardik A. Marfatia, 2019.
"The dynamic relationship among the money market mutual funds, the commercial paper market, and the repo market,"
The European Journal of Finance, Taylor & Francis Journals, vol. 25(5), pages 395-414, March.
- 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.
- 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.
- Poterba, J.M. & Samwick, A.A., 1996. "Stock Ownership Patterns, Stock Market Fluctuations, and Consumption," Working papers 96-2, Massachusetts Institute of Technology (MIT), Department of Economics.
- Juan Antolin-Diaz & Thomas Drechsel & Ivan Petrella, 2014.
"Tracking the Slowdown in Long-Run GDP Growth,"
Discussion Papers
1604, Centre for Macroeconomics (CFM), revised Jan 2016.
- Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2016. "Tracking the slowdown in long-run GDP growth," Bank of England working papers 587, Bank of England.
- 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.
- Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2016. "Tracking the slowdown in long-run GDP growth," LSE Research Online Documents on Economics 86243, London School of Economics and Political Science, LSE Library.
- Juan Antolin-Diaz & Thomas Drechsel & Ivan Petrella, 2017. "Tracking the Slowdown in Long-Run GDP Growth," The Review of Economics and Statistics, MIT Press, vol. 99(2), pages 343-356, May.
- Mario J. Crucini & Mototsugu Shintani, 2011.
"Measuring International Business Cycles by Saving for a Rainy Day,"
IMES Discussion Paper Series
11-E-14, Institute for Monetary and Economic Studies, Bank of Japan.
- Mario J. Crucini & Mototsugu Shintani, 2015. "Measuring international business cycles by saving for a rainy day," Canadian Journal of Economics, Canadian Economics Association, vol. 48(4), pages 1266-1290, November.
- 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.
- 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.
- Chang-Jin Kim & Charles R. Nelson & Jeremy M. Piger, 2001. "The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations," International Finance Discussion Papers 707, Board of Governors of the Federal Reserve System (U.S.).
- Kim, Chang-Jin & Nelson, Charles R & Piger, Jeremy, 2004. "The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 80-93, January.
- Chen, Xiaohong & Xiao, Zhijie & Wang, Bo, 2022. "Copula-based time series with filtered nonstationarity," Journal of Econometrics, Elsevier, vol. 228(1), pages 127-155.
- Uhlig, Harald, 2007.
"Monetary policy in Europe vs the US: what explains the difference?,"
MPRA Paper
14119, University Library of Munich, Germany.
- Harald Uhlig, 2009. "Monetary policy in Europe vs the US: what explains the difference?," NBER Working Papers 14996, National Bureau of Economic Research, Inc.
- Committee, Nobel Prize, 2003. "Time-series Econometrics: Cointegration and Autoregressive Conditional Heteroskedasticity," Nobel Prize in Economics documents 2003-1, Nobel Prize Committee.
- Mathias Hoffmann, 2005.
"Proprietary Income, Entrepreneurial Risk and the Predictability of U.S. Stock Returns,"
Computing in Economics and Finance 2005
229, Society for Computational Economics.
- Mathias Hoffmann, 2006. "Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns," CESifo Working Paper Series 1712, CESifo.
- Hoffmann, Mathias, 2006. "Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns," Technical Reports 2006,14, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- 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.
- Güneş Kamber & Benjamin Wong, 2018.
"Global factors and trend inflation,"
BIS Working Papers
688, Bank for International Settlements.
- Güneş Kamber & Benjamin Wong, 2018. "Global Factors and Trend Inflation," Reserve Bank of New Zealand Discussion Paper Series DP2018/01, Reserve Bank of New Zealand.
- Gunes Kamber & Benjamin Wong, 2019. "Global factors and trend inflation," CAMA Working Papers 2019-62, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Kamber, Güneş & Wong, Benjamin, 2020. "Global factors and trend inflation," Journal of International Economics, Elsevier, vol. 122(C).
- Whelan, Karl, 2006.
"New Evidence on Balanced Growth, Stochastic Trends, and Economic Fluctuations,"
MPRA Paper
5910, University Library of Munich, Germany.
- Whelan, Karl, 2004. "New Evidence on Balanced Growth, Stochastic Trends, and Economic Fluctations," Research Technical Papers 7/RT/04, Central Bank of Ireland.
- Karl Whelan, 2004. "New evidence on balanced growth, stochastic trends, and economic fluctuations," Open Access publications 10197/218, School of Economics, University College Dublin.
- 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.
- Maslyuk, Svetlana & Smyth, Russell, 2009.
"Non-linear unit root properties of crude oil production,"
Energy Economics, Elsevier, vol. 31(1), pages 109-118, January.
- Svetlana Maslyuk & Russell Smyth, 2007. "Non-Linear Unit Root Properties of Crude Oil Production," Monash Economics Working Papers 39-07, Monash University, Department of Economics.
- Croushore, Dean & Stark, Tom, 2001.
"A real-time data set for macroeconomists,"
Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.
- Dean Croushore & Tom Stark, 1999. "A real-time data set for macroeconomists," Working Papers 99-4, Federal Reserve Bank of Philadelphia.
- 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.
- John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
- Gradzewicz, Michal & Kolasa, Marcin, 2004. "Estimating the output gap in the Polish economy: the VECM approach," MPRA Paper 28227, University Library of Munich, Germany.
- Saccal, Alessandro, 2023. "A role for confidence: volition regimes and news," MPRA Paper 117484, University Library of Munich, Germany.
- 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.
- Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2007.
"The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 187-204, February.
- Chang-Jin Kim & Jeremy Piger & Richard Startz, 2003. "The Dynamic Relationship Between Permanent and Transitory Components of U.S. Business Cycle," Working Papers UWEC-2003-36, University of Washington, Department of Economics.
- Chang‐Jin Kim & Jeremy M. Piger & Richard Startz, 2007. "The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 187-204, February.
- 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.
- Jank, Stephan, 2011.
"Mutual fund flows, expected returns, and the real economy,"
CFR Working Papers
11-04, University of Cologne, Centre for Financial Research (CFR).
- Jank, Stephan, 2012. "Mutual fund flows, expected returns, and the real economy," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3060-3070.
- 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.
- Mr. Philip Barrett & Jonathan J. Adams, 2022.
"Shocks to Inflation Expectations,"
IMF Working Papers
2022/072, International Monetary Fund.
- Jonathan J Adams & Philip Barrett, 2022. "Shocks to Inflation Expectations," Working Papers 001007, University of Florida, Department of Economics.
- Erin Yeldan & Kivilcim Metin-…zcan & Ebru Voyvoda, 1999.
"Dynamics of Macroeconomic Adjustment in a Globalized Developing Economy : Growth, Accumulation and Distribution, Turkey 1969-1998,"
Working Papers
9905, Department of Economics, Bilkent University.
- 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.
- 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.
- Gonzalo, Jesús & Ng, Serena, 1996. "A systematic framework for analyzing the dynamic effects of permanent and transitory shocks," DES - Working Papers. Statistics and Econometrics. WS 6203, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Gonzalo, Jesus & Ng, Serena, 2001. "A systematic framework for analyzing the dynamic effects of permanent and transitory shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1527-1546, October.
- Banerjee, Ritwik & Majumdar, Priyama, 2020.
"Exponential Growth Bias in the Prediction of COVID-19 Spread and Economic Expectation,"
IZA Discussion Papers
13664, Institute of Labor Economics (IZA).
- 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.
- 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.
- Oleg Korenok & Stanislav Radchenko, 2006. "The role of permanent and transitory components in business cycle volatility moderation," Empirical Economics, Springer, vol. 31(1), pages 217-241, March.
- Oleg Korenok & Stanislav Radchenko, 2004. "The Role of Permanent and Transitory Components in Business Cycle Volatility Moderation," Departmental Working Papers 200413, Rutgers University, Department of Economics.
- Timothy Cogley & Desiree Schaan, 1995. "Using consumption to track movements in trend GDP," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue sep1.
- 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.
- 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.
- Eo, Yunjong & Morley, James C., 2008.
"Likelihood-Based Confidence Sets for the Timing of Structural Breaks,"
MPRA Paper
10372, University Library of Munich, Germany.
- Yunjong Eo & James Morley, 2013. "Likelihood-Based Confidence Sets for the Timing of Structural Breaks," Discussion Papers 2013-12, School of Economics, The University of New South Wales.
- 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.
- Rangvid, Jesper, 2006. "Output and expected returns," Journal of Financial Economics, Elsevier, vol. 81(3), pages 595-624, September.
- Karl Whelan, 2003.
"A two-sector approach to modeling U.S. NIPA data,"
Open Access publications
10197/203, School of Economics, University College Dublin.
- 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.
- Karl Whelan, 2001. "A two-sector approach to modeling U.S. NIPA data," Finance and Economics Discussion Series 2001-04, Board of Governors of the Federal Reserve System (U.S.).
- Luca Benati, 2017. "Cointegration Tests and the Classical Dichotomy," Diskussionsschriften dp1704, Universitaet Bern, Departement Volkswirtschaft.
- Christina D. Romer & David H. Romer, 1994.
"What Ends Recessions?,"
NBER Working Papers
4765, National Bureau of Economic Research, Inc.
- Christina D. Romer & David H. Romer, 1994. "What Ends Recessions?," NBER Chapters, in: NBER Macroeconomics Annual 1994, Volume 9, pages 13-80, National Bureau of Economic Research, Inc.
- 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.).
- 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].
- Fiona Atkins, 2005. "Financial Crises and Money Demand in Jamaica," Birkbeck Working Papers in Economics and Finance 0512, Birkbeck, Department of Economics, Mathematics & Statistics.
- 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.
- Luca Benati & Peter N. Ireland, 2017. "Money-Multiplier Shocks," Boston College Working Papers in Economics 933, Boston College Department of Economics.
- Luca Benati, 2020.
"Leaning Against House Prices: A Structural VAR Investigation,"
Diskussionsschriften
dp2020, Universitaet Bern, Departement Volkswirtschaft.
- Benati, Luca, 2021. "Leaning against house prices: A structural VAR investigation," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 399-412.
- Luca Benati, 2020.
"Money Velocity and the Natural Rate of Interest,"
Diskussionsschriften
dp2022, Universitaet Bern, Departement Volkswirtschaft.
- Luca Benati, 2017. "Money Velocity and the Natural Rate of Interest," Diskussionsschriften dp1706, Universitaet Bern, Departement Volkswirtschaft.
- Benati, Luca, 2020. "Money velocity and the natural rate of interest," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 117-134.
- Timothy Cogley, 1997. "Evaluating non-structural measures of the business cycle," Economic Review, Federal Reserve Bank of San Francisco, pages 3-21.
- 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.
- Cavallo, Antonella & Ribba, Antonio, 2014.
"Euro area inflation as a predictor of national inflation rates,"
Journal of Policy Modeling, Elsevier, vol. 36(6), pages 1048-1065.
- Antonella Cavallo & Antonio Ribba, 2013. "Euro area Inflation as a Predictor of National Inflation Rates," Department of Economics (DEMB) 0022, University of Modena and Reggio Emilia, Department of Economics "Marco Biagi".
- 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".
- 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.
- 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.
- 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.
- Emilian Dobrescu, 2006.
"Integration of Macroeconomic Behavioural Relationships and the Input-output Block (Romanian Modelling Experience),"
EcoMod2006
272100018, EcoMod.
- Dobrescu, Emilian, 2006. "Integration of macroeconomic behavioural relationships and the input-output block: Romanian modelling experience," MPRA Paper 35748, University Library of Munich, Germany.
- 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.
- Lee, Bong-Soo, 1996. "Comovements of earnings, dividends, and stock prices," Journal of Empirical Finance, Elsevier, vol. 3(4), pages 327-346, December.
- Dobrescu, Emilian, 2007.
"Double Conditioned Potential Output,"
Working Papers of Institute for Economic Forecasting
070701, Institute for Economic Forecasting.
- Dobrescu, Emilian, 2006. "Double-Conditioned Potential Output," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 3(1), pages 32-50, March.
- Dobrescu, Emilian, 2004. "Double conditioned potential output," MPRA Paper 35769, University Library of Munich, Germany.
- Chadha, Jagjit S & Sarno, Lucio & Valente, Giorgio, 2003.
"Monetary Policy Rules, Asset Prices and Exchange Rates,"
CEPR Discussion Papers
4114, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Davide Debortoli & Mario Forni & Luca Gambetti & Luca Sala, 2020. "Asymmetric Effects of Monetary Policy Easing and Tightening," Center for Economic Research (RECent) 146, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Davide Debortoli & Mario Forni & Luca Gambetti & Luca Sala, 2020. "Asymmetric Effects of Monetary Policy Easing and Tightening," Working Papers 1205, Barcelona School of Economics.
- 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.
- Michael D. Bordo & John V. Duca, 2023. "Money Matters: Broad Divisia Money and the Recovery of Nominal GDP from the COVID-19 Recession," Working Papers 2306, Federal Reserve Bank of Dallas.
- 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.
- John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," NBER Working Papers 5610, National Bureau of Economic Research, Inc.
- Ribba, Antonio, 2003. "Permanent-transitory decompositions and traditional measures of core inflation," Economics Letters, Elsevier, vol. 81(1), pages 109-116, October.
- Nicolò Maffei-Faccioli, 2021. "Identifying the sources of the slowdown in growth: Demand vs. supply," Working Paper 2021/9, Norges Bank.
- 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.
- 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.
- Dobrescu, Emilian, 2006. "Macromodel of the Romanian market economy (version 2005)," MPRA Paper 35749, University Library of Munich, Germany.
- 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.
- Roy Endré Dahl & Sindre Lorentzen & Atle Oglend & Petter Osmundsen, 2016. "Pro-Cyclical Petroleum Investments and Cost Overruns in Norway," CESifo Working Paper Series 6086, CESifo.
- 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.
- Mr. Jiaqian Chen & Lucyna Gornicka, 2020. "Measuring Output Gap: Is It Worth Your Time?," IMF Working Papers 2020/024, International Monetary Fund.
- 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.
- Dean Croushore & Tom Stark, 1999. "A real-time data set for marcoeconomists: does the data vintage matter?," Working Papers 99-21, Federal Reserve Bank of Philadelphia.
- 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.
- 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.
- Yosha, Oved & Sørensen, Bent E & Ostergaard, Charlotte, 2001.
"Consumption and Aggregate Constraints: Evidence from US States and Canadian Provinces,"
CEPR Discussion Papers
2947, C.E.P.R. Discussion Papers.
- 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.
- Charlotte Ostergaard & Bent E. Serensen & Oved Yosha, 2002. "Consumption and Aggregate Constraints: Evidence from U.S. States and Canadian Provinces," Journal of Political Economy, University of Chicago Press, vol. 110(3), pages 634-645, June.
- 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.
- Andrew Ang & Monika Piazzesi & Min Wei, 2003. "What does the yield curve tell us about GDP growth?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Andrew Ang & Monika Piazzesi & Min Wei, 2004. "What Does the Yield Curve Tell us about GDP Growth?," NBER Working Papers 10672, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Attfield, Clifford & Temple, Jonathan, 2004.
"Measuring Trend Output: How Useful Are the Great Ratios?,"
CEPR Discussion Papers
4796, C.E.P.R. Discussion Papers.
- Cliff L.F. Attfield & Jonathan R.W. Temple, 2003. "Measuring trend output: how useful are the Great Ratios?," Bristol Economics Discussion Papers 03/555, School of Economics, University of Bristol, UK.
- 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.
- Katuala, Hénock M., 2021. "Frictions financières et Dynamique macroéconomique : Examen des régularités cycliques," Dynare Working Papers 66, CEPREMAP.
- 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.
- 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.
- 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.
- Belongia, Michael T. & Ireland, Peter N., 2019.
"The demand for Divisia Money: Theory and evidence,"
Journal of Macroeconomics, Elsevier, vol. 61(C), pages 1-1.
- 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.
- 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.
- 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.
- Irina Zviadadze, 2017.
"Term Structure of Consumption Risk Premia in the Cross Section of Currency Returns,"
Journal of Finance, American Finance Association, vol. 72(4), pages 1529-1566, August.
- Irina Zviadadze, 2014. "Term-structure of consumption risk premia in the cross-section of currency returns," 2014 Meeting Papers 1075, Society for Economic Dynamics.
- Paul Beaudry & Fabrice Collard, 2006.
"Gold rush fever in business cycles,"
2006 Meeting Papers
8, Society for Economic Dynamics.
- Paul Beaudry & Fabrice Collard & Franck Portier, 2006. "Gold Rush Fever in Business Cycles," NBER Working Papers 12710, National Bureau of Economic Research, Inc.
- Beaudry, Paul & Collard, Fabrice & Portier, Franck, 2011. "Gold rush fever in business cycles," Journal of Monetary Economics, Elsevier, vol. 58(2), pages 84-97, March.
- Spencer D. Krane, 2006. "How professional forecasters view shocks to GDP," Working Paper Series WP-06-19, Federal Reserve Bank of Chicago.
- 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.
- 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.
- 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.
- 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.
- 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.
- Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2008.
"Consumption, wealth and business cycles in Germany,"
Empirical Economics, Springer, vol. 34(3), pages 451-476, June.
- Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2005. "Consumption, Wealth and Business Cycles in Germany," CESifo Working Paper Series 1443, CESifo.
- 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.
- Mario J. Crucini & Mototsugu Shintani, 2010. "Measuring Business Cycles by Saving for a Rainy Day," NBER Working Papers 16075, National Bureau of Economic Research, Inc.
- 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.
- Hanno Lustig & Stijn Van Nieuwerburg & Adrien Verdelhan, 2007. "The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤," Boston University - Department of Economics - Working Papers Series WP2007-030, Boston University - Department of Economics.
- Hanno Lustig, "undated". "The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models," UCLA Economics Online Papers 420, UCLA Department of Economics.
- John H. Cochrane & Monika Piazzesi, 2002.
"Bond Risk Premia,"
NBER Working Papers
9178, National Bureau of Economic Research, Inc.
- John H. Cochrane & Monika Piazzesi, 2005. "Bond Risk Premia," American Economic Review, American Economic Association, vol. 95(1), pages 138-160, March.
- 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.
- 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.
- Murasawa Yasutomo, 2022. "Bayesian multivariate Beveridge–Nelson decomposition of I(1) and I(2) series with cointegration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(3), pages 387-415, June.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Benati, Luca, 2012. "Estimating the financial crisis’ impact on potential output," Economics Letters, Elsevier, vol. 114(1), pages 113-119.
- Xiao, Zhijie, 2009.
"Quantile cointegrating regression,"
Journal of Econometrics, Elsevier, vol. 150(2), pages 248-260, June.
- Zhijie Xiao, 2009. "Quantile Cointegrating Regression," Boston College Working Papers in Economics 708, Boston College Department of Economics.
- 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.
- 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.
- 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.
- 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.
- 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.
- Allan Gregory & Gregor W. Smith, 1994. "Measuring Business Cycles With Business-cycle Models," Working Paper 901, Economics Department, Queen's University.
- 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.
- 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.
- Martin Schmidt, 2003. "Money and prices: evidence from the G7 countries," Applied Economics, Taylor & Francis Journals, vol. 35(17), pages 1799-1809.
- 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.
- 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).
- Olivier Coibion & Yuriy Gorodnichenko & Mauricio Ulate, 2018.
"The Cyclical Sensitivity in Estimates of Potential Output,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 343-441.
- Coibion, Olivier & Gorodnichenko, Yuriy & Ulate, Mauricio, 2018. "The Cyclical Sensitivity in Estimates of Potential Output," Department of Economics, Working Paper Series qt0r16570h, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- 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.
- Jacek Rothert, 2012. "Productivity or Demand? Identifying Sources of Fluctuations in Small Open Economies," 2012 Meeting Papers 187, Society for Economic Dynamics.
- 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.
- Zsolt Darvas & Gábor Vadas, 2003.
"Univariate Potential Output Estimations for Hungary,"
MNB Working Papers
2003/8, Magyar Nemzeti Bank (Central Bank of Hungary).
- Gabor Vadas & Zsolt Darvas, 2005. "Univariate Potential Output Estimations for Hungary," Macroeconomics 0512009, University Library of Munich, Germany.
- 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.
- 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.
- 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.).
- 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.
- 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.
- Jeanne, Olivier, 1998. "Generating real persistent effects of monetary shocks: How much nominal rigidity do we really need?," European Economic Review, Elsevier, vol. 42(6), pages 1009-1032, June.
- 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.
- 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.
- 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," Computing in Economics and Finance 2005 28, Society for Computational Economics.
- 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.
- Gillman, M. & Siklos, P.L. & Silver, J.L., 1997. "Money Velocity with Costly Credit," Working Papers 97-4, Wilfrid Laurier University, Department of Economics.
- Andrew Vivian, 2007. "The UK Equity Premium: 1901–2004," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(9‐10), pages 1496-1527, November.
- Mario J. Crucini, 2006. "International Real Business Cycles," Vanderbilt University Department of Economics Working Papers 0617, Vanderbilt University Department of Economics.
- Kegiang Hou & Alok Johri, 2013. "Intangible Capital and the Excess Volatility of Aggregate Profits," Department of Economics Working Papers 2013-04, McMaster University.
- 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.
- 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.
- 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.
- Mathias Hoffmann & Ronald MacDonald, 2009. "Real exchange rates and real interest rate differentials: a present value interpretation," IEW - Working Papers 404, Institute for Empirical Research in Economics - University of Zurich.
- Peter Hecht & Tuomo Vuolteenaho, 2005. "Explaining Returns with Cash-Flow Proxies," NBER Working Papers 11169, National Bureau of Economic Research, Inc.
- Issler, João Victor & Rodrigues, Claudia Ferreira & Burjack, Rafael, 2013.
"Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
735, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- 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.
- Issler, João Victor & Rodrigues, Claudia Ferreira & Burjack, Rafael, 2013. "Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 744, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Cook, David, 2001. "Time to enter and business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 25(8), pages 1241-1261, August.
- 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.
- 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.
- 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.
- Jonathan J Adams, 2021. "Firestorm: Multiplicity in Models with Full Information," Working Papers 001006, University of Florida, Department of Economics.
- Yongsung Chang & Joao Gomes & Frank Schorfheide, 2000. "Persistence," Econometric Society World Congress 2000 Contributed Papers 1632, Econometric Society.
- 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.
- Hossain, Ferdaus, 1995. "Current account determination in the intertemporal framework: an empirical analysis," ISU General Staff Papers 1995010108000011939, Iowa State University, Department of Economics.
- Chan, Wai-Sum, 2022. "On temporal aggregation of some nonlinear time-series models," Econometrics and Statistics, Elsevier, vol. 21(C), pages 38-49.
- 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.
- 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.
- Dmitry Plotnikov, 2013. "Hysteresis in Unemployment and Jobless Recoveries," 2013 Meeting Papers 208, Society for Economic Dynamics.
- 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).
- 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.
- John H. Cochrane, 1994.
"Shocks,"
NBER Working Papers
4698, National Bureau of Economic Research, Inc.
- Cochrane, John H., 1994. "Shocks," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 41(1), pages 295-364, December.
- Zviadadze, Irina, 2018.
"Term Structure of Risk in Expected Returns,"
CEPR Discussion Papers
13414, C.E.P.R. Discussion Papers.
- Irina Zviadadze, 2021. "Term Structure of Risk in Expected Returns [Stock returns and volatility: Pricing the short-run and long-run components of market risk]," The Review of Financial Studies, Society for Financial Studies, vol. 34(12), pages 6032-6086.
- Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Franco Neto, Afonso Arinos de Mello, 2012.
"On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
729, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- 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.
- Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Franco Neto, Afonso Arinos de Mello, 2012. "On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 734, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Robert B. Barsky & Eric R. Sims, 2009. "News Shocks," NBER Working Papers 15312, National Bureau of Economic Research, Inc.
- 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.
- N. Kundan Kishor & Evan F. Koenig, 2009. "VAR Estimation and Forecasting When Data Are Subject to Revision," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 181-190, July.
- Sewaid, Ahmed & Parker, Simon C. & Kaakeh, Abdulkader, 2021. "Explaining serial crowdfunders' dynamic fundraising performance," Journal of Business Venturing, Elsevier, vol. 36(4).
- Nicolo Maffei-Faccioli, 2020. "Identifying the Sources of the Slowdown in Growth: Demand vs. Supply," 2020 Papers pma2978, Job Market Papers.
- 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.
- 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.
- Cogley, Timothy, 2005. "How fast can the new economy grow? A Bayesian analysis of the evolution of trend growth," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 179-207, June.
- 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.
- Alexander Murray, 2017. "What Explains the Post-2004 U.S.Productivity Slowdown?," CSLS Research Reports 2017-05, Centre for the Study of Living Standards.
- Luca Benati, 2001. "Band-pass filtering, cointegration, and business cycle analysis," Bank of England working papers 142, Bank of England.
- Saccal, Alessandro, 2021. "Confidence and economic activity in Europe," MPRA Paper 108812, University Library of Munich, Germany.
- 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.
- 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.
- Alain Guay & Pierre St-Amant, 1996.
"Do Mechanical Filters Provide a Good Approximation of Business Cycles?,"
Technical Reports
78, Bank of Canada.
- Guay, A & St-Amant, P, 1996. "Do Mechanical Filters Provide a Good Approximation of Business Cycles?," Working Papers-Department of Finance Canada 1996-2, Department of Finance Canada.
- 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).
- 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.
- Monic Jiayin Sun, 2007. "Disclosing Multiple Product Attributes," Boston University - Department of Economics - Working Papers Series WP2007-031, Boston University - Department of Economics.
- 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.
- 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.
- Alain Guay & Pierre Saint-Amant, 2005. "Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles?," Annals of Economics and Statistics, GENES, issue 77, pages 133-155.
- Luca Benati, 2015.
"The Long-Run Phillips Curve: A Structural VAR Investigation,"
2015 Meeting Papers
929, Society for Economic Dynamics.
- Benati, Luca, 2015. "The long-run Phillips curve: A structural VAR investigation," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 15-28.
- 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.
- 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.
- Hamidi Sahneh, Mehdi, 2017. "News, Noise, and Tests of Present Value Models," MPRA Paper 82715, University Library of Munich, Germany.
- Kilian, Lutz, 2011.
"Structural Vector Autoregressions,"
CEPR Discussion Papers
8515, C.E.P.R. Discussion Papers.
- Lutz Kilian, 2013. "Structural vector autoregressions," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 22, pages 515-554, Edward Elgar Publishing.
- 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.
- Christian Hertrich, 2013. "Asset Allocation Considerations for Pension Insurance Funds," Springer Books, Springer, edition 127, number 978-3-658-02167-2, June.
- 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.
- 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 EconomÃa de la Empresa.
- Sierimo, Carolina & Virén, Matti, 1995. "Financial factors and the macroeconomy," Bank of Finland Research Discussion Papers 34/1995, Bank of Finland.
- 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.
- 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.
- Luca Benati & Thomas Lubik, 2021. "Searching for Hysteresis," Diskussionsschriften dp2107, Universitaet Bern, Departement Volkswirtschaft.
- John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
- Clifford L.F. Attfield, 2003. "Structural Breaks and Permanent Trends," Bristol Economics Discussion Papers 03/545, School of Economics, University of Bristol, UK.
- Emara, Noha & Ma, Jinpeng, 2019. "An Analysis of the Seasonal Cycle and the Business Cycle," MPRA Paper 99310, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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).
- 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.
- 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.
- 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.
- John H. Cochrane, 1994. "Shocks," NBER Working Papers 4698, National Bureau of Economic Research, Inc.
- 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.
- John H. Cochrane, 1989. "Explaining the Variance of Price Dividend Ratios," NBER Working Papers 3157, National Bureau of Economic Research, Inc.
- 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:
- 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).
- John Y. Campbell & Pierre Perron, 1991.
"Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots,"
NBER Technical Working Papers
0100, National Bureau of Economic Research, Inc.
- John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
- Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
- Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
- 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.
- DUFOUR, Jean-Marie & JOUINI, Tarek, 2005.
"Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing,"
Cahiers de recherche
16-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- 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.
- DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche 2005-12, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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.
- 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.
- 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.
- Cribari-Neto, Francisco, 1996. "On time series econometrics," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(Supplemen), pages 37-60.
- Paresh Kumar Narayan & Ingrid Nielsen & Russell Smyth, 2005.
"Is there a Natural Rate of Crime?,"
Monash Economics Working Papers
18/05, Monash University, Department of Economics.
- 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.
- 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.
- Tortorice, Daniel L., 2018. "Equity return predictability, time varying volatility and learning about the permanence of shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 315-343.
- 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.
- 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.
- 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.
- Bastianin, Andrea & Manera, Matteo, 2018.
"How Does Stock Market Volatility React To Oil Price Shocks?,"
Macroeconomic Dynamics, Cambridge University Press, vol. 22(3), pages 666-682, April.
- Andrea Bastianin & Matteo Manera, 2015. "How Does Stock Market Volatility React to Oil Shocks?," Working Papers 2014.110, Fondazione Eni Enrico Mattei.
- 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.
- Andrea Bastianin & Matteo Manera, 2018. "How does stock market volatility react to oil shocks?," Papers 1811.03820, arXiv.org.
- Engel, C., 1996.
"Long-Run PPP May Not Hold After All,"
Working Papers
96-05, University of Washington, Department of Economics.
- Engel, C., 1996. "Long-Run PPP May Not Hold After All," Discussion Papers in Economics at the University of Washington 96-05, Department of Economics at the University of Washington.
- Charles Engel, 1998. "Long-Run PPP May Not Hold After All," Working Papers 0050, University of Washington, Department of Economics.
- Charles Engel, 1996. "Long-Run PPP May Not Hold After All," NBER Working Papers 5646, National Bureau of Economic Research, Inc.
- Charles Engel, 1998. "Long-Run PPP May Not Hold After All," Discussion Papers in Economics at the University of Washington 0050, Department of Economics at the University of Washington.
- Engel, Charles, 2000. "Long-run PPP may not hold after all," Journal of International Economics, Elsevier, vol. 51(2), pages 243-273, August.
- 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.
- 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.
- 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.
- Jean-Marie Dufour, 2003.
"Identification, Weak Instruments and Statistical Inference in Econometrics,"
CIRANO Working Papers
2003s-49, CIRANO.
- Jean-Marie Dufour, 2003. "Identification, weak instruments, and statistical inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 36(4), pages 767-808, November.
- DUFOUR, Jean-Marie, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche 10-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- DUFOUR, Jean-Marie, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche 2003-12, Universite de Montreal, Departement de sciences economiques.
- 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.
- Andrea BASTIANIN & Alessandro LANZA & Matteo MANERA, 2016. "Economic Impacts of El Niño Southern Oscillation: Evidence from the Colombian Coffee Market," Departmental Working Papers 2016-14, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- Andrea Bastianin & Alessandro Lanza & Matteo Manera, 2018. "Economic impacts of El Niño southern oscillation: evidence from the Colombian coffee market," Agricultural Economics, International Association of Agricultural Economists, vol. 49(5), pages 623-633, September.
- Bastianin, Andrea & Lanza, Alessandro & Manera, Matteo, 2018. "Economic impacts of El Niño Southern Oscillation: evidence from the Colombian coffee market," MPRA Paper 89984, University Library of Munich, Germany.
- Bastianin, Andrea & Lanza, Alessandro & Manera, Matteo, 2016. "Economic Impacts of El Niño Southern Oscillation: Evidence from the Colombian Coffee Market," EIA: Climate Change: Economic Impacts and Adaptation 250258, Fondazione Eni Enrico Mattei (FEEM).
- 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.
- 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.
- 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.
- 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.).
- 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.
- Schmeling, Maik, 2006.
"Institutional and Individual Sentiment: Smart Money and Noise Trader Risk,"
Hannover Economic Papers (HEP)
dp-337, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Schmeling, Maik, 2007. "Institutional and individual sentiment: Smart money and noise trader risk?," International Journal of Forecasting, Elsevier, vol. 23(1), pages 127-145.
- Jean-Marie Dufour, 2001.
"Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie,"
CIRANO Working Papers
2001s-40, CIRANO.
- Dufour, J.M., 2001. "Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie," Cahiers de recherche 2001-15, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- 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.
- 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.
- Paul Beaudry & Franck Portier, 2014.
"Understanding Noninflationary Demand-Driven Business Cycles,"
NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 69-130.
- Franck Portier & Paul Beaudry, 2013. "Understanding Non-Inflationary Demand Driven Business Cycles," 2013 Meeting Papers 434, Society for Economic Dynamics.
- 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.
- 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.
- Bailey, Natalia & Giraitis, Liudas, 2016. "Spectral approach to parameter-free unit root testing," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 4-16.
- 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.
- Bennett T. McCallum, 1993. "Macroeconomics After Two Decades of Rational Expectations," NBER Working Papers 4367, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- Basma Bekdache & Christopher F. Baum, 1999. "A re-evaluation of empirical tests of the Fisher hypothesis," Computing in Economics and Finance 1999 944, Society for Computational Economics, revised 18 Sep 2000.
- 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.
- Murray, Christian J. & Nelson, Charles R., 2000.
"The uncertain trend in U.S. GDP,"
Journal of Monetary Economics, Elsevier, vol. 46(1), pages 79-95, August.
- Nelson, C-R & Murray, C-J, 1997. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 97-05, Department of Economics at the University of Washington.
- 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.
- Nelson, C-R & Murray, C-J, 1997. "The Uncertain Trend in U.S. GDP," Working Papers 97-05, University of Washington, Department of Economics.
- Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Working Papers 0074, University of Washington, Department of Economics.
- Charles Nelson & Christian Murray, 1997. "The Uncertain Trend in U.S. GDP," Computational Economics 9702001, University Library of Munich, Germany.
- 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.
- Atsushi Inoue & Lutz Kilian, 2002.
"Bootstrapping Autoregressive Processes with Possible Unit Roots,"
Econometrica, Econometric Society, vol. 70(1), pages 377-391, January.
- Atsushi Inoue & Lutz Kilian, 2000. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometric Society World Congress 2000 Contributed Papers 0401, Econometric Society.
- 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.
- Beaudry, Paul & Portier, Franck, 2012.
"A gains from trade perspective on macroeconomic fluctuations,"
ZEW Discussion Papers
12-002, ZEW - Leibniz Centre for European Economic Research.
- Portier, Franck & Beaudry, Paul, 2011. "A Gains from Trade Perspective on Macroeconomic Fluctuations," CEPR Discussion Papers 8487, C.E.P.R. Discussion Papers.
- Paul Beaudry & Franck Portier, 2011. "A Gains from Trade Perspective on Macroeconomic Fluctuations," NBER Working Papers 17291, National Bureau of Economic Research, Inc.
- 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.).
- Jefferson, Philip N., 2000. "'Home' base and monetary base rules: elementary evidence from the 1980s and 1990s," Journal of Economics and Business, Elsevier, vol. 52(1-2), pages 161-180.
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2023. "Inference in Non-stationary High-Dimensional VARs," Papers 2302.01434, arXiv.org, revised Sep 2023.
- Mundt, Philipp & Alfarano, Simone & Milaković, Mishael, 2019.
"Exploiting ergodicity in forecasts of corporate profitability,"
BERG Working Paper Series
147, Bamberg University, Bamberg Economic Research Group.
- Mundt, Philipp & Alfarano, Simone & Milaković, Mishael, 2020. "Exploiting ergodicity in forecasts of corporate profitability," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
- 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.
- 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.
- 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.
- 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.
- 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.
- Qinghua Liu & C. Richard Shumway, 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 463-486, September.
- Liu, Qinghua & Shumway, C. Richard, 2003. "Testing Aggregation Consistency Across Geography And Commodities," 2003 Annual meeting, July 27-30, Montreal, Canada 22201, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- 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.
- 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.
- Daniela De Angelis & Stefano Fachin & G. Alastair Young, 1997. "Bootstrapping unit root tests," Applied Economics, Taylor & Francis Journals, vol. 29(9), pages 1155-1161.
- 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.
- Lansing, Kevin J. & Ma, Jun, 2017. "Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 62-87.
- 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.
- 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.
- Charalampidis, Nikolaos, 2020. "On unemployment cycles in the Euro Area, 1999–2018," European Economic Review, Elsevier, vol. 121(C).
- Ivan Hajdukovic, 2022.
"Transmission mechanisms of conventional and unconventional monetary policies in open economies,"
Post-Print
hal-03912666, HAL.
- Ivan Hajdukovic, 2022. "Transmission mechanisms of conventional and unconventional monetary policies in open economies," International Economics and Economic Policy, Springer, vol. 19(3), pages 491-536, July.
- 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.
- Jørgen Juel Andersen & Frode Martin Nordvik & Andrea Tesei, 2017. "Oil and Civil Conflict: On and Off (Shore)," CESifo Working Paper Series 6346, CESifo.
- J�rgen Juel Andersen & Frode Martin Nordvik & Andrea Tesei, 2017. "Oil and Civil Conflict: On and Off (Shore)," Working Papers No 1/2017, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- 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.
- 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.
- Neaime, Simon, 2015. "Are emerging MENA stock markets mean reverting? A Monte Carlo simulation," Finance Research Letters, Elsevier, vol. 13(C), pages 74-80.
- Romulo Chumacero, 2001.
"Testing For Unit Roots Using Economics,"
Computing in Economics and Finance 2001
2, Society for Computational Economics.
- Rómulo Chumacero, 2001. "Testing for unit roots using economics," Working Papers Central Bank of Chile 102, Central Bank of Chile.
- 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.
- Juan Manuel Julio, 1995.
