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Urban Joseph Jermann

Citations

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Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Urban Jermann & Vincenzo Quadrini, 2012. "Macroeconomic Effects of Financial Shocks," American Economic Review, American Economic Association, vol. 102(1), pages 238-271, February.

    Mentioned in:

    1. Macroeconomic Effects of Financial Shocks (AER 2012) in ReplicationWiki ()

Working papers

  1. Urban Jermann & Haotian Xiang, 2025. "Rules versus Discretion in Capital Regulation," NBER Working Papers 33578, National Bureau of Economic Research, Inc.

    Cited by:

    1. Lu, You-Xun & Huang, Yin-Siang & Hsu, Che-Chun, 2026. "Institutional investor attention and bank risk: Evidence from basel III," Finance Research Letters, Elsevier, vol. 102(C).

  2. Urban Jermann & Haotian Xiang, 2023. "Dynamic Banking with Non-Maturing Deposits," NBER Working Papers 31057, National Bureau of Economic Research, Inc.

    Cited by:

    1. Pejman Peykani & Mostafa Sargolzaei & Negin Sanadgol & Amir Takaloo & Hamidreza Kamyabfar, 2023. "The application of structural and machine learning models to predict the default risk of listed companies in the Iranian capital market," PLOS ONE, Public Library of Science, vol. 18(11), pages 1-24, November.
    2. Coulier, Lara & Pancaro, Cosimo & Pancotto, Livia & Reghezza, Alessio, 2025. "Banking on assumptions? How banks model deposit maturities," Working Paper Series 3140, European Central Bank.
    3. Marcella Lucchetta, 2024. "Welfare and bank risk-taking," Annals of Finance, Springer, vol. 20(2), pages 239-258, June.
    4. Paolo Varraso, 2025. "Banks’ Maturity Choices and the Transmission of Interest-Rate Risk," CEIS Research Paper 616, Tor Vergata University, CEIS, revised 11 Oct 2025.
    5. Jermann, Urban & Xiang, Haotian, 2025. "Rules versus discretion in capital regulation," Journal of Financial Economics, Elsevier, vol. 169(C).

  3. Damien Ackerer & Julien Hugonnier & Urban Jermann, 2023. "Perpetual Futures Pricing," Papers 2310.11771, arXiv.org, revised Sep 2024.

    Cited by:

    1. Jaehyun Kim & Hyungbin Park, 2025. "Designing funding rates for perpetual futures in cryptocurrency markets," Papers 2506.08573, arXiv.org.
    2. Tarun Chitra & Theo Diamandis & Nathan Sheng & Luke Sterle & Kamil Yusubov, 2025. "Perpetual Demand Lending Pools," Papers 2502.06028, arXiv.org, revised May 2025.

  4. Urban Jermann, 2021. "Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans," NBER Working Papers 29614, National Bureau of Economic Research, Inc.

    Cited by:

    1. Viktor Tsyrennikov, 2025. "A Case for AXI," Papers 2509.03035, arXiv.org.
    2. Antje Berndt & Darrell Duffie & Yichao Zhu, 2023. "Across‐the‐Curve Credit Spread Indices," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 32(3), pages 115-130, August.
    3. Heidorn, Thomas & Liem, Erik & Requardt, Stefan & Wahnschaap, Tim, 2025. "US$ interest rate and cross currency swaps after the LIBOR funeral: A corporate treasury primer," Frankfurt School - Working Paper Series 236, Frankfurt School of Finance and Management.
    4. Harry Cooperman & Darrell Duffie & Stephan Luck & Zachry Wang & Yilin Yang, 2022. "Bank Funding Risk, Reference Rates, and Credit Supply," Staff Reports 1042, Federal Reserve Bank of New York.
    5. Indriawan, Ivan & Jiao, Feng & Tse, Yiuman, 2022. "Price discovery between forward-looking SOFR and LIBOR," Finance Research Letters, Elsevier, vol. 47(PB).

  5. Jonathan S. Hartley & Urban Jermann, 2020. "Should the U.S. Government Issue Floating Rate Notes?," NBER Working Papers 27065, National Bureau of Economic Research, Inc.

    Cited by:

    1. Matthias Fleckenstein & Francis A. Longstaff, 2018. "Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes," NBER Working Papers 25216, National Bureau of Economic Research, Inc.
    2. M. S. Makushkin, 2025. "Determinants of the Yield on Russian Sovereign Bonds with Floating Coupons," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 5, pages 8-25, October.
    3. Ahn, Jungkyu & Ahn, Yongkil, 2022. "Demystifying the US Treasury floating rate note puzzle: A swap market perspective," Finance Research Letters, Elsevier, vol. 50(C).

  6. Urban J. Jermann & Bin Wei & Vivian Z. Yue, 2019. "The Two-Pillar Policy for the RMB," FRB Atlanta Working Paper 2019-8, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Zhang, Chen & Fang, Ying & Niu, Linlin, 2022. "Changing anchor of the renminbi: A Bayesian learning approach to the decade-long transition," Economic Modelling, Elsevier, vol. 116(C).
    2. Feng, Ling & Le, Duong Thuy & Yuan, Fan, 2023. "Inclusion of the RMB in SDRs and the impossible trinity in China," Economic Systems, Elsevier, vol. 47(2).
    3. Huang, Yi & Panizza, Ugo & Portes, Richard, 2024. "Corporate foreign bond issuance and interfirm loans in China," Journal of International Economics, Elsevier, vol. 152(C).
    4. Sun, Yike & Wu, Yimin & Kitamura, Yoshihiro & Fan, Zuojun, 2026. "Transparency matters: Public vs. non-public use of the counter-cyclical factor and renminbi exchange rate volatility," China Economic Review, Elsevier, vol. 97(C).
    5. Li, Jie & Smallwood, Aaron D., 2025. "The evolution of the relationship between onshore and offshore RMB markets under asymmetric volatility spillovers," Global Finance Journal, Elsevier, vol. 65(C).
    6. Eugenio Cerutti & Haonan Zhou, 2024. "Uncovering CIP Deviations in Emerging Markets: Distinctions, Determinants, and Disconnect," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 196-252, March.
    7. Jeffrey Frankel, 2023. "Estimation of Nonlinear Exchange Rate Dynamics in Evolving Regimes," CID Working Papers 429, Center for International Development at Harvard University.
    8. Ma, Chang & Rebucci, Alessandro & Zhou, Sili, 2025. "A nascent international financial channel of China's monetary policy transmission," BOFIT Discussion Papers 10/2025, Bank of Finland Institute for Emerging Economies (BOFIT).
    9. Sun, Yike, 2025. "The effects of the counter-cyclical factor on renminbi co-movements," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 101(C).
    10. Samuel Drapeau & Peng Luo & Xuan Tao & Tan Wang, 2026. "One Currency, Two Forward Prices: The Onshore-Offshore Renminbi Puzzle," Papers 2605.25392, arXiv.org.
    11. Sun, Yike & Fan, Cunqi & Wu, Yimin, 2026. "Geopolitical shocks and currency co-movement: Country and risk regime heterogeneity," Finance Research Letters, Elsevier, vol. 101(C).

  7. Urban Jermann, 2019. "Negative Swap Spreads and Limited Arbitrage," NBER Working Papers 25422, National Bureau of Economic Research, Inc.

    Cited by:

    1. Hiroaki Shirokawa & Kohei Yamaguchi & Takahiro Obata & Ryuta Sakemoto, 2025. "USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(3), pages 208-223, March.
    2. Tobias J. Moskowitz & Chase P. Ross & Sharon Y. Ross & Kaushik Vasudevan, 2024. "Quantities and Covered-Interest Parity," Finance and Economics Discussion Series 2024-061, Board of Governors of the Federal Reserve System (U.S.).
    3. Darrell Duffie & Michael Fleming & Frank Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer capacity and US Treasury market functionality," BIS Working Papers 1138, Bank for International Settlements.
    4. Wenxin Du & Benjamin Hébert & Wenhao Li, 2022. "Intermediary Balance Sheets and the Treasury Yield Curve," Staff Reports 1023, Federal Reserve Bank of New York.
    5. Rashid, Abdul & Hassan, M. Kabir & Shah, Muhammad Abdul Rehman, 2020. "On the role of Islamic and conventional banks in the monetary policy transmission in Malaysia: Do size and liquidity matter?," Research in International Business and Finance, Elsevier, vol. 52(C).
    6. Takahiro Hattori & Jiro Yoshida, 2023. "Yield Curve Control," International Journal of Central Banking, International Journal of Central Banking, vol. 19(5), pages 403-438, December.
    7. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2020. "The Term Structure of Covered Interest Rate Parity Violations," NBER Working Papers 27231, National Bureau of Economic Research, Inc.
    8. d'Avernas, Adrien & Vandeweyer, Quentin & Petersen, Damon, 2025. "The central bank’s balance sheet and treasury market disruptions," Working Paper Series 3066, European Central Bank.
    9. Jonathan Goldberg & Yoshio Nozawa, 2021. "Liquidity Supply in the Corporate Bond Market," Journal of Finance, American Finance Association, vol. 76(2), pages 755-796, April.
    10. Klingler, Sven & Sundaresan, Suresh, 2023. "Diminishing treasury convenience premiums: Effects of dealers’ excess demand and balance sheet constraints," Journal of Monetary Economics, Elsevier, vol. 135(C), pages 55-69.
    11. Umang Khetan & Ioana Neamțu & Ishita Sen, 2023. "The market for sharing interest rate risk: quantities behind prices," Bank of England Staff Working Paper series 1031, Bank of England.
    12. Hanson, Samuel G. & Malkhozov, Aytek & Venter, Gyuri, 2024. "Demand-and-supply imbalance risk and long-term swap spreads," Journal of Financial Economics, Elsevier, vol. 154(C).
    13. David O. Lucca & Jonathan H. Wright, 2024. "The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under," Journal of Finance, American Finance Association, vol. 79(2), pages 1055-1085, April.
    14. Li, Shaoyu & Zhu, Chunhui & Shang, Yuhuang, 2023. "Hedging demand and near-zero swap spreads: Evidence from the Chinese interest rate swap market," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 170-185.
    15. Longzhen Fan & Xin Hou & Qian Sun, 2023. "A monetary policy–based explanation of swap spreads in China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1645-1667, November.
    16. Huber, Amy Wang, 2023. "Market power in wholesale funding: A structural perspective from the triparty repo market," Journal of Financial Economics, Elsevier, vol. 149(2), pages 235-259.
    17. Hanson, Samuel & Malkhozov, Aytek & Venter, Gyuri, 2022. "Demand-supply imbalance risk and long-term swap spreads," LSE Research Online Documents on Economics 118868, London School of Economics and Political Science, LSE Library.
    18. Shiratsuka, Shigenori, 2025. "What did the Bank of Japan do under the yield curve control policy?," Journal of the Japanese and International Economies, Elsevier, vol. 76(C).
    19. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
    20. Jiakai Chen & Haoyang Liu & Asani Sarkar & Zhaogang Song, 2020. "Dealers and the Dealer of Last Resort: Evidence from the Agency MBS Markets in the COVID-19 Crisis," Staff Reports 933, Federal Reserve Bank of New York.
    21. Matthias Fleckenstein & Francis A. Longstaff, 2024. "Treasury Richness," Journal of Finance, American Finance Association, vol. 79(4), pages 2797-2844, August.
    22. Hartley, Jonathan S. & Jermann, Urban J., 2024. "The pricing of U.S. Treasury floating rate notes," Journal of Financial Economics, Elsevier, vol. 155(C).
    23. Augustin, Patrick & Chernov, Mikhail & Schmid, Lukas & Song, Dongho, 2019. "Benchmark interest rates when the government is risky," CEPR Discussion Papers 14105, Centre for Economic Policy Research.
    24. Aula Ahmad Hafidh, 2021. "Responses of Islamic banking variables to monetary policy shocks in Indonesia," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 28, pages 174-190.
    25. Du, Wenxin & Keerati, Ritt & Schreger, Jesse, 2025. "Decoupling Dollar and Treasury Privilege," SocArXiv 7u9kn_v1, Center for Open Science.
    26. Hattori, Takahiro, 2022. "Does the swap-covered interest parity still hold in long-term capital markets after the financial crisis? Evidence from cross-currency basis swaps," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 224-240.
    27. Jappelli, Ruggero & Pelizzon, Loriana & Subrahmanyam, Marti G., 2023. "Quantitative easing, the repo market, and the term structure of interest rates," SAFE Working Paper Series 395, Leibniz Institute for Financial Research SAFE.
    28. Augustin, Patrick & Chernov, Mikhail & Schmid, Lukas & Song, Dongho, 2020. "The term structure of CIP violations," CEPR Discussion Papers 14774, Centre for Economic Policy Research.
    29. Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2024. "The U.S. Public Debt Valuation Puzzle," Econometrica, Econometric Society, vol. 92(4), pages 1309-1347, July.
    30. Jeremy Bejarano & Viren Desai & Kausthub Keshava & Arsh Kumar & Zixiao Wang & Vincent Hanyang Xu & Yangge Xu, 2026. "An Open Benchmark for Evaluating Time Series Forecasting Methods across Financial Markets," Working Papers 26-05, Office of Financial Research, US Department of the Treasury.
    31. Wenxin Du & Ritt Keerati & Jesse Schreger, 2025. "Decoupling Dollar and Treasury Privilege," International Finance Discussion Papers 1427, Board of Governors of the Federal Reserve System (U.S.).
    32. Kargar, Mahyar, 2021. "Heterogeneous intermediary asset pricing," Journal of Financial Economics, Elsevier, vol. 141(2), pages 505-532.
    33. David-Pur, Lior & Galil, Koresh & Rosenboim, Mosi, 2020. "The dynamics of sovereign yields over swap rates in the Eurozone market," International Review of Financial Analysis, Elsevier, vol. 72(C).

  8. Urban J. Jermann, 2016. "Financial Markets’ Views about the Euro-Swiss Franc Floor," NBER Working Papers 21977, National Bureau of Economic Research, Inc.

    Cited by:

    1. 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).
    2. Andreas Brunhart & Martin Geiger, 2025. "Sectoral effects of exchange rate shocks: goods exports and the appreciation of the Swiss Franc in 2015," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 161(1), pages 1-25, December.
    3. Mirkov, Nikola & Pozdeev, Igor & Soderlind, Paul, 2016. "Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions," Working Papers on Finance 1614, University of St. Gallen, School of Finance.
    4. Markus Hertrich, 2022. "Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc," Review of International Economics, Wiley Blackwell, vol. 30(2), pages 450-489, May.
    5. Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2019. "Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal," Working Papers on Finance 1912, University of St. Gallen, School of Finance.
    6. Iain J. Clark & Saeed Amen, 2017. "Implied Distributions from GBPUSD Risk-Reversals and Implication for Brexit Scenarios," Risks, MDPI, vol. 5(3), pages 1-17, July.
    7. Mirkov, Nikola & Pozdeev, Igor & Söderlind, Paul, 2019. "Verbal interventions and exchange rate policies: The case of Swiss franc cap," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 42-54.
    8. Florian Balke & Andreas Barth & Arne Reichel & Mark Wahrenburg, 2024. "Peg Abandonment and Cross-Currency Contagion," Management Science, INFORMS, vol. 70(8), pages 5599-5606, August.
    9. Yu-Fu Chen & Michael Funke & Richhild Moessner, 2017. "Informal one-sided target zone model and the Swiss franc," BIS Working Papers 660, Bank for International Settlements.
    10. Eduardo Levy Yeyati & Federico Sturzenegger, 2022. "Exchange Rate Regimes 20 years later: The prevalence of floats," Working Papers 166, Universidad de San Andres, Departamento de Economia, revised Nov 2023.
    11. Eduardo Levy-Yeyati & Federico Sturzenegger, 2022. "Classifying Exchange Rate Regimes: 20 Years Later," Working Papers 182, Red Nacional de Investigadores en Economía (RedNIE).
    12. Yang, Yan-Hong & Shao, Ying-Hui & Shao, Hao-Lin & Stanley, H. Eugene, 2019. "Revisiting the weak-form efficiency of the EUR/CHF exchange rate market: Evidence from episodes of different Swiss franc regimes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 734-746.
    13. Palma Filep-Mosberger & Lorant Kaszab & Zhou Ren, 2024. "Spillover Effects of Foreign Currency Loans: the Role of the Bank Lending Channel," MNB Working Papers 2024/2, Magyar Nemzeti Bank (Central Bank of Hungary).
    14. Ranaldo, Angelo & de Magistris, Paolo Santucci, 2022. "Liquidity in the global currency market," Journal of Financial Economics, Elsevier, vol. 146(3), pages 859-883.
    15. Gregor Bäurle & Daniel Kaufmann, 2018. "Measuring Exchange Rate, Price, and Output Dynamics at the Effective Lower Bound," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(6), pages 1243-1266, December.

  9. Urban Jermann & Lukas Schmid & Joao Gomes, 2014. "Sticky Leverage," 2014 Meeting Papers 40, Society for Economic Dynamics.

    Cited by:

    1. Ippolito, Filippo & Ozdagli, Ali K. & Perez-Orive, Ander, 2018. "The transmission of monetary policy through bank lending: The floating rate channel," Journal of Monetary Economics, Elsevier, vol. 95(C), pages 49-71.
    2. Michael Weber & Christian Dorion & Alexandre Jeanneret & Harjoat Bhamra, 2017. "Deflation, Sticky Leverage and Asset Prices," 2017 Meeting Papers 796, Society for Economic Dynamics.
    3. 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.
    4. Alex Clymo, 2018. "Firm Dynamics at the Zero Lower Bound," 2018 Meeting Papers 912, Society for Economic Dynamics.
    5. Ferrante, Francesco, 2019. "Risky lending, bank leverage and unconventional monetary policy," Journal of Monetary Economics, Elsevier, vol. 101(C), pages 100-127.
    6. Gersbach, Hans & Rochet, Jean-Charles & Scheffel, Martin, 2018. "Financial Intermediation, Capital Accumulation and Crisis Recovery," TSE Working Papers 18-885, Toulouse School of Economics (TSE).
    7. Ozdagli, Ali & Velikov, Mihail, 2020. "Show me the money: The monetary policy risk premium," Journal of Financial Economics, Elsevier, vol. 135(2), pages 320-339.
    8. Lukasz A. Drozd & Ricardo Serrano-Padial, 2017. "Credit Enforcement Cycles," Working Papers 17-27, Federal Reserve Bank of Philadelphia.
    9. Harjaat S. Bhamra & Christian Dorion & Alexandre Jeanneret & Michael Weber, 2018. "Low Inflation: High Default Risk AND High Equity Valuations," CESifo Working Paper Series 7391, CESifo.
    10. Jaccard, Ivan, 2018. "Stochastic discounting and the transmission of money supply shocks," Working Paper Series 2174, European Central Bank.
    11. Joachim Jungherr & Immo Schott, 2022. "Slow Debt, Deep Recessions," American Economic Journal: Macroeconomics, American Economic Association, vol. 14(1), pages 224-259, January.
    12. Occhino, Filippo, 2017. "The 2012 eurozone crisis and the ECB’s OMT program: A debt-overhang banking and sovereign crisis interpretation," European Economic Review, Elsevier, vol. 100(C), pages 337-363.
    13. Paul, Pascal, 2020. "A macroeconomic model with occasional financial crises," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
    14. Bacchetta, Philippe & Perazzi, Elena & van Wincoop, Eric, 2018. "Self-fulfilling debt crises: What can monetary policy do?," Journal of International Economics, Elsevier, vol. 110(C), pages 119-134.
    15. Thomas Dangl & Josef Zechner, 2021. "Debt Maturity and the Dynamics of Leverage [Rollover risk and market freezes]," The Review of Financial Studies, Society for Financial Studies, vol. 34(12), pages 5796-5840.
    16. Drozd, Lukasz A. & Serrano-Padial, Ricardo, 2018. "Financial contracting with enforcement externalities," Journal of Economic Theory, Elsevier, vol. 178(C), pages 153-189.
    17. Bai, Hang, 2021. "Unemployment and credit risk," Journal of Financial Economics, Elsevier, vol. 142(1), pages 127-145.
    18. Hiebert, Paul & Jaccard, Ivan & Schüler, Yves, 2018. "Contrasting financial and business cycles: Stylized facts and candidate explanations," Journal of Financial Stability, Elsevier, vol. 38(C), pages 72-80.
    19. Reiter, Michael & Zessner-Spitzenberg, Leopold, 2020. "Long-term bank lending and the transfer of aggregate risk," IHS Working Paper Series 13, Institute for Advanced Studies.
    20. Yang Liu & Amir Yaron & Lukas Schmid, 2019. "The Risks of Safe Assets," 2019 Meeting Papers 1418, Society for Economic Dynamics.
    21. Patrick Pintus, 2017. "Why is the Interest Rate an Inverted Leading Indicator of Macroeconomic Activity in the United States?," Rue de la Banque, Banque de France, issue 49, october..
    22. Patrick A. Pintus & Y. Wen & X. Xing, 2016. "The Inverted Leading Indicator Property and Redistribution Effect of the Interest Rate," Working papers 616, Banque de France.

  10. Urban Jermann, 2013. "A Production-Based Model for the Term Structure," NBER Working Papers 18774, National Bureau of Economic Research, Inc.

    Cited by:

    1. 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.
    2. John H. Cochrane, 2016. "The Habit Habit," Economics Working Papers 16105, Hoover Institution, Stanford University.
    3. Howard Kung, 2014. "Macroeconomic linkages between monetary policy and the term structure of interest rates," 2014 Meeting Papers 560, Society for Economic Dynamics.
    4. Bernard Herskovic, 2015. "Networks in Production: Asset Pricing Implications," 2015 Meeting Papers 378, Society for Economic Dynamics.
    5. John H. Cochrane, 2019. "Rethinking Production Under Uncertainty," NBER Working Papers 26535, National Bureau of Economic Research, Inc.
    6. 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.
    7. 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).
    8. Feng Zhao & Guofu Zhou & Xiaoneng Zhu, 2021. "Unspanned Global Macro Risks in Bond Returns," Management Science, INFORMS, vol. 67(12), pages 7825-7843, December.
    9. 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.
    10. 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.
    11. Liu, Laura Xiaolei & Zhang, Lu, 2014. "A neoclassical interpretation of momentum," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 109-128.
    12. van der Wel, Michel & Zhang, Yaoyuan, 2026. "Global evidence on unspanned macro risks in dynamic term structure models," Journal of Banking & Finance, Elsevier, vol. 185(C).
    13. 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.
    14. Kozak, Serhiy, 2022. "Dynamics of bond and stock returns," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 188-209.
    15. Thien Nguyen, 2019. "Public Debt and the Slope of the Term Structure," 2019 Meeting Papers 957, Society for Economic Dynamics.
    16. Francesco Bianchi & Howard Kung & Mikhail Tirskikh, 2023. "The origins and effects of macroeconomic uncertainty," Quantitative Economics, Econometric Society, vol. 14(3), pages 855-896, July.
    17. Martin M. Andreasen, 2019. "Explaining Bond Return Predictability in an Estimated New Keynesian Model," CREATES Research Papers 2019-11, Department of Economics and Business Economics, Aarhus University.
    18. John H. Cochrane, 2016. "Macro-Finance," NBER Working Papers 22485, National Bureau of Economic Research, Inc.
    19. 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.

  11. Jermann, Urban J. & Yue, Vivian Z., 2013. "Interest rate swaps and corporate default," Working Paper Series 1590, European Central Bank.

    Cited by:

    1. Urban Jermann, 2019. "Negative Swap Spreads and Limited Arbitrage," NBER Working Papers 25422, National Bureau of Economic Research, Inc.
    2. Mariya Gubareva & Maria Rosa Borges, 2018. "Rethinking economic capital management through the integrated derivative-based treatment of interest rate and credit risk," Annals of Operations Research, Springer, vol. 266(1), pages 71-100, July.
    3. Ma, Chang & Valencia, Fabián, 2024. "Welfare gains from market insurance: The case of Mexican oil price risk," Journal of International Money and Finance, Elsevier, vol. 142(C).
    4. Raymond Kim, 2021. "Disproportionate costs of uncertainty: Small bank hedging and Dodd‐Frank," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 686-709, May.
    5. Kristina Garskaite-Milvydiene & Raimonda Martinkute-Kauliene, 2021. "Examination of the Relationship between Derivative Financial Instruments and the Economic Development of Lithuania," Contemporary Economics, Vizja University, vol. 15(2), April.
    6. Sven Klingler & Suresh Sundaresan, 2018. "An explanation of negative swap spreads: demand for duration from underfunded pension plans," BIS Working Papers 705, Bank for International Settlements.
    7. Mariya Gubareva, 2018. "Historical Interest Rate Sensitivity of Emerging Market Sovereign Debt: Evidence of Regime Dependent Behavior," Annals of Economics and Finance, Society for AEF, vol. 19(2), pages 405-442, November.
    8. Bai, Hang, 2021. "Unemployment and credit risk," Journal of Financial Economics, Elsevier, vol. 142(1), pages 127-145.

  12. Fernando Alvarez & Urban J Jermann, 2010. "Asset Pricing When Risk Sharing is Limited by Default," Levine's Working Paper Archive 1898, David K. Levine.