"Choques Grandes/Choques Pequeños: Evidencia del Log IPC e Inflación Colombianos,"
Borradores de Economia
043, Banco de la Republica de Colombia.
- 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.
- Juan Manuel Julio R., 1995. "Choques Grandes/Choques Pequeños: Evidencia Del Log Ipc E Inflación Colombianos," Borradores de Economia 2120, Banco de la Republica.
- 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.
- Serena Ng & Pierre Perron, 2002. "PPP May not Hold Afterall: A Further Investigation," Annals of Economics and Finance, Society for AEF, vol. 3(1), pages 43-64, May.
- Serena Ng & Pierre Perron, 2001. "PPP May not Hold After all: A Further Investigation," Economics Working Paper Archive 466, The Johns Hopkins University,Department of Economics.
- 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.
- 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.
- Nelson Mark, 1998. "Fundamentals of the Real Dollar-Pound Rate: 1871-1994," Working Papers 98-14, Ohio State University, Department of Economics.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- David Shepherd & Robert Dixon, 2002. "The Relationship Between Regional and National Unemployment," Regional Studies, Taylor & Francis Journals, vol. 36(5), pages 469-480.
- 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.
- 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).
- 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.
- Claude Diebolt, 2021.
"Trend, Cycles and Chance,"
Working Papers of BETA
2021-14, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Claude Diebolt, 2021. "Trend, Cycles and Chance," Working Papers 05-21, Association Française de Cliométrie (AFC).
- 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).
- 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.
- Martínez, J. Manuel & Espasa, Antoni, 1998. "La demanda de importaciones españolas. Un enfoque VECM desagregado," DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS 3662, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Tuhkuri, Joonas, 2016. "Forecasting Unemployment with Google Searches," ETLA Working Papers 35, The Research Institute of the Finnish Economy.
- 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.
- Aurélie Lalanne & Martin Zumpe, 2020. "Time-Series Based Empirical Assessment of Random Urban Growth: New Evidence from France," Post-Print hal-02796138, HAL.
- 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.
- 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.
- 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.
- 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.
- Ocampo, José Antonio & Parra, María Angela, 2003. "The terms of trade for commodities in the twentieth century," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), April.
- 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.
- Neville Francis & Michael T. Owyang & Jennifer E. Roush & Riccardo DiCecio, 2014.
"A Flexible Finite-Horizon Alternative to Long-Run Restrictions with an Application to Technology Shocks,"
The Review of Economics and Statistics, MIT Press, vol. 96(4), pages 638-647, October.
- 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.
- 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.
- 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.
- 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.
- Balcilar, Mehmet & Katzke, Nico & Gupta, Rangan, 2018.
"Date-stamping US housing market explosivity,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 12, pages 1-33.
- 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).
- 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).
- 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.
- Ho, Tsung-wu, 2005. "Investigating the threshold effects of inflation on PPP," Economic Modelling, Elsevier, vol. 22(5), pages 926-948, September.
- 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.
- John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, September.
- 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.
- 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.
- 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.
- 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. EstadÃstica y EconometrÃa. DS 3646, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- In-Koo Cho & Kenneth Kasa, 2017. "Model Averaging and Persistent Disagreement," Review, Federal Reserve Bank of St. Louis, vol. 99(3), pages 279-294.
- 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.
- 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.
- OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Robert Mudida, 2019. "Hysteresis of unemployment rates in Africa: new findings from Fourier ADF test," Quality & Quantity: International Journal of Methodology, Springer, vol. 53(6), pages 2781-2795, November.
- Gundlach, Erich, 1992. "Testing growth theories: Time series evidence," Kiel Working Papers 516, Kiel Institute for the World Economy (IfW Kiel).
- Marie-Josée Godbout & Simon van Norden, 1996. "Unit-Root Test and Excess Returns," Staff Working Papers 96-10, Bank of Canada.
- 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).
- 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).
- 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.
- 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.).
- Elmar Mertens, 2016. "Measuring the Level and Uncertainty of Trend Inflation," The Review of Economics and Statistics, MIT Press, vol. 98(5), pages 950-967, December.
- 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.
- Fischer, Christoph & Porath, Daniel, 2006. "A reappraisal of the evidence on PPP: a systematic investigation into MA roots in panel unit root tests and their implications," Discussion Paper Series 1: Economic Studies 2006,23, Deutsche Bundesbank.
- 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.
- Scott, Andrew, 2007. "Optimal taxation and OECD labor taxes," Journal of Monetary Economics, Elsevier, vol. 54(3), pages 925-944, April.
- Bastianin, Andrea & Manera, Matteo, 2015.
"How Does Stock Market Volatility React to Oil Shocks?,"
Energy: Resources and Markets
196919, Fondazione Eni Enrico Mattei (FEEM).
- Andrea Bastianin & Matteo Manera, 2015. "How Does Stock Market Volatility React to Oil Shocks?," Working Papers 2014.110, Fondazione Eni Enrico Mattei.
- 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.
- Andrea Bastianin & Matteo Manera, 2018. "How does stock market volatility react to oil shocks?," Papers 1811.03820, arXiv.org.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.).
- Martínez, J. Manuel & Espasa, Antoni, 1998. "Caracterización del PIB español a partir de modelos univariantes no lineales," DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS 3660, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- 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).
- 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.
- 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.
- Balashova, Svetlana & Serletis, Apostolos, 2020. "Oil prices shocks and the Russian economy," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
- Emara, Noha & Ma, Jinpeng, 2019. "An Analysis of the Seasonal Cycle and the Business Cycle," MPRA Paper 99310, University Library of Munich, Germany.
- 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.
- 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.
- Manasse, Paolo, 1996. "Are taxes too low?," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 1263-1288.
- 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.
- 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).
- 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.
- 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.
- 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:
- 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.
- Stefan Dercon & Joachim De Weerdt, 2002. "Risk-sharing networks and insurance against illness," CSAE Working Paper Series 2002-16, Centre for the Study of African Economies, University of Oxford.
- Stefan Dercon & Joachim de Weerdt, 2004. "Risk-Sharing Networks And Insurance Against Illness," Development and Comp Systems 0409019, University Library of Munich, Germany.
- 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.
- Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva, 2004.
"Similarities and Convergence in G7 Cycles,"
CEPR Discussion Papers
4534, C.E.P.R. Discussion Papers.
- Fabio Canova & Matteo Ciccarelli & Eva Ortega, 2004. "Similarities and convergence in G-7 cycles," Working Papers 0404, Banco de España.
- 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.
- Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva, 2004. "Similarities and convergence in G-7 cycles," Working Paper Series 312, European Central Bank.
- Fabio Canova & Matteo Ciccarelli & Eva Ortega, 2003. "Similarities and convergence in G-7 cycles," Economics Working Papers 924, Department of Economics and Business, Universitat Pompeu Fabra, revised Aug 2004.
- Mankart, Jochen & Oikonomou, Rigas, 2015.
"Household search and the aggregate labor market,"
Discussion Papers
26/2015, Deutsche Bundesbank.
- Mankart, Jochen & Oikonomou, Rigas, 2012. "Household Search and the Aggregate Labor Market," Economics Working Paper Series 1225, University of St. Gallen, School of Economics and Political Science.
- Jochen Mankart & Rigas Oikonomou, 2017. "Household Search and the Aggregate Labour Market," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 84(4), pages 1735-1788.
- Raj Chetty & Adam Looney, 2005.
"Income Risk and the Benefits of Social Insurance: Evidence from Indonesia and the United States,"
NBER Working Papers
11708, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Emla Fitzsimons & Bansi Malde & Marcos Vera-Hernández, 2016. "Spillovers of Community-Based Health Interventions on Consumption Smoothing," Studies in Economics 1611, School of Economics, University of Kent.
- Bansi Malde & Marcos Vera-Hernández, 2022. "Spillovers of Community-Based Health Interventions on Consumption Smoothing," Economic Development and Cultural Change, University of Chicago Press, vol. 70(4), pages 1591-1629.
- Bruno Chiarini & Elisabetta Marzano, 2006.
"Market Consumption and Hidden Consumption: A Test for Substitutability,"
Discussion Papers
12_2006, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
- Bruno Chiarini & Elisabetta Marzano, 2004. "Market Comsumption And Hidden Consumption. A Test For Substitutability," Working Papers 7_2004, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
- Bruno Chiarini & Elisabetta Marzano, 2006. "Market consumption and hidden consumption. A test for substitutability," Applied Economics, Taylor & Francis Journals, vol. 38(6), pages 707-716.
- 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.
- 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.
- Lewis, Karen K, 1996. "What Can Explain the Apparent Lack of International Consumption Risk Sharing?," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 267-297, April.
- 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.
- Akyol, Ahmet & Athreya, Kartik, 2005.
"Risky higher education and subsidies,"
Journal of Economic Dynamics and Control, Elsevier, vol. 29(6), pages 979-1023, June.
- Ahmet Akyol & Kartik B. Athreya, 2003. "Risky higher education and subsidies," Working Paper 03-02, Federal Reserve Bank of Richmond.
- 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.
- Fernando Jaramillo & Hubert Kempf & Fabien Moizeau, 2015. "Heterogeneity and the formation of risk-sharing coalitions," Post-Print halshs-01075648, HAL.
- Fernando Jaramillo & Hubert Kempf & Fabien Moizeau, 2013. "Heterogeneity and the formation of risk - sharing coalitions," Documentos de Trabajo 11013, Universidad del Rosario.
- Fabien MOIZEAU & Fernando JARAMILLO & Hubert KEMPF, 2011. "Heterogeneity and the Formation of Risk-Sharing Coalitions," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 201111, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.
- Fernando Jaramillo & Hubert Kempf & Fabien Moizeau, 2015. "Heterogeneity and the formation of risk-sharing coalitions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01075648, HAL.
- Fernando Jaramillo & Hubert Kempf & Fabien Moizeau, 2015. "Heterogeneity and the formation of risk-sharing coalitions," PSE-Ecole d'économie de Paris (Postprint) halshs-01075648, HAL.
- Frédéric Zumer & Jacques Mélitz, 2002.
"Partage du risque dans l’Union européenne: Expériences interrégionales et internationales,"
Sciences Po publications
info:hdl:2441/762, Sciences Po.
- 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.
- Frédéric Zumer & Jacques Mélitz, 2002. "Partage du risque dans l'Union européenne : expériences interrégionales et internationales," Post-Print hal-01017839, HAL.
- 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.
- 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.
- Jamaes P. Ziliak & Thomas J. Kniesner, 2003. "The Effect of Income Taxation on Consumption and Labor Supply," Center for Policy Research Working Papers 54, Center for Policy Research, Maxwell School, Syracuse University.
- 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.
- 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.
- Edouard Challe & Xavier Ragot, 2016.
"Precautionary Saving Over the Business Cycle,"
Economic Journal, Royal Economic Society, vol. 126(590), pages 135-164, February.
- Edouard Challe & Xavier Ragot, 2016. "Precautionary Saving Over the Business Cycle," PSE-Ecole d'économie de Paris (Postprint) halshs-01313771, HAL.
- Edouard Challe & Xavier Ragot, 2016. "Precautionary Saving Over the Business Cycle," Post-Print halshs-01313771, HAL.
- Edouard Challe & Xavier Ragot, 2016. "Precautionary Saving Over the Business Cycle," SciencePo Working papers Main halshs-01313771, HAL.
- Edouard Challe & Xavier Ragot, 2013. "Precautionary Saving over the Business Cycle," Working Papers hal-00843150, HAL.
- Edouard Challe & Xavier Ragot, 2016. "Precautionary Saving Over the Business Cycle," Sciences Po publications info:hdl:2441/54k1p7hdq38, Sciences Po.
- Ragot, Xavier & CHALLE, Edouard, 2013. "Precautionary Saving over the Business Cycle," CEPR Discussion Papers 9608, C.E.P.R. Discussion Papers.
- Xavier Ragot & Edouard Challe, 2011. "Precautionary Saving over the Business Cycle," 2011 Meeting Papers 517, Society for Economic Dynamics.
- Edouard Challe & Xavier Ragot, 2013. "Precautionary Saving over the Business Cycle," PSE Working Papers hal-00843150, HAL.
- Paula Garda & Volker Ziemann, 2014. "Economic Policies and Microeconomic Stability: A Literature Review and Some Empirics," OECD Economics Department Working Papers 1115, OECD Publishing.
- 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.
- Karen K. Lewis & Edith X. Liu, 2016. "Disaster Risk and Asset Returns: An International Perspective," NBER Chapters, in: NBER International Seminar on Macroeconomics 2016, National Bureau of Economic Research, Inc.
- Karen K. Lewis & Edith X. Liu, 2017. "Disaster Risk and Asset Returns : An International Perspective," International Finance Discussion Papers 1199, Board of Governors of the Federal Reserve System (U.S.).
- Karen K. Lewis & Edith X. Liu, 2017. "Disaster Risk and Asset Returns: An International Perspective," NBER Working Papers 23065, National Bureau of Economic Research, Inc.
- Orazio P. Attanasio, 1998. "Consumption Demand," NBER Working Papers 6466, National Bureau of Economic Research, Inc.
- 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).
- James X. Sullivan, 2005. "Welfare Reform, Saving, and Vehicle Ownership: Do Asset Limits and Vehicle Exemptions Matter?," Upjohn Working Papers 05-117, W.E. Upjohn Institute for Employment Research.
- 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.
- Jonathan Heathcote & Kjetil Storesletten & Giovanni L. Violante, 2014.
"Optimal Tax Progressivity: An Analytical Framework,"
Staff Report
496, Federal Reserve Bank of Minneapolis.
- Storesletten, Kjetil & Violante, Giovanni & Heathcote, Jonathan, 2014. "Optimal Tax Progressivity: An Analytical Framework," CEPR Discussion Papers 9866, C.E.P.R. Discussion Papers.
- Jonathan Heathcote & Kjetil Storesletten & Giovanni L. Violante, 2017. "Optimal Tax Progressivity: An Analytical Framework," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(4), pages 1693-1754.
- Jonathan Heathcote & Kjetil Storesletten & Giovanni L. Violante, 2014. "Optimal tax progressivity: an analytical framework," IFS Working Papers W14/27, Institute for Fiscal Studies.
- Jonathan Heathcote & Kjetil Storesletten & Giovanni L. Violante, 2014. "Optimal Tax Progressivity: An Analytical Framework," NBER Working Papers 19899, National Bureau of Economic Research, Inc.
- Takuma Kunieda & Akihisa Shibata, 2024.
"Insurance against Aggregate Shocks,"
ISER Discussion Paper
1239, Institute of Social and Economic Research, Osaka University.
- Takuma Kunieda & Akihisa Shibata, 2024. "Insurance against Aggregate Shocks," KIER Working Papers 1102, Kyoto University, Institute of Economic Research.
- Takuma Kunieda & Akihisa Shibata, 2024. "Insurance against Aggregate Shocks," Discussion Paper Series 267, School of Economics, Kwansei Gakuin University.
- 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.
- Hanno N. Lustig & Stijn G. Van Nieuwerburgh, 2005. "Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective," Journal of Finance, American Finance Association, vol. 60(3), pages 1167-1219, June.
- 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.
- 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.
- Lawrence Christiano & Mathias Trabandt & Karl Walentin, 2020. "Code and data files for "Involuntary Unemployment and the Business Cycle"," Computer Codes 18-447, Review of Economic Dynamics.
- Lawrence J. Christiano & Mathias Trabandt & Karl Walentin, 2010. "Involuntary unemployment and the business cycle," FRB Atlanta CQER Working Paper 2010-03, Federal Reserve Bank of Atlanta.
- Christiano, Lawrence J. & Trabrandt, Mathias & Walentin, Karl, 2010. "Involuntary Unemployment and the Business Cycle," Working Paper Series 238, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jun 2012.
- Lawrence J. Christiano & Mathias Trabandt & Karl Walentin, 2010. "Involuntary Unemployment and the Business Cycle," NBER Working Papers 15801, National Bureau of Economic Research, Inc.
- Mathias Trabandt & Karl Walentin & Lawrence Christiano, 2016. "Involuntary Unemployment and the Business Cycle," 2016 Meeting Papers 194, Society for Economic Dynamics.
- Mathias Trabandt & Karl Walentin & Lawrence J. Christiano, 2010. "Involuntary Unemployment and the Business Cycle," 2010 Meeting Papers 129, Society for Economic Dynamics.
- Lawrence Christiano & Mathias Trabandt & Karl Walentin, 2020. "Online Appendix to "Involuntary Unemployment and the Business Cycle"," Online Appendices 18-447, Review of Economic Dynamics.
- Christiano, Lawrence J. & Trabrandt, Mathias & Walentin, Karl, 2010. "Involuntary unemployment and the business cycle," Working Paper Series 1202, European Central Bank.
- Santos, Tano & Veronesi, Pietro, 2022. "Leverage," Journal of Financial Economics, Elsevier, vol. 145(2), pages 362-386.
- Ethan Ligon & Pierre Dubois, 2012.
"Incentives & Nutrition for Rotten Kids: The Quantity & Quality of Food Allocated within Philippine Households,"
2012 Meeting Papers
375, Society for Economic Dynamics.
- 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.
- 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.
- Orazio P. Attanasio & Guglielmo Weber, 1994. "Is Consumption Growth Consistent with Intertemporal Optimization? Evidence from the Consumer Expenditure Survey," NBER Working Papers 4795, National Bureau of Economic Research, Inc.
- Giulio Fella & Serafin Frache & Winfried Koeniger, 2017.
"Buffer-stock saving and households' response to income shocks,"
Working Papers
825, Queen Mary University of London, School of Economics and Finance.
- 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).
- Fella, Giulio & Frache, Serafin & Koeniger, Winfried, 2016. "Buffer-Stock Saving and Households' Response to Income Shocks," IZA Discussion Papers 10311, Institute of Labor Economics (IZA).
- Giulio Fella & Serafin Frache & Winfried Koeniger, 2020. "Buffer‐Stock Saving And Households' Response To Income Shocks," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(3), pages 1359-1382, August.
- Koeniger, Winfried & Fella, Giulio & Frache, Serafin, 2016. "Buffer-Stock Saving and Households' Response to Income Shocks," Economics Working Paper Series 1617, University of St. Gallen, School of Economics and Political Science.
- Giulio Fella & Serafín Frache & Winfried Koeniger, 2016. "Buffer-stock saving and households' response to income shocks," Documentos de trabajo 2016001, Banco Central del Uruguay.
- Giulio Fella & Serafin Frache & Winfried Koeniger, 2016. "Buffer-Stock Saving and Households' Response to Income Shocks," CESifo Working Paper Series 6144, CESifo.
- 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.
- Falko Jüßen, 2006. "Interregional risk sharing and fiscal redistribution in unified Germany," Papers in Regional Science, Wiley Blackwell, vol. 85(2), pages 235-255, June.
- 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.
- 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.
- Gregory Erin Givens, 2008. "Unemployment Insurance in a Sticky-Price Model with Worker Moral Hazard," Working Papers 200807, Middle Tennessee State University, Department of Economics and Finance.
- 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.
- Takashi Kurosaki & Marcel Fafchamps, 1998. "Insurance Market Efficiency and Crop Choices in Pakistan," Discussion Paper Series a358, Institute of Economic Research, Hitotsubashi University.
- Marcel Fafchamps & Takashi Kurosaki & Institute of Economic Research & Hitotsubashi University & Japan, 2000. "Insurance Market Efficiency and Crop Choices in Pakistan," Economics Series Working Papers 12, University of Oxford, Department of Economics.
- Takashi Kurosaki & Marcel Fafchamps, 1997. "Insurance Market Efficiency and Crop Choices in Pakistan," Working Papers 97010, Stanford University, Department of Economics.
- 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).
- MacLeod, W. Bentley, 2010.
"Great Expectations: Law, Employment Contracts, and Labor Market Performance,"
IZA Discussion Papers
5357, Institute of Labor Economics (IZA).
- W. Bentley MacLeod, 2010. "Great Expectations: Law, Employment Contracts, and Labor Market Performance," NBER Working Papers 16048, National Bureau of Economic Research, Inc.
- MacLeod, W. Bentley, 2011. "Great Expectations: Law, Employment Contracts, and Labor Market Performance," Handbook of Labor Economics, in: O. Ashenfelter & D. Card (ed.), Handbook of Labor Economics, edition 1, volume 4, chapter 18, pages 1591-1696, Elsevier.
- 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.
- Robert Kollmann, 1995. "Consumption, real exchange rates and the structure of international asset markets," ULB Institutional Repository 2013/7642, ULB -- Universite Libre de Bruxelles.
- Kollmann, R., 1992. "Consumption, Real Exchange Rates and the Structure of International Asset Markets," Cahiers de recherche 9232, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Kollmann, R., 1992. "Consumption, Real Exchange Rates and the Structure of International Asset Markets," Cahiers de recherche 9232, Universite de Montreal, Departement de sciences economiques.
- 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.
- Martin Browning & Thomas F. Crossley & Guglielmo Weber, 2003. "Asking consumption questions in general purpose surveys," Economic Journal, Royal Economic Society, vol. 113(491), pages 540-567, November.
- Martin Browning & Thomas F. Crossley & Gugliemo Weber, 2002. "Asking Consumption Questions in General Purpose Surveys," CAM Working Papers 2002-05, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- Wharton School & Nikolai Roussanov, 2008.
"Diversification and its Discontents: Idiosyncratic and Entrepreneurial Risk in the Quest for Social Status,"
2008 Meeting Papers
924, Society for Economic Dynamics.
- 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.
- 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.
- Eozenou, Patrick, 2008.
"Optimal Risk Sharing Under Limited Commitment: Evidence From Rural Vietnam,"
MPRA Paper
12688, University Library of Munich, Germany.
- Patrick Eozenou, 2009. "Optimal Risk Sharing Under Limited Commitment: Evidence From Rural Vietnam," Working Papers 06, Development and Policies Research Center (DEPOCEN), Vietnam.
- HORI Masahiro & SHIMIZUTANI Satoshi, 2002. "Micro Data Studies on Japanese Household Consumption," ESRI Discussion paper series 015, Economic and Social Research Institute (ESRI).
- Ergys Islamaj & Ayhan Kose, 2016.
"How Does the Sensitivity of Consumption to Income Vary Over Time? International Evidence,"
Koç University-TUSIAD Economic Research Forum Working Papers
1602, Koc University-TUSIAD Economic Research Forum.
- Islamaj, Ergys & Kose, M. Ayhan, 2016. "How does the sensitivity of consumption to income vary over time? International evidence," Journal of Economic Dynamics and Control, Elsevier, vol. 72(C), pages 169-179.
- Islamaj,Ergys & Kose,Ayhan, 2016. "How does the sensitivity of consumption to income vary over time? international evidence," Policy Research Working Paper Series 7659, The World Bank.
- Kose, M. Ayhan & Islamaj, Ergys, 2016. "How Does the Sensitivity of Consumption to Income Vary Over Time? International Evidence," CEPR Discussion Papers 11241, C.E.P.R. Discussion Papers.
- 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.
- Sanjay Sehgal & Piyush Pandey & Florent Deisting, 2017.
"Time Varying Integration amongst the South Asian Equity Markets: An Empirical Study,"
Working papers of CATT
hal-01885142, HAL.
- Sanjay Sehgal & Piyush Pandey & Florent Deisting, 2017. "Time Varying Integration amongst the South Asian Equity Markets: An Empirical Study," Working Papers hal-01885142, HAL.
- Sanjay Sehgal & Piyush Pandey & Florent Deisting, 2018. "Time varying integration amongst the South Asian equity markets: An empirical study," Cogent Economics & Finance, Taylor & Francis Journals, vol. 6(1), pages 1452328-145, January.
- Elin Halvorsen & Hans Holter & Serdar Ozkan & Kjetil Storesletten, 2022.
"Dissecting Idiosyncratic Earnings Risk,"
Working Papers
2022-024, Federal Reserve Bank of St. Louis, revised 02 Mar 2023.
- Storesletten, Kjetil & Halvorsen, Elin & Holter, Hans & Ozkan, Serdar, 2020. "Dissecting Idiosyncratic Earnings Risk," CEPR Discussion Papers 15395, C.E.P.R. Discussion Papers.
- Ralph Chami & Gregory D. Hess, 2002.
"For Better or For Worse? State-Level Marital Formation and Risk Sharing,"
CESifo Working Paper Series
702, CESifo.
- Ralph Chami & Gregory Hess, 2005. "For Better or For Worse? State-Level Marital Formation and Risk Sharing," Review of Economics of the Household, Springer, vol. 3(4), pages 367-385, December.
- 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.
- 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.
- Asadul Islam & Pushkar Maitra, 2008. "Health Shocks And Consumption Smoothing In Rural Households: Does Microcredit Have A Role To Play?," Monash Economics Working Papers 22/08, Monash University, Department of Economics.
- Eduardo Silva & Alex Ferreira, 2023. "Risk-sharing within Brazil and South America," Empirical Economics, Springer, vol. 65(2), pages 661-695, August.
- Natalie Chen & Paola Conconi & Carlo Perroni, 2007.
"Women's Earning Power and the "Double Burden" of Market and Household Work,"
SOEPpapers on Multidisciplinary Panel Data Research
20, DIW Berlin, The German Socio-Economic Panel (SOEP).
- Chen, Natalie & Perroni, Carlo & Conconi, Paola, 2007. "Women's Earning Power and the 'Double Burden' of Market and Household Work," CEPR Discussion Papers 6269, C.E.P.R. Discussion Papers.
- 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.
- Damien Echevin, 1999. "Nouvelles approches des comportements d'épargne et de consommation," Économie et Statistique, Programme National Persée, vol. 324(1), pages 9-18.
- 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.
- Pericoli, Filippo M. & Pierucci, Eleonora & Ventura, Luigi, 2012. "The impact of social capital on consumption insurance and income volatility in U.K.: evidence from british household panel survey," MPRA Paper 44214, University Library of Munich, Germany.
- Raj Chetty & John N. Friedman & Soren Leth-Petersen & Torben Nielsen & Tore Olsen, 2012.
"Active vs. Passive Decisions and Crowdout in Retirement Savings Accounts: Evidence from Denmark,"
NBER Working Papers
18565, National Bureau of Economic Research, Inc.
- Chetty, Raj & Friedman, John N. & Leth-Peterson, Soren & Nielsen, Torben Heien & Olsen, Tore, 2013. "Active vs. Passive Decisions and Crowd-Out in Retirement Savings Accounts: Evidence from Denmark," Working Paper Series rwp13-002, Harvard University, John F. Kennedy School of Government.
- 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.
- 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).
- Courtney Coile & Maya Rossin-Slater & Amanda Su, 2022. "The Impact of Paid Family Leave on Families with Health Shocks," NBER Working Papers 30739, National Bureau of Economic Research, Inc.
- 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.
- Giacomo De Giorgi & Michele Pellizzari, 2011. "Understanding Social Interactions: Evidence from the Classroom," Working Papers 385, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- De Giorgi, Giacomo & Pellizzari, Michele, 2011. "Understanding Social Interactions: Evidence from the Classroom," IZA Discussion Papers 5624, Institute of Labor Economics (IZA).
- Giacomo De Giorgi & Michele Pellizzari, 2013. "Understanding Social Interactions: Evidence from the Classroom," NBER Working Papers 19202, National Bureau of Economic Research, Inc.
- 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.
- Fatih Guvenen, 2005. "Do Stockholders Share Risk More Effectively Than Non- stockholders?," Macroeconomics 0508006, University Library of Munich, Germany.
- 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.
- Attilio Gardini & Giuseppe Cavaliere & Luca Fanelli, 2005. "Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia," Rivista di Politica Economica, SIPI Spa, vol. 95(3), pages 219-266, May-June.
- 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.
- 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.
- 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.
- Becker, Sascha O. & Hoffmann, Mathias, 2010. "Equity fund ownership and the cross-regional diversification of household risk," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 90-102, January.
- Sascha Becker & Mathias Hoffmann & Sascha O. Becker, 2008. "Equity Fund Ownership and the Cross-Regional Diversification of Household Risk," CESifo Working Paper Series 2205, CESifo.
- 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.
- Hess, Gregory D. & Shin, Kwanho, 2000. "Risk sharing by households within and across regions and industries," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 533-560, June.
- 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.
- 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.
- Artis, Michael J. & Hoffmann, Mathias, 2006. "The Home Bias and Capital Income Flows between Countries and Regions," Technical Reports 2006,13, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Artis, Michael & Hoffmann, Mathias, 2006. "The Home Bias and Capital Income Flows between Countries and Regions," CEPR Discussion Papers 5691, C.E.P.R. Discussion Papers.
- 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.
- Paul Goldsmith-Pinkham & Maxim L. Pinkovskiy & Jacob Wallace, 2020. "The Great Equalizer: Medicare and the Geography of Consumer Financial Strain," Staff Reports 911, Federal Reserve Bank of New York.
- Paul Goldsmith-Pinkham & Maxim Pinkovskiy & Jacob Wallace, 2021. "The Great Equalizer: Medicare and the Geography of Consumer Financial Strain," Papers 2102.02142, arXiv.org.
- 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.
- Attanasio, O.P. & Browning, M.J., 1993. "Consumption over the life cycle and over the business cycle," Other publications TiSEM 833608f5-a79d-4fd2-a5d1-6, Tilburg University, School of Economics and Management.
- Attanasio, O.P. & Browning, M.J., 1993. "Consumption over the life cycle and over the business cycle," Discussion Paper 1993-14, Tilburg University, Center for Economic Research.
- Attanasio, Orazio P & Browning, Martin, 1995. "Consumption over the Life Cycle and over the Business Cycle," American Economic Review, American Economic Association, vol. 85(5), pages 1118-1137, December.
- Attanasio, O.P. & Browning, M., 1993. "Consumption Over the Life Cycle and Over the Business Cycle," Papers 9314, Tilburg - Center for Economic Research.
- Iwamoto, Yasushi & Kohara, Miki & Saito, Makoto, 2010.
"On the consumption insurance effects of long-term care insurance in Japan: Evidence from micro-level household data,"
Journal of the Japanese and International Economies, Elsevier, vol. 24(1), pages 99-115, March.
- 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.
- Muhammet Fatih Guvenen, 2000.
"Does Stockholding Provide Perfect Risk Sharing?,"
GSIA Working Papers
2000-E48, Carnegie Mellon University, Tepper School of Business.
- 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.
- 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.
- Adriana Arreaza & Bent E. Sgrensen & Oved Yosha, 1999. "Consumption Smoothing through Fiscal Policy in OECD and EU Countries," NBER Chapters, in: Fiscal Institutions and Fiscal Performance, pages 59-80, National Bureau of Economic Research, Inc.
- Arreaza, Adriana & Sorensen, Bent E. & Yosha, Oved, 1997. "Consumption Smoothing Through Fiscal Policy in OECD and EU Countries," Foerder Institute for Economic Research Working Papers 275631, Tel-Aviv University > Foerder Institute for Economic Research.
- Arreaza, A. & Sorensen, B.E. & Yosha, O., 1997. "Consumption Smoothing Through Fiscal Policy in OECD and EU Countries," Papers 37-97, Tel Aviv.
- 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.
- Martin Halla & Johann Scharler, 2008.
"Marriage, Divorce and Interstate Risk Sharing,"
Economics working papers
2008-16, Department of Economics, Johannes Kepler University Linz, Austria.
- Martin Halla & Johann Scharler, 2012. "Marriage, Divorce, and Interstate Risk Sharing," Scandinavian Journal of Economics, Wiley Blackwell, vol. 114(1), pages 55-78, March.
- Halla, Martin & Scharler, Johann, 2008. "Marriage, Divorce and Interstate Risk Sharing," IZA Discussion Papers 3744, Institute of Labor Economics (IZA).
- Martin Halla & Johann Scharler, 2008. "Marriage, Divorce and Interstate Risk Sharing," NRN working papers 2008-03, The Austrian Center for Labor Economics and the Analysis of the Welfare State, Johannes Kepler University Linz, Austria.
- 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.
- 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.
- Dirk Krueger & Fabrizio Perri, 2004.
"On the Welfare Consequences of the Increase in Inequality in the United States,"
NBER Chapters, in: NBER Macroeconomics Annual 2003, Volume 18, pages 83-138,
National Bureau of Economic Research, Inc.
- 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.
- Orazio Attanasio & Krisztina Molnar, 2017. "Euler Equations, Subjective Expectations and Income Shocks," Economics Series Working Papers 820, University of Oxford, Department of Economics.
- Peter Fuleky & L Ventura & Qianxue Zhao, 2013.
"Common correlated effects and international risk sharing,"
Working Papers
201304, University of Hawaii at Manoa, Department of Economics.
- Peter Fuleky & Luigi Ventura & Qianxue Zhao, 2018. "Common correlated effects and international risk sharing," International Finance, Wiley Blackwell, vol. 21(1), pages 55-70, March.
- Peter Fuleky & Luigi Ventura & Qianxue Zhao, 2013. "Common correlated effects and international risk sharing," Working Papers 2013-3R, University of Hawaii Economic Research Organization, University of Hawaii at Manoa, revised Aug 2013.
- Peter Fuleky & Luigi Ventura & Qianxue Zhao, 2016. "Common Correlated Effects and International Risk Sharing," Working Papers 201612, University of Hawaii at Manoa, Department of Economics.
- 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.
- Peter Fuleky & Luigi Ventura & Qianxue Zhao, 2013. "Common correlated effects and international risk sharing," Working Papers 2017-5R, University of Hawaii Economic Research Organization, University of Hawaii at Manoa, revised May 2017.
- Peter Fuleky & Luigi Ventura & Qianxue Zhao, 2013. "Common correlated effects and international risk sharing," Working Papers 2013-17R, University of Hawaii Economic Research Organization, University of Hawaii at Manoa, revised Aug 2016.
- Chetty, Nadarajan & Finkelstein, Amy Nadya, 2013.
"Social Insurance: Connecting Theory to Data,"
Scholarly Articles
34330197, Harvard University Department of Economics.
- Raj Chetty & Amy Finkelstein, 2012. "Social Insurance: Connecting Theory to Data," NBER Working Papers 18433, National Bureau of Economic Research, Inc.
- Besley, T., 1993.
"Savings, Credit and Insurance,"
Papers
167, Princeton, Woodrow Wilson School - Development Studies.
- Besley, Timothy, 1995. "Savings, credit and insurance," Handbook of Development Economics, in: Hollis Chenery & T.N. Srinivasan (ed.), Handbook of Development Economics, edition 1, volume 3, chapter 36, pages 2123-2207, Elsevier.
- 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.
- 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).
- Holinski, N. & Kool, C.J.M. & Muysken, J., 2008. "Taking home bias seriously: absolute and relative measures explaining consumption risk-sharing," Research Memorandum 025, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- 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.
- Harold Alderman & Christina H. Paxson, 1994. "Do the Poor Insure? A Synthesis of the Literature on Risk and Consumption in Developing Countries," International Economic Association Series, in: Edmar L. Bacha (ed.), Economics in a Changing World, chapter 3, pages 48-78, Palgrave Macmillan.
- Alderman, H. & Paxson, C.H., 1992. "Do the Poor Insure? A Synthesis of the Literature on Risk and Consumption in Developing Countries," Papers 164, Princeton, Woodrow Wilson School - Development Studies.
- Hamish Low & Costas Meghir & Luigi Pistaferri, 2006.
"Wage risk and employment risk over the life cycle,"
IFS Working Papers
W06/27, Institute for Fiscal Studies.
- Hamish Low & Costas Meghir & Luigi Pistaferri, 2008. "Wage risk and employment risk over the life cycle," IFS Working Papers W08/06, Institute for Fiscal Studies.
- Low, Hamish & Meghir, Costas & Pistaferri, Luigi, 2008. "Wage Risk and Employment Risk over the Life Cycle," IZA Discussion Papers 3700, Institute of Labor Economics (IZA).
- Luigi Pistaferri & Hamish Low & Costas Meghir, 2004. "Wage risk and employment risk over the life-cycle," 2004 Meeting Papers 82, Society for Economic Dynamics.
- 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.
- Hamish Low & Costas Meghir & Luigi Pistaferri, 2009. "Wage Risk and Employment Risk over the Life Cycle," NBER Working Papers 14901, National Bureau of Economic Research, Inc.
- Meghir, Costas & Pistaferri, Luigi & Low, Hamish, 2007. "Wage Risk and Employment Risk Over the Life Cycle," CEPR Discussion Papers 6187, C.E.P.R. Discussion Papers.
- Sanghamitra Bandyopadhyay, 2012.
"The Vulnerable Are Not (Necessarily) the Poor,"
Working Papers
40, Queen Mary, University of London, School of Business and Management, Centre for Globalisation Research.
- 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.
- 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.
- Yang Dean, 2008. "Coping with Disaster: The Impact of Hurricanes on International Financial Flows, 1970-2002," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 8(1), pages 1-45, June.
- Ernesto Villanueva, 2003.
"Parental altruism under imperfect information: theory and evidence,"
Working Papers
19, Barcelona School of Economics.
- Ernesto Villanueva, 2002. "Parental altruism under imperfect information: Theory and evidence," Economics Working Papers 650, Department of Economics and Business, Universitat Pompeu Fabra.
- Ernesto Villanueva, 2001. "Parental altruism under imperfect information: Theory and evidence," Economics Working Papers 566, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2002.
- Marcel Fafchamps, 2003.
"Inequality and Risk,"
Economics Series Working Papers
141, University of Oxford, Department of Economics.
- Marcel Fafchamps, 2002. "Inequality and Risk," WIDER Working Paper Series DP2002-07, World Institute for Development Economic Research (UNU-WIDER).
- 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.