    Cited by:

    1. Jérôme Detemple & Angel Serrat, 1998. "Dynamic Equilibrium with Liquidity Constraints," CIRANO Working Papers 98s-41, CIRANO.
    2. Fernando Alvarez & Urban J. Jermann, 1999. "Quantitative Asset Pricing Implications of Endogenous Solvency Constraints," NBER Working Papers 6953, National Bureau of Economic Research, Inc.
    3. Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
    4. Kjetil Storesletten & Chris Telmer & Amir Yaron, 1996. "Asset pricing with idiosyncratic risk and overlapping generations," Economics Working Papers 405, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 1999.
    5. Patrick J. Kehoe & Fabrizio Perri, 2000. "International Business Cycles with Endogenous Incomplete Markets," NBER Working Papers 7870, National Bureau of Economic Research, Inc.
    6. 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.
    7. Karsten Jeske, 2005. "Private international debt with risk of repudiation," FRB Atlanta Working Paper 2001-16, Federal Reserve Bank of Atlanta.
    8. Lance Lochner & Alexander Monge-Naranjo, 2002. "Human Capital Formation with Endogenous Credit Constraints," NBER Working Papers 8815, National Bureau of Economic Research, Inc.
    9. Dirk Krueger & Fabrizio Perri, 1999. "Risk sharing: private insurance markets or redistributive taxes?," Staff Report 262, Federal Reserve Bank of Minneapolis.
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    Cited by:

    1. Jeannine Bailliu & Césaire Meh & Yahong Zhang, 2012. "Macroprudential Rules and Monetary Policy when Financial Frictions Matter," Staff Working Papers 12-6, Bank of Canada.
    2. Alessio Moro, 2012. "The Structural Transformation Between Manufacturing and Services and the Decline in the US GDP Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 402-415, July.
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    4. Michelacci, Claudio & Schivardi, Fabiano, 2008. "Does Idiosyncratic Business Risk Matter?," CEPR Discussion Papers 6910, Centre for Economic Policy Research.
    5. Prasanna Gai & Sujit Kapadia & Stephen Millard & Ander Perez, 2008. "Financial Innovation, Macroeconomic Stability and Systemic Crises," Economic Journal, Royal Economic Society, vol. 118(527), pages 401-426, March.
    6. George Hondroyiannis & P.A.V.B. Swamy & George S. Tavlas, 2007. "The New Keynesian Phillips Curve and Lagged Inflation: A Case of Spurious Correlation?," Working Papers 57, Bank of Greece.
    7. Ian Christensen & Paul Corrigan & Caterina Mendicino & Shin-Ichi Nishiyama, 2016. "Consumption, housing collateral and the Canadian business cycle," Canadian Journal of Economics, Canadian Economics Association, vol. 49(1), pages 207-236, February.
    8. Hirano, Tomohiro, 2009. "Financial Development and Amplification," MPRA Paper 16907, University Library of Munich, Germany.
    9. Liu, Luke, 2011. "Asset price, asset securitization and financial stability," MPRA Paper 35000, University Library of Munich, Germany.
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    11. Solomon, Bernard Daniel, 2010. "Firm leverage, household leverage and the business cycle," MPRA Paper 26504, University Library of Munich, Germany.
    12. Naomi N. Griffin, 2007. "Assessing the Relationship between Economic Stability and Dynamic Employment Responses to Aggregate Shocks: Working Paper 2007-04," Working Papers 18422, Congressional Budget Office.
    13. Keiichiro KOBAYASHI, 2009. "Asset-Price Collapse and Market Disruption - A model of financial crises -," Discussion papers 09045, Research Institute of Economy, Trade and Industry (RIETI).
    14. Pengfei Wang & Yi Wen & Zhiwei Xu, 2013. "Financial development and long-run volatility trends," Working Papers 2013-003, Federal Reserve Bank of St. Louis.
    15. Bevilacqua, Mattia & Morelli, David & Tunaru, Radu, 2019. "The determinants of the model-free positive and negative volatilities," Journal of International Money and Finance, Elsevier, vol. 92(C), pages 1-24.
    16. Dellas, H. & Diba, B. & Olivier Loisel, 2010. "Financial Shocks and Optimal Policy," Working papers 277, Banque de France.
    17. Canova, Fabio & Gambetti, Luca, 2009. "Do expectations matter? The Great Moderation revisited," CEPR Discussion Papers 7597, Centre for Economic Policy Research.
    18. Serdar Kabaca, 2011. "Labor Share Fluctuations in Emerging Markets: The Role of the Cost of Borrowing," Koç University-TUSIAD Economic Research Forum Working Papers 1122, Koc University-TUSIAD Economic Research Forum.
    19. Jan Starmans, 2023. "Technological Determinants of Financial Constraints," Management Science, INFORMS, vol. 69(5), pages 3003-3024, May.
    20. Straub, Roland & Bilbiie, Florin O., 2012. "Asset market participation, monetary policy rules and the great inflation," Working Paper Series 1438, European Central Bank.
    21. Cristina Fuentes‐Albero, 2019. "Financial Frictions, Financial Shocks, and Aggregate Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(6), pages 1581-1621, September.
    22. Xuewen Liu & Pengfei Wang & Sichuang Xu, 2024. "Asset‐Market Sentiments And Business Cycle Fluctuations," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 65(4), pages 1795-1819, November.
    23. Mirdala, Rajmund & Svrčeková, Aneta & Semančíková, Jozefína, 2015. "On the Relationship between Financial Integration, Financial Liberalization and Macroeconomic Volatility," MPRA Paper 66143, University Library of Munich, Germany.
    24. Bezemer, Dirk & Grydaki, Maria, 2014. "Nonfinancial sectors debt and the U.S. great moderation," Research Report 14030-GEM, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    25. Kim, Dohan, 2025. "The Asymmetric Bank Distress Amplifier of Recessions," Policy Research Working Paper Series 11170, The World Bank.
    26. Francisco Covas & Yahong Zhang, 2008. "Price-Level versus Inflation Targeting with Financial Market Imperfections," Staff Working Papers 08-26, Bank of Canada.
    27. Keiichiro KOBAYASHI, 2012. "Persistent Productivity Decline Due to Corporate Default," Discussion papers 12052, Research Institute of Economy, Trade and Industry (RIETI).
    28. Bezemer, Dirk & Grydaki, Maria, 2013. "Debt and the U.S. Great Moderation," MPRA Paper 47399, University Library of Munich, Germany.
    29. de Blas Beatriz, 2009. "Can Financial Frictions Help Explain the Performance of the U.S. Fed?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-30, June.
    30. Borio, Claudio & Zhu, Haibin, 2012. "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.
    31. Keiichiro Kobayashi & Daichi Shirai, 2016. "Debt-Ridden Borrowers and Productivity Slowdown," CIGS Working Paper Series 16-001E, The Canon Institute for Global Studies.
    32. Kaiji Chen & Zheng Song & Yikai Wang, 2010. "Precautionary corporate liquidity," IEW - Working Papers 465, Institute for Empirical Research in Economics - University of Zurich.
    33. Jonathan Benchimol & Irfan Qureshi, 2019. "Time-Varying Money Demand and Real Balance Effects," CFDS Discussion Paper Series 2019/7, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
    34. Szilárd Benk & Max Gillman & Michal Kejak, 2008. "Money Velocity in an Endogenous Growth Business Cycle with Credit Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1281-1293, September.
    35. Den Haan, Wouter & Sterk, Vincent, 2009. "The Myth of Financial Innovation and the Great Moderation," CEPR Discussion Papers 7507, Centre for Economic Policy Research.
    36. Mikael Juselius & Mathias Drehmann, 2015. "Leverage dynamics and the real burden of debt," BIS Working Papers 501, Bank for International Settlements.
    37. Chen, Kaiji & Song, Zheng, 2009. "Financial Frictions on Capital Allocation: A Transmission Mechanism of TFP Fluctuations," MPRA Paper 15211, University Library of Munich, Germany.
    38. Hasan Cömert & Gerald Epstein, 2016. "Finansal Yenilik Yazinindaki Son Gelismeler," STPS Working Papers 1604, STPS - Science and Technology Policy Studies Center, Middle East Technical University, revised Jan 2016.
    39. Douglas Sutherland & Peter Hoeller, 2012. "Debt and Macroeconomic Stability: An Overview of the Literature and Some Empirics," OECD Economics Department Working Papers 1006, OECD Publishing.
    40. Boeri, Tito & Garibaldi, Pietro & Moen, Espen Rasmus, 2015. "Financial Frictions, Financial Shocks and Unemployment Volatility," CEPR Discussion Papers 10648, Centre for Economic Policy Research.
    41. Benk, Szil rd & Gillman, Max & Kejak, Michal, 2008. "US Volatility Cycles of Output and Inflation, 1919-2004: A Money and Banking Approach to a Puzzle," Cardiff Economics Working Papers E2008/28, Cardiff University, Cardiff Business School, Economics Section.
    42. Huang, Chao-Hsi & Hsieh, Yi-Shan, 2021. "Leverage dynamics over the business cycle: Evidence from Taiwan listed and unlisted firms," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 373-391.
    43. Shalini Mitra, 2012. "Does Financial Development Cause Higher Firm Volatility and Lower Aggregate Volatility?," Working papers 2012-07, University of Connecticut, Department of Economics.
    44. Paula Garda & Volker Ziemann, 2014. "Economic Policies and Microeconomic Stability: A Literature Review and Some Empirics," OECD Economics Department Working Papers 1115, OECD Publishing.
    45. Albulescu Claudiu Tiberiu, 2007. "The Impact of the New Financial Products on the Volatility of the Economic Growth," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 2(1(2)_Fall).
    46. David Amdur, 2008. "Capital Structure Over The Business Cycle," Working Papers gueconwpa~08-08-03, Georgetown University, Department of Economics.
    47. Adrian Van Rixtel & Gabriele Gasperini, 2013. "Financial crises and bank funding: recent experience in the euro area," BIS Working Papers 406, Bank for International Settlements.
    48. Aoki, Shuhei, 2008. "A Simple Accounting Framework for the Effect of Resource Misallocation on Aggregate Productivity," MPRA Paper 11511, University Library of Munich, Germany.
    49. Marianna Kudlyak & Juan M. Sánchez, 2016. "Revisiting Gertler-Gilchrist Evidence on the Behavior of Small and Large Firms," Working Paper 16-5, Federal Reserve Bank of Richmond.
    50. Keiichiro Kobayashi & Daichi Shirai, 2017. "Debt-Ridden Borrowers and Economic Slowdown," CIGS Working Paper Series 17-002E, The Canon Institute for Global Studies.
    51. Jakob B. Madsen & Ratbek Dzhumashev, 2012. "The equity premium and the required stock returns in a Tobin's q model with a stochastic discount factor," Applied Economics, Taylor & Francis Journals, vol. 44(6), pages 683-694, February.
    52. Caterina Mendicino, 2012. "Collateral Requirements: Macroeconomic Fluctuations and Macro-Prudential Policy," Working Papers w201211, Banco de Portugal, Economics and Research Department.
    53. Marianna Kudlyak & Juan M. Sánchez, 2016. "Revisiting the Behavior of Small and Large Firms during the 2008 Financial Crisis," Working Paper Series 2016-22, Federal Reserve Bank of San Francisco.
    54. Francisco Covas & Wouter den Haan, 2006. "The Role of Debt and Equity Finance over the Business Cycle," Staff Working Papers 06-45, Bank of Canada.
    55. Karen E. Dynan & Douglas W. Elmendorf & Daniel E. Sichel, 2006. "Financial innovation and the Great Moderation: what do household data say?," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
    56. J. Christina Wang, 2006. "Financial innovations, idiosyncratic risk, and the joint evolution of real and financial volatilities," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
    57. Josef Hollmayr & Michael Kuehl, 2016. "Imperfect Information about Financial Frictions and Consequences for the Business Cycle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 22, pages 179-207, October.
    58. Mark Gertler, 2008. "Comment on "Aggregate Implications of Credit Market Imperfections"," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 61-69, National Bureau of Economic Research, Inc.
    59. Francesco Furlanetto & Paolo Gelain & Marzie Taheri Sanjani, 2021. "Output Gap, Monetary Policy Trade-offs, and Financial Frictions," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 52-70, July.
    60. Fuentes-Albero, Cristina, 2007. "Technology Shocks, Statistical Models, and The Great Moderation," MPRA Paper 3589, University Library of Munich, Germany.
    61. Christian Calmès & Raymond Théoret, 2009. "The Impact of Off-Balance-Sheet Activities on Banks Returns: An Application of the ARCH-M to Canadian Data," RePAd Working Paper Series UQO-DSA-wp032009, Département des sciences administratives, UQO.
    62. Christian Calmès & Raymond Théoret, 2009. "The Impact of Banking Deregulation on Canadian Banks Returns," RePAd Working Paper Series UQO-DSA-wp022009, Département des sciences administratives, UQO.
    63. Guerron-Quintana, Pablo A., 2009. "Money demand heterogeneity and the great moderation," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 255-266, March.
    64. Keiichiro KOBAYASHI & Daichi SHIRAI, 2024. "Debt-Ridden Borrowers and Persistent Stagnation," CIGS Working Paper Series 23-001E, The Canon Institute for Global Studies.
    65. Claudiu Tiberiu Albulescu & Nicolae Bogdan Ianc, 2016. "Fiscal Policy, Fdi And Macroeconomic Stabilization," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 18, pages 131-146, December.
    66. Masaru INABA & Keiichiro KOBAYASHI, 2009. "Quantitative Significance of Collateral Constraints as an Amplification Mechanism," Discussion papers 09035, Research Institute of Economy, Trade and Industry (RIETI).
    67. Felipe Schwartzman, 2013. "The Business Cycle Behavior of Working Capital," Economic Quarterly, Federal Reserve Bank of Richmond, issue 4Q, pages 287-303.
    68. Jacobus Nel & Rangan Gupta & Mark E. Wohar & Christian Pierdzioch, 2022. "Climate Risks and Predictability of Commodity Returns and Volatility: Evidence from Over 750 Years of Data," Working Papers 202242, University of Pretoria, Department of Economics.
    69. Efrem Castelnuovo, 2012. "Estimating the Evolution of Money’s Role in the U.S. Monetary Business Cycle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 23-52, February.
    70. Claudio Michelacci & Fabiano Schivardi, 2013. "Does Idiosyncratic Business Risk Matter For Growth?," Journal of the European Economic Association, European Economic Association, vol. 11(2), pages 343-368, April.
    71. Juselius, Mikael & Drehmann, Mathias, 2016. "Leverage dynamics and the burden of debt," Bank of Finland Research Discussion Papers 3/2016, Bank of Finland.
    72. Christian Calmès & Raymond Théoret, 2008. "Banking Deregulation and Financial Stability : is it Time to re-regulate in Canada ?," RePAd Working Paper Series UQO-DSA-wp042008, Département des sciences administratives, UQO.
    73. Poeschl, Johannes, 2023. "Corporate debt maturity and investment over the business cycle," European Economic Review, Elsevier, vol. 152(C).
    74. Chen, Kaiji & Song, Zheng, 2007. "Financial Friction, Capital Reallocation and Expectation-Driven Business Cycles," MPRA Paper 3889, University Library of Munich, Germany.

  15. Urban Jermann, 2006. "The Equity Premium Implied by Production," NBER Working Papers 12487, National Bureau of Economic Research, Inc.

    Cited by:

    1. Frederico Belo & Chen Xue & Lu Zhang, 2010. "Cross-sectional Tobin's Q," NBER Working Papers 16336, National Bureau of Economic Research, Inc.
    2. 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.
    3. Urban Jermann, 2013. "A Production-Based Model for the Term Structure," NBER Working Papers 18774, National Bureau of Economic Research, Inc.
    4. Howard Kung, 2014. "Macroeconomic linkages between monetary policy and the term structure of interest rates," 2014 Meeting Papers 560, Society for Economic Dynamics.
    5. Leung, Charles Ka Yui & Teo, Wing Leong, 2010. "Should the optimal portfolio be region-specific? A multi-region model with monetary policy and asset price co-movements," MPRA Paper 28216, University Library of Munich, Germany.
    6. 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.
    7. Srisuksai, Pithak & Vanitcharearntham, Vimut, . "Asset Pricing with Idiosyncratic Shocks," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 23(01).
    8. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
    9. Posch, Olaf, 2011. "Risk premia in general equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 35(9), pages 1557-1576, September.
    10. Lu Zhang, 2017. "The Investment CAPM," European Financial Management, European Financial Management Association, vol. 23(4), pages 545-603, September.
    11. 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.).
    12. Cassou, Steven P. & Vázquez, Jesús, 2025. "Preference for consumption predictability and the equity premium puzzle," International Review of Economics & Finance, Elsevier, vol. 103(C).
    13. Yashiv, Eran, 2015. "Capital values and job values," LSE Research Online Documents on Economics 86323, London School of Economics and Political Science, LSE Library.
    14. Ivan Jaccard, 2006. "Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle," 2006 Meeting Papers 574, Society for Economic Dynamics.
    15. 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).
    16. Lin, Xiaoji & Zhang, Lu, 2013. "The investment manifesto," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 351-366.
    17. Eran Yashiv, 2015. "Capital Values and Job Values," Discussion Papers 1502, Centre for Macroeconomics (CFM).
    18. David N. DeJong & Emilio Espino, 2007. "The Cyclical Behavior of Equity Turnover," Working Paper 294, Department of Economics, University of Pittsburgh, revised Jun 2010.
    19. Jun Li & Huijun Wang & Jianfeng Yu, 2018. "Aggregate Expected Investment Growth and Stock Market Returns," ADBI Working Papers 808, Asian Development Bank Institute.
    20. 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.
    21. Liu, Laura Xiaolei & Zhang, Lu, 2014. "A neoclassical interpretation of momentum," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 109-128.
    22. 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.
    23. Gourio, François, 2011. "Putty-clay technology and stock market volatility," Journal of Monetary Economics, Elsevier, vol. 58(2), pages 117-131, March.
    24. John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
    25. Emilio Espino, 2005. "Equilibrium Portfolios in the Neoclassical Growth Model," Working Papers 87, Universidad de San Andres, Departamento de Economia, revised Dec 2005.
    26. Lars-Alexander Kuehn, 2007. "Time-to-Build and Asset Prices," 2007 Meeting Papers 1015, Society for Economic Dynamics.
    27. Segal, Gill, 2019. "A tale of two volatilities: Sectoral uncertainty, growth, and asset prices," Journal of Financial Economics, Elsevier, vol. 134(1), pages 110-140.
    28. Michael Nwogugu, 2020. "Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences," Papers 2005.01709, arXiv.org.
    29. 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.
    30. 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.
    31. Kozak, Serhiy, 2022. "Dynamics of bond and stock returns," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 188-209.
    32. 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.
    33. Roberto Steri, 2015. "Collateral-Based Asset Pricing," 2015 Meeting Papers 293, Society for Economic Dynamics.
    34. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
    35. 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.
    36. 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.

  16. Vincenzo Quadrini & Urban Jermann, 2005. "Financial Development and Macroeconomic Stability," 2005 Meeting Papers 692, Society for Economic Dynamics.

    Cited by:

    1. Eva Carceles-Poveda & Albert Marcet & Alexis Anagnostopoulos, 2008. "Equity Financing," 2008 Meeting Papers 954, Society for Economic Dynamics.
    2. Caterina Mendicino, 2006. "Credit Market and Macroeconomic Volatility," 2006 Meeting Papers 317, Society for Economic Dynamics.

  17. Urban Jermann & Vincenzo Quadrini, 2002. "Stock Market Boom and the Productivity Gains of the 1990s," NBER Working Papers 9034, National Bureau of Economic Research, Inc.

    Cited by:

    1. Kwang Hun Choi & Chang‐Jin Kim & Cheolbeom Park, 2017. "Regime Shifts in Price‐Dividend Ratios and Expected Stock Returns: A Present‐Value Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 417-441, March.
    2. Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
    3. Vincenzo Quadrini, 2011. "Financial frictions in macroeconomic fluctations," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 97(3Q), pages 209-254.
    4. Marco Bassetto & Marco Cagetti & Mariacristina De Nardi, 2013. "Credit Crunches and Credit Allocation in a Model of Entrepreneurship," NBER Working Papers 19296, National Bureau of Economic Research, Inc.
    5. Gertjan Vlieghe, 2010. "Imperfect credit markets: implications for monetary policy," Bank of England Staff Working Paper series 385, Bank of England.
    6. Sandra Gomes, 2011. "Housing Market Dynamics: Any News?," Working Papers w201121, Banco de Portugal, Economics and Research Department.
    7. Nathaniel Arnold & Jihad C. Dagher, 2015. "Growth Opportunities, Strategic Savings, And The Dot-Com Boom And Bust," Economic Inquiry, Western Economic Association International, vol. 53(4), pages 1850-1871, October.
    8. Miranda-Agrippino, Silvia & Hacıoglu Hoke, Sinem, 2018. "When creativity strikes: news shocks and business cycle fluctuations," LSE Research Online Documents on Economics 90381, London School of Economics and Political Science, LSE Library.
    9. Benchimol, Jonathan & Bounader, Lahcen, 2023. "Optimal monetary policy under bounded rationality," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 67, pages 1-25.
    10. Ekaterina Pirozhkova, 2017. "Financial frictions and robust monetary policy in the models of New Keynesian framework," BCAM Working Papers 1701, Birkbeck Centre for Applied Macroeconomics.
    11. Thien Nguyen & Steve Raymond & Lukas Schmid & Mariano Croce, 2016. "Government Debt and the Returns to Innovation," 2016 Meeting Papers 1443, Society for Economic Dynamics.
    12. Francois Gourio & Jianjun Miao, 2006. "Firm Heterogeneity and the Long-Run Effects of Dividend Tax Reform," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-160, Boston University - Department of Economics.
    13. Shirai, Daichi, 2016. "Persistence and Amplification of Financial Frictions," MPRA Paper 72187, University Library of Munich, Germany.
    14. Beatriz González, 2020. "Macroeconomics, firm dynamics and IPOs," Working Papers 2030, Banco de España.
    15. Chen, Kaiji & Song, Zheng, 2013. "Financial frictions on capital allocation: A transmission mechanism of TFP fluctuations," Journal of Monetary Economics, Elsevier, vol. 60(6), pages 683-703.
    16. Keiichiro Kobayashi & Daichi Shirai, 2016. "Debt-Ridden Borrowers and Productivity Slowdown," CIGS Working Paper Series 16-001E, The Canon Institute for Global Studies.
    17. Sirio Aramonte, 2015. "Innovation, investor sentiment, and firm-level experimentation," Finance and Economics Discussion Series 2015-67, Board of Governors of the Federal Reserve System (U.S.).
    18. Jamal Ali Al-Khasawneh & Naceur Essaddam & Salah A. Nusair & Benito A. Sanchez, 2023. "Productivity-conditioned market reaction of US Bank acquisitions during regulation-deregulation eras," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 368-385, June.
    19. Castrén, Olli, 2004. "Do financial market variables show (symmetric) indicator properties relative to exchange rate returns?," Working Paper Series 379, European Central Bank.
    20. Brooks, Wyatt & Dovis, Alessandro, 2020. "Credit market frictions and trade liberalizations," Journal of Monetary Economics, Elsevier, vol. 111(C), pages 32-47.
    21. Chen, Hsuan-Chi & Chou, Robin K. & Lu, Chien-Lin, 2018. "Saving for a rainy day: Evidence from the 2000 dot-com crash and the 2008 credit crisis," Journal of Corporate Finance, Elsevier, vol. 48(C), pages 680-699.
    22. Ellen R. McGrattan & Eduard C. Prescott, 2006. "Why Did U.S. Market Hours Boom in the 1990s?," 2006 Meeting Papers 192, Society for Economic Dynamics.
    23. Haozhou Tang, 2018. "Asset Price Bubbles and the Distribution of Firms," 2018 Meeting Papers 362, Society for Economic Dynamics.
    24. Rampini, Adriano A. & Viswanathan, S., 2013. "Collateral and capital structure," Journal of Financial Economics, Elsevier, vol. 109(2), pages 466-492.
    25. Alessandro Dovis & Wyatt Brooks, 2011. "Trade Liberalization with Endogenous Borrowing Constraints," 2011 Meeting Papers 631, Society for Economic Dynamics.
    26. Campello, Murillo & Graham, John R., 2013. "Do stock prices influence corporate decisions? Evidence from the technology bubble," Journal of Financial Economics, Elsevier, vol. 107(1), pages 89-110.
    27. Narayan, Paresh Kumar & Thuraisamy, Kannan S., 2013. "Common trends and common cycles in stock markets," Economic Modelling, Elsevier, vol. 35(C), pages 472-476.
    28. Jiro Kondo & Danielle Li & Dimitris Papanikolaou, 2021. "Trust, Collaboration, and Economic Growth," Management Science, INFORMS, vol. 67(3), pages 1825-1850, March.
    29. 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.
    30. Katrin Tinn & Evangelia Vourvachaki, 2009. "Can Optimism about Technology Stocks Be Good for Welfare? Positive Spillovers vs. Equity Market Losses," CERGE-EI Working Papers wp383, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    31. Gilchrist, Simon & Yankov, Vladimir & Zakrajsek, Egon, 2009. "Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 471-493, May.
    32. Tang, Haozhou & Zhang, Donghai, 2022. "Bubbly firm dynamics and aggregate fluctuations," Journal of Monetary Economics, Elsevier, vol. 132(C), pages 64-80.
    33. Narayan, Paresh Kumar & Sharma, Susan Sunila & Phan, Dinh Hoang Bach, 2016. "Asset price bubbles and economic welfare," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 139-148.
    34. Christopher M. Gunn, 2018. "Overaccumulation, Interest, and Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(2-3), pages 479-511, March.
    35. Luigi Bocola & Nils M. Gornemann, 2013. "Risk, economic growth and the value of U.S. corporations," Working Papers 13-10, Federal Reserve Bank of Philadelphia.
    36. Tinn, K & Vourvachaki, E, 2012. "Can overpricing of technology stocks be good for welfare? Positive spillovers vs. equity market losses," Working Papers 12192, Imperial College, London, Imperial College Business School.
    37. Kevin J. Lansing, 2012. "Speculative Growth, Overreaction, and the Welfare Cost of Technology-Driven Bubbles," Working Paper Series 2008-08, Federal Reserve Bank of San Francisco.
    38. Nicolae B. Gârleanu & Stavros Panageas & Jianfeng Yu, 2009. "Technological Growth and Asset Pricing," NBER Working Papers 15340, National Bureau of Economic Research, Inc.
    39. Dimitris Papanikolaou, 2015. "Cooperation Cycles: A theory of endogenous investment shocks," 2015 Meeting Papers 71, Society for Economic Dynamics.
    40. Ward, Colin, 2020. "Is the IT revolution over? An asset pricing view," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 283-316.
    41. Jacobus Nel & Rangan Gupta & Mark E. Wohar & Christian Pierdzioch, 2022. "Climate Risks and Predictability of Commodity Returns and Volatility: Evidence from Over 750 Years of Data," Working Papers 202242, University of Pretoria, Department of Economics.
    42. Trevor Serrao & Luca Benzoni & Marco Bassetto, 2017. "The Interplay Between Financial Conditions and Monetary Policy Shocks," 2017 Meeting Papers 1124, Society for Economic Dynamics.
    43. Ellen R. McGrattan & Edward C. Prescott, 2010. "Unmeasured Investment and the Puzzling US Boom in the 1990s," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(4), pages 88-123, October.
    44. Jihad Dagher, 2018. "Regulatory Cycles: Revisiting the Political Economy of Financial Crises," IMF Working Papers 2018/008, International Monetary Fund.
    45. Robert S. Chirinko & Huntley Schaller, 2011. "Fundamentals, Misvaluation, and Business Investment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(7), pages 1423-1442, October.