- Yasuyuki Sawada & Satoshi Shimizutani, 2005. "Are People Insured Against Natural Disasters? Evidence from the Great Hanshin-Awaji (Kobe) Earthquake in 1995," CARF F-Series CARF-F-019, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- 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.
- Christopher D. Carroll, 2000. "Mathematica code for Requiem for the Representative Consumer?," QM&RBC Codes 40, Quantitative Macroeconomics & Real Business Cycles.
- Christopher D. Carroll, 2000. "Requiem for the Representative Consumer? Aggregate Implications of Microeconomic Consumption Behavior," American Economic Review, American Economic Association, vol. 90(2), pages 110-115, May.
- Fikret Adaman & Oya Pinar Ardic & Didem Tuzemen, 2006.
"Network Effects in Risk Sharing and Credit Market Access: Evidence from Istanbul,"
Working Papers
2006/17, Bogazici University, Department of Economics.
- 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.
- 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.
- Stefan Dercon & Pramila Krishnan, 2003.
"Risk Sharing and Public Transfers,"
Economic Journal, Royal Economic Society, vol. 113(486), pages 86-94, March.
- Stefan Dercon & Pramila Krishnan, 2002. "Risk Sharing and Public Transfers," WIDER Working Paper Series DP2002-85, World Institute for Development Economic Research (UNU-WIDER).
- Pierfederico Asdrubali & Soyoung Kim, 2007.
"On The Empirics Of International Smoothing,"
Discussion Paper Series
0724, Institute of Economic Research, Korea University.
- Asdrubali, Pierfederico & Kim, Soyoung, 2008. "On the empirics of international smoothing," Journal of Banking & Finance, Elsevier, vol. 32(3), pages 374-381, March.
- Mengus, Eric & Roberto Pancrazi, 2015.
"The Inequality Accelerator,"
Economic Research Papers
270216, University of Warwick - Department of Economics.
- Pancrazi, Roberto & Mengus , Eric, 2015. "The Inequality Accelerator," The Warwick Economics Research Paper Series (TWERPS) 1067, University of Warwick, Department of Economics.
- Mengus , Eric & Pancrazi , Roberto, 2015. "The Inequality Accelerator," HEC Research Papers Series 1108, HEC Paris.
- Roberto Pancrazi & Eric Mengus, 2016. "The Inequality Accelerator," 2016 Meeting Papers 851, Society for Economic Dynamics.
- Antonello Scorcu, 1998. "Consumption risk-sharing in Italy," Applied Economics, Taylor & Francis Journals, vol. 30(3), pages 407-414.
- 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.
- 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.
- Giuseppe Grande & Luigi Ventura, 2001. "Labor Income and Risky Assets under Market Incompleteness: Evidence from Italian Data," Temi di discussione (Economic working papers) 399, Bank of Italy, Economic Research and International Relations Area.
- 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.
- Martin Browning & Thomas F. Crossley, 2000. "The Long Run Costs of Job Loss as Measured by Consumption Changes," Econometric Society World Congress 2000 Contributed Papers 0320, Econometric Society.
- Martin Browning & Thomas F. Crossley, 2006. "The Long-Run Cost of Job Loss as Measured by Consumption Changes," Social and Economic Dimensions of an Aging Population Research Papers 152, McMaster University.
- Browning, Martin & Crossley, Thomas F., 2008. "The long-run cost of job loss as measured by consumption changes," Journal of Econometrics, Elsevier, vol. 145(1-2), pages 109-120, July.
- 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).
- 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.
- Gertler, Paul & Levine, David I. & Moretti, Enrico, 2003.
"Do Microfinance Programs Help Families Insure Consumption Against Illness?,"
Center for International and Development Economics Research, Working Paper Series
qt5811j217, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
- 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.
- Paul Gertler & David I. Levine & Enrico Moretti, 2003. "Do Microfinance Programs Help Families Insure Consumption Against Illness?," Development and Comp Systems 0303004, University Library of Munich, Germany.
- Athreya, Kartik B., 2014. "Big Ideas in Macroeconomics: A Nontechnical View," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262019736, December.
- Casper van Ewijk & Erik Canton & Paul Tang, 2004. "Ageing and international capital flows," CPB Document 43, CPB Netherlands Bureau for Economic Policy Analysis.
- Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, vol. 125(2), pages 93-150, December.
- Liu, Kai, 2016.
"Insuring against health shocks: Health insurance and household choices,"
Journal of Health Economics, Elsevier, vol. 46(C), pages 16-32.
- Liu, Kai, 2015. "Insuring against Health Shocks: Health Insurance and Household Choices," IZA Discussion Papers 9094, Institute of Labor Economics (IZA).
- Edouard Challe & Xavier Ragot, 2016. "Precautionary Saving Over the Business Cycle," PSE - Labex "OSE-Ouvrir la Science Economique" halshs-01313771, HAL.
- Faruk Balli & Filippo Maria Pericoli & Eleonora Pierucci, 2016.
"Channels of Risk Sharing at Micro Level: Savings, Investments and Risk Aversion Heterogeneity,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(1), pages 90-104, January.
- 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.
- 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.
- Martin Berka & Mario J. Crucini & Chih-Wei Wang, 2011. "International Risk-Sharing and Commodity Prices," Vanderbilt University Department of Economics Working Papers 1121, Vanderbilt University Department of Economics.
- Martin Berka & Mario J. Crucini & Chih-Wei Wang, 2012. "International risk sharing and commodity prices," Canadian Journal of Economics, Canadian Economics Association, vol. 45(2), pages 417-447, May.
- Martin Berka & Mario J. Crucini & Chih‐Wei Wang, 2012. "International risk sharing and commodity prices," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(2), pages 417-447, May.
- Sin-Yu Ho & Nicholas M. Odhiambo, 2019.
"The macroeconomic drivers of stock market development: evidence from Hong Kong,"
Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 12(2), pages 185-207, July.
- 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.
- Pierfederico Asdrubali & Soyoung Kim, 2005.
"Incomplete Intertemporal Consumption Smoothing and Incomplete Risksharing,"
International Finance
0506010, University Library of Munich, Germany.
- Pierfederico Asdrubali & Soyoung Kim, 2007. "Incomplete Intertemporal Consumption Smoothing and Incomplete Risksharing," Discussion Paper Series 0725, Institute of Economic Research, Korea University.
- Pierfederico Asdrubali & Soyoung Kim, 2008. "Incomplete Intertemporal Consumption Smoothing and Incomplete Risk Sharing," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1521-1531, October.
- Pierfederico Asdrubali & Soyoung Kim, 2008. "Incomplete Intertemporal Consumption Smoothing and Incomplete Risk Sharing," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1521-1531, October.
- 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.
- Aida, Takeshi, 2015.
"Spatial vs. Social Network Effects in Risk Sharing,"
Working Papers
89, JICA Research Institute.
- Aida, Takeshi, 2015. "Spatial vs. Social Network Effects in Risk Sharing," 2015 Conference, August 9-14, 2015, Milan, Italy 210937, International Association of Agricultural Economists.
- Masao Ogaki & Qiang Zhang, 1998.
"Decreasing Relative Risk Aversion and Tests of Risk Sharing,"
Working Papers
98-02, Ohio State University, Department of Economics.
- Masao Ogaki & Qiang Zhang, 2000. "Decreasing Relative Risk Aversion and Tests of Risk Sharing," Econometric Society World Congress 2000 Contributed Papers 1588, Econometric Society.
- Ogaki, Masao & Zhang, Qiang, 2001. "Decreasing Relative Risk Aversion and Tests of Risk Sharing," Econometrica, Econometric Society, vol. 69(2), pages 515-526, March.
- 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).
- 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.
- Narayana R. Kocherlakota & Luigi Pistaferri, 2007. "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography 321307000000000701, UCLA Department of Economics.
- Narayana R Kocherlakota & Luigi Pistaferri, 2005. "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography 784828000000000507, UCLA Department of Economics.
- Pistaferri, Luigi & Kocherlakota, Narayana, 2005. "Asset Pricing Implications of Pareto Optimality with Private Information," CEPR Discussion Papers 4930, C.E.P.R. Discussion Papers.
- Narayana Kocherlakota & Luigi Pistaferri, 2009. "Asset Pricing Implications of Pareto Optimality with Private Information," Journal of Political Economy, University of Chicago Press, vol. 117(3), pages 555-590, June.
- Narayana R. Kocherlakota & Luigi Pistaferri, 2004. "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography 122247000000000508, UCLA Department of Economics.
- Angus Deaton & Christina Paxson, 1993.
"Intertemporal Choice and Inequality,"
NBER Working Papers
4328, National Bureau of Economic Research, Inc.
- Deaton, Angus & Paxson, Christina, 1994. "Intertemporal Choice and Inequality," Journal of Political Economy, University of Chicago Press, vol. 102(3), pages 437-467, June.
- Deaton, A. & Paxson, C., 1993. "Intertemporal Choice and Inequality," Papers 168, Princeton, Woodrow Wilson School - Development Studies.
- Normandin, Michel, 1993.
"Épargne de précaution et revenu de travail incertain : un survol de la littérature,"
L'Actualité Economique, Société Canadienne de Science Economique, vol. 69(4), pages 347-364, décembre.
- 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.
- Aidan Corcoran, 2008. "International Financial Integration and Consumption Risk Sharing," The Institute for International Integration Studies Discussion Paper Series iiisdp241, IIIS.
- Raj Chetty & Emmanuel Saez, 2008.
"Optimal Taxation and Social Insurance with Endogenous Private Insurance,"
NBER Working Papers
14403, National Bureau of Economic Research, Inc.
- Raj Chetty & Emmanuel Saez, 2010. "Optimal Taxation and Social Insurance with Endogenous Private Insurance," American Economic Journal: Economic Policy, American Economic Association, vol. 2(2), pages 85-114, May.
- Raj Chetty & Emmanuel Saez, 2010. "Optimal Taxation and Social Insurance with Endogenous Private Insurance," NBER Chapters, in: Income Taxation, Trans-Atlantic Public Economics Seminar (TAPES), pages 85-114, National Bureau of Economic Research, Inc.
- Saez, Emmanuel & Chetty, Nadarajan, 2010. "Optimal Taxation and Social Insurance with Endogenous Private Insurance," Scholarly Articles 9696326, Harvard University Department of Economics.
- Sebnem Kalemli-Ozcan & Bent E. Sorensen & Oved Yosha, 1999.
"Risk Sharing and Industrial Specialization: Regional and International Evidence,"
JCPR Working Papers
86, Northwestern University/University of Chicago Joint Center for Poverty Research.
- Sørensen, Bent E & Yosha, Oved, 1999. "Risk Sharing and Industrial Specialization: Regional and International Evidence," CEPR Discussion Papers 2295, C.E.P.R. Discussion Papers.
- Kalemli-Ozcan, S. & Sorensen, B.E. & Yosha, O., 1999. "Risk Sharing and Industrial Specialization: Regional and International Evidence," Papers 16-99, Tel Aviv.
- Ṣebnem Kalemli-Özcan & Bent E. Sorensen & Oved Yosha, 2000. "Risk sharing and industrial specialization ; regional and international evidence," Research Working Paper RWP 00-06, Federal Reserve Bank of Kansas City.
- Sebnem Kalemli-Ozcan & Bent E. Sørensen & Oved Yosha, 1999. "Risk Sharing and Industrial Specialization: Regional and International Evidence," Working Papers 99-16, Brown University, Department of Economics.
- 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.
- 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.
- Patnaik, Unmesh & Narayanan, K, 2010. "Vulnerability and Coping to Disasters: A Study of Household Behaviour in Flood Prone Region of India," MPRA Paper 21992, University Library of Munich, Germany.
- Monica Ospina, 2010. "CCT programs for consumption insurance: evidence from Colombia," Documentos de Trabajo de Valor Público 10612, Universidad EAFIT.
- SAWADA Yasuyuki & NAKATA Hiroyuki & KOTERA Tomoaki, 2011.
"Self-Production, Friction, and Risk Sharing against Disasters: Evidence from a developing country,"
Discussion papers
11017, Research Institute of Economy, Trade and Industry (RIETI).
- 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.
- 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.
- 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.
- Jonathan A. Parker & Bruce Preston, 2004.
"Precautionary Saving and Consumption Fluctuations,"
Working Papers
140, Princeton University, School of Public and International Affairs, Discussion Papers in Economics.
- Jonathan Parker & Bruce Preston, 2002. "Precautionary Saving and Consumption Fluctuations," NBER Working Papers 9196, National Bureau of Economic Research, Inc.
- Jonathan A. Parker & Bruce Preston, 2005. "Precautionary Saving and Consumption Fluctuations," American Economic Review, American Economic Association, vol. 95(4), pages 1119-1143, September.
- Spencer Lyon & Michael Waugh, 2017.
"Redistributing the Gains from Trade through Progressive Taxation,"
NBER Chapters, in: Trade and Labor Markets,
National Bureau of Economic Research, Inc.
- Mike Waugh, 2018. "Redistributing the Gains From Trade Through Progressive Taxation," 2018 Meeting Papers 1210, Society for Economic Dynamics.
- Lyon, Spencer G. & Waugh, Michael E., 2018. "Redistributing the gains from trade through progressive taxation," Journal of International Economics, Elsevier, vol. 115(C), pages 185-202.
- Spencer G. Lyon & Michael E. Waugh, 2018. "Redistributing the Gains From Trade Through Progressive Taxation," NBER Working Papers 24784, National Bureau of Economic Research, Inc.
- Jacques Mélitz & Frédéric Zumer, 1999.
"Interregional and International Risk Sharing and Lessons for EMU,"
Sciences Po publications
n°2154, Sciences Po.
- Jacques Mélitz & Frédéric Zumer, 2000. "Interregional and International Risk Sharing and Lessons for EMU," EUI-RSCAS Working Papers 2, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS).
- Melitz, Jacques & Zumer, Frederic, 1999. "Interregional and international risk-sharing and lessons for EMU," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 51(1), pages 149-188, December.
- Melitz, Jacques & Zumer, Frédéric, 1999. "Interregional and International Risk Sharing and Lessons for EMU," CEPR Discussion Papers 2154, C.E.P.R. Discussion Papers.
- Jacques Mélitz & Frédéric Zumer, 1999. "Interregional and International Risk Sharing and Lessons for EMU," Working Papers hal-01064863, HAL.
- 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.
- Dovchinsuren, Khaliun, 2023. "How does excessive volatility of consumption vary across countries?," Japan and the World Economy, Elsevier, vol. 67(C).
- Tullio Jappelli & Luigi Pistaferri, 1999.
"Intertemporal Choice and Consumption Mobility,"
CSEF Working Papers
23, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Tullio Jappelli & Luigi Pistaferri, 2000. "Intertemporal Choice and Consumption Mobility," Econometric Society World Congress 2000 Contributed Papers 0118, Econometric Society.
- Tullio Jappelli & Luigi Pistaferri, 2004. "Intertemporal choice and consumption mobility," 2004 Meeting Papers 195, Society for Economic Dynamics.
- Tullio Jappelli & Luigi Pistaferri, 2006. "Intertemporal Choice and Consumption Mobility," Journal of the European Economic Association, MIT Press, vol. 4(1), pages 75-115, March.
- Jappelli, Tullio & Pistaferri, Luigi, 2005. "Intertemporal choice and consumption mobility," CFS Working Paper Series 2005/28, Center for Financial Studies (CFS).
- George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, August.
- Graham, Liam, 2003. "Unemployment and the smoothness of consumption in business cycle models," Economics Letters, Elsevier, vol. 79(2), pages 263-267, May.
- Kazianga, Harounan, 2004.
"Motives for Household Private Transfers in Burkina Faso,"
Center Discussion Papers
28463, Yale University, Economic Growth Center.
- Kazianga, H., 2006. "Motives for household private transfers in Burkina Faso," Journal of Development Economics, Elsevier, vol. 79(1), pages 73-117, February.
- Harounan Kaziango, 2004. "Motives for Household Private Transfers in Burkina Faso," Working Papers 895, Economic Growth Center, Yale University.
- Khan, Aubhik & Ravikumar, B., 2001.
"Growth and risk-sharing with private information,"
Journal of Monetary Economics, Elsevier, vol. 47(3), pages 499-521, June.
- Aubhik Khan & B. Ravikumar, 1998. "Growth and Risk-Sharing with Private Information," Macroeconomics 9802003, University Library of Munich, Germany.
- Khan, A. & Ravikumar, B., 1997. "Growth and Risk-Sharing with Private Information," Working Papers 97-13, University of Iowa, Department of Economics.
- Aubhik Khan & B. Ravikumar, 1999. "Growth and risk-sharing with private information," Working Papers 99-12, Federal Reserve Bank of Philadelphia.
- 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.
- Jappelli, Tullio & Pistaferri, Luigi, 1999. "Consumption Insurance or Consumption Mobility," CEPR Discussion Papers 2148, C.E.P.R. Discussion Papers.
- Raj Chetty, 2006. "A Bound on Risk Aversion Using Labor Supply Elasticities," NBER Working Papers 12067, National Bureau of Economic Research, Inc.
- 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).
- Zheng, Yu & Mommaerts, Corina & Raza, Syed Hassan, 2019. "The Economic Consequences of Hospitalizations for Older Workers across Countries," CEPR Discussion Papers 13753, C.E.P.R. Discussion Papers.
- Balli, Faruk & Rana, Faisal, 2015. "Determinants of risk sharing through remittances," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 107-116.
- Mihm, Maximilian, 2016. "Reference dependent ambiguity," Journal of Economic Theory, Elsevier, vol. 163(C), pages 495-524.
- 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.
- Maurice Obstfeld, 1993. "International Capital Mobility in the 1990s," NBER Working Papers 4534, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice, 1994. "International Capital Mobility in the 1990s," CEPR Discussion Papers 902, C.E.P.R. Discussion Papers.
- Maurice Obstfeld., 1994. "International Capital Mobility in the 1990s," Center for International and Development Economics Research (CIDER) Working Papers C94-037, University of California at Berkeley.
- Maurice Obstfeld, 1994. "International capital mobility in the 1990s," International Finance Discussion Papers 472, Board of Governors of the Federal Reserve System (U.S.).
- Yan Bai & Jing Zhang, 2006.
"Financial Integration and International Risk Sharing,"
2006 Meeting Papers
371, Society for Economic Dynamics.
- Bai, Yan & Zhang, Jing, 2012. "Financial integration and international risk sharing," Journal of International Economics, Elsevier, vol. 86(1), pages 17-32.
- Yan Bai & Jing Zhang, 2009. "Financial Integration and International Risk Sharing," Working Papers 594, Research Seminar in International Economics, University of Michigan.
- 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.
- Mathias Hoffmann & Egor Maslov & Bent E. Sørensen & Iryna Stewen, 2018. "Are banking and capital markets union complements? Evidence from channels of risk sharing in the eurozone," ECON - Working Papers 311, Department of Economics - University of Zurich.
- Shea, John, 2000.
"Does parents' money matter?,"
Journal of Public Economics, Elsevier, vol. 77(2), pages 155-184, August.
- John Shea, 1997. "Does Parents' Money Matter?," NBER Working Papers 6026, National Bureau of Economic Research, Inc.
- 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.
- Jonathan Heathcote & Kjetil Storesletten & Giovanni L. Violante, 2007. "Insurance and Opportunities: A Welfare Analysis of Labor Market Risk," NBER Working Papers 13673, National Bureau of Economic Research, Inc.
- Tano Santos & Pietro Veronesi, 2016. "Leverage," NBER Working Papers 22905, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Asad Islam & Jaai Parasnis, 2022. "Heterogeneous effects of health shocks in developed countries: Evidence from Australia," Southern Economic Journal, John Wiley & Sons, vol. 89(2), pages 471-495, October.
- 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.
- Christopher D. Carroll & Andrew A. Samwick, 1993. "How important is precautionary saving?," Working Paper Series / Economic Activity Section 145, Board of Governors of the Federal Reserve System (U.S.).
- Christopher D. Carroll & Andrew A. Samwick, 1995. "How Important is Precautionary Saving?," NBER Working Papers 5194, National Bureau of Economic Research, Inc.
- 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.
- Holinski, Nils & Kool, Clemens J.M. & Muysken, Joan, 2012. "The impact of international portfolio composition on consumption risk sharing," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1715-1728.
- António Afonso & José Alves & Krzysztof Beck & Karen Jackson, 2022.
"Financial, Institutional and Macroeconomic Determinants of Cross-Country Portfolio Equity Flows,"
Working Papers REM
2022/0235, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- 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.
- 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.
- Marianne Baxter, 2011. "International Risk Sharing in the Short Run and in the Long Run," NBER Working Papers 16789, National Bureau of Economic Research, Inc.
- Charles Yuji Horioka, 2001.
"Are the Japanese Selfish, Altruistic, or Dynastic?,"
NBER Working Papers
8577, National Bureau of Economic Research, Inc.
- Charles Yuji Horioka, 2001. "Are the Japanese Selfish, Altruistic, or Dynastic?," CIRJE F-Series CIRJE-F-134, CIRJE, Faculty of Economics, University of Tokyo.
- Charles Yuji Horioka, 2001. "Are the Japanese Selfish, Altruistic, or Dynastic?," ISER Discussion Paper 0556, Institute of Social and Economic Research, Osaka University.
- Charles Yuji Horioka, 2002. "Are the Japanese Selfish, Altruistic or Dynastic?," The Japanese Economic Review, Japanese Economic Association, vol. 53(1), pages 26-54, March.
- 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.
- Richard Blundell & Margherita Borella & Mariacristina De Nardi & Jeanne Commault, 2023. "Old age risks, consumption, and insurance," IFS Working Papers W23/12, Institute for Fiscal Studies.
- Richard Blundell & Margherita Borella & Jeanne Commault & Mariacristina De Nardi, 2024. "Old Age Risks, Consumption, and Insurance," American Economic Review, American Economic Association, vol. 114(2), pages 575-613, February.
- De Nardi, Mariacristina & Blundell, Richard & Borella, Margherita & Commault, Jeanne, 2023. "Old Age Risks, Consumption, and Insurance," CEPR Discussion Papers 18047, C.E.P.R. Discussion Papers.
- 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.
- Witoelar, Firman, 2005.
"Inter-household Allocations within Extended Family: Evidence from the Indonesia Family Life Survey,"
Center Discussion Papers
28472, Yale University, Economic Growth Center.
- Firman Witoelar, 2005. "Inter-household Allocations within Extended Family: Evidence from the Indonesia Family Life Survey," Working Papers 912, Economic Growth Center, Yale University.
- 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.
- Alejandro Badel & Mark Huggett, 2014. "Interpreting Life Cycle Inequality Patterns as an Efficient Allocation: Mission Impossible?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(4), pages 613-629, October.
- Mark Huggett & Alejandro Badel, 2007. "Interpreting Life-Cycle Inequality Patterns asan Efficient Allocation: Mission Impossible?," Working Papers gueconwpa~07-07-03, Georgetown University, Department of Economics.
- 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).
- 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.
- Dean Yang & HwaJung Choi, 2005. "Are Remittances Insurance? Evidence from Rainfall Shocks in the Philippines," Working Papers 535, Research Seminar in International Economics, University of Michigan.
- 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.
- Ghosh, Anisha & Theloudis, Alexandros, 2023. "Consumption Partial Insurance in the Presence of Tail Income Risk," Other publications TiSEM c8da0a17-57cb-40bf-ab61-6, Tilburg University, School of Economics and Management.
- Anisha Ghosh & Alexandros Theloudis, 2023. "Consumption Partial Insurance in the Presence of Tail Income Risk," Papers 2306.13208, arXiv.org, revised Sep 2023.
- Hiroshi Fujiki & Akiko Terada-Hagiwara, 2007.
"Financial Integration in East Asia,"
Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 25(S1), pages 57-100, December.
- 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.
- Hiroshi Fujiki & Akiko Terada-Hagiwara, 2007. "Financial integration in East Asia," Working Paper Series 2007-30, Federal Reserve Bank of San Francisco.
- Rajnish Mehra & Edward C. Prescott, 2003.
"The Equity Premium in Retrospect,"
NBER Working Papers
9525, National Bureau of Economic Research, Inc.
- Mehra, Rajnish & Prescott, Edward C., 2003. "The equity premium in retrospect," 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 14, pages 889-938, Elsevier.
- 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.
- Parantap Basu & Sigit Sulistiyo Wibowo, 2015.
"An Empirical Investigation of Risk Sharing among Indonesian Households,"
CEGAP Working Papers
2015_02, Durham University Business School.
- Parantap Basu & Sigit S. Wibowo, 2017. "An Empirical Investigation of Risk Sharing among Indonesian Households," CEGAP Working Papers 2017_03, Durham University Business School.
- 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.
- Tomas Havranek & Anna Sokolova, 2016.
"Do Consumers Really Follow a Rule of Thumb? Three Thousand Estimates from 130 Studies Say “Probably Not”,"
Working Papers IES
2016/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2016.
- 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.
- Tomas Havranek & Anna Sokolova, 2016. "Do Consumers Really Follow a Rule of Thumb? Three Thousand Estimates from 130 Studies Say "Probably Not"," Working Papers 2016/08, Czech National Bank.
- 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.
- 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.
- 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.
- Somville, Vincent & Vandewalle, Lore, 2023. "Access to banking, savings and consumption smoothing in rural India," Journal of Public Economics, Elsevier, vol. 223(C).
- 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.
- 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.
- Peter C. B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Econometrica, Econometric Society, vol. 75(6), pages 1771-1855, November.
- Pierre-Andre Chiappori & Krislert Samphantharak & Sam Schulhofer-Wohl & Robert M. Townsend, 2013.
"Heterogeneity and risk sharking in village economies,"
Staff Report
483, Federal Reserve Bank of Minneapolis.
- Pierre‐André Chiappori & Krislert Samphantharak & Sam Schulhofer‐Wohl & Robert M. Townsend, 2014. "Heterogeneity and risk sharing in village economies," Quantitative Economics, Econometric Society, vol. 5, pages 1-27, March.
- Pierre-Andre Chiappori & Krislert Samphantharak & Sam Schulhofer-Wohl, 2011. "Heterogeneity and risk sharing in village economies," Working Papers 683, Federal Reserve Bank of Minneapolis.
- 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.
- Bradford, Scott C. & Negi, Digvijay Singh & Ramaswami, Bharat, 2022.
"International risk sharing for food staples,"
Journal of Development Economics, Elsevier, vol. 158(C).
- Digvijay S. Negi & Bharat Ramaswami, 2020. "International risk sharing for food staples," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2020-002, Indira Gandhi Institute of Development Research, Mumbai, India.
- Scott C. Bradford & Digvijay Singh Negi & Bharat Ramaswami, 2022. "International Risk Sharing for Food Staples," Working Papers 74, Ashoka University, Department of Economics.
- Chiuri, Maria Concetta, 2000.
"Individual decisions and household demand for consumption and leisure,"
Research in Economics, Elsevier, vol. 54(3), pages 277-324, September.
- Maria Concetta Chiuri, 1999. "Individual Decisions and Household Demand for Consumption And Leisure," CSEF Working Papers 26, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- 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.
- 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.
- 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.
- 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.
- Alisdair McKay, 2014. "Idiosyncratic risk, insurance, and aggregate consumption dynamics: a likelihood perspective," 2014 Meeting Papers 71, Society for Economic Dynamics.
- 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.
- Orazio Attanasio & Steven J. Davis, 1994.
"Relative Wage Movements and the Distribution of Consumption,"
NBER Working Papers
4771, National Bureau of Economic Research, Inc.
- Attanasio, Orazio & Davis, Steven J, 1996. "Relative Wage Movements and the Distribution of Consumption," Journal of Political Economy, University of Chicago Press, vol. 104(6), pages 1227-1262, December.
- 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.
- 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.
- 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.
- Giacomo De Giorgi & Luca Gambetti & Costanza Naguib, 2021. "Life-Cycle inequality: blacks and whites differentials in life expectancy, savings, income, and consumption," Diskussionsschriften dp2103, Universitaet Bern, Departement Volkswirtschaft.
- Edmund Crawley & Alexandros Theloudis, 2024.
"Income Shocks and their Transmission into Consumption,"
Papers
2404.12214, arXiv.org.
- Crawley, Edmund & Theloudis, Alexandros, 2024. "Income Shocks and their Transmission into Consumption," Discussion Paper 2024-012, Tilburg University, Center for Economic Research.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002.
"Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence,"
Journal of Political Economy, University of Chicago Press, vol. 110(4), pages 793-824, August.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, "undated". "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Rodney L. White Center for Financial Research Working Papers 23-99, Wharton School Rodney L. White Center for Financial Research.
- 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.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 8822, National Bureau of Economic Research, Inc.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 7406, National Bureau of Economic Research, Inc.
- Paul Gertler & Jonathan Gruber, 2002.
"Insuring Consumption Against Illness,"
American Economic Review, American Economic Association, vol. 92(1), pages 51-70, March.
- Paul Gertler & Jonathan Gruber, 1997. "Insuring Consumption Against Illness," NBER Working Papers 6035, National Bureau of Economic Research, Inc.
- Paul Gertler & Jonathan Gruber, 1998. "Insuring Consumption Against Illness," JCPR Working Papers 41, Northwestern University/University of Chicago Joint Center for Poverty Research.
- Mathias Hoffmann & Thomas Nitschka, 2009.
"Securitization of Mortgage Debt, Asset Prices and International Risk Sharing,"
CESifo Working Paper Series
2527, CESifo.
- Mathias Hoffmann & Thomas Nitschka, 2008. "Securitization of Mortgage Debt, Asset Prices and International Risk Sharing," IEW - Working Papers 376, Institute for Empirical Research in Economics - University of Zurich.
- Oriol Carbonell-Nicolau & Diego Comin, 2005.
"Testing out Contractual Incompleteness: Evidence from Soccer,"
NBER Working Papers
11110, National Bureau of Economic Research, Inc.
- Oriol Carbonell-Nicolau & Diego Comin, 2005. "Testing Out Contractual Incompleteness: Evidence from Soccer," Departmental Working Papers 200501, Rutgers University, Department of Economics.
- 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.
- Louis Lévy-Garboua & Claude Montmarquette & Jonathan Vaksmann & Marie Claire Villeval, 2015. "Voluntary Contributions to a Mutual Insurance Pool," Working Papers 1535, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
- Louis Lévy-Garboua & Claude Montmarquette & Jonathan Vaksmann & Marie-Claire Villeval, 2017. "Voluntary Contributions to a Mutual Insurance Pool," Post-Print hal-01476440, HAL.
- Louis Lévy-Garboua & Claude Montmarquette & Jonathan Vaksmann & Marie-Claire Villeval, 2017. "Voluntary Contributions to a Mutual Insurance Pool," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01476440, HAL.
- Louis Lévy-Garboua & Claude Montmarquette & Jonathan Vaksmann & Marie Claire Villeval, 2015. "Voluntary Contributions to a Mutual Insurance Pool," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01243256, HAL.
- Louis Lévy-Garboua & Claude Montmarquette & Jonathan Vaksmann & Marie Claire Villeval, 2017. "Voluntary Contributions to a Mutual Insurance Pool," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 19(1), pages 198-218, February.
- Louis Lévy-Garboua & Claude Montmarquette & Jonathan Vaksmann & Marie Claire Villeval, 2015. "Voluntary Contributions to a Mutual Insurance Pool," Working Papers halshs-01243256, HAL.
- Bertola, Giuseppe, 2000.
"Macroeconomics of distribution and growth,"
Handbook of Income Distribution, in: A.B. Atkinson & F. Bourguignon (ed.), Handbook of Income Distribution, edition 1, volume 1, chapter 9, pages 477-540,
Elsevier.
- Bertola, G., 1998. "Marcroeconomics of Distribution and Growth," Economics Working Papers eco98/39, European University Institute.
- 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.
- Eric French & John Bailey Jones, 2001. "The effects of health insurance and self-insurance on retirement behavior," Working Paper Series WP-01-19, Federal Reserve Bank of Chicago.
- Eric French & John Bailey Jones, 2004. "The Effects of Health Insurance and Self-Insurance on Retirement Behavior," Working Papers, Center for Retirement Research at Boston College wp2004-12, Center for Retirement Research, revised Apr 2004.
- Eric French and John Jones, 2001. "The Effects of Health Insurance and Self-Insurance on Retirement Behavior," Computing in Economics and Finance 2001 24, Society for Computational Economics.
- John Bailey Jones & Eric French, 2010. "The Effects of Health Insurance and Self-Insurance on Retirement Behavior," Discussion Papers 10-10, University at Albany, SUNY, Department of Economics.
- Eric French & John Bailey Jones, 2011. "The Effects of Health Insurance and Self‐Insurance on Retirement Behavior," Econometrica, Econometric Society, vol. 79(3), pages 693-732, May.
- 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.
- 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.
- Balli, Faruk & Basher, Syed Abul & Ozer-Balli, Hatice, 2011. "Income insurance and the determinants of income insurance via foreign asset revenues and foreign liability payments," MPRA Paper 29364, University Library of Munich, Germany.
- 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.
- Chetty, Raj & Looney, Adam, 2006. "Consumption smoothing and the welfare consequences of social insurance in developing economies," Journal of Public Economics, Elsevier, vol. 90(12), pages 2351-2356, December.
- Dan Anderberg & Helmut Rainer & Jonathan Wadsworth & Tanya Wilson, 2013.
"Unemployment and Domestic Violence: Theory and Evidence,"
CEP Discussion Papers
dp1230, Centre for Economic Performance, LSE.
- Rainer, Helmut & Anderberg, Dan & Wadsworth, Jonathan & Wilson, Tanya, 2013. "Unemployment and Domestic Violence: Theory and Evidence," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79803, Verein für Socialpolitik / German Economic Association.
- 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.
- Anderberg, Dan & Rainer, Helmut & Wadsworth, Jonathan & Wilson, Tanya, 2013. "Unemployment and Domestic Violence: Theory and Evidence," IZA Discussion Papers 7515, Institute of Labor Economics (IZA).
- Dan Anderberg & Helmut Rainer & Jonathan Wadsworth & Tanya Wilson, 2013. "Unemployment and Domestic Violence: Theory and Evidence," CESifo Working Paper Series 4315, CESifo.
- Anderberg, Dan & Rainer, Helmut & Wadsworth, Jonathan & Wilson, Tanya, 2013. "Unemployment and domestic violence: theory and evidence," LSE Research Online Documents on Economics 51572, London School of Economics and Political Science, LSE Library.
- George M. Constantinides, 2017. "Asset Pricing: Models and Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 125(6), pages 1782-1790.
- Jonathan Pogach, 2010. "Efficient Auditing and Enforcement in Dynamic Contracts," 2010 Meeting Papers 572, Society for Economic Dynamics.
- Pattison, Nathaniel, 2020.
"Consumption smoothing and debtor protections,"
Journal of Public Economics, Elsevier, vol. 192(C).
- Nathaniel Pattison, 2017. "Consumption Smoothing and Debtor Protections," Departmental Working Papers 1703, Southern Methodist University, Department of Economics.
- Jacobs, Kris, 2000. "Estimating Nonseparable Preference Specifications for Asset Market Participants," Econometric Society World Congress 2000 Contributed Papers 1472, Econometric Society.
- 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.
- 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.
- 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.
- 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.
- de Brouwer,Gordon, 1999. "Financial Integration in East Asia," Cambridge Books, Cambridge University Press, number 9780521651486.
- 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.
- Mathias Hoffmann & Iryna Shcherbakova, 2008.
"Consumption risk sharing over the business cycle: the role of small firms' access to credit markets,"
IEW - Working Papers
363, Institute for Empirical Research in Economics - University of Zurich.
- 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.
- Mathias Hoffmann & Iryna Shcherbakova-Stewen, 2011. "Consumption Risk Sharing over the Business Cycle: The Role of Small Firms' Access to Credit Markets," The Review of Economics and Statistics, MIT Press, vol. 93(4), pages 1403-1416, November.
- 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.
- Kris Jacobs & Stephane Pallage & Michel A. Robe, 2005. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," Computing in Economics and Finance 2005 47, Society for Computational Economics.
- Jacobs, Kris & Pallage, Stéphane & Robe, Michel A., 2013. "Market incompleteness and the equity premium puzzle: Evidence from state-level data," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 378-388.
- 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.
- 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.
- 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.
- Pierre André Chiappori & Bernard Salanié, 2002.
"Testing Contract Theory: A Survey of Some Recent Work,"
CESifo Working Paper Series
738, CESifo.
- Pierre-André Chiappori & Bernard Salanié, 2002. "Testing Contract Theory : A Survey of Some Recent Work," Working Papers 2002-11, Center for Research in Economics and Statistics.
- Campos, Rodolfo G. & Reggio, Iliana, 2015.
"Optimal Unemployment Insurance : Consumption versus Expenditure,"
UC3M Working papers. Economics
we1502, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Campos, Rodolfo G. & Reggio, Iliana, 2016. "Optimal unemployment insurance: Consumption versus expenditure," Labour Economics, Elsevier, vol. 38(C), pages 81-89.
- Arpit Gupta & Anup Malani & Bartosz Woda, 2021. "Inequality in India Declined During COVID," NBER Working Papers 29597, National Bureau of Economic Research, Inc.
- Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
- sowmya, 2015. "Health Shocks and Short-Term Consumption GrowthAuthor-Name: Sowmya Dhanaraj," Working Papers 2015-112, Madras School of Economics,Chennai,India.
- 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.
- Thomas J. Kniesner & James P. Ziliak, 2000. "Tax Reform and Automatic Stabilization," Center for Policy Research Working Papers 21, Center for Policy Research, Maxwell School, Syracuse University.