  18. 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.

    Cited by:

    1. Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, University Library of Munich, Germany, revised 16 Nov 2001.
    2. 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.
    3. 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.
    4. 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.
    5. Hanno Lustig, 2004. "Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 322, UCLA Department of Economics.
    6. Hanno Lustig & Stijn Van Nieuwerburgh, 2004. "A Theory of Housing Collateral, Consumption Insurance and Risk Premia," NBER Working Papers 10955, National Bureau of Economic Research, Inc.

  19. 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.

    Cited by:

    1. Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, University Library of Munich, Germany, revised 16 Nov 2001.
    2. Douglas Sutherland & Peter Hoeller & Balázs Égert & Oliver Röhn, 2010. "Counter-cyclical Economic Policy," OECD Economics Department Working Papers 760, OECD Publishing.
    3. Angelo Melino, 2006. "Measuring the Cost of Economic Fluctuations with Preferences that Rationalize the Equity Premium," Working Papers tecipa-256, University of Toronto, Department of Economics.
    4. Verdelhan, Adrien & Van Nieuwerburgh, Stijn & Lustig, Hanno, 2012. "The Wealth-Consumption Ratio," CEPR Discussion Papers 9022, Centre for Economic Policy Research.
    5. Krebs, Tom & Scheffel, Martin, 2014. "Labor Market Reform and the Cost of Business Cycles," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100427, Verein für Socialpolitik / German Economic Association.
    6. Barillas, Francisco & Hansen, Lars Peter & Sargent, Thomas J., 2009. "Doubts or variability?," Journal of Economic Theory, Elsevier, vol. 144(6), pages 2388-2418, November.
    7. Tom Krebs & Martin Scheffel, 2016. "Labor Market Institutions and the Cost of Recessions," CESifo Working Paper Series 6262, CESifo.
    8. 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.
    9. Dávila, Eduardo, 2016. "Using elasticities to derive optimal bankruptcy exemptions," ESRB Working Paper Series 26, European Systemic Risk Board.
    10. Santiago García-Verdú & Manuel Ramos-Francia, 2016. "On the costs of deflation: a consumption-based approach," BIS Papers chapters, in: Bank for International Settlements (ed.), Inflation mechanisms, expectations and monetary policy, volume 89, pages 247-273, Bank for International Settlements.
    11. Robert J. Barro, 2006. "On the Welfare Costs of Consumption Uncertainty," NBER Working Papers 12763, National Bureau of Economic Research, Inc.
    12. Mark Huggett & Greg Kaplan, 2012. "The Money Value of a Man," PIER Working Paper Archive 12-014, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    13. 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.
    14. Reis, Ricardo, 2005. "The Time-Series Properties of Aggregate Consumption: Implications for the Costs of Fluctuations," CEPR Discussion Papers 5054, Centre for Economic Policy Research.
    15. Michael Johannes & Lars Lochstoer & Pierre Collin-Dufresne, 2015. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," 2015 Meeting Papers 647, Society for Economic Dynamics.
    16. 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.
    17. Kjetil Storesletten & Chris I. Telmer & Amir Yaron, 2000. "The Welfare Cost of Business Cycles Revisited: Finite Lives and Cyclical Variation in Idiosyncratic Risk," NBER Working Papers 8040, National Bureau of Economic Research, Inc.
    18. Marcin Bielecki & Michał Brzoza-Brzezina & Marcin Kolasa, 2026. "The redistributive power of business cycle fluctuations," Working Papers 2026-2, Faculty of Economic Sciences, University of Warsaw.
    19. Edwards Ryan D, 2009. "The Cost of Cyclical Mortality," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-19, March.
    20. 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.
    21. Robert E. Lucas Jr., 2003. "Macroeconomic Priorities," American Economic Review, American Economic Association, vol. 93(1), pages 1-14, March.
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    23. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
    24. Mordecai Kurz, 2005. "Measuring the Ex-Ante Social Cost of Aggregate Volatility," Discussion Papers 04-006, Stanford Institute for Economic Policy Research.
    25. Satyajit Chatterjee & Dean Corbae, 2000. "On the welfare gains of reducing the likelihood of economic crises," Working Papers 00-14, Federal Reserve Bank of Philadelphia.
    26. Mariano M. Croce, 2006. "Welfare Costs, Long Run Consumption Risk, and a Production Economy," 2006 Meeting Papers 582, Society for Economic Dynamics.
    27. Pancrazi, Roberto, "undated". "How Benefcial Was the Great Moderation After All?," Economic Research Papers 270533, University of Warwick - Department of Economics.
    28. Gadi Barlevy, 2000. "Evaluating the Costs of Business Cycles in Models of Endogenous Growth," Discussion Papers 1287, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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    34. 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.
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    39. Mariano Max Croce & Thien T. Nguyen & Steve Raymond, 2019. "Persistent Government Debt and Aggregate Risk Distribution," NBER Working Papers 26177, National Bureau of Economic Research, Inc.
    40. 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.
    41. Guillén, Osmani Teixeira de Carvalho & Issler, João Victor & Franco-Neto, Afonso Arinos de Mello, 2014. "On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 62-78.
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    47. 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).
    48. Robert J. Barro, 2007. "Rare Disasters, Asset Prices, and Welfare Costs," NBER Working Papers 13690, National Bureau of Economic Research, Inc.
    49. David K. Backus & Bryan R. Routledge & Stanley E. Zin, 2005. "Exotic Preferences for Macroeconomists," NBER Chapters, in: NBER Macroeconomics Annual 2004, Volume 19, pages 319-414, National Bureau of Economic Research, Inc.
    50. Pierlauro Lopez & David Lopez-Salido & Francisco Vazquez-Grande, 2018. "Risk-Adjusted Linearizations of Dynamic Equilibrium Models," Working papers 702, Banque de France.
    51. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
    52. Gadi Barlevy, 2004. "The Cost of Business Cycles Under Endogenous Growth," American Economic Review, American Economic Association, vol. 94(4), pages 964-990, September.
    53. Bill Dupor & Wen-Fang Liu, 2003. "Jealousy and Equilibrium Overconsumption," American Economic Review, American Economic Association, vol. 93(1), pages 423-428, March.
    54. 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.
    55. Jaroslav Borovička & Lars P. Hansen & José A. Scheinkman, 2014. "Misspecified Recovery," NBER Working Papers 20209, National Bureau of Economic Research, Inc.
      • Jaroslav Borovička & Lars Peter Hansen & José A. Scheinkman, 2016. "Misspecified Recovery," Journal of Finance, American Finance Association, vol. 71(6), pages 2493-2544, December.
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    56. Viral V. Acharya & Timothy Johnson & Suresh Sundaresan & Steven Zheng, 2025. "Vaccine Progress, Stock Prices, and the Value of Ending the Pandemic," Management Science, INFORMS, vol. 71(3), pages 2714-2732, March.
    57. Jesús Fernández-Villaverde, 2009. "The Econometrics of DSGE Models," PIER Working Paper Archive 09-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    58. 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.
    59. 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.
    60. Jensen, Henrik & Ravn, Søren Hove & Santoro, Emiliano, 2019. "Kinks and Gains from Credit Cycles," CEPR Discussion Papers 13795, Centre for Economic Policy Research.
    61. Katharine G. Abraham & Robert Shimer, 2001. "Changes in Unemployment Duration and Labor Force Attachment," NBER Working Papers 8513, National Bureau of Economic Research, Inc.
    62. Lars Peter Hansen, 2008. "Modeling the Long Run: Valuation in Dynamic Stochastic Economies," NBER Working Papers 14243, National Bureau of Economic Research, Inc.
    63. Tom Krebs, 2004. "Welfare Cost of Business Cycles When Markets Are Incomplete," Working Papers 2004-08, Brown University, Department of Economics.
    64. António Antunes & Tiago Cavalcanti & Anne Villamil, 2010. "Intermediation Costs and Welfare," Centre for Growth and Business Cycle Research Discussion Paper Series 142, Economics, The University of Manchester.
    65. Marek Weretka, 2018. "Normative Inference in Efficient Markets," GRAPE Working Papers 29, GRAPE Group for Research in Applied Economics.
    66. José Fillat & Judit Montoriol-Garriga, 2010. "Addressing the pro-cyclicality of capital requirements with a dynamic loan loss provision system," Supervisory Research and Analysis Working Papers QAU10-4, Federal Reserve Bank of Boston.
    67. Maximiliano Dvorkin & Juan M. Sánchez & Horacio Sapriza & Emircan Yurdagul, 2019. "Improving Sovereign Debt Restructurings," Working Papers 2019-36, Federal Reserve Bank of St. Louis, revised 06 Apr 2022.
    68. Ensar Yılmaz, 2014. "Welfare Costs of Business Cycles in Turkey," Metroeconomica, Wiley Blackwell, vol. 65(2), pages 195-211, May.
    69. Eduardo Dávila & Daniel Graves & Cecilia Parlatore, 2022. "The Value of Arbitrage," Cowles Foundation Discussion Papers 2322, Cowles Foundation for Research in Economics, Yale University.
    70. Robert Shimer, 2004. "The Consequences of Rigid Wages in Search Models," NBER Working Papers 10326, National Bureau of Economic Research, Inc.
    71. Ricardo Reis, 2009. "Optimal Monetary Policy Rules in an Estimated Sticky-Information Model," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(2), pages 1-28, July.
    72. Sam Schulhofer-Wohl, 2008. "Heterogeneous Risk Preferences and the Welfare Cost of Business Cycles," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(4), pages 761-780, October.
    73. Hannsgen, Greg, 2008. "The welfare economics of macroeconomics and chooser-dependent, non-expected utility preferences: A Senian critique with an application to the costs of the business cycle," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 37(5), pages 1980-1993, October.
    74. Croce, Mariano & Nguyen, Thien & Raymond, Steve, 2019. "Persistent Government Debt and Aggregate Risk Distribution," CEPR Discussion Papers 13922, Centre for Economic Policy Research.
    75. Tom Krebs, 2006. "Multi-Dimensional Risk and the Cost of Business Cycles," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(4), pages 640-658, October.
    76. Rafael Di Tella & Robert MacCulloch, 2007. "Happiness, Contentment and Other Emotions for Central Banks," NBER Working Papers 13622, National Bureau of Economic Research, Inc.
    77. Marta Arespa, 2013. "The intensive and the extensive margins: not only an international issue," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 12(1), pages 1-34, April.
    78. 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.
    79. Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2013. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," NBER Working Papers 19705, National Bureau of Economic Research, Inc.
    80. Cho, Daeha & Ma, Eunseong, 2023. "The heterogeneous welfare effects of business cycles," European Economic Review, Elsevier, vol. 153(C).
    81. Lester, Robert & Pries, Michael & Sims, Eric, 2014. "Volatility and welfare," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 17-36.
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    83. Pedro Brinca & Joao Duarte & Ana Melissa Ferreira & Valter Nobrega, 2024. "Asset liquidity and the welfare costs of business cycles," Nova SBE Working Paper Series wp667, Universidade Nova de Lisboa, Nova School of Business and Economics.
    84. 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.
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    95. Merlin, Giovanni Tondin, 2018. "Entrepreneurship, financial frictions and the welfare gains of business cycles," Textos para discussão 484, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
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  20. 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.