- Thomas J. Kniesner & James P. Ziliak, 2000. "Tax Reform and Automatic Stabilization," Econometric Society World Congress 2000 Contributed Papers 0788, Econometric Society.
- Thomas J. Kniesner & James P. Ziliak, 2002. "Tax Reform and Automatic Stabilization," American Economic Review, American Economic Association, vol. 92(3), pages 590-612, June.
- Maurice Obstfeld, 1993.
"Are Industrial-Country Consumption Risks Globally Diversified?,"
NBER Working Papers
4308, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice, 1993. "Are Industrial-Country Consumption Risks Globally Diversified?," Center for International and Development Economics Research (CIDER) Working Papers 233194, University of California-Berkeley, Department of Economics.
- Maurice Obstfeld., 1993. "Are Industrial-Country Consumption Risks Globally Diversified?," Center for International and Development Economics Research (CIDER) Working Papers C93-014, University of California at Berkeley.
- Patrick Eozenou, 2009.
"The Determinants of Private Transfers in Rural Vietnam,"
Working Papers
04, Development and Policies Research Center (DEPOCEN), Vietnam.
- Eozenou, Patrick, 2008. "The Determinants of Private Transfers in Rural Vietnam," MPRA Paper 12773, University Library of Munich, Germany.
- Hauptmeier, Sebastian & Holm-Hadulla, Fédéric & Renault, Théodore, 2022. "Risk sharing and monetary policy transmission," Working Paper Series 2746, European Central Bank.
- Sule Alan, 2006.
"Precautionary wealth accumulation: evidence from Canadian microdata,"
Canadian Journal of Economics, Canadian Economics Association, vol. 39(4), pages 1105-1124, November.
- Sule Alan, 2006. "Precautionary wealth accumulation: evidence from Canadian microdata," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 39(4), pages 1105-1124, November.
- 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.
- Eric M. Engen & Jonathan Gruber, 1995. "Unemployment Insurance and Precautionary Saving," NBER Working Papers 5252, National Bureau of Economic Research, Inc.
- Rajeev Dehejia & Thomas DeLeire & Erzo F.P. Luttmer, 2005.
"Insuring Consumption and Happiness Through Religious Organizations,"
NBER Working Papers
11576, National Bureau of Economic Research, Inc.
- 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.
- Dehejia, Rajeev & DeLeire, Thomas & Luttmer, Erzo F.P., 2007. "Insuring consumption and happiness through religious organizations," Journal of Public Economics, Elsevier, vol. 91(1-2), pages 259-279, February.
- George M. Constantinides, 2006.
"Market Organization And The Prices Of Financial Assets,"
Manchester School, University of Manchester, vol. 74(s1), pages 1-23, September.
- 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.
- Takasaki, Yoshito, 2011. "Do the Commons Help Augment Mutual Insurance Among the Poor?," World Development, Elsevier, vol. 39(3), pages 429-438, March.
- 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.).
- Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
- Giacomo De Giorgi & Anders Frederiksen & Luigi Pistaferri, 2016.
"Consumption Network Effects,"
NBER Working Papers
22357, National Bureau of Economic Research, Inc.
- Giacomo De Giorgi, 2018. "Consumption Network Effects," 2018 Meeting Papers 692, Society for Economic Dynamics.
- Giacomo De Giorgi & Anders Frederiksen & Luigi Pistaferri, 2020. "Consumption Network Effects," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(1), pages 130-163.
- De Giorgi, Giacomo & Pistaferri, Luigi & Frederiksen, Anders, 2016. "Consumption Network Effects," CEPR Discussion Papers 11332, C.E.P.R. Discussion Papers.
- De Giorgi, Giacomo & Frederiksen, Anders & Pistaferri, Luigi, 2016. "Consumption Network Effects," IZA Discussion Papers 9983, Institute of Labor Economics (IZA).
- 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.
- Gilles Dufrénot & Jean-Baptiste Gossé & Caroline Clerc, 2021. "Risk sharing in Europe: new empirical evidence on the capital markets channel," Applied Economics, Taylor & Francis Journals, vol. 53(2), pages 262-276, January.
- Dufrénot Gilles & Gossé Jean-Baptiste & Clerc Caroline, 2020. "Risk Sharing in Europe: New Empirical Evidence on the Capital Markets Channel," Working papers 781, Banque de France.
- Dirk Krueger & Egor Malkov & Fabrizio Perri, 2023.
"How Do Households Respond to Income Shocks?,"
NBER Working Papers
31894, National Bureau of Economic Research, Inc.
- Dirk Krueger & Egor Malkov & Fabrizio Perri, 2023. "How Do Households Respond to Income Shocks?," Staff Report 655, Federal Reserve Bank of Minneapolis.
- 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.
- Greg Kaplan & Giovanni L. Violante, 2009. "How Much Consumption Insurance Beyond Self-Insurance?," NBER Working Papers 15553, National Bureau of Economic Research, Inc.
- Yasuyuki Sawada & Satoshi Shimizutani, 2007.
"Consumption Insurance and Risk-Coping Strategies under Non-Separable Utility: Evidence from the Kobe Earthquake,"
CARF F-Series
CARF-F-106, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- 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.
- Sørensen, Bent E & Luengo-Prado, Maria Jose & Hryshko, Dmytro, 2010.
"House Prices and Risk Sharing,"
CEPR Discussion Papers
7894, C.E.P.R. Discussion Papers.
- Dmytro Hryshko & María José Luengo-Prado & Bent E. Sørensen, 2010. "House prices and risk sharing," Working Papers 2010-17, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Dmytro Hryshko & Maria Jose Luengo-Prado & Bent E. Sorensen, 2009. "House prices and risk sharing," New England Public Policy Center Working Paper 09-3, Federal Reserve Bank of Boston.
- Maria Jose Luengo-Prado & Bent E. Sorensen & Dmytro Hryshko, 2009. "House Prices and Risk Sharing," 2009 Meeting Papers 234, Society for Economic Dynamics.
- Hryshko, Dmytro & Luengo-Prado, Maria & Sorensen, Bent, 2010. "House Prices and Risk Sharing," Working Papers 2010-16, University of Alberta, Department of Economics.
- 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.
- Sawada, Yasuyuki, 2006.
"The Impact of Natural and Manmade Disasters on Household Welfare,"
2006 Annual Meeting, August 12-18, 2006, Queensland, Australia
25750, International Association of Agricultural Economists.
- 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.
- 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).
- 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.
- 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.
- Attanasio, Orazio P. & Szekely, Miguel, 2004. "Wage shocks and consumption variability in Mexico during the 1990s," Journal of Development Economics, Elsevier, vol. 73(1), pages 1-25, February.
- John List & Harald Uhlig, 2017. "Introduction," Journal of Political Economy, University of Chicago Press, vol. 125(6), pages 1723-1727.
- Kollmann, Robert, 1991. ""Essays on International Business Cycles", PhD thesis, Economics Department, University of Chicago, 1991," MPRA Paper 69905, University Library of Munich, Germany.
- Pierfederico Asdrubali & Soyoung Kim, 2000.
"Dynamic Risk Sharing in the United States and Europe,"
Econometric Society World Congress 2000 Contributed Papers
1621, Econometric Society.
- Asdrubali, Pierfederico & Kim, Soyoung, 2004. "Dynamic risksharing in the United States and Europe," Journal of Monetary Economics, Elsevier, vol. 51(4), pages 809-836, May.
- 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.
- Kartik B. Athreya & Nicole B. Simpson, 2004. "Unsecured debt with public insurance : from bad to worse," Working Paper 03-14, Federal Reserve Bank of Richmond.
- Daniel J. Hernandez & Fernando Jaramillo & Hubert Kempf & Fabien Moizeau & Thomas Vendryes, 2023.
"Limited Commitment, Social Control and Risk-Sharing Coalitions in Village Economies,"
Economics Working Paper Archive (University of Rennes 1 & University of Caen)
2023-03, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.
- 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.
- 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.
- Kramer, Berber, 2015. "When expectations become aspirations: Reference-dependent preferences and liquidity constraints:," IFPRI discussion papers 1431, International Food Policy Research Institute (IFPRI).
- Yuzhe Zhang & Jianjun Miao, 2014.
"A Duality Approach to Continuous-Time Contracting Problems with Limited Commitment,"
2014 Meeting Papers
650, Society for Economic Dynamics.
- Jianjun Miao & Yuzhe Zhang, 2013. "A Duality Approach to Continuous- Time Contracting Problems with Limited Commitment," Boston University - Department of Economics - Working Papers Series 2013-008, Boston University - Department of Economics.
- Miao, Jianjun & Zhang, Yuzhe, 2015. "A duality approach to continuous-time contracting problems with limited commitment," Journal of Economic Theory, Elsevier, vol. 159(PB), pages 929-988.
- 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.
- R. Glenn Hubbard & Jonathan Skinner & Stephen P. Zeldes, 1993.
"The Importance of Precautionary Motives in Explaining Individual and Aggregate Saving,"
NBER Working Papers
4516, National Bureau of Economic Research, Inc.
- 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.
- Aurélien Baillon & Aleli Kraft & Owen O’Donnell & Kim Wilgenburg, 2022.
"A behavioral decomposition of willingness to pay for health insurance,"
Journal of Risk and Uncertainty, Springer, vol. 64(1), pages 43-87, February.
- 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.
- 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.
- 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.
- 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.
- Kevin X. D. Huang & Zheng Liu & Qi Zhu, 2013. "Temptation and Self-Control: Some Evidence and Applications," Working Paper Series 2013-23, Federal Reserve Bank of San Francisco.
- Kevin X. D. Huang & Zheng Liu & Qi Zhu, 2006. "Temptation and self-control: some evidence and applications," Staff Report 367, Federal Reserve Bank of Minneapolis.
- Kevin X.D. Huang & Zheng Liu & John Q. Zhu, 2007. "Temptation and Self-Control: Some Evidence and Applications," Vanderbilt University Department of Economics Working Papers 0711, Vanderbilt University Department of Economics.
- 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.
- Laurence Ales & Maziero Pricila, "undated".
"Accounting for Private Information,"
GSIA Working Papers
2010-E58, Carnegie Mellon University, Tepper School of Business.
- Laurence Ales & Pricila Maziero, 2007. "Accounting for private information," 2007 Meeting Papers 804, Society for Economic Dynamics.
- Laurence Ales & Pricila Maziero, 2008. "Accounting for private information," Working Papers 663, Federal Reserve Bank of Minneapolis.
- Maria Giduskova & Borja Larrain, 2006. "International risk-taking, volatility, and consumption growth," Communities and Banking, Federal Reserve Bank of Boston.
- Hess, Gregory D. & Shin, Kwanho, 1998.
"Intranational business cycles in the United States,"
Journal of International Economics, Elsevier, vol. 44(2), pages 289-313, April.
- Gregory D. Hess & Kwanho Shin, 1995. "Intranational business cycles in the United States," Research Working Paper 95-07, Federal Reserve Bank of Kansas City.
- Irac, D. & Minoiu, C., 2006. "Risk Insurance in a Transition Economy: Evidence from Rural Romania," Working papers 154, Banque de France.
- Juessen, Falko, 2008. "Risk Sharing and Commuting Among US Federal States," IZA Discussion Papers 3374, Institute of Labor Economics (IZA).
- 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.
- Hans Hoogeveen, 2001. "Evidence on Informal Insurance in Rural Zimbabwe," Tinbergen Institute Discussion Papers 01-001/2, Tinbergen Institute.
- 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.
- Emil Iantchev, 2012. "Code and data files for "Asset-Pricing Implications of Biologically Based Non-Expected Utility"," Computer Codes 11-255, Review of Economic Dynamics.
- Gregory D. Hess, 2001.
"Marriage and Consumption Insurance: What’s Love Got to do With It?,"
CESifo Working Paper Series
507, CESifo.
- 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.
- Gregory D. Hess, 2001. "Marriage and consumption insurance: what's love got to do with it?," Working Papers (Old Series) 0104, Federal Reserve Bank of Cleveland.
- Stillman, Steven, 2001.
"The Response of Consumption in Russian Households to Economic Shocks,"
IZA Discussion Papers
411, Institute of Labor Economics (IZA).
- Steven Stillman, 2001. "The Response of Consumption in Russian Households to Economic Shocks," William Davidson Institute Working Papers Series 412, William Davidson Institute at the University of Michigan.
- Michael W. Brandt & John H. Cochrane & Pedro Santa-Clara, 2001.
"International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth),"
NBER Working Papers
8404, National Bureau of Economic Research, Inc.
- Brandt, Michael W. & Cochrane, John H. & Santa-Clara, Pedro, 2001. "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)," Working Papers 01-2, University of Pennsylvania, Wharton School, Weiss Center.
- 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.
- Chiaki Hara, 2005.
"Heterogeneous Risk Attitudes in a Continuous-Time Model,"
KIER Working Papers
609, Kyoto University, Institute of Economic Research.
- Chiaki Hara, 2006. "Heterogeneous Risk Attitudes In A Continuous‐Time Model," The Japanese Economic Review, Japanese Economic Association, vol. 57(3), pages 377-405, September.
- 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.
- 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.
- 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.
- 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.
- Souleles, Nicholas S., 2000. "College tuition and household savings and consumption," Journal of Public Economics, Elsevier, vol. 77(2), pages 185-207, August.
- George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
- A. Scorcu, 1997. "Contiguita' territoriale e shock sul consumo nelle regioni italiane," Working Papers 277, Dipartimento Scienze Economiche, Universita' di Bologna.
- 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.
- 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.
- Faruk Balli & Sebnem Kalemli-Ozcan & Bent E. Sørensen, 2012. "Risk sharing through capital gains," Canadian Journal of Economics, Canadian Economics Association, vol. 45(2), pages 472-492, May.
- Faruk Balli & Sebnem Kalemli-Ozcan & Bent Sorensen, 2011. "Risk Sharing through Capital Gains," NBER Working Papers 17612, National Bureau of Economic Research, Inc.
- Sørensen, Bent E & Kalemli-Özcan, Sebnem & Balli, Faruk, 2011. "Risk Sharing through Capital Gains," CEPR Discussion Papers 8643, C.E.P.R. Discussion Papers.
- Gianluca Violante & Greg Kaplan, 2008. "How Much Insurance in Bewley Models?," 2008 Meeting Papers 522, Society for Economic Dynamics.
- Mr. Etienne B Yehoue, 2005. "International Risk Sharing and Currency Unions: The CFA Zones," IMF Working Papers 2005/095, International Monetary Fund.
- Tullio Jappelli & Marco Pagano, 2008.
"Financial Market Integration under EMU,"
European Economy - Economic Papers 2008 - 2015
312, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Pagano, Marco & Jappelli, Tullio, 2008. "Financial Market Integration Under EMU," CEPR Discussion Papers 7091, C.E.P.R. Discussion Papers.
- Tullio Jappelli & Marco Pagano, 2008. "Financial Market Integration Under EMU," CSEF Working Papers 197, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Jappelli, Tullio & Pagano, Marco, 2008. "Financial market integration under EMU," CFS Working Paper Series 2008/33, Center for Financial Studies (CFS).
- Yosha, Oved & Sørensen, Bent E & Ostergaard, Charlotte, 2001.
"Consumption and Aggregate Constraints: Evidence from US States and Canadian Provinces,"
CEPR Discussion Papers
2947, C.E.P.R. Discussion Papers.
- 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.
- Charlotte Ostergaard & Bent E. Serensen & Oved Yosha, 2002. "Consumption and Aggregate Constraints: Evidence from U.S. States and Canadian Provinces," Journal of Political Economy, University of Chicago Press, vol. 110(3), pages 634-645, June.
- 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.
- 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.
- Ethan Ligon & Jonathan P. Thomas & Tim Worrall, 1997. "Informal Insurance Arrangements in Village Economies," Keele Department of Economics Discussion Papers (1995-2001) 97/08, Department of Economics, Keele University, revised Oct 2000.
- Kota Ogasawara, 2018. "Consumption smoothing in the working-class households of interwar Japan," Papers 1807.05737, arXiv.org, revised Feb 2024.
- 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.
- Lawrence J. Christiano, 2012. "Comment," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 361-380.
- Dirk Krueger & Fabrizio Perri, 1999.
"Risk sharing: private insurance markets or redistributive taxes?,"
Staff Report
262, Federal Reserve Bank of Minneapolis.
- 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.
- Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
- Scott, Andrew, 2000. "Optimal consumption when capital markets are imperfect," Economics Letters, Elsevier, vol. 66(1), pages 65-70, January.
- 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.
- Fafchamps, Marcel & Udry, Christopher & Czukas, Katherine, 1998. "Drought and saving in West Africa: are livestock a buffer stock?," Journal of Development Economics, Elsevier, vol. 55(2), pages 273-305, April.
- 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).
- Vardan Baghdasaryan & Hayk Hambardzumyan, 2017. "Optimal Income tax rates with non-democratic political constraints: case of Armenia," EcoMod2017 10405, EcoMod.
- 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.
- Cogley, Timothy, 2002. "Idiosyncratic risk and the equity premium: evidence from the consumer expenditure survey," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 309-334, March.
- McCarthy, Jonathan, 1995. "Imperfect insurance and differing propensities to consume across households," Journal of Monetary Economics, Elsevier, vol. 36(2), pages 301-327, November.
- 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.
- 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.
- 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.
- Edouard Challe & Xavier Ragot, 2010. "Aggregate Consumption in Times of Crisis: The Role of Financial Frictions," Sciences Po publications info:hdl:2441/44p5b18ktf9, Sciences Po.
- Edouard Challe & Xavier Ragot, 2010. "Aggregate Consumption in Times of Crisis: The Role of Financial Frictions," Post-Print halshs-00754434, HAL.
- 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.
- 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.
- Paciorek, Andrew & Sinai, Todd, 2012.
"Does home owning smooth the variability of future housing consumption?,"
Journal of Urban Economics, Elsevier, vol. 71(2), pages 244-257.
- 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.
- 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.
- 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.
- Kose, M. Ayhan & Prasad, Eswar & Terrones, Marco E., 2007. "How Does Financial Globalization Affect Risk Sharing? Patterns and Channels," IZA Discussion Papers 2903, Institute of Labor Economics (IZA).
- 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.
- Jalan, Jyotsna & Ravallion, Martin, 1997. "Are the poor less well-insured? Evidence on vulnerability to income risk in rural China," Policy Research Working Paper Series 1863, The World Bank.
- 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.
- Kohara, Miki & 小原, 美紀 & Ohtake, Fumio & 大竹, 文雄 & Saito, Makoto & 齊藤, 誠, 2001. "A Test of the Full Insurance Hypothesis: The Case of Japan," Discussion Papers 2001-05, Graduate School of Economics, Hitotsubashi University.
- Krislert Samphantharak & Robert Townsend, 2013.
"Risk and Return in Village Economies,"
NBER Working Papers
19738, National Bureau of Economic Research, Inc.
- Krislert Samphantharak & Robert M. Townsend, 2018. "Risk and Return in Village Economies," American Economic Journal: Microeconomics, American Economic Association, vol. 10(1), pages 1-40, February.
- Eleonora Pierucci & Luigi Ventura, 2010. "Risk Sharing: A Long Run Issue?," Open Economies Review, Springer, vol. 21(5), pages 705-730, November.
- 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.
- 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.
- Kartik B. Athreya, 2003. "Unemployment insurance and personal bankruptcy," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 89(Spr), pages 33-53.
- 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.
- Pierfederico Asdrubali & Simone Tedeschi & Luigi Ventura, 2020.
"Household risk‐sharing channels,"
Quantitative Economics, Econometric Society, vol. 11(3), pages 1109-1142, July.
- Asdrubali, Pierfederico & Tedeschi, Simone & Ventura, Luigi, 2015. "Household Risksharing Channels," MPRA Paper 65906, University Library of Munich, Germany.
- Bent E. S¯rensen & Oved Yosha, 1996.
"International Risk Sharing and European Monetary Unification,"
Working Papers
1996-30, Brown University, Department of Economics.
- Sorensen, Bent E. & Yosha, Oved, 1998. "International risk sharing and European monetary unification," Journal of International Economics, Elsevier, vol. 45(2), pages 211-238, August.
- Sorensen, B-E & Yosha, O, 1996. "International Risk Sharing and European Monetary Unification," Papers 40-96, Tel Aviv.
- 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.
- Marcel Fafchamps & Aditya Shrinivas, 2022. "Risk Pooling and Precautionary Saving in Village Economies," NBER Working Papers 30128, National Bureau of Economic Research, Inc.
- Andreas Fuster & Paul S. Willen, 2010.
"Insuring consumption using income-linked assets,"
Working Papers
10-1, Federal Reserve Bank of Boston.
- Andreas Fuster & Paul S. Willen, 2011. "Insuring Consumption Using Income-Linked Assets," Review of Finance, European Finance Association, vol. 15(4), pages 835-873.
- Andreas Fuster & Paul S. Willen, 2010. "Insuring Consumption Using Income-Linked Assets," NBER Working Papers 15829, National Bureau of Economic Research, Inc.
- Kim, Soyoung & Lee, Jong-Wha & Shin, Kwanho, 2006.
"Regional and Global Financial Integration in East Asia,"
MPRA Paper
695, University Library of Munich, Germany.
- Soyoung Kim & Jong-Wha Lee & Kwanho Shin, 2006. "Regional and Global Financial Integration in East Asia," Discussion Paper Series 0602, Institute of Economic Research, Korea University.
- 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.
- Christian Friedrich, 2015. "Does Financial Integration Increase Welfare? Evidence from International Household-Level Data," Staff Working Papers 15-4, Bank of Canada.
- 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.
- Storesletten, Kjetil & Telmer, Chris & Yaron, Amir, 2002. "Consumption and Risk Sharing Over the Life Cycle," Seminar Papers 702, Stockholm University, Institute for International Economic Studies.
- Kjetil Storesletten & Chris I. Telmer & Amir Yaron, 2000. "Consumption and Risk Sharing Over the Life Cycle," NBER Working Papers 7995, National Bureau of Economic Research, Inc.
- Storesletten, Kjetil & Telmer, Christopher I. & Yaron, Amir, 2004. "Consumption and risk sharing over the life cycle," Journal of Monetary Economics, Elsevier, vol. 51(3), pages 609-633, April.
- 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.
- Borgschulte, Mark & Martorell, Paco, 2016. "Paying to Avoid Recession: Using Reenlistment to Estimate the Cost of Unemployment," IZA Discussion Papers 9680, Institute of Labor Economics (IZA).
- Atif Mian & Amir Sufi, 2016.
"Who Bears the Cost of Recessions? The Role of House Prices and Household Debt,"
NBER Working Papers
22256, National Bureau of Economic Research, Inc.
- 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.
- Yamada, Tomoaki, 2014. "A note on risk sharing against idiosyncratic shocks and geographic mobility in Japan," MPRA Paper 54886, University Library of Munich, Germany.
- Drewianka, Scott, 2008. "Constrained labor supply and risk-aversion," Economics Letters, Elsevier, vol. 101(2), pages 130-133, November.
- 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.
- Damián Pierri, 2023. "Simulations in Models with Heterogeneous Agents, Incomplete Markets and Aggregate Uncertainty," Working Papers 259, Red Nacional de Investigadores en Economía (RedNIE).
- Engen, Eric M. & Gruber, Jonathan, 2001. "Unemployment insurance and precautionary saving," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 545-579, June.
- Mauricio Gallardo, 2018. "Identifying Vulnerability To Poverty: A Critical Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(4), pages 1074-1105, September.
- 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.
- 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.
- 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.
- 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.
- Anna Lo Prete, 2015. "Labour market institutions and household consumption insurance within OECD countries," CeRP Working Papers 150, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- Lo Prete, Anna, 2015. "Labour market institutions and household consumption insurance within OECD countries," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201515, University of Turin.
- 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.
- Ligon, Ethan, 2006.
"Poverty and the welfare costs of risk associated with globalization,"
World Development, Elsevier, vol. 34(8), pages 1446-1457, August.
- 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).
- 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.
- 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.
- 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.
- Balli, Faruk & Balli, Hatice O., 2010. "Income and consumption smoothing and welfare gains across Pacific Island countries: The role of remittances and foreign aid," MPRA Paper 29547, University Library of Munich, Germany, revised 24 Feb 2011.
- Zheng, Jiakun & Couprie, Helene & Hopfensitz, Astrid, 2022. "Collective risk taking by couples: individual vs household risk," MPRA Paper 116537, University Library of Munich, Germany.
- 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.
- Shawn Cole & Xavier Gine & James Vickery, 2014. "How does risk management influence production decisions? evidence from a field experiment," Staff Reports 692, Federal Reserve Bank of New York.
- Cole,Shawn A. & Gine,Xavier & Vickery,James, 2013. "How does risk management influence production decisions? evidence from a field experiment," Policy Research Working Paper Series 6546, The World Bank.
- Xavier Gine & James Vickery & Shawn Cole, 2013. "How Does Risk Management Influence Production Decisions? Evidence From a Field Experiment," 2013 Meeting Papers 676, Society for Economic Dynamics.
- 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.
- Fella, Giulio & Frache, Serafin & Koeniger, Winfried, 2016. "Buffer-Stock Saving and Households' Response to Income Shocks," IZA Discussion Papers 10311, Institute of Labor Economics (IZA).
- Koeniger, Winfried & Fella, Giulio & Frache, Serafin, 2016. "Buffer-Stock Saving and Households' Response to Income Shocks," Economics Working Paper Series 1617, University of St. Gallen, School of Economics and Political Science.
- Giulio Fella & Serafín Frache & Winfried Koeniger, 2016. "Buffer-stock saving and households' response to income shocks," Documentos de trabajo 2016001, Banco Central del Uruguay.
- 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.
- Lepage-Saucier, Nicolas, 2016. "The consumption response to temporary layoffs and hours losses," Labour Economics, Elsevier, vol. 41(C), pages 177-193.
- Miki Kohara, 2001. "Consumption insurance between Japanese households," Applied Economics, Taylor & Francis Journals, vol. 33(6), pages 791-800.
- 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.
- S. Nuray Akin & Oksana Leukhina, 2013. "Risk-Sharing Within Families: Evidence From the Health and Retirement Study," Working Papers 2013-09, University of Miami, Department of Economics.
- 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.
- 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.
- Artis, Michael & Hoffmann, Mathias, 2004.
"Financial Globalization, International Business Cycles and Consumption Risk Sharing,"
CEPR Discussion Papers
4697, C.E.P.R. Discussion Papers.
- Michael J. Artis & Mathias Hoffmann, 2007. "Financial Globalization, International Business Cycles, and Consumption Risk Sharing," IEW - Working Papers 346, Institute for Empirical Research in Economics - University of Zurich.
- 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.
- 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.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "How Much Does Household Collateral Constrain Regional Risk Sharing?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(2), pages 265-294, April.
- 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.
- Marcel Fafchamps & Flore Gubert, 2002. "Contingent Loan Repayment in the Philippines," Working Papers DT/2002/14, DIAL (Développement, Institutions et Mondialisation).
- Marcel Fafchamps & Flore Gubert, 2007. "Contingent Loan Repayment in the Philippines," Economic Development and Cultural Change, University of Chicago Press, vol. 55(4), pages 633-667, July.
- 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.
- 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.
- Chowdhry, Bhagwan & Roll, Richard & Saxena, Konark, 2013. "Development and freedom as risk management," Finance Research Letters, Elsevier, vol. 10(3), pages 103-109.
- Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho.
- Veronesi, Pietro & Santos, Tano, 2016. "Habits and Leverage," CEPR Discussion Papers 11681, C.E.P.R. Discussion Papers.
- 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.
- Ho, Sin-Yu & Odhiambo, Nicholas, 2017. "Analysing the macroeconomic drivers of stock Market development in the Philippines," Working Papers 23439, University of South Africa, Department of Economics.
- Abraham, Arpad & Pavoni, Nicola, 2004.
"Efficient Allocations with Moral Hazard and Hidden Borrowing and Lending,"
Working Papers
04-05, Duke University, Department of Economics.
- Abraham Arpad & Nicola Pavoni, 2004. "Efficient Allocations, with Moral Hazard and Hidden Borrowing and Lending," Levine's Bibliography 122247000000000138, UCLA Department of Economics.
- 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.
- 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.
- Mark Garmaise & Yaron Levi & Hanno Lustig, 2020. "Spending Less After (Seemingly) Bad News," NBER Working Papers 27010, National Bureau of Economic Research, Inc.
- 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.
- Raj Chetty, 2008. "Moral Hazard vs. Liquidity and Optimal Unemployment Insurance," NBER Working Papers 13967, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Monteiro, Paulo Santos, 2008. "Testing Full Consumption Insurance in the Frequency Domain," Economic Research Papers 269910, University of Warwick - Department of Economics.
- Deniz Aydin, 2015. "The Marginal Propensity to Consume out of Liquidity," Discussion Papers 15-010, Stanford Institute for Economic Policy Research.
- 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.
- Marcel Fafchamps & Susan Lund, 2000.
"Risk-Sharing Networks in Rural Philippines,"
Economics Series Working Papers
10, University of Oxford, Department of Economics.
- Marcel Fafchamps & Susan Lund, "undated". "Risk Sharing Networks in Rural Philippines," Working Papers 97014, Stanford University, Department of Economics.
- Fafchamps, Marcel & Lund, Susan, 2003. "Risk-sharing networks in rural Philippines," Journal of Development Economics, Elsevier, vol. 71(2), pages 261-287, August.
- 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.
- Seife Dendir, 2007. "Household shocks and child labor in rural Malawi," Economics Bulletin, AccessEcon, vol. 4(1), pages 1-8.
- 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.
- Ligon, Ethan, 1995. "Altruism And Markets," CUDARE Working Papers 25115, University of California, Berkeley, Department of Agricultural and Resource Economics.
- 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.
- 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.
- Juan F. Castro, 2006.
"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,"
Working Papers
06-05, Centro de Investigación, Universidad del Pacífico.
- 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.
- 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.
- Shinichi Nishiyama & Kent Smetters, 2002. "Ricardian Equivalence with Incomplete Household Risk Sharing," NBER Working Papers 8851, National Bureau of Economic Research, Inc.
- Delaney, Judith M., 2019.
"Risk-Adjusted Returns to Education,"
IZA Discussion Papers
12394, Institute of Labor Economics (IZA).
- Judith M. Delaney, 2019. "Risk-adjusted returns to education," Education Economics, Taylor & Francis Journals, vol. 27(5), pages 472-487, September.
- 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.
- 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.
- 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.
- Latchezar Popov & B Ravikumar & Aubhik Khan, 2012. "Enduring Relationships in an Economy with Capital and Private Information," 2012 Meeting Papers 1056, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- 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.
- 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).
- Shinichi Nishiyama & Kent Smetters, 2002. "Ricardian Equivalence with Incomplete Household Risk Sharing: Technical Paper 2002-4," Working Papers 14222, Congressional Budget Office.
- 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.
- 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.
- Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly & Bernard Herskovic, 2014. "The Common Factor in Idiosyncratic Volatility," 2014 Meeting Papers 810, Society for Economic Dynamics.
- 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.
- Owen (O.A.) O'Donnell, 2019. "Financial Protection Against Medical Expense," Tinbergen Institute Discussion Papers 19-010/V, Tinbergen Institute.
- José María Casado García, 2008.
"From Income to Consumption: Measuring Households Partial Insurance,"
Working Papers
2008-09, FEDEA.
- José Casado, 2011. "From income to consumption: measuring households partial insurance," Empirical Economics, Springer, vol. 40(2), pages 471-495, April.
- Fiorelli, Cristiana & Giannini, Massimo & Martini, Barbara, 2022. "Private and public risk sharing across Italian regions," Journal of Macroeconomics, Elsevier, vol. 74(C).
- Skoufias, Emmanual & Parker, Susan W., 2002.
"Labor market shocks and their impacts on work and schooling,"
FCND discussion papers
129, International Food Policy Research Institute (IFPRI).
- 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).
- Skoufias, Emmanuel, 2004. "Consumption smoothing during the economic transition in Bulgaria," Journal of Comparative Economics, Elsevier, vol. 32(2), pages 328-347, June.
- 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.).
- Epstein, Brendan & Mukherjee, Rahul & Ramnath, Shanthi, 2016. "Taxes and international risk sharing," Journal of International Economics, Elsevier, vol. 102(C), pages 310-326.
- Yasuyuki SAWADA & Fauziah ZEN, 2014. "Disaster Management in ASEAN," Working Papers DP-2014-03, Economic Research Institute for ASEAN and East Asia (ERIA).
- 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.
- 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.
- Pierucci, Eleonora & Ventura, Luigi, 2012. "International risk sharing and globalization," MPRA Paper 35869, University Library of Munich, Germany.
- Rita Ginja, 2010. "Income Shocks and Investments in Human Capital," 2010 Meeting Papers 1165, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Jeffrey M. Lacker, 1995. "Neighborhoods and banking," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 13-38.
- 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.
- 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.
- 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.
- 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).
- Jonathan Gruber, 1994. "The Consumption Smoothing Benefits of Unemployment Insurance," NBER Working Papers 4750, National Bureau of Economic Research, Inc.
- Syeda Fizza Gillani, 1996. "Risk-sharing in Rural Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 35(1), pages 23-48.
- 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.
- 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.
- Fernando Jaramillo & Hubert Kempf & Fabien Moizeau, 2015. "Heterogeneity and the formation of risk-sharing coalitions," PSE - Labex "OSE-Ouvrir la Science Economique" halshs-01075648, HAL.
- 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.
- Hasna Khemili & Mounir Belloumi, 2018. "Social Security and Fighting Poverty in Tunisia," Economies, MDPI, vol. 6(1), pages 1-17, February.
- 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.
- 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.
- Sowmya Dhanaraj, 2014. "Health Shocks and Coping Strategies: State Health Insurance Scheme of Andhra Pradesh, India," WIDER Working Paper Series wp-2014-003, World Institute for Development Economic Research (UNU-WIDER).
- Sarolta Laczo, 2010. "Estimating Dynamic Contracts: Risk Sharing in Village Economies," 2010 Meeting Papers 687, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- 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.
- Ligon, Ethan, 2017. "Estimating household welfare from disaggregate expenditures," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt5gc4h1fm, Department of Agricultural & Resource Economics, UC Berkeley.
- Danzer, Alexander M., 2011. "Labor Supply and Consumption Smoothing When Income Shocks Are Non-Insurable," IZA Discussion Papers 5499, Institute of Labor Economics (IZA).
- 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.
- Hevia, Constantino & Serven, Luis, 2013. "Partial consumption insurance and financial openness across the world," Policy Research Working Paper Series 6479, The World Bank.
- 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).
- 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).
- 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.
- 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.
- 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.
- Gang Sun, 2014. "Code and data files for "Complete Markets Strikes Back: Is the Reduced-form Measure of Consumption Insurance Reliable?"," Computer Codes 13-56, Review of Economic Dynamics.
- 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.
- 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.
- 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.
- Echevin, Damien, 2011. "Characterizing poverty and vulnerability in rural Haiti: a multilevel decomposition approach," MPRA Paper 35659, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Fatih Karahan & Serdar Ozkan, 2012. "Code and data files for "On the Persistence of Income Shocks over the Life Cycle: Evidence, Theory, and Implications"," Computer Codes 10-74, Review of Economic Dynamics.
- 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.
- 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.
- 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.
- 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.
- 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).
- 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.
- 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.
- Alem, Yonas & Tato, Gidisa Lachisa, 2023. "Shocks and mental health: Panel data evidence from South Africa," World Development, Elsevier, vol. 168(C).
- 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.
- 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.
- 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:
- 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.
- Lin, Xiaoji & Wang, Chong & Wang, Neng & Yang, Jinqiang, 2016. "Investment, Tobin's q, and Interest Rates," Working Paper Series 2016-20, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Xioaji Lin & Chong Wang & Neng Wang & Jinqiang Yang, 2013. "Investment, Tobin's q, and Interest Rates," NBER Working Papers 19327, National Bureau of Economic Research, Inc.
- Hou, Kewei & Xue, Chen & Zhang, Lu, 2012.
"Digesting Anomalies: An Investment Approach,"
Working Paper Series
2012-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Kewei Hou & Chen Xue & Lu Zhang, 2012. "Digesting Anomalies: An Investment Approach," NBER Working Papers 18435, National Bureau of Economic Research, Inc.
- 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.
- Lettau, Martin & Ludvigson, Sydney, 2001. "Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment," CEPR Discussion Papers 3103, C.E.P.R. Discussion Papers.
- McMillan, David G., 2007. "Non-linear forecasting of stock returns: Does volume help?," International Journal of Forecasting, Elsevier, vol. 23(1), pages 115-126.
- Xiaoji Lin, 2009.
"Endogenous Technological Progress and the Cross Section of Stock Returns,"
FMG Discussion Papers
dp634, Financial Markets Group.
- Lin, Xiaoji, 2012. "Endogenous Technological Progress and the Cross Section of Stock Returns," Working Paper Series 2012-22, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Lin, Xiaoji, 2012. "Endogenous technological progress and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 103(2), pages 411-427.
- Lin, Xiaoji, 2009. "Endogenous technological progress and the cross section of stock returns," LSE Research Online Documents on Economics 29047, London School of Economics and Political Science, LSE Library.
- Lin, Xiaoji, 2009. "Endogenous technological progress and the cross section of stock returns," MPRA Paper 14829, University Library of Munich, Germany.
- Frederico Belo & Chen Xue & Lu Zhang, 2010. "Cross-sectional Tobin's Q," NBER Working Papers 16336, National Bureau of Economic Research, Inc.
- 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.
- Nicola Gennaioli & Yueran Ma & Andrei Shleifer, 2016.
"Expectations and Investment,"
Working Paper
250941, Harvard University OpenScholar.
- Nicola Gennaioli & Yueran Ma & Andrei Shleifer, 2016. "Expectations and investment," BIS Working Papers 562, Bank for International Settlements.
- Nicola Gennaioli & Yueran Ma & Andrei Shleifer, 2015. "Expectations and Investment," NBER Working Papers 21260, National Bureau of Economic Research, Inc.
- Nicola Gennaioli & Yueran Ma & Andrei Shleifer, 2015. "Expectations and Investment," NBER Chapters, in: NBER Macroeconomics Annual 2015, Volume 30, pages 379-431, National Bureau of Economic Research, Inc.
- Gennaioli, Nicola & Ma, Yueran & Shleifer, Andrei, 2015. "Expectations and Investment," Scholarly Articles 32193497, Harvard University Department of Economics.
- Nicola Gennaioli & Yueran Ma & Andrei Shleifer, 2016. "Expectations and Investment," NBER Macroeconomics Annual, University of Chicago Press, vol. 30(1), pages 379-431.
- 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.
- Kuehn Lars-Alexander & Petrosky-Nadeau Nicolas & Zhang Lu, "undated". "An Equilibrium Asset Pricing Model with Labor Market Search," GSIA Working Papers 2010-E63, Carnegie Mellon University, Tepper School of Business.
- Lars-Alexander Kuehn & Nicolas Petrosky-Nadeau & Lu Zhang, 2012. "An Equilibrium Asset Pricing Model with Labor Market Search," NBER Working Papers 17742, National Bureau of Economic Research, Inc.
- Owen Lamont, "undated".
"Earnings and Expected Returns,"
CRSP working papers
345, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Owen Lamont, 1996. "Earnings and Expected Returns," NBER Working Papers 5671, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Valentin Haddad & Erik Loualiche & Matthew Plosser, 2013.
"Buyout activity: the impact of aggregate discount rates,"
Staff Reports
606, Federal Reserve Bank of New York.
- 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.
- Valentin Haddad & Erik Loualiche & Matthew Plosser, 2017. "Buyout Activity: The Impact of Aggregate Discount Rates," Journal of Finance, American Finance Association, vol. 72(1), pages 371-414, February.
- Stefan Nagel, 2013.
"Empirical Cross-Sectional Asset Pricing,"
Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
- Nagel, Stefan, 2012. "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers 9227, C.E.P.R. Discussion Papers.
- Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
- Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Single stock call options as lottery tickets," CFS Working Paper Series 566, Center for Financial Studies (CFS).
- Casey B. Mulligan, 2002. "Capital, Interest, and Aggregate Intertemporal Substitution," NBER Working Papers 9373, National Bureau of Economic Research, Inc.
- 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.
- Gourio, Francois & Kashyap, Anil K, 2007. "Investment spikes: New facts and a general equilibrium exploration," Journal of Monetary Economics, Elsevier, vol. 54(Supplemen), pages 1-22, September.
- Anil Kashyap & Francois Gourio, 2007. "Investment Spikes: New Facts and a General Equilibrium Exploration," 2007 Meeting Papers 148, Society for Economic Dynamics.
- Francois Gourio & Anil K. Kashyap, 2007. "Investment Spikes: New Facts and a General Equilibrium Exploration," NBER Working Papers 13157, National Bureau of Economic Research, Inc.
- Pierre-Olivier Gourinchas & Hélène Rey, 2007.
"International Financial Adjustment,"
Journal of Political Economy, University of Chicago Press, vol. 115(4), pages 665-703, August.
- Helene Rey & Pierre Olivier Gourinchas, 2005. "International Financial Adjustment," 2005 Meeting Papers 169, Society for Economic Dynamics.
- Gourinchas, Pierre-Olivier & Rey, Hélène, 2005. "International Financial Adjustment," Department of Economics, Working Paper Series qt124628cx, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Pierre-Olivier Gourinchas & Hélène Rey, 2005. "International Financial Adjustment," International Finance 0505004, University Library of Munich, Germany.
- Pierre-Olivier Gourinchas & Helene Rey, 2005. "International Financial Adjustment," NBER Working Papers 11155, National Bureau of Economic Research, Inc.
- Rey, Hélène & Gourinchas, Pierre-Olivier, 2005. "International Financial Adjustment," CEPR Discussion Papers 4923, C.E.P.R. Discussion Papers.
- Pierre-Olivier Gourinchas & Helene Rey, 2005. "International financial adjustment," Proceedings, Federal Reserve Bank of San Francisco.
- Gourinchas, Pierre-Olivier & Rey, Hélène, 2005. "International Financial Adjustment," Center for International and Development Economics Research, Working Paper Series qt124628cx, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
- 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.
- Monika Piazzesi & Martin Schneider & Selale Tuzel, 2006.
"Housing, Consumption, and Asset Pricing,"
NBER Working Papers
12036, National Bureau of Economic Research, Inc.
- Piazzesi, Monika & Schneider, Martin & Tuzel, Selale, 2007. "Housing, consumption and asset pricing," Journal of Financial Economics, Elsevier, vol. 83(3), pages 531-569, March.
- Monika Piazzesi & Martin Schneider & Selale Tuzel, 2004. "Housing, Consumption and Asset Pricing," 2004 Meeting Papers 357c, Society for Economic Dynamics.
- 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.
- 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.
- Martin Lettau & Sydney C. Ludvigson, 2014.
"Shocks and Crashes,"
NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
- Martin Lettau & Sydney C. Ludvigson, 2011. "Shocks and Crashes," NBER Working Papers 16996, National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney C. Ludvigson, 2013. "Shocks and Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 293-354, National Bureau of Economic Research, Inc.
- Mumtaz, Haroon & Zanetti, Francesco, 2015.
"Factor adjustment costs: A structural investigation,"
Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 341-355.
- Mumtaz, Haroon & Zanetti, Francesco, 2012. "Factor adjustment costs: a structural investigation," Bank of England working papers 467, Bank of England.
- 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.
- 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.
- 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.
- 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).
- Li, Keming, 2018. "Innovation externalities and the customer/supplier link," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 101-112.
- Urban Jermann, 2013.
"A Production-Based Model for the Term Structure,"
NBER Working Papers
18774, National Bureau of Economic Research, Inc.
- Jermann, Urban J., 2013. "A production-based model for the term structure," Journal of Financial Economics, Elsevier, vol. 109(2), pages 293-306.
- 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.
- Arthur Thomas & Olivier Massol & Benoît Sévi, 2019. "How are day-ahead prices informative for predicting the next day’s consumption of natural gas?," Post-Print hal-04319359, HAL.
- Arthur Thomas & Olivier Massol & Benoît Sévi, 2019. "How are day-ahead prices informative for predicting the next day’s consumption of natural gas?," Post-Print hal-04319396, HAL.
- Yang, Fan, 2013. "Investment shocks and the commodity basis spread," Journal of Financial Economics, Elsevier, vol. 110(1), pages 164-184.
- 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.
- 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.
- 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.
- Favilukis, Jack & Lin, Xiaoji, 2012. "Does Wage Rigidity Make Firms Riskier? Evidence from Long-Horizon Return Predictability," Working Paper Series 2012-19, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Lutzenberger, Fabian T., 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, vol. 23(3), pages 120-130.
- 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.
- 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.
- 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.).
- Thomas Tallarini & Harold Zhang, "undated". "External Habit and the Cyclicality of Expected Stock Returns," GSIA Working Papers 1997-26, Carnegie Mellon University, Tepper School of Business.
- Thomas D. Tallarini, Jr. & Harold H. Zhang, 2005. "External Habit and the Cyclicality of Expected Stock Returns," The Journal of Business, University of Chicago Press, vol. 78(3), pages 1023-1048, May.
- Frederico Belo & Xiaoji Lin & Santiago Bazdresch, 2014.
"Labor Hiring, Investment, and Stock Return Predictability in the Cross Section,"
Journal of Political Economy, University of Chicago Press, vol. 122(1), pages 129-177.
- Belo, Frederico & Lin, Xiaoji & Bazdresch, Santiago, 2012. "Labor Hiring, Investment, and Stock Return Predictability in the Cross Section," Working Paper Series 2012-17, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Bazdrech, Santiago & Belo, Frederico & Lin, Xiaoji, 2009. "Labor hiring, investment and stock return predictability in the cross section," LSE Research Online Documents on Economics 24418, London School of Economics and Political Science, LSE Library.
- 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.
- 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.
- Bianconi, Marcelo, 2003. "Private information, growth, and asset prices with stochastic disturbances," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 1-24.
- 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.
- 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.
- Chambers, Robert G. & Quiggin, John, 2008.
"Narrowing the no-arbitrage bounds,"
Journal of Mathematical Economics, Elsevier, vol. 44(1), pages 1-14, January.
- 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.
- Chambers, Robert G. & Quiggin, John, 2003. "Narrowing the no-arbitrage bounds," Risk and Sustainable Management Group Working Papers 150346, University of Queensland, School of Economics.
- Lars-Alexander Kuehn, 2007. "Time-to-Build and Asset Prices," 2007 Meeting Papers 1015, Society for Economic Dynamics.
- Zhang, Lu, 2015.
"The Investment CAPM,"
Working Paper Series
2015-19, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Lu Zhang, 2017. "The Investment CAPM," NBER Working Papers 23226, National Bureau of Economic Research, Inc.
- Lu Zhang, 2017. "The Investment CAPM," European Financial Management, European Financial Management Association, vol. 23(4), pages 545-603, September.
- 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.
- Christopher Polk & Paola Sapienza, 2004.
"The Real Effects of Investor Sentiment,"
NBER Working Papers
10563, National Bureau of Economic Research, Inc.
- Sapienza, Paola & Polk, Christopher, 2003. "The Real Effects of Investor Sentiment," CEPR Discussion Papers 3826, C.E.P.R. Discussion Papers.
- 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.
- Chambers, Robert G. & Quiggin, John C., 2002. "Separability Of Stochastic Production Decisions From Producer Risk Preferences In The Presence Of Financial Markets," Working Papers 28561, University of Maryland, Department of Agricultural and Resource Economics.
- Chambers, Robert G. & Quiggin, John, 2009. "Separability of stochastic production decisions from producer risk preferences in the presence of financial markets," Journal of Mathematical Economics, Elsevier, vol. 45(11), pages 730-737, December.
- Chambers, Robert G. & Quiggin, John, 2003. "Separability of stochastic production decisions from producer risk preferences in the presence of financial markets," Risk and Sustainable Management Group Working Papers 150348, University of Queensland, School of Economics.
- Joshua Aizenman & Reuven Glick, 2008.
"Sterilization, Monetary Policy, and Global Financial Integration,"
NBER Working Papers
13902, National Bureau of Economic Research, Inc.
- Joshua Aizenman & Reuven Glick, 2009. "Sterilization, Monetary Policy, and Global Financial Integration," Review of International Economics, Wiley Blackwell, vol. 17(4), pages 777-801, September.
- Joshua Aizenman & Reuven Glick, 2008. "Sterilization, monetary policy, and global financial integration," Working Paper Series 2008-15, Federal Reserve Bank of San Francisco.
- 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).
- Matos, Paulo Rogério Faustino & Costa, Carlos Eugênio da & Issler, João Victor, 2007. "The forward- and the equity-premium puzzles: two symptoms of the same illness?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 649, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Costa, Carlos Eugênio da & Issler, João Victor & Matos, Paulo Rogério Faustino, 2012. "The forward- and the equity-premium puzzles: two symptoms of the same illness?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 732, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Costa, Carlos Eugênio da & Issler, João Victor & Matos, Paulo Rogério Faustino, 2010. "The forward- and the equity-premium puzzles: two symptoms of the same illness?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 712, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Dimitris Papanikolaou, 2008. "Investment-Specific Technological Change and Asset Prices," 2008 Meeting Papers 637, Society for Economic Dynamics.
- Anderson, Evan W. & Brock, William, 2021. "Logarithmic depreciation," Economic Modelling, Elsevier, vol. 101(C).
- Yacine Ait-Sahalia & Michael W. Brandt, 2001.
"Variable Selection for Portfolio Choice,"
NBER Working Papers
8127, National Bureau of Economic Research, Inc.
- Yacine AÏT-SAHALIA, & Michael W. BRANDT, 2001. "Variable Selection for Portfolio Choice," FAME Research Paper Series rp34, International Center for Financial Asset Management and Engineering.
- Yacine AÏT‐SAHALI & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," Journal of Finance, American Finance Association, vol. 56(4), pages 1297-1351, August.
- Ait-Sahalia, Y. & Brandt, M.W., 2001. "Variable Selection for Portfolio Choice," Papers 34, Manitoba - Department of Economics.
- Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
- 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.
- 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.
- 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.
- Yashiv, Eran, 2012. "Frictions and the Joint Behavior of Hiring and Investment," IZA Discussion Papers 6636, Institute of Labor Economics (IZA).
- Frederico Belo & Vito Gala & Juliana Salomao & Maria Ana Vitorino, 2019. "Decomposing Firm Value," NBER Working Papers 26112, National Bureau of Economic Research, Inc.
- Belo, Frederico, 2010. "Production-based measures of risk for asset pricing," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 146-163, March.
- Campbell, John & Cochrane, John H., 1999.
"By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior,"
Scholarly Articles
3119444, Harvard University Department of Economics.
- 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.
- 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.
- 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.
- 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.
- 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.
- John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Working Papers 4088, National Bureau of Economic Research, Inc.
- 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.
- 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).
- 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.
- 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.
- Frederico Belo & Xiaoji Lin & Maria Ana Vitorino, 2014.
"Brand Capital and Firm Value,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(1), pages 150-169, January.
- Frederico Belo & Xiaoji Lin & Maria Ana Vitorino, 2013. "Online Appendix to "Brand Capital and Firm Value"," Online Appendices 12-71, Review of Economic Dynamics.
- 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.
- Frederico Belo & Xiaoji Lin & Maria Ana Vitorino, 2013. "Code and data files for "Brand Capital and Firm Value"," Computer Codes 12-71, Review of Economic Dynamics.
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, June.
- Fama, Eugene F. & French, Kenneth R., 2018. "Choosing factors," Journal of Financial Economics, Elsevier, vol. 128(2), pages 234-252.
- 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.).
- 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.
- Esther Eiling & Raymond Kan & Ali Sharifkhani, 2018. "Sectoral Labor Reallocation and Return Predictability," Working Papers 2018-006, Human Capital and Economic Opportunity Working Group.
- 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.
- Peng, Yajun & Shawky, Hany, 1997. "Productivity shocks and capital asset pricing," International Review of Economics & Finance, Elsevier, vol. 6(3), pages 303-316.
- Engelbert J. Dockner & Baran Siyahhan, 2015.
"Value and risk dynamics over the innovation cycle,"
Grenoble Ecole de Management (Post-Print)
hal-01504374, HAL.
- Dockner, Engelbert J. & Siyahhan, Baran, 2015. "Value and risk dynamics over the innovation cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 1-16.
- Engelbert J. Dockner & Baran Siyahhan, 2015. "Value and risk dynamics over the innovation cycle," Post-Print hal-01504374, HAL.
- Laura Xiaolei Liu & Lu Zhang, 2011. "A Model of Momentum," NBER Working Papers 16747, National Bureau of Economic Research, Inc.
- Liu, Yang, 2023. "Government debt and risk premia," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 18-34.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Ivo Welch & Amit Goyal, 2008.
"A Comprehensive Look at The Empirical Performance of Equity Premium Prediction,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
- Amit Goval & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers 10483, National Bureau of Economic Research, Inc.
- Amit Goyal & Ivo Welch & Athanasse Zafirov, 2021. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II," Swiss Finance Institute Research Paper Series 21-85, Swiss Finance Institute.
- 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.
- Victor Duarte & Diogo Duarte & Dejanir H. Silva, 2024. "Machine Learning for Continuous-Time Finance," CESifo Working Paper Series 10909, CESifo.
- Ellen R. McGrattan & Edward C. Prescott, 2001.
"Taxes, regulations, and asset prices,"
Working Papers
610, Federal Reserve Bank of Minneapolis.
- Ellen R. McGrattan & Edward C. Prescott, 2001. "Taxes, Regulations, and Asset Prices," NBER Working Papers 8623, National Bureau of Economic Research, Inc.
- Niels Joachim Gormsen & Eben Lazarus, 2023. "Duration‐Driven Returns," Journal of Finance, American Finance Association, vol. 78(3), pages 1393-1447, June.
- 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.
- Ravi Jagannathan & Keiichi Kubota & Hitoshi Takehara, 1997. "Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market," Discussion Paper / Institute for Empirical Macroeconomics 117, Federal Reserve Bank of Minneapolis.
- 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.
- 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.
- Huseyin Gulen & Yuhang Xing & Lu Zhang, 2010. "Value versus Growth: Time-Varying Expected Stock Returns," NBER Working Papers 15993, National Bureau of Economic Research, Inc.
- 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.
- Francisco Gomes & Alexander Michaelides, 2008. "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," The Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 415-448, January.
- Michaelides, Alexander & Gomes, Francisco, 2007. "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," CEPR Discussion Papers 6136, C.E.P.R. Discussion Papers.
- Cooper, Ilan & Priestley, Richard, 2011. "Real investment and risk dynamics," Journal of Financial Economics, Elsevier, vol. 101(1), pages 182-205, July.
- Parantap Basu, 2006. "Understanding Labour Market Frictions: A Tobin’s Q Approach," CDMA Conference Paper Series 0601, Centre for Dynamic Macroeconomic Analysis.
- 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.
- Claudio Campanale & Rui Castro & Gian Luca Clementi, 2010. "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(2), pages 379-402, April.
- Claudio Campanale & Rui Castro & Gian Luca Clementi, 2007. "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Working Papers 07-12, New York University, Leonard N. Stern School of Business, Department of Economics.
- Claudio Campanale & Rui Castro & Gian Luca Clementi, 2007. "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Working Paper series 07_07, Rimini Centre for Economic Analysis.
- CAMPANALE, Claudio & CASTRO, Rui & CLEMENTI, Gian Luca, 2009. "Asset Pricing in a Production Economy with Chew–Dekel Preferences," Cahiers de recherche 2009-09, Universite de Montreal, Departement de sciences economiques.
- Jun Li, 2019. "Explaining Momentum and Value Simultaneously," Management Science, INFORMS, vol. 64(9), pages 4239-4260, September.
- Dison, Will & Theodoridis, Konstantinos, 2017. "Do macro shocks matter for equities?," Bank of England working papers 692, Bank of England.
- 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.
- Sulaiman, Nadzri & Masih, Mansur, 2017. "Macroeconomic variables and stock markets (domestic and foreign): evidence from Malaysia," MPRA Paper 110154, University Library of Munich, Germany.
- 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.
- 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.
- Xiaoji Lin & Frederico Belo, 2014. "Labor Heterogeneity and Asset Prices: the Importance of Skilled Labor," 2014 Meeting Papers 1231, Society for Economic Dynamics.
- 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.
- 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).
- 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.
- 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.
- 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.
- 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.
- 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.
- Abdoh, Hussein & Varela, Oscar, 2021. "What lies behind the asset growth effect?," Global Finance Journal, Elsevier, vol. 48(C).
- Heiland, Inga, 2016.
"Global Risk Sharing Through Trade in Goods and Assets: Theory and Evidence,"
VfS Annual Conference 2016 (Augsburg): Demographic Change
145821, Verein für Socialpolitik / German Economic Association.
- 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.
- 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.
- 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.
- 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.
- 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.
- Michael Nwogugu, 2020. "Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences," Papers 2005.01709, arXiv.org.
- Ellen R. McGrattan & Edward C. Prescott, 2001.
"Is the Stock Market Overvalued?,"
NBER Working Papers
8077, National Bureau of Economic Research, Inc.
- Ellen R. McGrattan & Edward C. Prescott, 2000. "Is the stock market overvalued?," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 24(Fall), pages 20-40.
- 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).
- Demetrescu, Matei & Rodrigues, Paulo MM & Taylor, AM Robert, 2022. "Transformed Regression-based Long-Horizon Predictability Tests," Essex Finance Centre Working Papers 30620, University of Essex, Essex Business School.
- 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.
- 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).
- Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
- 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.
- Menzie D. Chinn & Ron Alquist, 2006. "Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment," NBER Working Papers 12481, National Bureau of Economic Research, Inc.
- Marco Taboga, 2009.
"The riskiness of corporate bonds,"
Temi di discussione (Economic working papers)
730, Bank of Italy, Economic Research and International Relations Area.
- Marco Taboga, 2014. "The Riskiness of Corporate Bonds," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 693-713, June.
- 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.
- 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.
- Anindya Biswas, 2014. "The output gap and expected security returns," Review of Financial Economics, John Wiley & Sons, vol. 23(3), pages 131-140, September.
- 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.
- Pengfei Wang & Yi Wen & Zhiwei Xu, 2012. "Two-way capital flows and global imbalances: a neoclassical approach," Working Papers 2012-016, Federal Reserve Bank of St. Louis.
- 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).
- Ho, Sin-Yu, 2017. "The Macroeconomic Determinants of Stock Market Development: Evidence from South Africa," MPRA Paper 76493, University Library of Munich, Germany.
- Smith, Simon C., 2021. "International stock return predictability," International Review of Financial Analysis, Elsevier, vol. 78(C).
- 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.
- Biswas, Anindya, 2014. "The output gap and expected security returns," Review of Financial Economics, Elsevier, vol. 23(3), pages 131-140.
- 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.
- 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.
- Lee Tae-Hwy & Ullah Aman & Mao Millie Yi, 2021.
"Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility,"
Journal of Econometric Methods, De Gruyter, vol. 10(1), pages 1-19, January.
- 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.
- 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.
- 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.
- Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2000. "Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?," Working Papers 00-2, University of Pennsylvania, Wharton School, Weiss Center.
- 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.
- 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.
- Frederico Belo & Jun Li & Xiaoji Lin & Xiaofei Zhao, 2017. "Labor-Force Heterogeneity and Asset Prices: The Importance of Skilled Labor," The Review of Financial Studies, Society for Financial Studies, vol. 30(10), pages 3669-3709.
- 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.
- 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.
- Anginer, Deniz & Yildizhan, Celim, 2009. "Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns," MPRA Paper 53885, University Library of Munich, Germany, revised 23 Apr 2013.
- Robert Chambers & John Quiggin, 2010. "Cost minimization and the stochastic discount factor," Annals of Operations Research, Springer, vol. 176(1), pages 349-368, April.
- 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.
- 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.
- Rui Albuquerque & Neng Wang, 2007.
"Agency Conflicts, Investment, and Asset Pricing,"
NBER Working Papers
13251, National Bureau of Economic Research, Inc.
- Albuquerque, Rui & Wang, Neng, 2005. "Agency Conflicts, Investment and Asset Pricing," CEPR Discussion Papers 4955, C.E.P.R. Discussion Papers.
- Neng Wang & Rui Albuquerque, 2005. "Agency Conflicts, Investment, and Asset Pricing," Computing in Economics and Finance 2005 351, Society for Computational Economics.
- Rui Albuquerue & Neng Wang, 2008. "Agency Conflicts, Investment, and Asset Pricing," Journal of Finance, American Finance Association, vol. 63(1), pages 1-40, February.
- 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.
- 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).
- 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.
- 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.
- Rangvid, Jesper, 2006. "Output and expected returns," Journal of Financial Economics, Elsevier, vol. 81(3), pages 595-624, September.
- Lin, Qi, 2021. "The q5 model and its consistency with the intertemporal CAPM," Journal of Banking & Finance, Elsevier, vol. 127(C).
- 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.
- 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).
- 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.
- Srisuksai, Pithak & Vanitcharearntham, Vimut, . "Asset Pricing with Idiosyncratic Shocks," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 23(1).
- 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).
- Robert E. Hall, 2000.
"The stock market and capital accumulation,"
Proceedings, Federal Reserve Bank of San Francisco, issue Apr.
- Robert E. Hall, 2001. "The Stock Market and Capital Accumulation," American Economic Review, American Economic Association, vol. 91(5), pages 1185-1202, December.
- Robert E. Hall, 1999. "The Stock Market and Capital Accumulation," NBER Working Papers 7180, National Bureau of Economic Research, Inc.
- Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2019. "Financial Market Risk Perceptions and the Macroeconomy," NBER Working Papers 26290, National Bureau of Economic Research, Inc.
- Urban Jermann, 2006.
"The Equity Premium Implied by Production,"
NBER Working Papers
12487, National Bureau of Economic Research, Inc.
- Jermann, Urban J., 2010. "The equity premium implied by production," Journal of Financial Economics, Elsevier, vol. 98(2), pages 279-296, November.
- Urban J. Jermann, 2005. "The Equity Premium Implied by Production," 2005 Meeting Papers 630, Society for Economic Dynamics.
- Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
- 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.
- 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.
- 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.
- 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.
- 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.
- Parantap Basu, 2009. "Understanding Labour Market Frictions: An Asset Pricing Approach," Bulletin of Economic Research, Wiley Blackwell, vol. 61(4), pages 305-324, October.
- 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.
- K. J. Martijn Cremers & Vinay B. Nair & Kose John, 2009. "Takeovers and the Cross-Section of Returns," The Review of Financial Studies, Society for Financial Studies, vol. 22(4), pages 1409-1445, April.
- Hui Guo & Xiaowen Jiang, 2011. "Accruals and the Conditional Equity Premium," Journal of Accounting Research, Wiley Blackwell, vol. 49(1), pages 187-221, March.
- 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.
- Bollerslev, Tim & Xu, Lai & Zhou, Hao, 2015. "Stock return and cash flow predictability: The role of volatility risk," Journal of Econometrics, Elsevier, vol. 187(2), pages 458-471.
- 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).
- 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.
- 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.
- Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern, 2012.
"The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds,"
Auburn Economics Working Paper Series
auwp2012-03, Department of Economics, Auburn University.
- Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana V. Stern, 2016. "The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(3), pages 363-386, December.
- 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.
- 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.
- 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.
- 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.
- Yashiv, Eran, 2007.
"Labor Search and Matching in Macroeconomics,"
IZA Discussion Papers
2743, Institute of Labor Economics (IZA).
- Yashiv, Eran, 2007. "Labor search and matching in macroeconomics," European Economic Review, Elsevier, vol. 51(8), pages 1859-1895, November.
- Eran Yashiv, 2007. "Labor Search and Matching in Macroeconomics," CEP Discussion Papers dp0803, Centre for Economic Performance, LSE.
- Yashiv, Eran, 2007. "Labor search and matching in macroeconomics," LSE Research Online Documents on Economics 19707, London School of Economics and Political Science, LSE Library.
- Dimitrios Malliaropulos, "undated".
"International stock return differentials and real exchange rate changes,"
CERF Discussion Paper Series
96-09, Economics and Finance Section, School of Social Sciences, Brunel University.
- 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.
- Woon Gyu Choi, 2007.
"Measuring Interest Rates as Determined by Thrift and Productivity,"
Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 167-195, May.
- Choi, Woon Gyu & Wen, Yi, 2000. "Measuring Interest Rates as Determined by Thrift and Productivity," Working Papers 00-03, Cornell University, Center for Analytic Economics.
- 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.
- 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).
- 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.
- 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.
- 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.
- Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2014.
"Which Factors?,"
NBER Working Papers
20682, National Bureau of Economic Research, Inc.
- Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2019. "Which Factors?," Review of Finance, European Finance Association, vol. 23(1), pages 1-35.
- Lu Zhang, 2019. "Q-factors and Investment CAPM," NBER Working Papers 26538, National Bureau of Economic Research, Inc.
- 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.
- Dou, Winston Wei & Ji, Yan & Wu, Wei, 2021. "Competition, profitability, and discount rates," Journal of Financial Economics, Elsevier, vol. 140(2), pages 582-620.
- 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.
- 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.
- Joel M. David & Lukas Schmid & David Zeke, 2020. "Risk-Adjusted Capital Allocation and Misallocation," Working Paper Series WP-2020-34, Federal Reserve Bank of Chicago.
- Schmid, Lukas & David, Joel & Zeke, David, 2018. "Risk-Adjusted Capital Allocation and Misallocation," CEPR Discussion Papers 13205, C.E.P.R. Discussion Papers.
- 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.
- Joao F. Gomes & Amir Yaron & Lu Zhang, 2003. "Asset Prices and Business Cycles with Costly External Finance," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 767-788, October.
- Joao Gomes & Amir Yaron & Lu Zhang, 2002. "Asset Prices and Business Cycles with Costly External Finance," NBER Working Papers 9364, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- Joel David, 2018. "Misallocation or Risk-Adjusted Capital Allocation?," 2018 Meeting Papers 323, Society for Economic Dynamics.
- 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.
- 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.
- 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.
- 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.
- Wang, Zhi, 2000. "Production-based asset pricing: a cross-industry study," ISU General Staff Papers 2000010108000013294, Iowa State University, Department of Economics.
- Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2019. "Security Analysis: An Investment Perspective," NBER Working Papers 26060, National Bureau of Economic Research, Inc.
- 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).
- 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.
- Bingbing Dong, 2014. "Asset Pricing and Monetary Policy," 2014 Meeting Papers 881, Society for Economic Dynamics.
- Frederico Belo & Xiaoji Lin & Fan Yang, 2014.
"External Equity Financing Shocks, Financial Flows, and Asset Prices,"
NBER Working Papers
20210, National Bureau of Economic Research, Inc.
- 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.
- Belo, Frederico & Lin, Xiaoji & Yang, Fan, 2014. "External Equity Financing Shocks, Financial Flows, and Asset Prices," Working Paper Series 2014-08, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- 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.
- 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.
- Rui Castro & Claudio Campanale & Gian Luca Clementi, 2007.
"Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences,"
2007 Meeting Papers
503, Society for Economic Dynamics.
- 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).
- 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.
- 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.
- 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.
- George Papanastasopoulos & Dimitrios Thomakos & Tao Wang, 2007. "Information in Balance Sheets for Future Stock Returns: Evidence from Net Operating Assets," Working Paper series 45_07, Rimini Centre for Economic Analysis.
- 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.
- Gomes, Joao & Kogan, Leonid & Zhang, Lu, 2002. "Equilibrium Cross-Section of Returns," CEPR Discussion Papers 3482, C.E.P.R. Discussion Papers.
- 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.
- Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society.
- Chen, Zhanhui, 2016. "Time-to-produce, inventory, and asset prices," Journal of Financial Economics, Elsevier, vol. 120(2), pages 330-345.
- 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.
- 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.).
- 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.
- Fromentin, Vincent, 2022. "Time-varying causality between stock prices and macroeconomic fundamentals: Connection or disconnection?," Finance Research Letters, Elsevier, vol. 49(C).
- 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.
- 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.
- Francisco RUGE-MURCIA, 2018. "Asset Prices in a Small Production Network," Cahiers de recherche 02-2018, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Xiaoji Lin & Fan Yang & Frederico Belo, 2014. "External Equity Financing Costs, Financial Flows, and Asset Prices," 2014 Meeting Papers 863, Society for Economic Dynamics.
- 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).
- Pierlauro Lopez, 2018.
"A New Keynesian Q Theory and the Link Between Inflation and the Stock Market,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 29, pages 85-105, July.
- Pierlauro Lopez, 2017. "Code and data files for "A New Keynesian Q Theory and the Link Between Inflation and the Stock Market"," Computer Codes 16-134, Review of Economic Dynamics.
- 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.
- 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.
- 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.
- 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.
- 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.
- Andrea L. Eisfeldt & Tyler Muir, 2014. "Aggregate External Financing and Savings Waves," NBER Working Papers 20442, National Bureau of Economic Research, Inc.
- 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.
- Luiz Félix & Roman Kräussl & Philip Stork, 2019. "Single Stock Call Options as Lottery Tickets: Overpricing and Investor Sentiment," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 20(4), pages 385-407, October.
- 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.
- 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.
- 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.
- 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.
- 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.
- N Aslanidis & D R Osborn & M Sensier, 2003. "Explaining movements in UK stock prices: How important is the US market?," Centre for Growth and Business Cycle Research Discussion Paper Series 27, Economics, The University of Manchester.
- 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.
- Leonid Kogan & Dimitris Papanikolaou, 2012. "Growth Opportunities, Technology Shocks, and Asset Prices," NBER Working Papers 17795, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Kogan, Leonid, 2004. "Asset prices and real investment," Journal of Financial Economics, Elsevier, vol. 73(3), pages 411-431, September.
- 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.
- 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.
- 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.
- 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.
- 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).
- 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.
- 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.
- 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.
- Owen A. Lamont, 2000. "Investment Plans and Stock Returns," Journal of Finance, American Finance Association, vol. 55(6), pages 2719-2745, December.
- Owen Lamont, 1999. "Investment Plans and Stock Returns," NBER Working Papers 6973, National Bureau of Economic Research, Inc.
- Motohiro Yogo & Leonid Kogan & Joao Gomes, 2007.
"Durability of Output and Expected Stock Returns,"
2007 Meeting Papers
432, Society for Economic Dynamics.
- João F. Gomes & Leonid Kogan & Motohiro Yogo, 2009. "Durability of Output and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 117(5), pages 941-986.
- Joao F. Gomes & Leonid Kogan & Motohiro Yogo, 2007. "Durability of Output and Expected Stock Returns," NBER Working Papers 12986, National Bureau of Economic Research, Inc.
- 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.
- Nichol, Eoghan & Dowling, Michael, 2014. "Profitability and investment factors for UK asset pricing models," Economics Letters, Elsevier, vol. 125(3), pages 364-366.
- Nam Gang Lee, 2019. "Trend Growth Shocks and Asset Prices," Working Papers 2019-4, Economic Research Institute, Bank of Korea.
- 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).
- Hsu, Yen-Ju & Wang, Yanzhi, 2023. "Technology spillover, corporate investment, and stock returns," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 238-250.
- 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.
- 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.
- 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.
- 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.
- 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.
- Abdoh, Hussein, 2019. "Product market competition and earnings exposure to productivity shocks," Economics Letters, Elsevier, vol. 174(C), pages 31-34.
- Thorsten Hens & Sabine Elmiger, 2019. "Economic Foundations for Finance," Springer Texts in Business and Economics, Springer, number 978-3-030-05427-4, September.
- 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.
- Warusawitharana, Missaka, 2013. "The expected real return to equity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1929-1946.
- 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.
- Cho, Sungjun, 2013. "New return anomalies and new-Keynesian ICAPM," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 87-106.
- 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.
- Atanasov, Victoria, 2018. "World output gap and global stock returns," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 181-197.
- 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.
- Casey B. Mulligan, 2003. "Capital Tax Incidence: Fisherian Impressions from the Time Series," NBER Working Papers 9916, National Bureau of Economic Research, Inc.
- Filippo Ippolito & Alessandro Villa, 2022. "Levered Returns and Capital Structure Imbalances," Working Paper Series WP 2022-42, Federal Reserve Bank of Chicago.
- Roberto Steri, 2015. "Collateral-Based Asset Pricing," 2015 Meeting Papers 293, Society for Economic Dynamics.
- Lou, Dong, 2013. "Attracting investor attention through advertising," LSE Research Online Documents on Economics 54382, London School of Economics and Political Science, LSE Library.
- 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.
- Han, Chulwoo & Kang, Jangkoo & Kim, Sun Yung, 2022. "Betting against analyst target price," Journal of Financial Markets, Elsevier, vol. 59(PB).
- 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.
- 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 -.
- Willi Semmler, 2006.
"Asset Prices, Booms and Recessions,"
Springer Books,
Springer,
edition 0, number 978-3-540-24696-1, June.
- Willi Semmler, 2011. "Asset Prices, Booms and Recessions," Springer Books, Springer, number 978-3-642-20680-1, June.
- Toni M. Whited & Lu Zhang, 2006. "Testing the q-Theory of Anomalies," 2006 Meeting Papers 380, Society for Economic Dynamics.
- Kothari, Pratik & O’Doherty, Michael S., 2023. "Job postings and aggregate stock returns," Journal of Financial Markets, Elsevier, vol. 64(C).
- Filippo Ippolito & Roberto Steri & Claudio Tebaldi, 2011. "The Relative Leverage Premium," Working Papers 398, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- 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.
- 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.
- Bruno Feunou & Mohammad R. Jahan-Parvar & Cédric Okou, 2015. "Downside Variance Risk Premium," Staff Working Papers 15-36, Bank of Canada.
- Bruno Feunou & Mohammad Jahan-Parvar & Cedric Okou, 2015. "Downside Variance Risk Premium," Finance and Economics Discussion Series 2015-20, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Im, Hyun Joong & Park, Heungju, 2020. "Lumpy investment and expected stock returns," Economics Letters, Elsevier, vol. 193(C).
- 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.
- Emanuel Kopp, 2018. "Determinants of U.S. Business Investment," IMF Working Papers 2018/139, International Monetary Fund.
- Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
- 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.
- Mikhail Simutin & JessieJiaxu Wang & Lars Kuehn, 2014. "A Labor Capital Asset Pricing Model," 2014 Meeting Papers 695, Society for Economic Dynamics.
- 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.
- 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.
- Hsu, Po-Hsuan, 2009. "Technological innovations and aggregate risk premiums," Journal of Financial Economics, Elsevier, vol. 94(2), pages 264-279, November.
- 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.
- 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.
- 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.
- Xu, Fang, 2005.
"Does Consumption-Wealth Ratio Signal Stock Returns? VECM Results for Germany,"
Economics Working Papers
2005-02, Christian-Albrechts-University of Kiel, Department of Economics.