    Cited by:

    1. 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.
    2. Andrea Raffo, 2006. "Net exports, consumption volatility, and international real business cycle models," Research Working Paper RWP 06-01, Federal Reserve Bank of Kansas City.
    3. 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.
    4. Shai Bernstein & Timothy Mcquade & Richard R. Townsend, 2021. "Do Household Wealth Shocks Affect Productivity? Evidence from Innovative Workers During the Great Recession," Journal of Finance, American Finance Association, vol. 76(1), pages 57-111, February.
    5. Zofia Barbara Liberda, 2007. "Income Preferences and Household Savings," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 9, pages 19-30.
    6. Andrea Brandolini & Eliana Viviano, 2014. "Accounting for total work," Questioni di Economia e Finanza (Occasional Papers) 253, Bank of Italy, Economic Research and International Relations Area.
    7. Martin Sommer & Christopher Carroll, 2004. "Epidemiological expectations and consumption dynamics," Money Macro and Finance (MMF) Research Group Conference 2003 92, Money Macro and Finance Research Group.
    8. Shoshana Grossbard & Elena Stancanelli, 2010. "Whose time? Who saves? Introduction to a special issue on couples’ savings, time use and children," Review of Economics of the Household, Springer, vol. 8(3), pages 289-296, September.
    9. Pierfederico Asdrubali & Soyoung Kim, 2005. "Incomplete Intertemporal Consumption Smoothing and Incomplete Risksharing," International Finance 0506010, University Library of Munich, Germany.
    10. Álvaro Muñiz-Fernández & Guillermo Cabanillas-Jiménez, 2025. "Expenditure behaviour of pensioners: exploring differences between breadwinners and non-breadwinners," Oxford Economic Papers, Oxford University Press, vol. 77(3), pages 619-636.
    11. Eerola, Essi & Määttänen, Niku, 2005. "The optimal tax treatment of housing capital in the neoclassical growth model," Bank of Finland Research Discussion Papers 10/2005, Bank of Finland.
    12. Argia M. Sbordone, 2002. "An optimizing model of U.S. wage and price dynamics," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    13. Burda, Michael C. & Hamermesh, Daniel S., 2010. "Unemployment, market work and household production," Economics Letters, Elsevier, vol. 107(2), pages 131-133, May.
    14. Ying Feng & David Lagakos & James E. Rauch, 2018. "Unemployment and Development," Working Papers 2018-083, Human Capital and Economic Opportunity Working Group.
    15. Yulei Luo & William T. Smith & Heng-fu Zou, 2006. "The Spirit of Capitalism, Precautionary Savings, and Consumption," CEMA Working Papers 274, China Economics and Management Academy, Central University of Finance and Economics.
    16. Robert Grafstein, 2009. "The Puzzle of Weak Pocketbook Voting," Journal of Theoretical Politics, , vol. 21(4), pages 451-482, October.
    17. Karen K. Lewis, 1997. "Are Countries with Official International Restrictions "Liquidity Constrained?"," NBER Working Papers 5991, National Bureau of Economic Research, Inc.
    18. Liberda, Zofia Barbara, . "Income Preferences and Household Savings," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, vol. 2007(9).
    19. Boerma, Job & Karabarbounis, Loukas, 2019. "Inferring Inequality with Home Production," CEPR Discussion Papers 13554, Centre for Economic Policy Research.
    20. Mark A. Aguiar & Erik Hurst & Loukas Karabarbounis, 2011. "Time Use During Recessions," NBER Working Papers 17259, National Bureau of Economic Research, Inc.
    21. Barbara Liberda & Marek Pęczkowski, 2012. "Polarization of household saving in Poland during financial crisis 2007-2010," Working Papers 2012-19, Faculty of Economic Sciences, University of Warsaw.
    22. Jeremy Greenwood & Ananth Seshadri & Guillaume Vandenbroucke, 2011. "Measurement Without Theory: A Response to Bailey and Collins," RCER Working Papers 561, University of Rochester - Center for Economic Research (RCER).
    23. 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.
    24. Chen, Kuan-Jen & Chu, Angus C. & Lai, Ching-Chong, 2014. "Home Production and Small Open Economy Business Cycles," MPRA Paper 59020, University Library of Munich, Germany.
    25. Gertler, Mark & Galí, Jordi & López-Salido, J David, 2003. "Mark-ups, Gaps and the Welfare Costs of Business Fluctuations," CEPR Discussion Papers 4134, Centre for Economic Policy Research.
    26. Sven Schreiber & Miriam Beblo, 2016. "Leisure and Housing Consumption after Retirement: New Evidence on the Life-Cycle Hypothesis," SOEPpapers on Multidisciplinary Panel Data Research 849, DIW Berlin, The German Socio-Economic Panel (SOEP).
    27. Robert G. King & Sergio T. Rebelo, 2000. "Resuscitating Real Business Cycles," NBER Working Papers 7534, National Bureau of Economic Research, Inc.
    28. S. Boragan Aruoba & Morris A. Davis & Randall Wright, 2012. "Homework in Monetary Economics: Inflation, Home Production, and the Production of Homes," NBER Working Papers 18276, National Bureau of Economic Research, Inc.
    29. Jonathan Parker & Bruce Preston, 2002. "Precautionary Saving and Consumption Fluctuations," NBER Working Papers 9196, National Bureau of Economic Research, Inc.
    30. B. Douglas Bernheim & Jonathan Skinner & Steven Weinberg, 2001. "What Accounts for the Variation in Retirement Wealth among U.S. Households?," American Economic Review, American Economic Association, vol. 91(4), pages 832-857, September.
    31. Patricia Apps & Ray Rees, 2004. "Life Cycle Time Allocation and Saving in an Imperfect Capital Market," CEPR Discussion Papers 475, Centre for Economic Policy Research, Research School of Economics, Australian National University.
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    1. 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.).
    2. Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, University Library of Munich, Germany, revised 16 Nov 2001.
    3. Dirk Krueger & Harald Uhlig, 2003. "Competitive Risk Sharing Contracts with One-Sided Commitment," Levine's Bibliography 666156000000000407, UCLA Department of Economics.
    4. Bidian, Florin, 2016. "Robust bubbles with mild penalties for default," Journal of Mathematical Economics, Elsevier, vol. 65(C), pages 141-153.
    5. Reichlin, Pietro & Bloise, Gaetano & Tirelli, Mario, 2009. "Indeterminacy of Competitive Equilibrium with Risk of Default," CEPR Discussion Papers 7477, Centre for Economic Policy Research.
    6. Jinill Kim & Sunghyun Henry Kim & Andrew T. Levin, 2001. "Patience, persistence and welfare costs of incomplete markets in open economies," International Finance Discussion Papers 696, Board of Governors of the Federal Reserve System (U.S.).
    7. 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.
    8. 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.
    9. Costas Azariadis & Leo Kaas, 2012. "Endogenous Credit Limits with Small Default Costs," Working Paper Series of the Department of Economics, University of Konstanz 2012-17, Department of Economics, University of Konstanz.
    10. Krueger, Dirk & Lustig, Hanno & Perri, Fabrizio, 2006. "Evaluation asset pricing models with limited commitment using household consumption data," CFS Working Paper Series 2006/22, Center for Financial Studies (CFS).
    11. 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.
    12. Sylvain Leduc, 2000. "Incomplete markets, borrowing constraints, and the foreign exchange risk premium," Working Papers 00-3, Federal Reserve Bank of Philadelphia.
    13. Kjetil Storesletten & Chris Telmer & Amir Yaron, 2007. "Asset Pricing with Idiosyncratic Risk and Overlapping Generations," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(4), pages 519-548, October.
    14. Casper de Vries & Xuedong Wang, 2015. "Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers 15-066/VI, Tinbergen Institute.
    15. Francesco Lancia & Alessia Russo & Tim Worrall, 2020. "Optimal Sustainable Intergenerational Insurance," Edinburgh School of Economics Discussion Paper Series 300, Edinburgh School of Economics, University of Edinburgh.
    16. Ábrahám, Árpád & Cárceles-Poveda, Eva, 2010. "Endogenous trading constraints with incomplete asset markets," Journal of Economic Theory, Elsevier, vol. 145(3), pages 974-1004, May.
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    20. Scholl, Almuth, 2005. "Limited enforceable international loans, international risk sharing and trade," SFB 649 Discussion Papers 2005-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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    42. Finn E. Kydland & Carlos E. Zarazaga, 2002. "Argentina's recovery and "excess" capital shallowing of the 1990s," Center for Latin America Working Papers 0102, Federal Reserve Bank of Dallas.
    43. Leena Rudanko, 2005. "Labor Market Dynamics under Long Term Wage Contracting," 2005 Meeting Papers 876, Society for Economic Dynamics.
    44. YiLi Chien & Kanda Naknoi, 2012. "The risk premium and long-run global imbalances," Working Papers 2012-009, Federal Reserve Bank of St. Louis.
    45. Eva Carceles-Poveda & Arpad Abraham, 2005. "Complete Markets, Enforcement Constraints and Intermediation," 2005 Meeting Papers 661, Society for Economic Dynamics.
    46. Bidian, Florin & Bejan, Camelia, 2011. "Martingale properties of self-enforcing debt," MPRA Paper 36609, University Library of Munich, Germany, revised 12 Feb 2012.
    47. Hansen, Lars Peter, 2013. "Risk Pricing over Alternative Investment Horizons," 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 1571-1611, Elsevier.
    48. David Backus, 1999. "EconomicDynamics Interview: David Backus on international business cycles," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 1(1), November.
    49. Ellen R. McGrattan & Edward C. Prescott, 2004. "Taxes, Regulations, and the Value of U.S. and U.K. Corporations," Levine's Bibliography 122247000000000715, UCLA Department of Economics.
    50. Hengjie Ai & Anmol Bhandari, 2021. "Asset Pricing With Endogenously Uninsurable Tail Risk," Econometrica, Econometric Society, vol. 89(3), pages 1471-1505, May.
    51. Javier Bianchi & Enrique G. Mendoza, 2013. "Optimal Time-Consistent Macroprudential Policy," NBER Working Papers 19704, National Bureau of Economic Research, Inc.
    52. Dean Corbae & Erwan Quintin, 2019. "Asset Quality Dynamics," 2019 Meeting Papers 368, Society for Economic Dynamics.
    53. Dirk Hackbarth & Bart Taub, 2022. "Does the Potential to Merge Reduce Competition?," Management Science, INFORMS, vol. 68(7), pages 5364-5383, July.
    54. Henry Kim & Jinill Kim & Robert Kollmann, 2005. "Applying Perturbation Methods to Incomplete Market Models with Exogenous Borrowing Constraints," Discussion Papers Series, Department of Economics, Tufts University 0504, Department of Economics, Tufts University.
    55. V. Filipe Martins-da-Rocha & Toan Phan & Yiannis Vailakis, 2019. "Debt Limits and Credit Bubbles in General Equilibrium," Working Paper 19-19, Federal Reserve Bank of Richmond.
    56. Krusell, Per & Mukoyama, Toshihiko & Smith Jr., Anthony A., 2011. "Asset prices in a Huggett economy," Journal of Economic Theory, Elsevier, vol. 146(3), pages 812-844, May.
    57. Hanno Lustig, 2004. "Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 322, UCLA Department of Economics.
    58. 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.
    59. Yili Chien & Junsang Lee, 2009. "Optimal Capital Taxation Under Limited Commitment," CAMA Working Papers 2009-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    60. Kjetil Storesletten & Chris I. Telmer & Amir Yaron, 2004. "Cyclical Dynamics in Idiosyncratic Labor Market Risk," Journal of Political Economy, University of Chicago Press, vol. 112(3), pages 695-717, June.
    61. 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.
    62. Tsyrennikov, Viktor, 2013. "Capital flows under moral hazard," Journal of Monetary Economics, Elsevier, vol. 60(1), pages 92-108.
    63. Gabriele Camera & YiLi Chien, 2012. "Understanding the distributional impact of long-run inflation," Working Papers 2012-058, Federal Reserve Bank of St. Louis.
    64. Hanno Lustig & Stijn Van Nieuwerburgh, 2004. "A Theory of Housing Collateral, Consumption Insurance and Risk Premia," NBER Working Papers 10955, National Bureau of Economic Research, Inc.
    65. Foss, Sergey & Shneer, Vsevolod & Thomas, Jonathan P. & Worrall, Tim, 2018. "Stochastic stability of monotone economies in regenerative environments," Journal of Economic Theory, Elsevier, vol. 173(C), pages 334-360.
    66. Ellen R. McGrattan & Edward C. Prescott, 2001. "Taxes, Regulations, and Asset Prices," NBER Working Papers 8623, National Bureau of Economic Research, Inc.
    67. 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.
    68. Kyoung Jin Choi & Hyeng Keun Koo & Byung Hwa Lim & Jane Yoo, 2024. "Endogenous Credit, Business Cycle, and Portfolio Selection," Operations Research, INFORMS, vol. 72(3), pages 871-884, May.
    69. Mehran Ebrahimian & Jessica A. Wachter, 2025. "Risks to Human Capital," Management Science, INFORMS, vol. 71(3), pages 2583-2622, March.
    70. 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.
    71. V. Filipe Martins-Da-Rocha & Toan Phan & Yiannis Vailakis, 2022. "Pecuniary Externalities in Competitive Economies with Limited Pledgeability," Working Papers hal-03909596, HAL.
    72. Dou, Winston Wei & Ji, Yan & Wu, Wei, 2021. "Competition, profitability, and discount rates," Journal of Financial Economics, Elsevier, vol. 140(2), pages 582-620.
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    74. Telmer, Chris I. & Zin, Stanley E., 2002. "Prices as factors: Approximate aggregation with incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1127-1157, July.
    75. Alexander Karaivanov, 2021. "Blockchains, Collateral and Financial Contracts," Discussion Papers dp21-03, Department of Economics, Simon Fraser University.
    76. Cui, Wei & Kaas, Leo, 2021. "Default cycles," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 377-394.
    77. Lukas Schmid & Joao Gomes, 2009. "Equilibrium Credit Spreads and the Macroeconomy," 2009 Meeting Papers 1109, Society for Economic Dynamics.
    78. Picard, Pierre M. & Worrall, Tim, 2020. "Currency areas and voluntary transfers," Journal of International Economics, Elsevier, vol. 127(C).
    79. Iván Werning, 2015. "Incomplete Markets and Aggregate Demand," NBER Working Papers 21448, National Bureau of Economic Research, Inc.
    80. YiLi Chien & Junsang Lee, 2018. "The Real Term Premium in a Stationary Economy with Segmented Asset Markets," Working Papers 2018-30, Federal Reserve Bank of St. Louis.
    81. 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.
    82. Gao, Xiang, 2009. "Private Debt with Default Risk within and across Border," MPRA Paper 17126, University Library of Munich, Germany.
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    Cited by:

    1. Montoro, Carlos & Ortiz, Marco, 2023. "The portfolio balance channel of capital flows and foreign exchange intervention in a small open economy," Journal of International Money and Finance, Elsevier, vol. 133(C).
    2. Karen K. Lewis, 2011. "Global Asset Pricing," NBER Working Papers 17261, National Bureau of Economic Research, Inc.
    3. Ke Pang, 2011. "Equity home bias, incomplete financial markets, and nominal rigidities," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 44(1), pages 340-363, February.
    4. Leung, Charles Ka Yui & Teo, Wing Leong, 2010. "Should the optimal portfolio be region-specific? A multi-region model with monetary policy and asset price co-movements," MPRA Paper 28216, University Library of Munich, Germany.
    5. Kapteyn, Arie & Teppa, Federica, 2011. "Subjective measures of risk aversion, fixed costs, and portfolio choice," Journal of Economic Psychology, Elsevier, vol. 32(4), pages 564-580, August.
    6. Mr. Akito Matsumoto & Mr. Charles Engel, 2005. "Portfolio Choice in a Monetary Open-Economy DSGE Model," IMF Working Papers 2005/165, International Monetary Fund.
    7. Álvarez-Parra, Fernando & Brandao-Marques, Luis & Toledo, Manuel, 2013. "Durable goods, financial frictions, and business cycles in emerging economies," Journal of Monetary Economics, Elsevier, vol. 60(6), pages 720-736.
    8. Mr. Akito Matsumoto, 2007. "The Role of Nonseparable Utility and Nontradeables in International Business Cycles and Portfolio Choice," IMF Working Papers 2007/163, International Monetary Fund.
    9. 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.
    10. Harms, Philipp & Hefeker, Carsten, 2003. "Globalization and unemployment: the role of international diversification," Economics Letters, Elsevier, vol. 78(2), pages 281-286, February.
    11. Ortiz, Marco & Herrera, Gerardo & Perez, Fernando, 2022. "The shine beneath: foreign exchange intervention in resource-rich economies," MPRA Paper 116208, University Library of Munich, Germany.
    12. Mr. Akito Matsumoto & Mr. Charles Engel, 2009. "The International Diversification Puzzle when Goods Prices Are Sticky: It's Really About Exchange-Rate Hedging, not Equity Portfolios," IMF Working Papers 2009/012, International Monetary Fund.
    13. Kim, Kyounghun & Kim, Sunghyun Henry, 2021. "Explaining equity home bias using hedging motives against real exchange rate and wage risks," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 30-43.
    14. Mei-Yin Lin & Jue-Shyan Wang, 2008. "Capital outflow and unemployment: evidence from panel data," Applied Economics Letters, Taylor & Francis Journals, vol. 15(14), pages 1135-1139.

  23. Urban J. Jermann, 1997. "International portfolio diversification and labor/leisure choice," Discussion Paper / Institute for Empirical Macroeconomics 119, Federal Reserve Bank of Minneapolis.

    Cited by:

    1. Nicolas Coeurdacier & Robert Kollmann & Philippe Martin, 2010. "International portfolios, capital accumulation and foreign assets dynamics," Post-Print hal-01052901, HAL.
    2. Robert Kollmann & Nicolas Coeurdacier, 2008. "International Portfolios, Current Account Dynamics and Capital Accumulation," 2008 Meeting Papers 817, Society for Economic Dynamics.
    3. Barbara Pfeffer, 2006. "Trade Policy and Risk Diversification," Volkswirtschaftliche Diskussionsbeiträge 126-06, Universität Siegen, Fakultät Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht.
    4. Nicolas Coeurdacier & Robert Kollmann & Philippe Martin, 2007. "International portfolios with supply, demand and redistributive shocks," Post-Print hal-01053624, HAL.

  24. Marianne Baxter & Urban J. Jermann & Robert G. King, 1995. "Nontraded Goods, Nontraded Factors, and International Non-Diversification," NBER Working Papers 5175, National Bureau of Economic Research, Inc.

    Cited by:

    1. Fabrizio Perri & Jonathan Heathcote, 2007. "The International Diversification Puzzle Is Not as Bad as You Think," Working Papers 2007-3, University of Minnesota, Department of Economics, revised 08 Oct 2007.
    2. Martin Evans and Viktoria Hnatkovska, 2007. "International Financial Integration and The Real Economy," Working Papers gueconwpa~07-07-11, Georgetown University, Department of Economics.
    3. Bergin, Paul R. & Pyun, Ju Hyun, 2016. "International portfolio diversification and multilateral effects of correlations," Journal of International Money and Finance, Elsevier, vol. 62(C), pages 52-71.
    4. 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.
    5. Karen K. Lewis, 2011. "Global Asset Pricing," NBER Working Papers 17261, National Bureau of Economic Research, Inc.
    6. Huang-Meier, Winifred & Freeman, Mark C., 2015. "Aggregate dividends and consumption smoothing," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 324-335.
    7. Ligon, Ethan, 2016. "All λ-separable demands and rationalizing utility functions," Economics Letters, Elsevier, vol. 147(C), pages 16-18.
    8. Nicolas Coeurdacier & Hélène Rey, 2010. "Home bias in open economy financial macroeconomics," Working Papers hal-01069440, HAL.
    9. Tarek Alexander Hassan, 2012. "Country Size, Currency Unions, and International Asset Returns," NBER Working Papers 18057, National Bureau of Economic Research, Inc.
    10. Coeurdacier, Nicolas & Gourinchas, Pierre-Olivier, 2016. "When bonds matter: Home bias in goods and assets," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 119-137.
    11. Rahul Mukherjee, 2011. "Country Portfolios with Imperfect Corporate Governance," IHEID Working Papers 08-2011, Economics Section, The Graduate Institute of International Studies.
    12. Evans, Martin D.D. & Hnatkovska, Viktoria, 2012. "A method for solving general equilibrium models with incomplete markets and many financial assets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1909-1930.
    13. Leung, Charles Ka Yui & Teo, Wing Leong, 2010. "Should the optimal portfolio be region-specific? A multi-region model with monetary policy and asset price co-movements," MPRA Paper 28216, University Library of Munich, Germany.
    14. Coen, Alain, 2001. "Home bias and international capital asset pricing model with human capital," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 497-513, December.
    15. Karen K. Lewis, 1997. "Are Countries with Official International Restrictions "Liquidity Constrained?"," NBER Working Papers 5991, National Bureau of Economic Research, Inc.
    16. Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2015. "Not so disconnected: exchange rates and the capital stock," Working Paper Series 2015-21, Federal Reserve Bank of San Francisco.
    17. Hnatkovska, Viktoria, 2010. "Home bias and high turnover: Dynamic portfolio choice with incomplete markets," Journal of International Economics, Elsevier, vol. 80(1), pages 113-128, January.
    18. Bretscher, Lorenzo & Julliard, Christian & Rosa, Carlo, 2016. "Human capital and international portfolio diversification: a reappraisal," LSE Research Online Documents on Economics 64835, London School of Economics and Political Science, LSE Library.
    19. Nicolas Coeurdacier & Stéphane Guibaud, 2008. "A dynamic equilibrium of imperfectly integrated financial markets," Working Papers hal-03602487, HAL.
    20. Migliavacca, Milena & Goodell, John W. & Paltrinieri, Andrea, 2023. "A bibliometric review of portfolio diversification literature," International Review of Financial Analysis, Elsevier, vol. 90(C).
    21. Jun-Koo Kang & Rene M. Stulz, 1995. "Why Is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan," NBER Working Papers 5166, National Bureau of Economic Research, Inc.
    22. Eduard Gaar & David Scherer & Dirk Schiereck, 2022. "The home bias and the local bias: A survey," Management Review Quarterly, Springer, vol. 72(1), pages 21-57, February.
    23. Andreas Stathopoulos, 2012. "Portfolio Home Bias and External Habit Formation," 2012 Meeting Papers 502, Society for Economic Dynamics.
    24. Gover Barja Daza & Javier Monterrey Arce & Sergio Villarroel Bohrt, 2005. "Elasticidad de la sustitución de bienes no transables en Bolivia," Research Department Publications 3182, Inter-American Development Bank, Research Department.
    25. Julliard, Christian, 2004. "Human capital and international portfolio choice," LSE Research Online Documents on Economics 4813, London School of Economics and Political Science, LSE Library.
    26. Giofré, Maela M., 2009. "The Role of Information Asimmetries and Inflation Hedging in International Equity Portfolios," MPRA Paper 13925, University Library of Munich, Germany.
    27. Peter, Alexandra, 2010. "Bilateral Trade, Openness and Asset Holdings," Bonn Econ Discussion Papers 21/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).
    28. Ehling, Paul & Heyerdahl-Larsen, Christian, 2015. "Complete and incomplete financial markets in multi-good economies," Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.
    29. Maurice Obstfeld and Kenneth Rogoff., 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," Center for International and Development Economics Research (CIDER) Working Papers C00-112, University of California at Berkeley.
    30. Tobias Broer, 2013. "The home bias of the poor: terms of trade effects and portfolios across the wealth distribution," 2013 Meeting Papers 618, Society for Economic Dynamics.
    31. Mr. Akito Matsumoto & Mr. Charles Engel, 2005. "Portfolio Choice in a Monetary Open-Economy DSGE Model," IMF Working Papers 2005/165, International Monetary Fund.
    32. Tarek Alexander Hassan, 2010. "Country Size, Currency Areas, and International Asset Returns," 2010 Meeting Papers 365, Society for Economic Dynamics.
    33. Haoyuan Ding & Xiao Li & Jiezhou Ying, 2023. "Anti‐dumping Policies and International Portfolio Allocation: The View from the Global Funds," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 31(2), pages 58-83, March.
    34. Fugazza, Carolina & Giofré, Maela & Nicodano, Giovanna, 2011. "International diversification and industry-related labor income risk," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 764-783, October.
    35. Hyunju Lee, 2024. "A Model Of Gross Capital Flows: Risk Sharing And Financial Frictions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 65(4), pages 1941-1984, November.
    36. Martin D. D. Evans (Georgetown University) and Viktoria Hnatkovska (Georgetown University), 2005. "Solving General Equilibrium Models with Incomplete Markets and Many Assets," Working Papers gueconwpa~05-05-18, Georgetown University, Department of Economics.
    37. G. Andrew Karolyi & David T. Ng & Eswar S. Prasad, 2015. "The Coming Wave: Where Do Emerging Market Investors Put Their Money?," NBER Working Papers 21661, National Bureau of Economic Research, Inc.
    38. Martin Evans and Viktoria Hnatkovska, 2006. "Financial Integration, Macroeconomic Volatility and Welfare," Working Papers gueconwpa~06-06-13, Georgetown University, Department of Economics.
    39. Ghosh, Atish R. & Ostry, Jonathan D., 1997. "Macroeconomic uncertainty, precautionary saving, and the current account," Journal of Monetary Economics, Elsevier, vol. 40(1), pages 121-139, September.
    40. Wei-Bin Zhang, 2020. "Global Development, Trade, Human Capital, And Business Cycles," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, vol. 5(special), pages 9-29, June.
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    42. Urban J. Jermann, 1998. "International Portfolio Diversification and Labor/Leisure Choice," NBER Working Papers 6382, National Bureau of Economic Research, Inc.
    43. 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.
    44. Zhao, Yan & Guo, Shen & Liu, Xingfei, 2014. "Trading frictions and consumption-output comovement," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 229-240.
    45. Eva de Francisco, 2005. "Limited Participation, Income Distribution and Capital-Account Liberalization: Working Paper 2005-02," Working Papers 16302, Congressional Budget Office.
    46. Eric van Wincoop & Francis E. Warnock, 2006. "Is Home Bias in Assets Related to Home Bias in Goods?," NBER Working Papers 12728, National Bureau of Economic Research, Inc.
    47. Nicolas Coeurdacier, 2006. "Do trade costs in goods market lead to home bias in equities?," 2006 Meeting Papers 111, Society for Economic Dynamics.
    48. Philippe Bacchetta & Eric van Wincoop, 2000. "Capital Flows to Emerging Markets: Liberalization, Overshooting, and Volatility," NBER Chapters, in: Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, pages 61-98, National Bureau of Economic Research, Inc.
    49. Mr. Akito Matsumoto & Mr. Charles Engel, 2009. "The International Diversification Puzzle when Goods Prices Are Sticky: It's Really About Exchange-Rate Hedging, not Equity Portfolios," IMF Working Papers 2009/012, International Monetary Fund.
    50. Fabrice Collard & Harris Dellas & Behzad Diba & Alan Stockman, 2007. "Goods Trade and International Equity Portfolios," NBER Working Papers 13612, National Bureau of Economic Research, Inc.
    51. Liu, Zheng & Pappa, Evi, 2005. "Gains from international monetary policy coordination: does it pay to be different?," Working Paper Series 514, European Central Bank.
    52. Okina, Kunio & Shirakawa, Masaaki & Shiratsuka, Shigenori, 1999. "Financial Market Globalization: Present and Future," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 17(3), pages 1-40, December.
    53. Paolo Pesenti & Eric van Wincoop, 1996. "Do Nontraded Goods Explain the Home Bias Puzzle?," NBER Working Papers 5784, National Bureau of Economic Research, Inc.
    54. Hu, Yunfang & Mino, Kazuo, 2013. "Trade structure and belief-driven fluctuations in a global economy," Journal of International Economics, Elsevier, vol. 90(2), pages 414-424.
    55. Wang, Hailong & Hu, Duni, 2025. "Heterogeneous beliefs with information processing constraints and asset pricing in presence of non-tradable goods," The North American Journal of Economics and Finance, Elsevier, vol. 80(C).
    56. Mr. Akito Matsumoto & Mr. Charles Engel, 2009. "International Risk Sharing: Through Equity Diversification or Exchange Rate Hedging?," IMF Working Papers 2009/138, International Monetary Fund.
    57. Wei-Bin Zhang, 2016. "Gold Value With Tradable And Non-Tradable Goods In A Multi- Country Growth Model With Free Trade," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, vol. 14(1), pages 35-52, May.
    58. Gilberto E. Arce & Edgar Robles C., 2004. "The Elasticity of Substitution in Demand for Non-Tradable Goods in Costa Rica," Research Department Publications 3183, Inter-American Development Bank, Research Department.
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    60. Liu, Zheng & Pappa, Evi, 2005. "Gains from coordination in a multi-sector open economy : does it pay to be different?," LSE Research Online Documents on Economics 525, London School of Economics and Political Science, LSE Library.
    61. 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.
    62. Eva de Francisco, 2005. "Limited Participation, Income Distribution and Capital Account Liberalization," Computing in Economics and Finance 2005 454, Society for Computational Economics.
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    67. 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.
    68. Jermann, Urban J., 2002. "International portfolio diversification and endogenous labor supply choice," European Economic Review, Elsevier, vol. 46(3), pages 507-522, March.
    69. Gover Barja Daza & Javier Monterrey Arce & Sergio Villarroel Bohrt, 2005. "The Elasticity of Substitution in Demand for Non-Tradable Goods in Bolivia," Research Department Publications 3181, Inter-American Development Bank, Research Department.
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  25. Marianne Baxter & Urban J. Jermann, 1995. "The International Diversification Puzzle is Worse Than You Think," NBER Working Papers 5019, National Bureau of Economic Research, Inc.