- Fang Xu, 2005. "Does Consumption-Wealth Ratio Signal Stock Returns? - VECM Results for Germany," Economics Bulletin, AccessEcon, vol. 3(30), pages 1-13.
- 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.
- 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.
- Baker, Steven D. & Hollifield, Burton & Osambela, Emilio, 2016. "Disagreement, speculation, and aggregate investment," Journal of Financial Economics, Elsevier, vol. 119(1), pages 210-225.
- 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.
- Lin, Xiaoji & Zhang, Lu, 2013. "The investment manifesto," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 351-366.
- 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.
- John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
- 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.
- 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.
- 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.
- Ho, Sin-Yu, 2017. "The Macroeconomic Determinants of Stock Market Development: Evidence from Malaysia," MPRA Paper 77232, University Library of Munich, Germany.
- Stephen Penman, 2016. "Valuation: Accounting for Risk and the Expected Return," Abacus, Accounting Foundation, University of Sydney, vol. 52(1), pages 106-130, March.
- Nektarios Aslanidis & Denise Osborn & Marianne Sensier, 2003. "Explaining movements in UK stock prices:," Working Papers 0302, University of Crete, Department of Economics.
- 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.
- Lu Zhang, 2005. "Anomalies," NBER Working Papers 11322, National Bureau of Economic Research, Inc.
- 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.
- 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).
- Parantap Basu, 1994. "Capital risk and consumption puzzles: A pedagogical note," Journal of Economics, Springer, vol. 60(1), pages 99-107, February.
- 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.
- 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.
- Long Chen & Lu Zhang, 2009. "The stock market and aggregate employment," NBER Working Papers 15219, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.).
- 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.
- 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.
- 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.
- Xiaoji Lin & Lu Zhang, 2011. "Covariances versus Characteristics in General Equilibrium," NBER Working Papers 17285, National Bureau of Economic Research, Inc.
- Vassalou, Maria & Li, Qing & Xing, Yuhang, 2001. "An Investment-Growth Asset Pricing Model," CEPR Discussion Papers 3058, C.E.P.R. Discussion Papers.
- 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.
- Hui Guo, 2002. "Stock market returns, volatility, and future output," Review, Federal Reserve Bank of St. Louis, vol. 84(Sep), pages 75-86.
- 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.
- Najeeb, Faiq & Masih, Mansur, 2016. "Macroeconomic variables and stock returns: evidence from Singapore," MPRA Paper 98778, University Library of Munich, Germany.
- Anusha Chari & Jennifer S. Rhee, 2020. "The Return to Capital in Capital-Scarce Countries," NBER Working Papers 27675, National Bureau of Economic Research, Inc.
- Otta, G.D. & Voss, G.M., 1996.
"Is Public capital Provision Efficient?,"
Papers
96/10, New South Wales - School of Economics.
- Otto, Glenn D. & Voss, Graham M., 1998. "Is public capital provision efficient?," Journal of Monetary Economics, Elsevier, vol. 42(1), pages 47-66, June.
- Hirshleifer, David & Hsu, Po-Hsuan & Li, Dongmei, 2013. "Innovative efficiency and stock returns," Journal of Financial Economics, Elsevier, vol. 107(3), pages 632-654.
- Chue, Timothy K. & Xu, Jin Karen, 2022. "Profitability, asset investment, and aggregate stock returns," Journal of Banking & Finance, Elsevier, vol. 143(C).
- Gao, Lin & Hitzemann, Steffen & Shaliastovich, Ivan & Xu, Lai, 2022. "Oil volatility risk," Journal of Financial Economics, Elsevier, vol. 144(2), pages 456-491.
- 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.
- Pujian Yang & Liu Yang, 2022. "Asset pricing and nominal price illusion in China," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-9, December.
- 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.
- 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.
- Li, Jay Y. & Mauer, David C., 2016. "Financing uncertain growth," Journal of Corporate Finance, Elsevier, vol. 41(C), pages 241-261.
- John H. Cochrane, 2013.
"Finance: Function Matters, Not Size,"
Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 29-50, Spring.
- John H. Cochrane, 2013. "Finance: Function Matters, not Size," NBER Working Papers 18944, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- Hou, Kewei & Mo, Haitao & Xue, Chen & Zhang, Lu, 2017.
"The Economics of Value Investing,"
Working Paper Series
2017-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2017. "The Economics of Value Investing," NBER Working Papers 23563, National Bureau of Economic Research, Inc.
- Francois Gourio, 2005.
"Operating Leverage, Stock Market Cyclicality, and the Cross-Section of Returns,"
2005 Meeting Papers
66, Society for Economic Dynamics.
- François Gourio, 2005. "Operating Leverage,Stock Market Cyclicality,and the Cross-Section of Returns," Boston University - Department of Economics - Working Papers Series WP2005-002, Boston University - Department of Economics.
- Zarifhonarvar, Ali, 2023. "The Capital Asset Pricing Model: A New Empirical Investigation," EconStor Preprints 268396, ZBW - Leibniz Information Centre for Economics.
- 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.
- Costa, Carlos Eugênio da & Issler, João Victor & Matos, Paulo Rogério Faustino, 2013.
"A note on the forward and the equity-premium puzzles: two symptoms of the same illness?,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
743, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- 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.
- 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.
- 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.
- Li, Jun & Wang, Huijun & Yu, Jianfeng, 2018. "Aggregate Expected Investment Growth and Stock Market Returns," ADBI Working Papers 808, Asian Development Bank Institute.
- 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.
- Gourio, François, 2011. "Putty-clay technology and stock market volatility," Journal of Monetary Economics, Elsevier, vol. 58(2), pages 117-131, March.
- 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.
- Diego Comin & Ana Maria Santacreu & Mark Gertler & Phuong Ngo, 2018. "Stock Price Fluctuations and Productivity Growth," 2018 Meeting Papers 1147, Society for Economic Dynamics.
- Menzie D. Chinn & Saad Quayyum, 2012. "Long Horizon Uncovered Interest Parity Re-Assessed," NBER Working Papers 18482, National Bureau of Economic Research, Inc.
- Wang, Qiao & Balvers, Ronald, 2021. "Determinants and predictability of commodity producer returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
- 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).
- Belo, Frederico & Yu, Jianfeng, 2013. "Government investment and the stock market," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 325-339.
- 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.
- 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.
- Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Sierimo, Carolina & Virén, Matti, 1995. "Financial factors and the macroeconomy," Bank of Finland Research Discussion Papers 34/1995, Bank of Finland.
- Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc.
- 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.
- Liu, Laura Xiaolei & Zhang, Lu, 2014. "A neoclassical interpretation of momentum," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 109-128.
- 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).
- 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.
- 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.
- Jin Ginger Wu & Lu Zhang & X. Frank Zhang, 2007. "Understanding the Accrual Anomaly," NBER Working Papers 13525, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Ball, Ray & Sadka, Gil, 2015. "Aggregate earnings and why they matter," Journal of Accounting Literature, Elsevier, vol. 34(C), pages 39-57.
- Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
- 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.
- Penman, Stephen & Zhu, Julie, 2022. "An accounting-based asset pricing model and a fundamental factor," Journal of Accounting and Economics, Elsevier, vol. 73(2).
- Dunbar, Geoffrey, 2013. "Returns-to-scale and the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1736-1754.
- Eisfeldt, Andrea L. & Muir, Tyler, 2016. "Aggregate external financing and savings waves," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 116-133.
- Eiji Goto, 2020. "Industry Impacts of Unconventional Monetary Policy," 2020 Papers pgo873, Job Market Papers.
- de Oliveira Souza, Thiago, 2019. "A critique of momentum anomalies," Discussion Papers on Economics 5/2019, University of Southern Denmark, Department of Economics.
- 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.
- 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.
- 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.
- Huang, Dayong & Wang, Fang, 2009. "Cash, investments and asset returns," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2301-2311, December.
- 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.
- 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.
- 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.
- 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.
- Qiang Kang, 2019. "Business-cycle pattern of asset returns: a general equilibrium explanation," Annals of Finance, Springer, vol. 15(4), pages 539-561, December.
- 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.
- 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.
- 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:
- Kohei Kubota & Mototsugu Fukushige, 2016.
"Rational Consumers,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57(1), pages 231-254, February.
- 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.
- Kohei Kubota & Mototsugu Fukushige, 2009. "Rational consumers," Discussion Papers in Economics and Business 09-15, Osaka University, Graduate School of Economics.
- 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.
- 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.
- Huseyin Murat Ozbilgin, 2009.
"Financial Market Participation and the Developing Country Business Cycle,"
Working Papers
0904, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- 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.
- Chong Wang & Neng Wang & Jinqiang Yang, 2013.
"Optimal Consumption and Savings with Stochastic Income and Recursive Utility,"
NBER Working Papers
19319, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Urban J. Jermann & Marianne Baxter, 1999. "Household Production and the Excess Sensitivity of Consumption to Current Income," American Economic Review, American Economic Association, vol. 89(4), pages 902-920, September.
- Kohei Kubota & Mototsugu Fukushige, 2016.
"Rational Consumers,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57(1), pages 231-254, February.
- 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.
- John H. Cochrane, 1991. "Volatility Tests and Efficient Markets: A Review Essay," NBER Working Papers 3591, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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:
- 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.
- Ben S. Bernanke & Ilian Mihov, 1998.
"The Liquidity Effect and Long-Run Neutrality,"
NBER Working Papers
6608, National Bureau of Economic Research, Inc.
- Bernanke, Ben S. & Mihov, Ilian, 1998. "The liquidity effect and long-run neutrality," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 149-194, December.
- Chiu, Jonathan, 2014.
"Endogenously Segmented Asset Market In An Inventory-Theoretic Model Of Money Demand,"
Macroeconomic Dynamics, Cambridge University Press, vol. 18(2), pages 438-472, March.
- Jonathan Chiu, 2007. "Endogenously Segmented Asset Market in an Inventory Theoretic Model of Money Demand," Staff Working Papers 07-46, Bank of Canada.
- Jonathan Chiu, 2005. "Endogenously Segmented Asset Market in an Inventory Theoretic Model of Money Demand," 2005 Meeting Papers 108, Society for Economic Dynamics.
- 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.
- Thornton, Daniel L., 2001. "The Federal Reserve's operating procedure, nonborrowed reserves, borrowed reserves and the liquidity effect," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1717-1739, September.
- 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.
- 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.
- Kaminsky, Graciela L. & Lewis, Karen K., 1996.
"Does foreign exchange intervention signal future monetary policy?,"
Journal of Monetary Economics, Elsevier, vol. 37(2-3), pages 285-312, April.
- Kaminsky, G.L. & Lewis, K.K., 1992. "Does Foreign Exchange Intervention Signal Future Monetary Policy?," Weiss Center Working Papers 93-3, Wharton School - Weiss Center for International Financial Research.
- 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.).
- Graciela Kaminsky & Karen K. Lewis, 1993. "Does Foreign Exchange Intervention Signal Future Monetary Policy?," NBER Working Papers 4298, National Bureau of Economic Research, Inc.
- Graciela L. Kaminsky & Karen K. Lewis, 1996. "Does foreign exchange intervention signal future monetary policy?," Working Papers 96-7, Federal Reserve Bank of Philadelphia.
- 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.
- Pami Dua & Nishita Raje, 2010. "Determinants of Weekly Yields on Government Securities in India," Working Papers id:2834, eSocialSciences.
- Kelly, Logan & Barnett, William A. & Keating, John W., 2010.
"Rethinking the Liquidity Puzzle: Application of a New Measure of the Economic Money Stock,"
MPRA Paper
22085, University Library of Munich, Germany.
- William Barnett & Logan Kelly & John Keating, 2010. "Rethinking the Liquidity Puzzle: Application of a New Measure of the Economic Money Stock," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201002, University of Kansas, Department of Economics, revised Apr 2010.
- 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.
- Kelly, Logan & Barnett, William A. & Keating, John, 2010. "Rethinking the liquidity puzzle: application of a new measure of the economic money stock," MPRA Paper 22087, University Library of Munich, Germany.
- 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.
- 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.
- Andreas Kettemann & Signe Krogstrup, 2013. "Portfolio balance effects of the SNB's bond purchase program," Working Papers 2013-01, Swiss National Bank.
- 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.
- 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.
- Tarhan, Vefa, 1995. "Does the federal reserve affect asset prices?," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 1199-1222.
- Michael Dotsey & Peter N. Ireland, 1994.
"Liquidity effects and transactions technologies,"
Proceedings, Federal Reserve Bank of Cleveland, pages 1441-1471.
- Dotsey, Michael & Ireland, Peter, 1995. "Liquidity Effects and Transactions Technologies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(4), pages 1441-1457, November.
- Michael Dotsey & Peter N. Ireland, 1993. "Liquidity effects and transactions technologies," Working Paper 93-01, Federal Reserve Bank of Richmond.
- 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.
- 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.
- Katrin Assenmacher & Stefan Gerlach, 2006. "Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland," Working Papers 2006-05, Swiss National Bank.
- Gerlach, Stefan & Assenmacher, Katrin, 2006. "Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland," CEPR Discussion Papers 5723, C.E.P.R. Discussion Papers.
- Leeper, Eric M. & Gordon, David B., 1992.
"In search of the liquidity effect,"
Journal of Monetary Economics, Elsevier, vol. 29(3), pages 341-369, June.
- 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.).
- David B. Gordon & Eric M. Leeper, 1991. "In search of the liquidity effect," FRB Atlanta Working Paper 91-17, Federal Reserve Bank of Atlanta.
- 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.
- 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.
- Pami Dua & Nishita Raje, 2023. "Determinants of Yields on Government Securities in India," Springer Books, in: Pami Dua (ed.), Macroeconometric Methods, chapter 0, pages 73-96, Springer.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.).
- Carpenter, Seth & Demiralp, Selva, 2006. "The Liquidity Effect in the Federal Funds Market: Evidence from Daily Open Market Operations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(4), pages 901-920, June.
- 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.
- 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.
- Monika Piazzesi, 2005. "Bond Yields and the Federal Reserve," Journal of Political Economy, University of Chicago Press, vol. 113(2), pages 311-344, April.
- 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.
- 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.
- Ben Fung & Rohit Gupta, 1995.
"Searching for the Liquidity Effect in Canada,"
Macroeconomics
9502004, University Library of Munich, Germany.
- Ben Fung & Rohit Gupta, "undated". "Searching for the Liquidity Effect in Canada," Staff Working Papers 94-12, Bank of Canada.
- 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.
- 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.
- 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).
- Bilan, Olena, 2005. "In search of the liquidity effect in Ukraine," Journal of Comparative Economics, Elsevier, vol. 33(3), pages 500-516, September.
- Leena Pasanen & Lasse Holmström, 2017. "Scale space multiresolution correlation analysis for time series data," Computational Statistics, Springer, vol. 32(1), pages 197-218, March.
- 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.
- 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.
- 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.
- 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.
- 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.
- Bona, Jerry L. & Li, Jenny X., 2001. "Stabilizing Monetary-Injection Policies," Journal of Economic Theory, Elsevier, vol. 98(1), pages 127-157, May.
- 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:
- Burnside, Craig, 1998. "Solving asset pricing models with Gaussian shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 329-340, March.
- Dew-Becker, Ian & Nathanson, Charles G., 2019.
"Directed attention and nonparametric learning,"
Journal of Economic Theory, Elsevier, vol. 181(C), pages 461-496.
- Ian Dew-Becker & Charles G. Nathanson, 2017. "Directed Attention and Nonparametric Learning," NBER Working Papers 23917, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- Rotemberg, Julio J., 1996. "Prices, output, and hours: An empirical analysis based on a sticky price model," Journal of Monetary Economics, Elsevier, vol. 37(3), pages 505-533, June.
- 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.
- 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).
- Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of US stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 04/13, Instituto Universitario de Análisis Económico y Social.
- 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.
- 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.
- Pedro H. Albuquerque, 2005.
"Optimal Time Interval Selection in Long-Run Correlation Estimation,"
Econometrics
0511017, University Library of Munich, Germany, revised 27 Nov 2005.
- 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.
- Pedro Albuquerque, 2020. "Optimal Time Interval Selection in Long-Run Correlation Estimation," Post-Print hal-02482675, HAL.
- John H. Cochrane, 1999.
"Portfolio Advice for a Multifactor World,"
NBER Working Papers
7170, National Bureau of Economic Research, Inc.
- John H. Cochrane, 1999. "Portfolio advice of a multifactor world," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 59-78.
- 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.
- 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.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate variance ratio statistics," CeMMAP working papers 29/14, Institute for Fiscal Studies.
- Otto, Glenn & Voss, Graham M., 1995. "Consumption, external assets and the real interest rate," Journal of Macroeconomics, Elsevier, vol. 17(3), pages 471-494.
- 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.
- Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of US stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 04/13, Instituto Universitario de Análisis Económico y Social.
- 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 1305, Department of Applied Economics II, Universidad de Valencia.
- 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.
- 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.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate Variance Ratio Statistics," Cambridge Working Papers in Economics 1459, Faculty of Economics, University of Cambridge.
- 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.
- Corbae, Dean & Ouliaris, Sam & Phillips, Peter C B, 1994. "A Reexamination of the Consumption Function Using Frequency Domain Regressions," Empirical Economics, Springer, vol. 19(4), pages 595-609.
- 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.
- John H. Cochrane, 1989. "Explaining the Variance of Price Dividend Ratios," NBER Working Papers 3157, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Carlo Altavilla & Domenico Giannone & Michèle Modugno, 2014.
"Low Frequency Effects of Macroeconomic News on Government Bond Yields,"
Working Papers ECARES
ECARES 2014-34, ULB -- Universite Libre de Bruxelles.
- Altavilla, Carlo & Giannone, Domenico & Modugno, Michele, 2017. "Low frequency effects of macroeconomic news on government bond yields," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 31-46.
- 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.).
- Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," CSEF Working Papers 372, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- 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.
- 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).
- Han, Hsiang-Ling & Ogaki, Masao, 1997. "Consumption, income and cointegration," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 107-117.
- Henin Pierre-yves & Jobert Thomas, 1991. "An okun's law approach to unemployment persistence," CEPREMAP Working Papers (Couverture Orange) 9108, CEPREMAP.
- 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.
- 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.
- Martin Schmidt, 2003. "Money and prices: evidence from the G7 countries," Applied Economics, Taylor & Francis Journals, vol. 35(17), pages 1799-1809.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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:
- 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.
- Tom Doan, "undated". "RATS programs to replicate Perron-Wada state space model," Statistical Software Components RTZ00133, Boston College Department of Economics.
- Pierre Perron† & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP?," Boston University - Department of Economics - Working Papers Series WP2005-031, Boston University - Department of Economics, revised Oct 2005.
- Pierre Perron & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP," Boston University - Department of Economics - Working Papers Series wp2009-006, Boston University - Department of Economics, revised Feb 2009.
- 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.
- Shibamoto, Masahiko & Hayaki, Shoka & Ogisu, Yoshitaka, 2022. "COVID-19 infection spread and human mobility," Journal of the Japanese and International Economies, Elsevier, vol. 64(C).
- 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.
- Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-673, September.
- Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
- Malliaropulos, Dimitrios & Priestley, Richard, 1999. "Mean reversion in Southeast Asian stock markets," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 355-384, October.
- John Y. Campbell & Pierre Perron, 1991.
"Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots,"
NBER Technical Working Papers
0100, National Bureau of Economic Research, Inc.
- John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
- Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
- Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
- Hassler, Uwe, 2012. "Impulse responses of antipersistent processes," Economics Letters, Elsevier, vol. 116(3), pages 454-456.
- 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.
- 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.
- Chunsheng Zhou, 1996. "Forecasting long- and short-horizon stock returns in a unified framework," Finance and Economics Discussion Series 96-4, Board of Governors of the Federal Reserve System (U.S.).
- Andreas Fuster & Benjamin Hebert & David Laibson, 2011.
"Natural Expectations, Macroeconomic Dynamics, and Asset Pricing,"
NBER Working Papers
17301, National Bureau of Economic Research, Inc.
- Fuster, Andreas & Herbert, Benjamin & Laibson, David I., 2011. "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," Scholarly Articles 10140029, Harvard University Department of Economics.
- 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.
- Andreas Fuster & Benjamin Hebert & David Laibson, 2011. "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 1-48, National Bureau of Economic Research, Inc.
- 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.
- Campbell, John Y., 2001.
"Why long horizons? A study of power against persistent alternatives,"
Journal of Empirical Finance, Elsevier, vol. 8(5), pages 459-491, December.
- 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.
- Campbell, John, 2001. "Why Long Horizons? A Study of Power Against Persistent Alternatives," Scholarly Articles 3196341, Harvard University Department of Economics.
- Reinhart, Carmen & Calvo, Guillermo & Vegh, Carlos, 1994.
"Targeting the real exchange rate,"
MPRA Paper
13765, University Library of Munich, Germany.
- Calvo, Guillermo A. & Reinhart, Carmen M. & Vegh, Carlos A., 1995. "Targeting the real exchange rate: theory and evidence," Journal of Development Economics, Elsevier, vol. 47(1), pages 97-133, June.
- Reinhart, Carmen & Calvo, Guillermo & Vegh, Carlos, 1994. "Targeting the real exchange rate: Theory and evidence," MPRA Paper 13412, University Library of Munich, Germany.
- Bordo, Michael D. & Jonung, Lars, 1990.
"The long-run behavior of velocity: The institutional approach revisited,"
Journal of Policy Modeling, Elsevier, vol. 12(2), pages 165-197.
- 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.
- 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.
- Tortorice, Daniel L., 2014. "Credit Constraints, Learning, And Aggregate Consumption Volatility," Macroeconomic Dynamics, Cambridge University Press, vol. 18(2), pages 338-368, March.
- Daniel L. Tortorice, 2010. "Credit Constraints, Learning, and Aggregate Consumption Volatility," 2010 Meeting Papers 738, Society for Economic Dynamics.
- 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.
- 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.
- Penasse, J.N.G. & Renneboog, L.D.R., 2014. "Bubbles and Trading Frenzies : Evidence from the Art Market," Discussion Paper 2014-068, Tilburg University, Center for Economic Research.
- Penasse, J.N.G. & Renneboog, L.D.R., 2014. "Bubbles and Trading Frenzies : Evidence from the Art Market," Discussion Paper 2014-046, Tilburg University, Tilburg Law and Economic Center.
- Penasse, J.N.G. & Renneboog, L.D.R., 2014. "Bubbles and Trading Frenzies : Evidence from the Art Market," Other publications TiSEM bf0d8984-df7f-4f02-afc7-3, Tilburg University, School of Economics and Management.
- Agustin Roitman & Christian Daude, 2011. "Imperfect Information and Saving in a Small Open Economy," IMF Working Papers 2011/060, International Monetary Fund.
- 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.
- 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 WP2005-43, Boston University - Department of Economics.
- 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.
- Reinhart, Carmen & Vegh, Carlos, 1994. "Intertemporal consumption substitution and inflation stabilization:An empirical investigation," MPRA Paper 13427, University Library of Munich, Germany.
- Reinhart, Carmen & Vegh, Carlos, 1994. "Inflation stabilization in chronic inflation countries: The empirical evidence," MPRA Paper 13689, University Library of Munich, Germany.
- Filippo Altissimo & Giovanni L. Violante, 2001.
"The non-linear dynamics of output and unemployment in the U.S,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 461-486.
- 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.
- 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).
- Giorgio Fagiolo & Daniele Giachini & Andrea Roventini, 2020. "Innovation, finance, and economic growth: an agent-based approach," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 703-736, July.
- Giorgio Fagiolo & Daniele Giachini & Andrea Roventini, 2017. "Innovation, Finance, and Economic Growth: An Agent-Based Approach," LEM Papers Series 2017/30, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- 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.
- 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.
- Jose Luengo-Prado, Maria, 2006.
"Durables, nondurables, down payments and consumption excesses,"
Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1509-1539, October.
- Maria J. Luengo-Prado, 2004. "Durables, Nondurables, Down Payments and Consumption Excesses," Macroeconomics 0408006, University Library of Munich, Germany.
- 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.
- 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.
- Luis Eduardo Arango T., 1998. "Some Univariate Time Series Properties Of Output," Borradores de Economia 3516, Banco de la Republica.
- Luis Eduardo Arango, 1998. "Some Univariate Time Series Properties of Output," Borradores de Economia 100, Banco de la Republica de Colombia.
- Cribari-Neto, Francisco, 1996. "On time series econometrics," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(Supplemen), pages 37-60.
- 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.
- Tortorice, Daniel L., 2018. "Equity return predictability, time varying volatility and learning about the permanence of shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 315-343.
- Christina D. Romer and David H. Romer., 1989.
"Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz,"
Economics Working Papers
89-107, University of California at Berkeley.
- Christina D. Romer & David H. Romer, 1989. "Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz," NBER Working Papers 2966, National Bureau of Economic Research, Inc.
- Romer, Christina D. & Romer, David H., 1989. "Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz," Department of Economics, Working Paper Series qt5h07k8vf, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- 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.
- 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.
- Perron, Pierre & Wada, Tatsuma, 2016. "Measuring business cycles with structural breaks and outliers: Applications to international data," Research in Economics, Elsevier, vol. 70(2), pages 281-303.
- Tatsuma Wada & Pierre Perron, 2014. "Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data," Boston University - Department of Economics - Working Papers Series 2014-004, Boston University - Department of Economics.
- 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.
- Valeriy Zakamulin, 2012. "Low-Frequency Waves and the Medium to Long-Term US Stock Market Outlook," Papers 1203.2250, arXiv.org, revised Jan 2013.
- 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.
- Hanck, Christoph & Czudaj, Robert, 2013.
"Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation,"
Ruhr Economic Papers
434, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Christoph Hanck & Robert Czudaj, 2015. "Nonstationary-volatility robust panel unit root tests and the great moderation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(2), pages 161-187, April.
- 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.
- Mr. Paul Cashin & Mr. C. John McDermott, 1998.
"Terms of Trade Shocks and the Current Account,"
IMF Working Papers
1998/177, International Monetary Fund.
- 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.
- 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.
- Benhabib, Jess & Jovanovic, Boyan, 1991.
"Externalities and Growth Accounting,"
American Economic Review, American Economic Association, vol. 81(1), pages 82-113, March.
- Jess Benhabib & Boyan Jovanovic, 1989. "Externalities and Growth Accounting," NBER Working Papers 3190, National Bureau of Economic Research, Inc.
- Jean-Marie DUFOUR & Lynda KHALAF & Marcel VOIA, 2013.
"Finite-Sample Resampling-Based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability,"
Cahiers de recherche
13-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- 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.
- 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.
- 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.
- 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.
- Barnett, William A. & Serletis, Apostolos & Serletis, Demitre, 2015. "Nonlinear And Complex Dynamics In Economics," Macroeconomic Dynamics, Cambridge University Press, vol. 19(8), pages 1749-1779, December.
- William A. Barnett & Alfredo Medio & Apostolos Serletis, 1997. "Nonlinear and Complex Dynamics in Economics," Econometrics 9709001, University Library of Munich, Germany.
- Barnett, William A. & Serletis, Apostolos & Serletis, Demitre, 2012. "Nonlinear and Complex Dynamics in Economics," MPRA Paper 41245, University Library of Munich, Germany.
- William Barnett & Alfredo Medio & Apostolos Serletis, 2012. "Nonlinear And Complex Dynamics In Economics," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201223, University of Kansas, Department of Economics, revised Sep 2012.
- 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).
- 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).
- Wagner, Alexander F. & Zeckhauser, Richard & Ziegler, Alexandre, 2018.
"Paths to Convergence: Stock Price Behavior After Donald Trump's Election,"
CEPR Discussion Papers
12657, C.E.P.R. Discussion Papers.
- Wagner, Alexander F. & Zeckhauser, Richard J. & Ziegler, Alexandre, 2017. "Paths to Convergence: Stock Price Behavior after Donald Trump's Election," Working Paper Series rwp17-039, Harvard University, John F. Kennedy School of Government.
- 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.
- 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.
- Luger, Richard, 2003. "Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 115(2), pages 259-276, August.
- 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.
- Asea, Patrick K & Reinhart, Carmen M, 1996. "Le Prix de l'Argent: How (Not) to Deal with Capital Inflows," Journal of African Economies, Centre for the Study of African Economies, vol. 5(3), pages 231-271, October.
- Reinhart, Carmen & Asea, Patrick, 1995. "Real interest rate differentials and the real exchange rate: Evidence from four African countries," MPRA Paper 13357, University Library of Munich, Germany.
- 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.
- 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.
- Reinhart, Carmen & Wickham, Peter, 1994. "Non-oil commodity prices: Cyclical weakness or secular decline?," MPRA Paper 13871, University Library of Munich, Germany.
- Reinhart, Carmen & Wickham, Peter, 1994. "Commodity Prices: Cyclical Weakness or Secular Decline?," MPRA Paper 8173, University Library of Munich, Germany.
- Mr. Peter Wickham & Ms. Carmen Reinhart, 1994. "Commodity Prices: Cyclical Weakness or Secular Decline?," IMF Working Papers 1994/007, International Monetary Fund.
- Michelacci, Claudio & Zaffaroni, Paolo, 2000.
"(Fractional) beta convergence,"
Journal of Monetary Economics, Elsevier, vol. 45(1), pages 129-153, February.
- Michelacci, C. & Zaffaroni, P., 2000. "(Fractional) Beta Convergence," Papers 383, Banca Italia - Servizio di Studi.
- Michelacci, C. & Zaffaroni, P., 1998. "(Fractional) Beta Convergence," Papers 9803, Centro de Estudios Monetarios Y Financieros-.
- Claudio Michelacci & Paolo Zaffaroni, 1998. "(Fractional) Beta Convergence," Working Papers wp1998_9803, CEMFI.
- Claudio Michelacci & Paolo Zaffaroni, 2000. "(Fractional) Beta Convergence," Temi di discussione (Economic working papers) 383, Bank of Italy, Economic Research and International Relations Area.
- Hashem Dezhbakhsh & Daniel Levy, 2005.
"Periodic Properties of Interpolated Time Series,"
Econometrics
0505004, University Library of Munich, Germany.
- Dezhbakhsh, Hashem & Levy, Daniel, 1994. "Periodic Properties of Interpolated Time Series," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 44(3), pages 221-228.
- Hashem Dezhbakhsh & Daniel Levy, 1994. "Periodic properties of interpolated time series," Post-Print hal-02382750, HAL.
- Dezhbakhsh, Hashem & Levy, Daniel, 1994. "Periodic properties of interpolated time series," Economics Letters, Elsevier, vol. 44(3), pages 221-228.
- Philippe Aghion & Peter Howitt, 1990.
"A Model of Growth Through Creative Destruction,"
NBER Working Papers
3223, National Bureau of Economic Research, Inc.
- Aghion, Philippe & Howitt, Peter, 1992. "A Model of Growth Through Creative Destruction," Scholarly Articles 12490578, Harvard University Department of Economics.
- Aghion, P. & Howitt, P., 1990. "A Model Of Growth Through Creative Destruction," DELTA Working Papers 90-12, DELTA (Ecole normale supérieure).
- Aghion, P. & Howitt, P., 1989. "A Model Of Growth Through Creative Destruction," University of Western Ontario, Departmental Research Report Series 8904, University of Western Ontario, Department of Economics.
- Aghion, Philippe & Howitt, Peter, 1992. "A Model of Growth through Creative Destruction," Econometrica, Econometric Society, vol. 60(2), pages 323-351, March.
- Aghion, P. & Howitt, P., 1989. "A Model Of Growth Through Creative Destruction," Working papers 527, Massachusetts Institute of Technology (MIT), Department of Economics.
- Leiderman, Leonardo & Liviatan, Nissan, 1989. "Macroeconomic performance before and after disinflation in Israel," Policy Research Working Paper Series 311, The World Bank.
- 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.
- Antonio Fatás, 2002. "The Effects of Business Cycles on Growth," Working Papers Central Bank of Chile 156, Central Bank of Chile.
- Danny Quah, 1991.
"The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds,"
FMG Discussion Papers
dp126, Financial Markets Group.
- Quah, Danny, 1992. "The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds," Econometrica, Econometric Society, vol. 60(1), pages 107-118, January.
- Danny Quah, 1991. "The Relative Importance of Permanent and Transitory Components: Identi- fication and Some Theoretical Bounds," NBER Technical Working Papers 0106, National Bureau of Economic Research, Inc.
- Danny Quah, 1988. "The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds," Working papers 498, Massachusetts Institute of Technology (MIT), Department of Economics.
- Jozef Barunik & Lukas Vacha, 2023. "The Dynamic Persistence of Economic Shocks," Papers 2306.01511, arXiv.org.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- David Greasley & Les Oxley, 2010. "Cliometrics And Time Series Econometrics: Some Theory And Applications," Journal of Economic Surveys, Wiley Blackwell, vol. 24(5), pages 970-1042, December.
- 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.
- 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.
- Yoon, Byung-Sam & Brorsen, B. Wade, 2005. "Can Multiyear Rollover Hedging Increase Mean Returns?," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 37(1), pages 65-78, April.
- 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.
- Ángel Guillén & Gabriel Rodríguez, 2013. "Trend-cycle decomposition for Peruvian GDP: Application of an alternative method," Documentos de Trabajo / Working Papers 2013-368, Departamento de Economía - Pontificia Universidad Católica del Perú.
- 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.
- Engel, C., 1996.
"Long-Run PPP May Not Hold After All,"
Working Papers
96-05, University of Washington, Department of Economics.
- Engel, C., 1996. "Long-Run PPP May Not Hold After All," Discussion Papers in Economics at the University of Washington 96-05, Department of Economics at the University of Washington.
- Charles Engel, 1998. "Long-Run PPP May Not Hold After All," Working Papers 0050, University of Washington, Department of Economics.
- Charles Engel, 1996. "Long-Run PPP May Not Hold After All," NBER Working Papers 5646, National Bureau of Economic Research, Inc.
- Charles Engel, 1998. "Long-Run PPP May Not Hold After All," Discussion Papers in Economics at the University of Washington 0050, Department of Economics at the University of Washington.
- Engel, Charles, 2000. "Long-run PPP may not hold after all," Journal of International Economics, Elsevier, vol. 51(2), pages 243-273, August.
- Daniel Levy & Haiwei Chen, 1994.
"Estimates Of The Aggregate Quarterly Capital Stock For The Post‐War U.S. Economy,"
Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 40(3), pages 317-349, September.
- Daniel Levy & Haiwei Chen, 2005. "Estimates of the Aggregate Quarterly Capital Stock for the Post- War U.S. Economy," Others 0505008, University Library of Munich, Germany, revised 16 May 2005.
- 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.
- Daniel Levy & Haiwei Chen, 1994. "Estimates Of The Aggregate Quarterly Capital Stock For The Post-War U.S. Economy," Post-Print hal-02382769, HAL.
- Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2008.
"Are output growth-rate distributions fat-tailed? some evidence from OECD countries,"
Post-Print
hal-03417062, HAL.
- Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2006. "Are output growth-rate distributions fat-tailed? Some evidence from OECD countries," SciencePo Working papers Main hal-01065643, HAL.
- Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2006. "Are output growth-rate distributions fat-tailed? Some evidence from OECD countries," Working Papers hal-01065643, HAL.
- Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2006. "Are Output Growth-Rate Distributions Fat-Tailed? Some Evidence from OECD Countries," Working Papers 36/2006, University of Verona, Department of Economics.
- Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2008. "Are output growth-rate distributions fat-tailed? some evidence from OECD countries," SciencePo Working papers Main hal-03417062, HAL.
- Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2006. "Are Output Growth-Rate Distributions Fat-Tailed? Some Evidence from OECD Countries," LEM Papers Series 2006/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2008. "Are output growth-rate distributions fat-tailed? some evidence from OECD countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 639-669.
- Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2006. "Are output growth-rate distributions fat-tailed? Some evidence from OECD countries," Sciences Po publications 36, Sciences Po.
- Kenneth A. Froot, 2019.
"Currency Hedging Over Long Horizons,"
Annals of Economics and Finance, Society for AEF, vol. 20(1), pages 37-66, May.
- Kenneth A. Froot, 1993. "Currency Hedging over Long Horizons," NBER Working Papers 4355, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Frédéric Dufourt & Kazuo Nishimura & Alain Venditti, 2022. "Expectations, self-fulfilling prophecies and the business cycle," Working Papers hal-03923946, HAL.
- 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.
- Fagiolo, Giorgio & Dosi, Giovanni, 2003. "Exploitation, exploration and innovation in a model of endogenous growth with locally interacting agents," Structural Change and Economic Dynamics, Elsevier, vol. 14(3), pages 237-273, September.
- 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.
- 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.
- Mankiw, N. Gregory & Campbell, John, 1987.
"Permanent and Transitory Components in Macroeconomic Fluctuations,"
Scholarly Articles
3207697, Harvard University Department of Economics.
- John Y. Campbell & N. Gregory Mankiw, 1987. "Permanent and Transitory Components in Macroeconomic Fluctuations," NBER Working Papers 2169, National Bureau of Economic Research, Inc.
- Campbell, John Y & Mankiw, N Gregory, 1987. "Permanent and Transitory Components in Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 77(2), pages 111-117, May.
- 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.
- Campbell, John & Cochrane, John H., 1999.
"By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior,"
Scholarly Articles
3119444, Harvard University Department of Economics.
- 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.
- 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.
- 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.
- 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.
- 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..
- Mark Aguiar & Gita Gopinath, 2007.
"Emerging Market Business Cycles: The Cycle Is the Trend,"
Journal of Political Economy, University of Chicago Press, vol. 115(1), pages 69-102.
- Mark Aguiar & Gita Gopinath, 2004. "Emerging Market Business Cycles: The Cycle is the Trend," NBER Working Papers 10734, National Bureau of Economic Research, Inc.
- Mark Aguiar & Gita Gopinath, 2004. "Emerging market business cycles: the cycle is the trend," Working Papers 04-4, Federal Reserve Bank of Boston.
- Aguiar, Mark & Gopinath, Gita, 2007. "Emerging Market Business Cycles: The Cycle is the Trend," Scholarly Articles 11988098, Harvard University Department of Economics.
- 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.
- Durlauf, Steven N., 1991.
"Spectral based testing of the martingale hypothesis,"
Journal of Econometrics, Elsevier, vol. 50(3), pages 355-376, December.
- Steven N. Durlauf, 1992. "Spectral Based Testing of the Martingale Hypothesis," NBER Technical Working Papers 0090, National Bureau of Economic Research, Inc.
- 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.
- Marlon Fritz & Thomas Gries & Yuanhua Feng, 2016. "Growth Trends and Systematic Patterns of Booms and Busts - Testing 200 Years of Business Cycle Dynamics -," Working Papers CIE 96, Paderborn University, CIE Center for International Economics.
- 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.
- Yue, Vivian Z., 2010.
"Sovereign default and debt renegotiation,"
Journal of International Economics, Elsevier, vol. 80(2), pages 176-187, March.
- Vivian Z. Yue, 2005. "Sovereign Default and Debt Renegotiation," 2005 Meeting Papers 138, Society for Economic Dynamics.
- Engel, C., 1996.
"Accounting for U.S. Real Exchange Rate Changes,"
Discussion Papers in Economics at the University of Washington
96-02, Department of Economics at the University of Washington.
- Charles Engel, 1999. "Accounting for U.S. Real Exchange Rate Changes," Journal of Political Economy, University of Chicago Press, vol. 107(3), pages 507-538, June.
- Charles Engel, 1995. "Accounting for U.S. Real Exchange Rate Changes," NBER Working Papers 5394, National Bureau of Economic Research, Inc.
- Engel, C., 1996. "Accounting for U.S. Real Exchange Rate Changes," Working Papers 96-02, University of Washington, Department of Economics.
- 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.
- 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.
- James Morley & Charles Nelson & Eric Zivot, 2003. "Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different?," Working Papers UWEC-2002-18-P, University of Washington, Department of Economics.
- James C. Morley & Charles Nelson & Eric Zivot, 2000. "Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?," Working Papers 0013, University of Washington, Department of Economics.
- Charles Nelson & Eric Zivot, 2000. "Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different?," Econometric Society World Congress 2000 Contributed Papers 0692, Econometric Society.
- James C. Morley & Charles R. Nelson & Eric Zivot, 2003. "Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 235-243, May.
- James C. Morley & Charles Nelson & Eric Zivot, 2000. "Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?," Discussion Papers in Economics at the University of Washington 0013, Department of Economics at the University of Washington.
- Deo, Rohit S., 2000. "Spectral tests of the martingale hypothesis under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 99(2), pages 291-315, December.
- Diebold & Senhadji, "undated".
"Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again,"
Home Pages
_054, University of Pennsylvania.
- 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.
- 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.
- 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.
- 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.
- 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.
- Robert G. King, 1995. "Quantitative theory and econometrics," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 53-105.
- Akdi, Yilmaz & Varlik, Serdar & Berument, M. Hakan, 2020. "Duration of Global Financial Cycles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Giorgio Fazio & Ronald MacDonald & Jacques Melitz, 2005.
"Trade Costs, Trade Balances and Current Accounts: An Application of Gravity to Multilateral Trade,"
CESifo Working Paper Series
1529, CESifo.
- Giorgio Fazio & Ronald MacDonald & Jacques Melitz, 2007. "Trade Costs, Trade Balances And Current Accounts: An Application Of Gravity To Multilateral Trade," Working Papers 2007_18, Business School - Economics, University of Glasgow.
- 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.
- Giorgio Fazio & Ronald Mac Donald & Jacques Melitz, 2005. "Trade Costs, Trade Balances and Current Accounts : An Application of Gravity to Multilateral Trade," Working Papers 2005-12, Center for Research in Economics and Statistics.
- Giorgio Fazio & Ronald MacDonald & Jacques Melitz, 2008. "Trade Costs, Trade Balances and Current Accounts: An Application of Gravity to Multilateral Trade," Open Economies Review, Springer, vol. 19(5), pages 557-578, November.
- 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.
- Chatterji, Monojit & Choudhury, Homagni, 2010. "Growth Rate Estimation in the presence of Unit Roots," SIRE Discussion Papers 2010-92, Scottish Institute for Research in Economics (SIRE).
- 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.
- 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.
- Francis X. Diebold & Jose A. Lopez, 1996.
"Forecast Evaluation and Combination,"
NBER Technical Working Papers
0192, National Bureau of Economic Research, Inc.
- Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
- 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.
- Mario Forni & Lucrezia Reichlin, 1999.
"Risk and potential insurance in Europe,"
ULB Institutional Repository
2013/10145, ULB -- Universite Libre de Bruxelles.
- Forni, Mario & Reichlin, Lucrezia, 1999. "Risk and potential insurance in Europe," European Economic Review, Elsevier, vol. 43(7), pages 1237-1256, June.
- Ellison, Martin & Scott, Andrew, 2017.
"Managing the UK National Debt 1694-2017,"
CEPR Discussion Papers
12304, C.E.P.R. Discussion Papers.
- Martin Ellison & Andrew Scott, 2017. "Managing the UK National Debt 1694-2017," Economics Series Working Papers 833, University of Oxford, Department of Economics.
- Martin Ellison & Andrew Scott, 2017. "Managing the UK National Debt 1694-2017," Discussion Papers 1727, Centre for Macroeconomics (CFM).
- Ellison, Martin & Scott, Andrew, 2017. "Managing the UK National Debt 1694-2017," LSE Research Online Documents on Economics 86148, London School of Economics and Political Science, LSE Library.
- 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.
- Reinhart, Carmen & Calvo, Guillermo & Vegh, Carlos, 1994. "La tasa de cambio real como meta de política: teoría y evidencia [Targeting the real exchange rate: Theory and evidence]," MPRA Paper 13468, University Library of Munich, Germany.
- 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 República, vol. 13(25), pages 7-50, June.
- John H. Cochrane, 2016. "The Habit Habit," Economics Working Papers 16105, Hoover Institution, Stanford University.
- 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.
- Trenkler, Carsten & Weber, Enzo, 2016.
"On the identification of multivariate correlated unobserved components models,"
Economics Letters, Elsevier, vol. 138(C), pages 15-18.
- Trenkler, Carsten & Weber, Enzo, 2015. "On the identification of multivariate correlated unobserved components models," Working Papers 15-12, University of Mannheim, Department of Economics.
- Pok-sang Lam & Stephen G. Cecchetti & Nelson C. Mark, 2000.
"Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?,"
American Economic Review, American Economic Association, vol. 90(4), pages 787-805, September.
- 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.
- Massimo Caruso, 2004. "Infrequent Shocks, Output Persistence and Economic Growth," Manchester School, University of Manchester, vol. 72(2), pages 243-260, March.
- 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.
- Daniel Levy & Hashem Dezhbakhsh, 2003. "On the typical spectral shape of an economic variable," Applied Economics Letters, Taylor & Francis Journals, vol. 10(7), pages 417-423.
- Daniel Levy & Hashem Dezhbakhsh, 2002. "On the Typical Spectral Shape of an Economic Variable," Working Papers 2002-16, Bar-Ilan University, Department of Economics.
- Daniel Levy & Hashem Dezhbakhsh, 2003. "On the typical spectral shape of an economic variable," Post-Print hal-02386554, HAL.
- Daniel Levy & Hashem Dezhbakhsh, 2004. "On the Typical Spectral Shape of an Economic Variable," Macroeconomics 0402017, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- 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.
- Joseph De Juan & John Seater, 1997. "A Cross-country Test of the Permanent Income Hypothesis," International Review of Applied Economics, Taylor & Francis Journals, vol. 11(3), pages 451-468.
- Robert J. Barro, 2006.
"On the Welfare Costs of Consumption Uncertainty,"
NBER Working Papers
12763, National Bureau of Economic Research, Inc.
- Barro, Robert, 2006. "On the Welfare Costs of Consumption Uncertainty," Scholarly Articles 3224745, Harvard University Department of Economics.
- Raphael Bergoeing & Felipe Morandé & Raimundo Soto., "undated".
"Asset prices in Chile: facts and fads,"
ILADES-UAH Working Papers
inv115, Universidad Alberto Hurtado/School of Economics and Business.
- 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.
- Pham, Binh Thai & Sala, Hector & Silva, José I., 2020.
"Growth and real business cycles in Vietnam and the Asean-5. Does the trend shock matter?,"
Economic Systems, Elsevier, vol. 44(1).
- 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.
- 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.
- 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.
- Lawrence J. Christiano & Martin S. Eichenbaum, 1990. "Unit roots in real GNP: do we know, and do we care?," Working Paper Series, Macroeconomic Issues 90-2, Federal Reserve Bank of Chicago.
- Lawrence J. Christiano & Martin S. Eichenbaum, 1989. "Unit roots in real GNP: do we know, and do we care?," Discussion Paper / Institute for Empirical Macroeconomics 18, Federal Reserve Bank of Minneapolis.
- Lawrence J. Christiano & Martin Eichenbaum, 1989. "Unit Roots in Real GNP: Do We Know, and Do We Care?," NBER Working Papers 3130, National Bureau of Economic Research, Inc.
- 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.
- Pedro H. Albuquerque, 2005.
"Optimal Time Interval Selection in Long-Run Correlation Estimation,"
Econometrics
0511017, University Library of Munich, Germany, revised 27 Nov 2005.
- 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.
- Pedro Albuquerque, 2020. "Optimal Time Interval Selection in Long-Run Correlation Estimation," Post-Print hal-02482675, HAL.
- 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.
- Laibson, David I. & Fuster, Andreas & Mendel, Brock, 2010. "Natural Expectations and Macroeconomic Fluctuations," Scholarly Articles 9938147, Harvard University Department of Economics.
- 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.
- Bley, Jorg, 2011. "Are GCC stock markets predictable?," Emerging Markets Review, Elsevier, vol. 12(3), pages 217-237, September.
- 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.
- 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.
- Giorgio Fagiolo & Daniele Giachini & Andrea Roventini, 2017. "Innovation, Finance, and Economic Growth : an agent-based model," Working Papers hal-03455400, HAL.
- Giorgio Fagiolo & Daniele Giachini & Andrea Roventini, 2017. "Innovation, Finance, and Economic Growth : an agent-based model," SciencePo Working papers Main hal-03455400, HAL.
- 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.
- 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.
- Silvana Bartoletto & Bruno Chiarini & Elisabetta Marzano & Paolo Piselli, 2015. "Business Cycles, Credit Cycles and Bank Holdings of Sovereign Bonds: Historical Evidence for Italy 1861-2013," CESifo Working Paper Series 5318, CESifo.
- F. Goerlich, 1991. "Persistencia en las fluctuaciones económicas: evidencia para el caso español," Investigaciones Economicas, Fundación SEPI, vol. 15(1), pages 193-202, January.
- 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.
- Oliver Linton & Katja Smetanina, 2015. "Mean Ratio Statistic for measuring predictability," CeMMAP working papers 08/15, Institute for Fiscal Studies.
- 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.
- 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.
- 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.
- Crafts, N.F.R. & Mills, T.C., 1990. "British Economic Fluctuations, 1851-1913: A Perspective Based On Growth Theory," The Warwick Economics Research Paper Series (TWERPS) 362, University of Warwick, Department of Economics.
- 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.
- Dezhbakhsh, Hashem & Levy, Daniel, 2022.
"Interpolation and Shock Persistence of Prewar U.S. Macroeconomic Time Series: A Reconsideration,"
MPRA Paper
112493, University Library of Munich, Germany.
- Dezhbakhsh, Hashem & Levy, Daniel, 2022. "Interpolation and shock persistence of prewar U.S. macroeconomic time series: A reconsideration," Economics Letters, Elsevier, vol. 213(C).
- Dezhbakhsh, Hashem & Levy, Daniel, 2022. "Interpolation and shock persistence of prewar U.S. macroeconomic time series: A reconsideration," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 213.
- 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.
- Hashem Dezhbakhsh & Daniel Levy, 2022. "Interpolation and shock persistence of prewar U.S. macroeconomic time series: A reconsideration," Working Paper series 22-05, Rimini Centre for Economic Analysis.
- 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.
- Taylor, Mark & Sarno, Lucio, 2001. "Purchasing Power Parity and the Real Exchange Rate," CEPR Discussion Papers 2913, C.E.P.R. Discussion Papers.
- García-Verdú Santiago, 2010. "Equilibrium yield curves under regime switching," Working Papers 2010-08, Banco de México.
- 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.
- 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.
- Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-270, July.
- Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
- Gary D. Hansen, 1989.
"Technical Progress and Aggregate Fluctuations,"
UCLA Economics Working Papers
546, UCLA Department of Economics.
- Hansen, Gary D., 1997. "Technical progress and aggregate fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 21(6), pages 1005-1023, June.
- 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.
- 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.
- Yongsung Chang & Joao F. Gomes & Frank Schorfheide, 2002.
"Learning-by-Doing as a Propagation Mechanism,"
American Economic Review, American Economic Association, vol. 92(5), pages 1498-1520, December.
- Gomes, Joao & Chang, Yongsung & Schorfheide, Frank, 2002. "Learning by Doing as a Propagation Mechanism," CEPR Discussion Papers 3599, C.E.P.R. Discussion Papers.
- Yongsung Chang & Joao Gomes & Frank Schorfheide, 2002. "Learning by Doing as a Propagation Mechanism," Macroeconomics 0204002, University Library of Munich, Germany.
- William A. Brock & Blake LeBaron, 1990.
"Liquidity Constraints in Production-Based Asset-Pricing Models,"
NBER Chapters, in: Asymmetric Information, Corporate Finance, and Investment, pages 231-256,
National Bureau of Economic Research, Inc.
- William A. Brock & Blake LeBaron, 1989. "Liquidity Constraints in Production Based Asset Pricing Models," NBER Working Papers 3107, National Bureau of Economic Research, Inc.
- 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).
- Moon, Seongman & Velasco, Carlos, 2013. "Tests for m-dependence based on sample splitting methods," Journal of Econometrics, Elsevier, vol. 173(2), pages 143-159.
- Bashar, Omar & Mallick, Debdulal, 2021. "Frequency of Shocks, Resilience and Shock Persistence: Evidence from Natural Disasters," MPRA Paper 107517, University Library of Munich, Germany.
- 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.
- 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.
- Murray, Christian J. & Nelson, Charles R., 2000.
"The uncertain trend in U.S. GDP,"
Journal of Monetary Economics, Elsevier, vol. 46(1), pages 79-95, August.
- Nelson, C-R & Murray, C-J, 1997. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 97-05, Department of Economics at the University of Washington.
- 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.
- Nelson, C-R & Murray, C-J, 1997. "The Uncertain Trend in U.S. GDP," Working Papers 97-05, University of Washington, Department of Economics.
- Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Working Papers 0074, University of Washington, Department of Economics.
- Charles Nelson & Christian Murray, 1997. "The Uncertain Trend in U.S. GDP," Computational Economics 9702001, University Library of Munich, Germany.
- 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.
- Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
- 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.
- Ms. Valerie Cerra & A. Fatas & Ms. Sweta Chaman Saxena, 2020. "Hysteresis and Business Cycles," IMF Working Papers 2020/073, International Monetary Fund.
- Fatás, Antonio & Cerra, Valerie & Saxena, Sweta, 2020. "Hysteresis and Business Cycles," CEPR Discussion Papers 14531, C.E.P.R. Discussion Papers.
- 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.
- Daisuke Nagakura, 2011. "How Are Shocks to Trend and Cycle Correlated? A Simple Methodology for Unidentified Unobserved Components Models," Global COE Hi-Stat Discussion Paper Series gd10-172, Institute of Economic Research, Hitotsubashi University.
- Luca Benati, 2005.
"U.K. Monetary Regimes and Macroeconomic Stylised Facts,"
Computing in Economics and Finance 2005
107, Society for Computational Economics.
- Luca Benati, 2006. "UK monetary regimes and macroeconomic stylised facts," Bank of England working papers 290, Bank of England.
- Ilaski Barañano & M. Paz Moral, 2003. "Output dynamics in an endogenous growth model," Economics Bulletin, AccessEcon, vol. 5(15), pages 1-13.
- 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.
- Sasikumar, Anoop, 2011. "Testing for weak form market efficiency in Indian foreign exchange market," MPRA Paper 37071, University Library of Munich, Germany.
- Bergman, Michael, 1996. "International evidence on the sources of macroeconomic fluctuations," European Economic Review, Elsevier, vol. 40(6), pages 1237-1258, June.
- 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.
- 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.
- Barnett, William A. & Serletis, Apostolos, 2000. "Martingales, nonlinearity, and chaos," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 703-724, June.
- William A. Barnett & Apostolos Serletis, 1998. "Martingales, Nonlinearity, and Chaos," Econometrics 9805003, University Library of Munich, Germany.
- Mallick, Debdulal, 2015. "Elusive Relationship between Business-cycle Volatility and Long-run Growth," MPRA Paper 64502, University Library of Munich, Germany.
- 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.
- Bordo, Michael D. & Schwartz, Anna J., 1999. "Monetary policy regimes and economic performance: The historical record," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 3, pages 149-234, Elsevier.
- 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.
- David Shepherd & Robert Dixon, 2008. "The Cyclical Dynamics and Volatility of Australian Output and Employment," The Economic Record, The Economic Society of Australia, vol. 84(264), pages 34-49, March.
- 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.
- Levy, Daniel & Dezhbakhsh, Hashem, 2003.
"International evidence on output fluctuation and shock persistence,"
Journal of Monetary Economics, Elsevier, vol. 50(7), pages 1499-1530, October.
- Daniel Levy & Hashem Dezhbakhsh, 2002. "International Evidence on Output Fluctuation and Shock Persistence," Working Papers 2002-17, Bar-Ilan University, Department of Economics.
- Daniel Levy & Hashem Dezhbakhsh, 2004. "International Evidence on Output Fluctuation and Shock Persistence," Macroeconomics 0402016, University Library of Munich, Germany.
- Daniel Levy & Hashem Dezhbakhsh, 2003. "International evidence on output fluctuation and shock persistence," Post-Print hal-02386526, HAL.
- Levy, Daniel & Dezhbakhsh, Hashem, 2003. "International Evidence on Output Fluctuation and Shock Persistence," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 50(7), pages 1499-1530.
- 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.
- Chang, Yongsung & Kwark, Noh-Sun, 2001. "Decomposition of hours based on extensive and intensive margins of labor," Economics Letters, Elsevier, vol. 72(3), pages 361-367, September.
- 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.
- Nyo Nyo A. Kyaw & Cornelis A. Los & Sijing Zong, 2004.
"Persistence Characteristics of Latin American Financial Markets,"
Finance
0409048, University Library of Munich, Germany.
- Sijing Zong & Cornelis A. Los & Nyonyo Kyaw, 2004. "Persistence Characteristics of Latin American Financial Markets," Finance 0411013, University Library of Munich, Germany.
- Kyaw, NyoNyo A. & Los, Cornelis A. & Zong, Sijing, 2006. "Persistence characteristics of Latin American financial markets," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 269-290, July.
- 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.
- Robert Dixon & G.C. Lim, 2004. "Underlying Inflation in Australia: Are the Existing Measures Satisfactory?," The Economic Record, The Economic Society of Australia, vol. 80(251), pages 373-386, December.
- Baffes, John & Ajwad, Mohamed I., 1998. "Detecting price links in the world cotton market," Policy Research Working Paper Series 1944, The World Bank.
- Christian Weber, 1997. "Is cyclical real GNP really more persistent than the trend?," Applied Economics, Taylor & Francis Journals, vol. 29(7), pages 895-902.
- 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.
- 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.
- 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.
- Todd E. Clark, 2006. "Disaggregate evidence on the persistence of consumer price inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 563-587, July.
- Todd E. Clark, 2006. "Disaggregate evidence on the persistence of consumer price inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 563-587.
- Gollier, Christian, 2008.
"Discounting with Fat-Tailed Economic Growth,"
IDEI Working Papers
523, Institut d'Économie Industrielle (IDEI), Toulouse.
- GOLLIER Christian, 2008. "Discounting with fat-tailed economic growth," LERNA Working Papers 08.19.263, LERNA, University of Toulouse.
- Christian Gollier, 2008. "Discounting with fat-tailed economic growth," Journal of Risk and Uncertainty, Springer, vol. 37(2), pages 171-186, December.
- Hanck, Christoph, 2008. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," MPRA Paper 11988, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2011.
"Testing the martingale difference hypothesis in CO2 emission allowances,"
Economic Modelling, Elsevier, vol. 28(1), pages 27-35.
- Amélie Charles & Olivier Darné & Jessica Fouilloux, 2011. "Testing the martingale difference hypothesis in CO2 emission allowances," Post-Print halshs-00600724, HAL.
- 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.
- Sara Calligaris & Massimo Del Gatto & Fadi Hassanz & Gianmarco Ottaviano & Fabiano Schivardi, 2018.
"The Productivity Puzzle and Misallocation: an Italian Perspective,"
Working Papers LuissLab
18142, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Calligaris, Sara & Del Gatto, Massimo & Hassan, Fadi & Ottaviano, Gianmarco I. P. & Schivardi, Fabiano, 2018. "The productivity puzzle and misallocation: an Italian perspective," LSE Research Online Documents on Economics 90271, London School of Economics and Political Science, LSE Library.
- Sara Calligaris & Massimo Del Gatto & Fadi Hassan & Gianmarco I P Ottaviano & Fabiano Schivardi & Tommaso MonacelliManaging Editor, 2018. "The productivity puzzle and misallocation: an Italian perspective," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 33(96), pages 635-684.
- Sara Calligaris & Massimo Del Gatto & Fadi Hassan & Gianmarco I. P. Ottaviano & Fabiano Schivardi, 2017. "The productivity puzzle and misallocation: an Italian perspective," CEP Discussion Papers dp1520, Centre for Economic Performance, LSE.
- 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.
- S. Calligaris & M. Del Gatto & F. Hassan & G. I.P. Ottaviano & F. Schivardi, 2017. "The Productivity Puzzle and Misallocation: an Italian Perspective," Working Paper CRENoS 201710, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- 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.
- 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.
- Forni, Mario & Lippi, Marco, 1999. "Aggregation of linear dynamic microeconomic models," Journal of Mathematical Economics, Elsevier, vol. 31(1), pages 131-158, February.
- Máximo Camacho & Gabriel Pérez-Quirós, 2005.
"Jump-and-rest effect of U.S. business cycles,"
Working Papers
0507, Banco de España.
- Camacho Maximo & Perez Quiros Gabriel, 2007. "Jump-and-Rest Effect of U.S. Business Cycles," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(4), pages 1-39, December.
- Pérez-Quirós, Gabriel & Camacho, Máximo, 2005. "Jump-and-Rest Effects of US Business Cycles," CEPR Discussion Papers 4975, C.E.P.R. Discussion Papers.
- Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers 98s-20, CIRANO.
- Emine Boz & Christian Daude & C. Bora Durdu, 2011.
"Emerging Market Business Cycles Revisited: Learning about the Trend,"
Koç University-TUSIAD Economic Research Forum Working Papers
1110, Koc University-TUSIAD Economic Research Forum.
- 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.).
- Elwood, S. Kirk, 1998. "Is the persistence of shocks to output asymmetric?," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 411-426, April.
- Filippo Altissimo & Giovanni Luca VIolante, 1998.
"Nonlinear VAR: Some Theory and an Application to US GNP and Unemployment,"
Temi di discussione (Economic working papers)
338, Bank of Italy, Economic Research and International Relations Area.
- 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.
- 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.
- 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.
- António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2012. "Exchange Rate Mean Reversion within a Target Zone: Evidence from a Country on the Periphery of the ERM," EcoMod2012 3720, EcoMod.
- Philip Arestis & Malcolm Sawyer, 1999.
"The Economic and Monetary Union: Current and Future Prospects,"
Economics Working Paper Archive
wp_282, Levy Economics Institute.
- Philip Arestis & Malcolm Sawyer, 2000. "The Economic and Monetary Union: Current and Future Prospects," Macroeconomics 0004029, University Library of Munich, Germany.
- Luca Benati, 2020.
"Money Velocity and the Natural Rate of Interest,"
Diskussionsschriften
dp2022, Universitaet Bern, Departement Volkswirtschaft.
- Luca Benati, 2017. "Money Velocity and the Natural Rate of Interest," Diskussionsschriften dp1706, Universitaet Bern, Departement Volkswirtschaft.
- Benati, Luca, 2020. "Money velocity and the natural rate of interest," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 117-134.
- 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.
- Amdur, David & Ersal Kiziler, Eylem, 2012. "Trend shocks and the countercyclical U.S. current account," MPRA Paper 40147, University Library of Munich, Germany.
- David Amdur & Eylem Ersal Kiziler, 2014. "Trend shocks and the countercyclical U.S. current account," Canadian Journal of Economics, Canadian Economics Association, vol. 47(2), pages 494-516, May.
- 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.
- Ricardo Reis, 2005. "The Time-Series Properties of Aggregate Consumption: Implications for the Costs of Fluctuation," NBER Working Papers 11297, National Bureau of Economic Research, Inc.
- Ricardo Reis, 2009. "The Time-Series Properties of Aggregate Consumption: Implications for the Costs of Fluctuations," Journal of the European Economic Association, MIT Press, vol. 7(4), pages 722-753, June.
- 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.
- 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.
- Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2017.
"Nominal Exchange Rate Stationarity and Long-Term Bond Returns,"
2017 Meeting Papers
1633, Society for Economic Dynamics.
- Lustig, Hanno & Stathopoulos, Andreas & Verdelhan, Adrien, 2016. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," Research Papers 3411, Stanford University, Graduate School of Business.
- Hassler, Uwe, 2014. "Persistence under temporal aggregation and differencing," Economics Letters, Elsevier, vol. 124(2), pages 318-322.
- 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.
- Luis Uzeda, 2016. "State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models," ANU Working Papers in Economics and Econometrics 2016-632, Australian National University, College of Business and Economics, School of Economics.
- Luis Uzeda, 2018. "State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models," Staff Working Papers 18-14, Bank of Canada.
- 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.
- Elbadawi, Ibrahim A & Soto, Raimundo, 1997. "Real Exchange Rates and Macroeconomic Adjustment in Sub-Saharan Africa and Other Developing Countries," Journal of African Economies, Centre for the Study of African Economies, vol. 6(3), pages 74-120, Supplemen.
- James H. Stock, 1991.
"Confidence Intervals for the Largest Autoresgressive Root in U.S. Macroeconomic Time Series,"
NBER Technical Working Papers
0105, National Bureau of Economic Research, Inc.
- 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.
- 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.
- João Sousa Andrade, 2004. "Régimes Monétaires et Théorie Quantitative du Produit Nominal au Portugal (1854 1998)," Notas Económicas, Faculty of Economics, University of Coimbra, issue 20, pages 63-88, December.
- Yamane, Linus, 1998. "The insider-outsider model and Japanese labor unions," Japan and the World Economy, Elsevier, vol. 10(2), pages 157-171, April.
- 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).
- Jose Ursua & Jon Steinsson & Emi Nakamura & Robert Barro, 2008.
"Crises and Recoveries in an Empirical Model of Consumption Disasters,"
2008 Meeting Papers
1089, Society for Economic Dynamics.
- 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.
- Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2013. "Crises and Recoveries in an Empirical Model of Consumption Disasters," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 35-74, July.
- 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.
- Bruno Feunou & Jean-Sébastien Fontaine, 2021. "Debt-Secular Economic Changes and Bond Yields," Staff Working Papers 21-14, Bank of Canada.
- 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.
- Cornelis A. Los & Joanna M. Lipka, 2004. "Long-Term Dependence Characteristics of European Stock Indices," Finance 0409044, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- Carl E. Walsh, 1987. "Monetary targeting and inflation: 1976-1984," Economic Review, Federal Reserve Bank of San Francisco, issue Win, pages 5-16.
- 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.
- 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.
- Luca Benati, 2023. "Forecasting Global Temperatures by Exploiting Cointegration with Radiative Forcing," Diskussionsschriften dp2308, Universitaet Bern, Departement Volkswirtschaft.
- 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.
- 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.
- Renelt, David, 1991. "Economic growth : a review of the theoretical and empirical literature," Policy Research Working Paper Series 678, The World Bank.
- Katsuyuki Shibayama, 2015. "Trend Dominance in Macroeconomic Fluctuations," Studies in Economics 1518, School of Economics, University of Kent.
- 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.
- 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.
- Ai Deng & Pierre Perron, 2005.
"A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend,"
Boston University - Department of Economics - Working Papers Series
WP2005-030, Boston University - Department of Economics.
- 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.
- 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.
- 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.
- 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.
- Caruso, Massimo, 2001. "Investment and the persistence of price uncertainty," Research in Economics, Elsevier, vol. 55(2), pages 189-217, June.
- 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.
- 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.
- 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.
- Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 1999.
"Money and interest rates with endogeneously segmented markets,"
Staff Report
260, Federal Reserve Bank of Minneapolis.
- Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 1999. "Money and Interest Rates with Endogeneously Segmented Markets," NBER Working Papers 7060, National Bureau of Economic Research, Inc.
- 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].
- 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.
- 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.
- Daniel Tortorice, 2015.
"Long Run Expectations, Learning and the U.S. Housing Market,"
Working Papers
85, Brandeis University, Department of Economics and International Business School.
- 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.
- 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.
- 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.
- 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.
- 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.
- Joseph G. Haubrich & Andrew W. Lo, 1989. "The Sources and Nature of Long-term Memory in the Business Cycle," NBER Working Papers 2951, National Bureau of Economic Research, Inc.
- Joseph G. Haubrich & Andrew W. Lo, "undated". "The Sources and Nature of Long-Term Memory in the Business Cycle," Rodney L. White Center for Financial Research Working Papers 5-89, Wharton School Rodney L. White Center for Financial Research.
- Joseph G. Haubrich & Andrew W. Lo, "undated". "The Sources and Nature of Long-Term Memory in the Business Cycle," Rodney L. White Center for Financial Research Working Papers 05-89, Wharton School Rodney L. White Center for Financial Research.
- 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.
- 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).
- Nelson C. Mark & S.G. Cecchetti & P-s. Lam, 1997.
"Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?,"
Working Papers
017, Ohio State University, Department of Economics.
- 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.
- 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.
- Albert Marcet & Andrew Scott, 2001. "Debt and deficit fluctuations and the structure of bond markets," Economics Working Papers 558, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2003.
- Marcet, Albert & Scott, Andrew, 2009. "Debt and deficit fluctuations and the structure of bond markets," Journal of Economic Theory, Elsevier, vol. 144(2), pages 473-501, March.
- Albert Marcet & Albert Scott, 2003. "Debt and Deficit Fluctuations and the Structure of Bond Markets," Working Papers 171, Barcelona School of Economics.
- Albert Marcet & Andrew Scott, 2007. "Debt and Deficit Fluctuations and the Structure of Bond Markets," UFAE and IAE Working Papers 728.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Albert Marcet & Albert Scott, 2007. "Debt and Deficit Fluctuations and the Structure of Bond Markets," Working Papers 332, Barcelona School of Economics.
- Péter Erdős & Mihály Ormos, 2012. "Natural Gas Prices on Three Continents," Energies, MDPI, vol. 5(10), pages 1-17, October.
- 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.
- Escanciano, J. Carlos & Velasco, Carlos, 2006. "Testing the martingale difference hypothesis using integrated regression functions," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2278-2294, December.
- Sebastian Edwards, 1996. "A Tale of Two Crises: Chile and Mexico," NBER Working Papers 5794, National Bureau of Economic Research, Inc.
- Giakas, Konstantinos, 2023. "Hysteresis, financial frictions and monetary policy," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
- 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.
- 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.
- 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.
- 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.
- 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.
- Mallick, Debdulal, 2009.
"Financial Development, Shocks, and Growth Volatility,"
MPRA Paper
17799, University Library of Munich, Germany.
- Mallick, Debdulal, 2014. "Financial Development, Shocks, And Growth Volatility," Macroeconomic Dynamics, Cambridge University Press, vol. 18(3), pages 651-688, April.
- Ravi Bansal, 2007.
"Long-run risks and financial markets,"
Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 283-300.
- Ravi Bansal, 2007. "Long-Run Risks and Financial Markets," NBER Working Papers 13196, National Bureau of Economic Research, Inc.
- Willa Chen & Rohit Deo, 2005.
"The Variance Ratio Statistic at large Horizons,"
Econometrics
0501003, University Library of Munich, Germany.
- Chen, Willa W. & Deo, Rohit S., 2006. "The Variance Ratio Statistic At Large Horizons," Econometric Theory, Cambridge University Press, vol. 22(2), pages 206-234, April.
- 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.
- 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.
- 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.
- Schotman, Peter & van Dijk, Herman K., 1991.
"A Bayesian analysis of the unit root in real exchange rates,"
Journal of Econometrics, Elsevier, vol. 49(1-2), pages 195-238.
- 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.
- 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.
- Boyan Jovanovic & Saul Lach, 1991. "The Diffusion of Technology and Inequality Among Nations," NBER Working Papers 3732, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Ms. May Y Khamis, 1996. "Credit and Exchange Rate-Based Stabilization," IMF Working Papers 1996/051, International Monetary Fund.
- Aron, Janine & Elbadawi, Ibrahim, 1994. "A typology of foreign auction markets in sub-Saharan Africa," Policy Research Working Paper Series 1395, The World Bank.
- 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.
- 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.
- 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.
- 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.
- Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2017. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(1), pages 1-39, January.
- 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.
- Joao Sousa Andrade & Irina Syssoyeva-Masson, 2016. "Investigating the presence of long memory in debt series and its relation with growth," EcoMod2016 9627, EcoMod.
- 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.
- 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.
- Renu Kohli, 2004.
"Real Exchange Rate Stationarity in Managed Floats: Evidence from India,"
International Finance
0405011, University Library of Munich, Germany.
- Renu Kohli, 2004. "Real Exhange Rate Stationarity in Managed Floats: Evidence From India," International Finance 0405014, University Library of Munich, Germany.
- Gerald A. Carlino & Leonard O. Mills, 1993.
"Testing neoclassical convergence in regional incomes and earnings,"
Working Papers
93-22, Federal Reserve Bank of Philadelphia.
- 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.
- 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.
- 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.
- Mrs. Esther Perez Ruiz, 2016. "Outside the Band: Depreciation and Inflation Dynamics in Chile," IMF Working Papers 2016/129, International Monetary Fund.
- Albers, Scott, 2012. "Predicting crises: Five essays on the mathematic prediction of economic and social crises," MPRA Paper 43484, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- Schotman, P. & van Dijk, H. K., 1989. "A Bayesian Analysis Of The Unit Root Hypothesis," Econometric Institute Archives 272385, Erasmus University Rotterdam.
- Goodness C. Aye & Luis A. Gil-Alana & Rangan Gupta & Mark Wohar, 2016.
"The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches,"
Working Papers
201610, University of Pretoria, Department of Economics.
- 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.
- Dan Tortorice, 2016.
"The Business Cycles Implications of Fluctuating Long Run Expectations,"
Working Papers
100, Brandeis University, Department of Economics and International Business School.
- Tortorice, Daniel L, 2018. "The business cycle implications of fluctuating long run expectations," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 266-291.
- Yosha, Oved & Sørensen, Bent E & Ostergaard, Charlotte, 2001.
"Consumption and Aggregate Constraints: Evidence from US States and Canadian Provinces,"
CEPR Discussion Papers
2947, C.E.P.R. Discussion Papers.
- 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.
- Charlotte Ostergaard & Bent E. Serensen & Oved Yosha, 2002. "Consumption and Aggregate Constraints: Evidence from U.S. States and Canadian Provinces," Journal of Political Economy, University of Chicago Press, vol. 110(3), pages 634-645, June.
- 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.
- Bekaert, Geert & Hodrick, Robert J, 1992. "Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 467-509, June.
- Iuliana Matei, 2008.
"Prices and output co-movements : an empirical investigation for the CEECs,"
Post-Print
halshs-00335025, HAL.
- Iuliana Matei, 2008. "Prices and output co-movements: an empirical investigation for the CEECs," Documents de travail du Centre d'Economie de la Sorbonne bla08061, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- 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.
- Carlo Altavilla & Domenico Giannone & Michèle Modugno, 2014.
"Low Frequency Effects of Macroeconomic News on Government Bond Yields,"
Working Papers ECARES
ECARES 2014-34, ULB -- Universite Libre de Bruxelles.
- Altavilla, Carlo & Giannone, Domenico & Modugno, Michele, 2017. "Low frequency effects of macroeconomic news on government bond yields," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 31-46.
- 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.).
- Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," CSEF Working Papers 372, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- 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.
- 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).
- 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.
- 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.
- Catherine Araujo Bonjean, 1998. "Les marchés mondiaux des produits agricoles sont-ils efficients ?," Économie rurale, Programme National Persée, vol. 243(1), pages 8-15.
- Katuala, Hénock M., 2021. "Frictions financières et Dynamique macroéconomique : Examen des régularités cycliques," Dynare Working Papers 66, CEPREMAP.
- 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.
- 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).
- Lawrence J. Christiano, 1987. "Why is consumption less volatile than income?," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 11(Fall), pages 2-20.
- Sebastian Edwards, 1994. "Macroeconomic Stabilization in Latin America: Recent Experience and Some Sequencing Issues," NBER Working Papers 4697, National Bureau of Economic Research, Inc.
- Brian Aitken, 1998. "Have Institutional Investors Destabilized Emerging Markets?," Contemporary Economic Policy, Western Economic Association International, vol. 16(2), pages 173-184, April.
- 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.
- 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.
- Han, Hsiang-Ling & Ogaki, Masao, 1997. "Consumption, income and cointegration," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 107-117.
- 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.
- Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736.
- 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.
- 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.
- 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.
- Luca Benati, 2017. "Could the Bubble in U.S. House Prices Have Been Detected in Real Time?," Diskussionsschriften dp1705, Universitaet Bern, Departement Volkswirtschaft.
- Barañano, Ilaski & Romero-Ávila, Diego, 2015. "Long-term growth and persistence with obsolescence," Economic Modelling, Elsevier, vol. 51(C), pages 328-339.
- Lan, Chunhua & Doan, Bao, 2022. "Stock price movements: Evidence from global equity markets," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 123-143.
- Andrew W. Lo & A. Craig MacKinlay, 1988.
"The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation,"
NBER Technical Working Papers
0066, National Bureau of Economic Research, Inc.
- 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.
- Andrew W. Lo & Craig A. MacKinlay, "undated". "The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation," Rodney L. White Center for Financial Research Working Papers 28-87, Wharton School Rodney L. White Center for Financial Research.
- Grigorios Emvalomatis, 2017. "Is productivity diverging in the EU? Evidence from 11 Member States," Empirical Economics, Springer, vol. 53(3), pages 1171-1192, November.
- 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.
- 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.
- 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.
- Spencer D. Krane, 2006. "How professional forecasters view shocks to GDP," Working Paper Series WP-06-19, Federal Reserve Bank of Chicago.
- Karim M. Abadir & Gabriel Talmain & Giovanni Caggiano, 2008.
"Nelson-Plosser revisited: the ACF approach,"
Working Paper series
18_08, Rimini Centre for Economic Analysis.
- Karim Abadir & Giovanni Caggiano & Gabriel Talmain, 2005. "Nelson-Plosser Revisited: the ACF Approach," Working Papers 2005_7, Business School - Economics, University of Glasgow.
- Abadir, Karim M. & Caggiano, Giovanni & Talmain, Gabriel, 2013. "Nelson–Plosser revisited: The ACF approach," Journal of Econometrics, Elsevier, vol. 175(1), pages 22-34.
- 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.
- 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.
- David S. Bizer & Steven N. Durlauf, 1990. "Testing the Positive Theory of Government Finance," NBER Working Papers 3349, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Lars Peter Hansen & John C. Heaton & Nan Li, 2008.
"Consumption Strikes Back? Measuring Long-Run Risk,"
Journal of Political Economy, University of Chicago Press, vol. 116(2), pages 260-302, April.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Alvarez, Fernando & Jermann, Urban J., 2001. "The Size of the Permanent Component of Asset Pricing Kernels," Working Papers 01-4, University of Pennsylvania, Wharton School, Weiss Center.
- Ronald Mac Donald, 1998. "What Do We Really Know About Real Exchange Rates?," Working Papers 28, Oesterreichische Nationalbank (Austrian Central Bank).
- 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.
- Trofimov, Ivan D., 2017. "Profit rates in the developed capitalist economies: a time series investigation," MPRA Paper 79529, University Library of Munich, Germany.
- 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.
- 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.
- Ms. Hong Liang & Mr. C. John McDermott & Mr. Paul Cashin, 1999.
"How Persistent Are Shocks to World Commodity Prices?,"
IMF Working Papers
1999/080, International Monetary Fund.
- 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.
- 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.
- Roubini, N., 1989.
"Current Account And Budget Deficits In An Intertemporal Model Of Consumption And Taxation Smoothing. A Solution To The "Feldstein-Horioka" Puzzel,"
Papers
569, Yale - Economic Growth Center.
- 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.
- P. Indira Devi & K.R. Shanmugam & M.G. Jayasree, 2012.
"Compensating Wages for Occupational Risks of Farm Workers in India,"
Working Papers
2012-071, Madras School of Economics,Chennai,India.
- Devi, P. Indira & Shanmugam, K.R. & Jayasree, M.G., 2012. "Compensating Wages for Occupational Risks of Farm Workers in India," Indian Journal of Agricultural Economics, Indian Society of Agricultural Economics, vol. 67(2), pages 1-12.
- Indira Devi P & K R Shanmugam & M. Jayasree, 2013. "Compensating Wages for Occupational Risks of Farm Workers in India," Working Papers id:5328, eSocialSciences.
- 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.
- Diebold, Francis X. & Lindner, Peter, 1996. "Fractional integration and interval prediction," Economics Letters, Elsevier, vol. 50(3), pages 305-313, March.
- 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.
- Thomas Lustenberger, 2018. "Has the American Output Growth Path Experienced a Permanent Change?," Working Papers 2018-14, Swiss National Bank.
- Daniel Neuhoff, 2015. "Dynamics of Real Per Capita GDP," SFB 649 Discussion Papers SFB649DP2015-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- 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.
- Claude Diebolt, 2021.
"Trend, Cycles and Chance,"
Working Papers of BETA
2021-14, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Claude Diebolt, 2021. "Trend, Cycles and Chance," Working Papers 05-21, Association Française de Cliométrie (AFC).
- 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.
- Fatas, Antonio, 2000.
"Endogenous growth and stochastic trends,"
Journal of Monetary Economics, Elsevier, vol. 45(1), pages 107-128, February.
- Fatás, Antonio, 1996. "Endogenous Growth and Stochastic Trends," CEPR Discussion Papers 1340, C.E.P.R. Discussion Papers.
- 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.
- Beeler, Jason & Campbell, John Y., 2012. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Critical Finance Review, now publishers, vol. 1(1), pages 141-182, January.
- Beeler, Jason & Campbell, John Y., 2012. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Scholarly Articles 9887621, Harvard University Department of Economics.
- 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.
- Kenneth A. Froot & André F. Perold, 1995. "New trading practices and short‐run market efficiency," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(7), pages 731-765, October.
- Lei Ping, 2011. "Research Note: Long-Lasting Effects and Welfare Costs of Fluctuations," Tourism Economics, , vol. 17(4), pages 933-942, August.
- 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.
- 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.
- Andrew B. Bernard & Steven N. Durlauf, 1991. "Convergence of International Output Movements," NBER Working Papers 3717, National Bureau of Economic Research, Inc.
- 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.
- Durevall, Dick, 1999.
"Inertial inflation, indexation and price stickiness: evidence from Brazil,"
Journal of Development Economics, Elsevier, vol. 60(2), pages 407-421, December.
- Durevall, Dick, 1998. "Inertial Inflation, Indexation and Price Stickiness: Evidence from Brazil," Working Papers in Economics 8, University of Gothenburg, Department of Economics.
- Diego Romero-Avila & DIEGO ROMERO-ÁVILA & ILASKI BARAÑANO, 2012. "Long-Term Growth and Persistence with Endogenous Depreciation: Theory and Evidence," EcoMod2012 3757, EcoMod.
- 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.
- 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.
- Cropper, Maureen, 2012. "How Should Benefits and Costs Be Discounted in an Intergenerational Context?," RFF Working Paper Series dp-12-42, Resources for the Future.
- 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.
- 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.
- Yihui Lan, 2001. "The Explosion of Purchasing Power Parity," Economics Discussion / Working Papers 01-22, The University of Western Australia, Department of Economics.
- Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
- 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.
- 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.
- Kenneth D. West, 1987. "On the Interpretation of Near Random-Walk Behavior in GNP," NBER Working Papers 2364, National Bureau of Economic Research, Inc.
- Reinhart, Carmen, 1988. "Real Exchange Rate and Commodity Prices in a Neoclassical Model," MPRA Paper 13188, University Library of Munich, Germany.
- Hassler, Uwe & Hosseinkouchack, Mehdi, 2014. "Effect of the order of fractional integration on impulse responses," Economics Letters, Elsevier, vol. 125(2), pages 311-314.
- 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.
- 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.
- 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.
- 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.
- 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.
- Christian Gollier, 2005.
"The Consumption-Based Determinants of the Term Structure of Discount Rates,"
CESifo Working Paper Series
1375, CESifo.
- Gollier, Christian, 2004. "The Consumption-Based Determinants of the Term Structure of Discount Rates," IDEI Working Papers 296, Institut d'Économie Industrielle (IDEI), Toulouse.
- 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.
- Daniel, Kent, 2001. "The power and size of mean reversion tests," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 493-535, December.
- 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.).
- 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.
- Ocampo, José Antonio & Parra, María Angela, 2003. "The terms of trade for commodities in the twentieth century," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), April.
- Hall, Thomas E., 1995. "Price cyclicality in the natural rate-nominal demand shock model," Journal of Macroeconomics, Elsevier, vol. 17(2), pages 257-272.
- 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.
- 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.
- Perron, Pierre & Rodriguez, Gabriel, 2003. "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, vol. 115(1), pages 1-27, July.
- 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.
- 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.).
- 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.
- 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.
- 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.
- Mr. Carlos A. Végh Gramont & Mr. Guillermo Calvo & Ms. Carmen Reinhart, 1994.
"Targeting the Real Exchange Rate: Theory and Evidence,"
IMF Working Papers
1994/022, International Monetary Fund.
- Calvo, Guillermo A. & Reinhart, Carmen M. & Vegh, Carlos A., 1995. "Targeting the real exchange rate: theory and evidence," Journal of Development Economics, Elsevier, vol. 47(1), pages 97-133, June.
- Reinhart, Carmen & Calvo, Guillermo & Vegh, Carlos, 1994. "Targeting the real exchange rate: Theory and evidence," MPRA Paper 13412, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- Michael D. Bordo & Ehsan U. Choudhri & Anna J. Schwartz, 1989. "Money Stock Targeting, Base Drift and Price-Level Predictability: Lessons From the U.K. Experience," NBER Working Papers 2825, National Bureau of Economic Research, Inc.
- 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.
- Jeanne, Olivier, 1998. "Generating real persistent effects of monetary shocks: How much nominal rigidity do we really need?," European Economic Review, Elsevier, vol. 42(6), pages 1009-1032, June.
- 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.
- 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.
- 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.
- Amélie Charles & Olivier Darné, 2009. "Variance ratio tests of random walk: An overview," Post-Print hal-00771078, HAL.
- 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.
- 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.
- Sheridan Titman & Ko Wang & Jing Yang, 2014. "The Dynamics of Housing Prices," NBER Working Papers 20418, National Bureau of Economic Research, Inc.
- 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.
- Kegiang Hou & Alok Johri, 2013. "Intangible Capital and the Excess Volatility of Aggregate Profits," Department of Economics Working Papers 2013-04, McMaster University.
- 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.
- 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.
- 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.
- 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.
- 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.
- Kan, Raymond & Wang, Xiaolu, 2010. "On the distribution of the sample autocorrelation coefficients," Journal of Econometrics, Elsevier, vol. 154(2), pages 101-121, February.
- 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.
- Engle, Robert F. & Issler, Joao Victor, 1995. "Estimating common sectoral cycles," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 83-113, February.
- Stephen R. Blough, 1994. "Near common factors and confidence regions for present value models," Working Papers 94-3, Federal Reserve Bank of Boston.
- Wang, Chong, 1998. "Testing for purchasing power parity: a nonlinear approach," ISU General Staff Papers 1998010108000013534, Iowa State University, Department of Economics.
- 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.
- 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.
- Rodriguez Gabriel, 2007. "Application of Three Alternative Approaches to Identify Business Cycles in Peru," Working Papers 2007-007, Banco Central de Reserva del Perú.
- 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.
- 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.
- César Calderón & Roberto Duncan, 2003. "Purchasing power parity in an emerging market economy: a long- span study for Chile," Estudios de Economia, University of Chile, Department of Economics, vol. 30(1 Year 20), pages 103-132, June.
- 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.
- 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.
- 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).
- Ogaki, Masao & Park, Joon Y., 1997. "A cointegration approach to estimating preference parameters," Journal of Econometrics, Elsevier, vol. 82(1), pages 107-134.
- Yongsung Chang & Joao Gomes & Frank Schorfheide, 2000. "Persistence," Econometric Society World Congress 2000 Contributed Papers 1632, Econometric Society.
- 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.
- Alan M. Taylor, 2000. "Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price," NBER Working Papers 7577, National Bureau of Economic Research, Inc.
- Hossain, Ferdaus, 1995. "Current account determination in the intertemporal framework: an empirical analysis," ISU General Staff Papers 1995010108000011939, Iowa State University, Department of Economics.
- 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.
- 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.
- Chan, Wai-Sum, 2022. "On temporal aggregation of some nonlinear time-series models," Econometrics and Statistics, Elsevier, vol. 21(C), pages 38-49.
- 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.
- 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.
- John B. Donaldson & Rajnish Mehra, 2019. "Average Crossing Time: An Alternative Characterization of Mean Aversion and Reversion," NBER Working Papers 25519, National Bureau of Economic Research, Inc.
- Peter N. Ireland, 1993. "Price stability under long-run monetary targeting," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 25-46.
- Luca Benati, 2018. "Money and Credit: A Long-Term View," Diskussionsschriften dp1811, Universitaet Bern, Departement Volkswirtschaft.
- 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.
- Okay, Nesrin, 1998. "Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange," MPRA Paper 52812, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- O'Hare, Colin & Li, Youwei, 2014. "Is mortality spatial or social?," Economic Modelling, Elsevier, vol. 42(C), pages 198-207.
- Graflund, Andreas, 2001. "Are the Nordic Stock Markets Mean Reverting?," Working Papers 2001:15, Lund University, Department of Economics.
- 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.
- Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003. "Testing and Estimating Persistence in Canadian Unemployment," Econometrics 0311004, University Library of Munich, Germany.
- 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.
- 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.
- Leon, Javier & Soto, Raimundo, 1995.
"Structural breaks and long-run trends in commodity prices,"
Policy Research Working Paper Series
1406, The World Bank.
- Javier León & Raimundo Soto, 1997. "Structural Breaks And Long-Run Trends In Commodity Prices," Journal of International Development, John Wiley & Sons, Ltd., vol. 9(3), pages 347-366.
- 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.
- Matheron, Julien, 2003. "Is growth useful in RBC models?," Economic Modelling, Elsevier, vol. 20(3), pages 605-622, May.
- 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.
- 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.
- Benjamin H. Cohen, 1996. "Derivatives and asset price volatility: a test using variance ratios," BIS Working Papers 33, Bank for International Settlements.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Robert J. Barro, 2007.
"Rare Disasters, Asset Prices, and Welfare Costs,"
NBER Working Papers
13690, National Bureau of Economic Research, Inc.
- Robert J. Barro, 2009. "Rare Disasters, Asset Prices, and Welfare Costs," American Economic Review, American Economic Association, vol. 99(1), pages 243-264, March.
- 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.
- 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.
- 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.
- 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).
- 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.
- 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.
- 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.
- 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.
- 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.
- Shively, Philip A., 2002. "An exact invariant variance ratio test," Economics Letters, Elsevier, vol. 75(3), pages 347-353, May.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Mr. Jorge Roldos, 1993. "On Credible Disinflation," IMF Working Papers 1993/090, International Monetary Fund.
- 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.
- 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.
- 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.
- Bennett T. McCallum, 1993. "Unit Roots in Macroeconomic Time Series: Some Critical Issues," NBER Working Papers 4368, National Bureau of Economic Research, Inc.
- 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.
- 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.
- de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1996. "Price effects of trading and components of the bid-ask spread on the Paris Bourse," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 193-213, June.
- 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.
- Choi, In, 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-June.
- Mallick, Debdulal, 2017. "The Growth-Volatility Relationship: What Does Volatility Decomposition Tell?," MPRA Paper 79397, University Library of Munich, Germany.
- 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.
- 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).
- 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.
- Pindyck, Robert S., 1998.
"The long-run evolution of energy prices,"
Working papers
WP 4044-98., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- 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.
- 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.
- Robert J. Hodrick, 2020. "An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data," NBER Working Papers 26750, National Bureau of Economic Research, Inc.
- 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.
- Linton, Oliver & Smetanina, Ekaterina, 2016. "Testing the martingale hypothesis for gross returns," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 664-689.
- 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.
- 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).
- Kemp-Benedict, Eric, 2014. "A Kaleckian Model with Intermediate Goods," MPRA Paper 57076, University Library of Munich, Germany.
- Christian Gollier, 2002. "Quel taux d’actualisation pour le long terme ?," Revue d'Économie Financière, Programme National Persée, vol. 66(2), pages 253-267.
- João Sousa Andrade, 2007. "Uma Aplicação da Lei de Okun em Portugal," GEMF Working Papers 2007-04, GEMF, Faculty of Economics, University of Coimbra.
- Fischer Black, 1989. "Mean Reversion and Consumption Smoothing," NBER Working Papers 2946, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Emara, Noha & Ma, Jinpeng, 2019. "An Analysis of the Seasonal Cycle and the Business Cycle," MPRA Paper 99310, University Library of Munich, Germany.
- L. Spierdijk & J.A. Bikker, 2012. "Mean Reversion in Stock Prices: Implications for Long-Term Investors," Working Papers 12-07, Utrecht School of Economics.
- 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.
- John H. Cochrane, 2017.
"Macro-Finance,"
Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
- John H. Cochrane, 2016. "Macro-Finance," NBER Working Papers 22485, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Laurence Bloch & Françoise Maurel, 1991. "Consommation-revenu permanent : un regard d'économètre," Économie et Prévision, Programme National Persée, vol. 99(3), pages 113-144.
- Korteweg, Arthur & Sorensen, Morten, 2017. "Skill and luck in private equity performance," Journal of Financial Economics, Elsevier, vol. 124(3), pages 535-562.
- 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.
- 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.
- 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.
- 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].
- 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.
- 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.
- 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.
Chapters
- 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:
- Martín Uribe, 2018. "The Neo-Fisher Effect: Econometric Evidence from Empirical and Optimizing Models," NBER Working Papers 25089, National Bureau of Economic Research, Inc.
- Sushant Acharya & Keshav Dogra, 2020.
"Understanding HANK: Insights From a PRANK,"
Econometrica, Econometric Society, vol. 88(3), pages 1113-1158, May.
- Sushant Acharya & Keshav Dogra, 2018. "Understanding HANK: Insights from a PRANK," 2018 Meeting Papers 539, Society for Economic Dynamics.
- Sushant Acharya & Keshav Dogra, 2018. "Understanding HANK: insights from a PRANK," Staff Reports 835, Federal Reserve Bank of New York.
- 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.
- 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.
- Corsetti, Giancarlo & Mavroeidi, Eleonora & Thwaites, Gregory & Wolf, Martin, 2017. "Step away from the zero lower bound: small open economies in a world of secular stagnation," Bank of England working papers 666, Bank of England.
- Corsetti, Giancarlo & Mavroeidi, Eleonora & Thwaites, Gregory & Wolf, Martin, 2017. "Step away from the zero lower bound: small open economies in a world of secular stagnation," CEPR Discussion Papers 12189, C.E.P.R. Discussion Papers.
- Giancarlo Corsetti & Eleonora Mavroeidi & Gregory Thwaites & Martin Wolf, 2017. "Step away from the zero lower bound: Small open economies in a world of secular stagnation," Discussion Papers 1722, Centre for Macroeconomics (CFM).
- Corsetti, Giancarlo & Mavroeidi, Eleonora & Thwaites, Gregory & Wolf, Martin, 2017. "Step away from the zero lower bound: Small open economies in a world of secular stagnation," LSE Research Online Documents on Economics 86153, London School of Economics and Political Science, LSE Library.
- Corsetti, Giancarlo & Mavroeidi, Eleonora & Thwaites, Gregory & Wolf, Martin, 2019. "Step away from the zero lower bound: Small open economies in a world of secular stagnation," Journal of International Economics, Elsevier, vol. 116(C), pages 88-102.
- Lukmanova, Elizaveta & Rabitsch, Katrin, 2018.
"New VAR evidence on monetary transmission channels: temporary interest rate versus inflation target shocks,"
Department of Economics Working Paper Series
274, WU Vienna University of Economics and Business.
- Elizaveta Lukmanova & Katrin Rabitsch, 2018. "New VAR evidence on monetary transmission channels: temporary interest rate versus inflation target shocks," Working Papers of Department of Economics, Leuven 630040, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- 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.
- Paul Beaudry & Césaire Meh, 2021. "Monetary Policy, Trends in Real Interest Rates and Depressed Demand," Staff Working Papers 21-27, Bank of Canada.
- 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.
- Borio, Claudio & Disyatat, Piti & Juselius, Mikael & Rungcharoenkitkul, Phurichai, 2017. "Why so low for so long? A long-term view of real interest rates," Bank of Finland Research Discussion Papers 36/2017, Bank of Finland.
- Claudio Borio & Piti Disyatat & Mikael Juselius & Phurichai Rungcharoenkitkul, 2018. "Why So Low for So Long? A Long-Term View of Real Interest Rates," PIER Discussion Papers 80, Puey Ungphakorn Institute for Economic Research.
- Claudio Borio & Piti Disyatat & Mikael Juselius & Phurichai Rungcharoenkitkul, 2022. "Why So Low for So Long? A Long-Term View of Real Interest Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 18(3), pages 47-87, September.
- Cochrane, John H., 2017. "The new-Keynesian liquidity trap," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 47-63.
- 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.
- Lucio Gobbi & Ronny Mazzocchi & Roberto Tamborini, 2019. "Monetary Policy, Rational Confidence and Neo-Fisherian Depressions," EconPol Working Paper 38, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Lucio Gobbi & Ronny Mazzocchi & Roberto Tamborini, 2019. "Monetary Policy, rational confidence, and Neo- Fisherian depressions," DEM Working Papers 2019/19, Department of Economics and Management.
- 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.
- Jeffrey Campbell & Jacob Weber, 2021. "Discretion rather than rules: Equilibrium uniqueness and forward guidance with inconsistent optimal plans," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 243-254, July.
- 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.
- Behzad Diba & Olivier Loisel, 2019. "Pegging the Interest Rate on Bank Reserves: A Resolution of New Keynesian Puzzles and Paradoxes," Working Papers gueconwpa~19-19-05, Georgetown University, Department of Economics.
- Pascal Michaillat & Emmanuel Saez, 2019.
"Resolving New Keynesian Anomalies with Wealth in the Utility Function,"
Papers
1905.13645, arXiv.org, revised Dec 2019.
- Michaillat, Pascal & Saez, Emmanuel, 2019. "Resolving New Keynesian Anomalies with Wealth in the Utility Function," CEPR Discussion Papers 13775, C.E.P.R. Discussion Papers.
- Pascal Michaillat & Emmanuel Saez, 2018. "Resolving New Keynesian Anomalies with Wealth in the Utility Function," NBER Working Papers 24971, National Bureau of Economic Research, Inc.
- Pascal Michaillat & Emmanuel Saez, 2021. "Resolving New Keynesian Anomalies with Wealth in the Utility Function," The Review of Economics and Statistics, MIT Press, vol. 103(2), pages 197-215, May.
- 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.
- Woodford, Michael, 2018.
"Monetary Policy Analysis when Planning Horizons are Finite,"
CEPR Discussion Papers
12968, C.E.P.R. Discussion Papers.
- Michael Woodford, 2018. "Monetary Policy Analysis when Planning Horizons are Finite," NBER Working Papers 24692, National Bureau of Economic Research, Inc.
- 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.
- Michael Woodford, 2019. "Monetary Policy Analysis When Planning Horizons Are Finite," NBER Macroeconomics Annual, University of Chicago Press, vol. 33(1), pages 1-50.
- Michael Woodford, 2018. "Monetary Policy Analysis when Planning Horizons are Finite," CESifo Working Paper Series 7108, CESifo.
- Bossone, Biagio, 2019. "The portfolio theory of inflation (and policy effectiveness)," Economics Discussion Papers 2019-29, Kiel Institute for the World Economy (IfW Kiel).
- 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.
- Edward Nelson, 2018. "Seven Fallacies Concerning Milton Friedman's \"The Role of Monetary Policy\"," Finance and Economics Discussion Series 2018-013, Board of Governors of the Federal Reserve System (U.S.).
- Cochrane, John H., 2018. "Stepping on a rake: The fiscal theory of monetary policy," European Economic Review, Elsevier, vol. 101(C), pages 354-375.
- Jean-Baptiste Michau, 2014.
"Monetary and Fiscal Policy in a Liquidity Trap with Inflation Persistence,"
Working Papers
hal-01089192, HAL.
- Michau, Jean-Baptiste, 2019. "Monetary and fiscal policy in a liquidity trap with inflation persistence," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 1-28.
- Narayana R. Kocherlakota, 2020. "21st Century Macro," NBER Working Papers 26791, National Bureau of Economic Research, Inc.
- Eurilton Araújo, 2018. "Neo-Fisherianism in a Small Open-Economy New Keynesian Model," Working Papers Series 481, Central Bank of Brazil, Research Department.
- Anthony Orlando, 2018. "Asset Markets, Credit Markets, and Inequality: Distributional Changes in Housing, 1970-2016," ERES eres2018_182, European Real Estate Society (ERES).
- Sumner, Scott, 2020. "A Critique of Interest Rate–Oriented Monetary Economics," Working Papers 10698, George Mason University, Mercatus Center.
- 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.
- 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.
- 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:
- Sultanum, Bruno, 2018.
"Financial fragility and over-the-counter markets,"
Journal of Economic Theory, Elsevier, vol. 177(C), pages 616-658.
- Bruno Sultanum, 2016. "Financial Fragility and Over-the-Counter Markets," Working Paper 16-4, Federal Reserve Bank of Richmond.
- Bruno Sultanum, 2014. "Financial fragility and over-the-counter markets," 2014 Papers psu420, Job Market Papers.
- Bruno Sultanum, 2017. "Financial Fragility and Over-the-counter Markets," 2017 Meeting Papers 1122, Society for Economic Dynamics.
- 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.
- Martine Quinzii, 2016. "Unconventional Monetary Policy and the Safety of the Banking System," 2016 Meeting Papers 1511, Society for Economic Dynamics.
- Bacchetta, Philippe, 2017.
"The Sovereign Money Initiative in Switzerland: An Economic Assessment,"
CEPR Discussion Papers
12349, C.E.P.R. Discussion Papers.
- Philippe Bacchetta, 2017. "The Sovereign Money Initiative in Switzerland: An Economic Assessment," Cahiers de Recherches Economiques du Département d'économie 17.16, Université de Lausanne, Faculté des HEC, Département d’économie.
- Philippe Bacchetta, 2018. "The sovereign money initiative in Switzerland: an economic assessment," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-16, December.
- Pierre C. Boyer & Hubert Kempf, 2016.
"Regulatory Arbitrage and the Efficiency of Banking Regulation,"
CESifo Working Paper Series
5878, CESifo.
- Pierre C. Boyer & Hubert Kempf, 2017. "Regulatory arbitrage and the efficiency of banking regulation," Working Papers 2017-06, Center for Research in Economics and Statistics.
- Boyer, Pierre C. & Kempf, Hubert, 2020. "Regulatory arbitrage and the efficiency of banking regulation," Journal of Financial Intermediation, Elsevier, vol. 41(C).
- Pierre C. Boyer & Hubert Kempf, 2016. "Regulatory arbitrage and the efficiency of banking regulation," BAFFI CAREFIN Working Papers 1618, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- 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.
- Marcelo Fernandes & Ms. Deniz O Igan & Marcelo Pinheiro, 2015.
"March Madness in Wall Street: (What) Does the Market Learn from Stress Tests?,"
IMF Working Papers
2015/271, International Monetary Fund.
- Fernandes, Marcelo & Igan, Deniz & Pinheiro, Marcelo, 2020. "March madness in Wall Street: (What) does the market learn from stress tests?," Journal of Banking & Finance, Elsevier, vol. 112(C).
- 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.
- John H. Cochrane, 2014.
"Monetary Policy with Interest on Reserves,"
NBER Working Papers
20613, National Bureau of Economic Research, Inc.
- Cochrane, John H., 2014. "Monetary policy with interest on reserves," Journal of Economic Dynamics and Control, Elsevier, vol. 49(C), pages 74-108.
- Skander Van den Heuvel, 2019.
"The Welfare Effects of Bank Liquidity and Capital Requirements,"
2019 Meeting Papers
325, Society for Economic Dynamics.
- 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.).
- 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.
- 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.
- 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.
- Tomasz Piskorski & Amit Seru, 2018. "Debt Relief and Slow Recovery: A Decade after Lehman," NBER Working Papers 25403, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Sheila Dow & Guðrún Johnsen & Alberto Montagnoli, 2015. "A critique of full reserve banking," Working Papers 2015008, The University of Sheffield, Department of Economics.
- Kučinskas, Simas, 2019. "Aggregate risk and efficiency of mutual funds," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 1-11.
- 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.
- Sultanum, Bruno, 2018.
"Financial fragility and over-the-counter markets,"
Journal of Economic Theory, Elsevier, vol. 177(C), pages 616-658.
- 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.
- John H. Cochrane, 1998. "A Frictionless View of U.S. Inflation," NBER Working Papers 6646, National Bureau of Economic Research, Inc.
- 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.
- 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.
- John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Working Papers 4088, National Bureau of Economic Research, Inc.
Books
- 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., November.
Cited by:
- 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.
- 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.
- Wei Liu & James W. Kolari, 2022. "Multifactor Market Indexes," JRFM, MDPI, vol. 15(4), pages 1-26, March.
- Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Papers 2006.04269, arXiv.org.
- 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.
- 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.
- John H. Cochrane (ed.), 2006.
"Financial Markets and the Real Economy,"
Books,
Edward Elgar Publishing, number 2923.
Cited by:
- 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.
- 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.
- Helbling, Thomas & Huidrom, Raju & Kose, M. Ayhan & Otrok, Christopher, 2011. "Do credit shocks matter? A global perspective," European Economic Review, Elsevier, vol. 55(3), pages 340-353, April.
- 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.
- 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.
- Jahan-Parvar, Mohammad R. & Liu, Xuan & Rothman, Philip, 2009. "Equity Returns and Business Cycles in Small Open Economies," MPRA Paper 15915, University Library of Munich, Germany.
- 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.
- Claessens, Stijn & Kose, M. Ayhan & Terrones, Marco, 2011. "How Do Business and Financial Cycles Interact?," CEPR Discussion Papers 8396, C.E.P.R. Discussion Papers.
- Mr. Marco Terrones & Mr. Ayhan Kose & Mr. Stijn Claessens, 2011. "How Do Business and Financial Cycles Interact?," IMF Working Papers 2011/088, International Monetary Fund.
- Kapadia, Nishad, 2011. "Tracking down distress risk," Journal of Financial Economics, Elsevier, vol. 102(1), pages 167-182, October.
- Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
- Jaccard, Ivan, 2010.
"Asset pricing, habit memory, and the labor market,"
Working Paper Series
1163, European Central Bank.
- 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.
- 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.
- 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.
- Guiso, Luigi & Pistaferri, Luigi & Fagereng, Andreas, 2016.
"Back to background risk?,"
CEPR Discussion Papers
11051, C.E.P.R. Discussion Papers.
- 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.
- Andreas Fagereng & Luigi Guiso & Luigi Pistaferri, 2016. "Back to background risk?," Discussion Papers 834, Statistics Norway, Research Department.
- 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.
- Dimitris Papanikolaou, 2008. "Investment-Specific Technological Change and Asset Prices," 2008 Meeting Papers 637, Society for Economic Dynamics.
- 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.
- 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.
- Schrimpf, Andreas & Grammig, Joachim G., 2007. "Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032 [rev.], ZEW - Leibniz Centre for European Economic Research.
- Joachim Grammig & Andreas Schrimpf, 2009. "Asset pricing with a reference level of consumption: New evidence from the cross‐section of stock returns," Review of Financial Economics, John Wiley & Sons, vol. 18(3), pages 113-123, August.
- Grammig, Joachim & Schrimpf, Andreas, 2009. "Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns," CFR Working Papers 07-05, University of Cologne, Centre for Financial Research (CFR).
- 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.
- Bacchetta, Philippe & Mertens, Elmar & van Wincoop, Eric, 2009. "Predictability in financial markets: What do survey expectations tell us?," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 406-426, April.
- Bacchetta, Philippe & van Wincoop, Eric & Mertens, Elmar, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," CEPR Discussion Papers 5770, C.E.P.R. Discussion Papers.
- Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers 06.04, Swiss National Bank, Study Center Gerzensee.
- Philippe Bacchetta & Elmar Mertens & Eric VanvWincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Swiss Finance Institute Research Paper Series 06-15, Swiss Finance Institute, revised Jun 2006.
- 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.
- Stijn Claessens & M. Ayhan Kose, 2017.
"Asset prices and macroeconomic outcomes: A survey,"
CAMA Working Papers
2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1718, Koc University-TUSIAD Economic Research Forum.
- Claessens,Stijn & Kose,Ayhan, 2017. "Asset prices and macroeconomic outcomes : a survey," Policy Research Working Paper Series 8259, The World Bank.
- Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
- Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
- 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.
- 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.
- 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.
- 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.
- John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
- Grassetti, Francesca & Mammana, Cristiana & Michetti, Elisabetta, 2019. "On the interaction between real economy and financial markets," MPRA Paper 91975, University Library of Munich, Germany.
- 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.
- Bianca De Paoli, Alasdair Scott, Olaf Weeken, 2007.
"Asset pricing implications for a New Keynesian model,"
Money Macro and Finance (MMF) Research Group Conference 2006
156, Money Macro and Finance Research Group.
- Bianca De Paoli & Alasdair Scott & Olaf Weeken, 2006. "Asset pricing implications of a New Keynesian model," Computing in Economics and Finance 2006 358, Society for Computational Economics.
- Bianca De Paoli & Alasdair Scott & Olaf Weeken, 2007. "Asset pricing implications of a New Keynesian model," Bank of England working papers 326, Bank of England.
- Bianca de Paoli & Alasdair Scott & Olaf Weeken, 2010. "Asset pricing implications of a new keynesian model," Post-Print hal-00732761, HAL.
- 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.
- Jaccard, Ivan, 2021. "Leveraged property cycles," Working Paper Series 2539, European Central Bank.
- 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.
- Maik Schmeling, 2011. "Consumption, money and excess returns," Applied Economics, Taylor & Francis Journals, vol. 43(20), pages 2559-2563.
- 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.
- Luc Arrondel & Hector Calvo Pardo & Xisco Oliver, 2007.
"Temperant portfolio choice and background risk: evidence from France,"
PSE Working Papers
halshs-00588069, HAL.
- Luc Arrondel & Hector Calvo Pardo & Xisco Oliver, 2007. "Temperant portfolio choice and background risk: evidence from France," Working Papers halshs-00588069, HAL.
- 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.
- 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.
- 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.
- 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.
- Rudi Steinbach & Stan du Plessis & Ben Smit, 2014. "Monetary policy and financial shocks in an empirical small open-economy DSGE model," EcoMod2014 7194, EcoMod.
- Rui Castro & Claudio Campanale & Gian Luca Clementi, 2007.
"Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences,"
2007 Meeting Papers
503, Society for Economic Dynamics.
- 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).
- Møller, Stig Vinther, 2008.
"Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns,"
Finance Research Group Working Papers
F-2008-04, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Møller, Stig Vinther, 2009. "Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 525-536, September.
- 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.
- Junttila, Juha & Vataja, Juuso, 2018. "Economic policy uncertainty effects for forecasting future real economic activity," Economic Systems, Elsevier, vol. 42(4), pages 569-583.
- 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.
- Veronica Guerrieri & Peter Kondor, 2010.
"Fund managers, career concerns, and asset price volatility,"
Staff Report
446, Federal Reserve Bank of Minneapolis.
- Veronica Guerrieri & Péter Kondor, 2009. "Fund Managers, Career Concerns, and Asset Price Volatility," NBER Working Papers 14898, National Bureau of Economic Research, Inc.
- Veronica Guerrieri & Peter Kondor, 2012. "Fund Managers, Career Concerns, and Asset Price Volatility," American Economic Review, American Economic Association, vol. 102(5), pages 1986-2017, August.
- Kondor, Péter & Guerrieri, Veronica, 2011. "Fund Managers, Career Concerns, and Asset Price Volatility," CEPR Discussion Papers 8454, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Branger, Nicole & Grüning, Patrick & Schlag, Christian, 2016.
"Commodities, financialization, and heterogeneous agents,"
SAFE Working Paper Series
131, Leibniz Institute for Financial Research SAFE.
- Branger, Nicole & Grüning, Patrick & Schlag, Christian, 2016. "Commodities, financialization, and heterogeneous agents," SAFE Working Paper Series 131 [rev.], Leibniz Institute for Financial Research SAFE, revised 2016.
- Willi Semmler, 2006.
"Asset Prices, Booms and Recessions,"
Springer Books,
Springer,
edition 0, number 978-3-540-24696-1, June.
- Willi Semmler, 2011. "Asset Prices, Booms and Recessions," Springer Books, Springer, number 978-3-642-20680-1, June.
- 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.
- 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.
- Ivan Jaccard, 2007. "Real Estate Prices in Production Economies," 2007 Meeting Papers 645, Society for Economic Dynamics.
- 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.
- Tom Engsted & Stuart Hyde & Stig V. Møller, 2007. "Habit Formation, Surplus Consumption and Return Predictability: International Evidence," CREATES Research Papers 2007-31, Department of Economics and Business Economics, Aarhus University.