    Cited by:

    1. Fabrizio Perri & Jonathan Heathcote, 2007. "The International Diversification Puzzle Is Not as Bad as You Think," Working Papers 2007-3, University of Minnesota, Department of Economics, revised 08 Oct 2007.
    2. Equiza-Goni, J. & Faraglia, E. & Oikonomou, R., 2018. "Union Debt Management," Cambridge Working Papers in Economics 1890, Faculty of Economics, University of Cambridge.
    3. Nicolas Coeurdacier & Robert Kollmann & Philippe Martin, 2010. "International portfolios, capital accumulation and foreign assets dynamics," Sciences Po Economics Publications (main) hal-01052901, HAL.
    4. Bretscher, Lorenzo & Julliard, Christian & Rosa, Carlo, 2015. "Human capital and international portfolio diversification: a reappraisal," LSE Research Online Documents on Economics 119454, London School of Economics and Political Science, LSE Library.
    5. Olivia S. Mitchell, "undated". "Insulating Old-Age Systems from Political Risk," Pension Research Council Working Papers 98-3, Wharton School Pension Research Council, University of Pennsylvania.
    6. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95, November.
    7. Ghironi, Fabio & Lee, Jaewoo & Rebucci, Alessandro, 2015. "The valuation channel of external adjustment," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 86-114.
    8. 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.
    9. Annika Alexius & Daniel Spang, 2018. "Stock prices and GDP in the long run," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(4), pages 1-7.
    10. Tom Berglund & P. Joakim Westerholm, 2010. "Foreign Investors' Reaction to Lower Profitability – The Role of Information Asymmetry," International Review of Finance, International Review of Finance Ltd., vol. 10(4), pages 455-483, December.
    11. YV Reddy, 2012. "Summary of the discussion," BIS Papers chapters, in: Bank for International Settlements (ed.), Financial sector regulation for growth, equity and stability, volume 62, pages 39-40, Bank for International Settlements.
    12. Nicolas Coeurdacier & Pierre-Olivier Gourinchas, 2015. "When Bonds Matter: Home Bias in Goods and Assets," Sciences Po Economics Publications (main) hal-03470191, HAL.
    13. Baxter, Marianne & Jermann, Urban J. & King, Robert G., 1998. "Synthetic returns on NIPA assets: An international comparison," European Economic Review, Elsevier, vol. 42(6), pages 1141-1172, June.
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    20. Leon, Jorge, 2010. "International Portfolios and the U.S. Current Account," MPRA Paper 45281, University Library of Munich, Germany.
    21. Raslan Alzuabi & Sarah Brown & Mark N. Harris & Karl Taylor, 2024. "Modelling the composition of household portfolios: A latent class approach," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 57(1), pages 243-275, February.
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    24. 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.
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    32. Rahul Mukherjee, 2011. "Country Portfolios with Imperfect Corporate Governance," IHEID Working Papers 08-2011, Economics Section, The Graduate Institute of International Studies.
    33. Øystein Thøgersen & Kine Bøhlerengen, 2010. "Alternative Risk-Sharing Mechanisms of Social Security," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 66(2), pages 134-152, June.
    34. G. Andrew Karolyi, 2016. "Home Bias, an Academic Puzzle," Review of Finance, European Finance Association, vol. 20(6), pages 2049-2078.
    35. Coen, Alain, 2001. "Home bias and international capital asset pricing model with human capital," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 497-513, December.
    36. 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.
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    48. Nicolas Coeurdacier & Stéphane Guibaud, 2008. "A dynamic equilibrium of imperfectly integrated financial markets," Working Papers hal-03602487, HAL.
    49. Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz Piotr, 2006. "Stock Market Volatility around National Elections," Working Paper Series 2006,2, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
    50. 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.
    51. Bhattacharjee, Arnab & Sun, Qi & Chadha, Jagjit S., 2008. "Productivity, Preferences and UIP deviations in an Open Economy Business Cycle Model," SIRE Discussion Papers 2008-53, Scottish Institute for Research in Economics (SIRE).
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    56. Jun-Koo Kang & Rene M. Stulz, 1995. "Why Is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan," NBER Working Papers 5166, National Bureau of Economic Research, Inc.
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Articles

  1. Urban Jermann, 2024. "Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans," Journal of Financial Services Research, Springer;Western Finance Association, vol. 65(2), pages 141-152, June.
    See citations under working paper version above.
  2. Hartley, Jonathan S. & Jermann, Urban J., 2024. "The pricing of U.S. Treasury floating rate notes," Journal of Financial Economics, Elsevier, vol. 155(C).

    Cited by:

    1. Klingler, Sven & Syrstad, Olav, 2025. "The SOFR discount," Journal of Financial Economics, Elsevier, vol. 164(C).

  3. Jermann, Urban & Xiang, Haotian, 2023. "Dynamic banking with non-maturing deposits," Journal of Economic Theory, Elsevier, vol. 209(C).
    See citations under working paper version above.
  4. Urban J. Jermann & Bin Wei & Vivian Z. Yue, 2022. "The Two‐Pillar Policy for the RMB," Journal of Finance, American Finance Association, vol. 77(6), pages 3093-3140, December.
    See citations under working paper version above.
  5. Jermann, Urban J., 2021. "Cryptocurrencies and Cagan’s model of hyperinflation," Journal of Macroeconomics, Elsevier, vol. 69(C).

    Cited by:

    1. Anantha Divakaruni & Peter Zimmerman, 2024. "Uncovering Retail Trading in Bitcoin: The Impact of COVID-19 Stimulus Checks," Management Science, INFORMS, vol. 70(4), pages 2066-2085, April.

  6. Urban J Jermann, 2020. "Negative Swap Spreads and Limited Arbitrage," The Review of Financial Studies, Society for Financial Studies, vol. 33(1), pages 212-238.
    See citations under working paper version above.
  7. Jermann, Urban J. & Yue, Vivian Z., 2018. "Interest rate swaps and corporate default," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 104-120.
    See citations under working paper version above.
  8. Urban J. Jermann, 2017. "Financial Markets' Views about the Euro–Swiss Franc Floor," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 553-565, March.
    See citations under working paper version above.
  9. João Gomes & Urban Jermann & Lukas Schmid, 2016. "Sticky Leverage," American Economic Review, American Economic Association, vol. 106(12), pages 3800-3828, December.
    See citations under working paper version above.
  10. Jermann, Urban J., 2013. "A production-based model for the term structure," Journal of Financial Economics, Elsevier, vol. 109(2), pages 293-306.
    See citations under working paper version above.
  11. Urban Jermann & Vincenzo Quadrini, 2012. "Macroeconomic Effects of Financial Shocks," American Economic Review, American Economic Association, vol. 102(1), pages 238-271, February.
    See citations under working paper version above.
  12. Jermann, Urban J., 2010. "The equity premium implied by production," Journal of Financial Economics, Elsevier, vol. 98(2), pages 279-296, November.
    See citations under working paper version above.
  13. Jermann, Urban J. & Quadrini, Vincenzo, 2007. "Stock market boom and the productivity gains of the 1990s," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 413-432, March.
    See citations under working paper version above.
  14. Urban J. Jermann & Vincenzo Quadrini, 2006. "Financial innovations and macroeconomic volatility," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
    See citations under working paper version above.
  15. 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.

    Cited by:

    1. Ralph S. J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2010. "Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk," American Economic Review, American Economic Association, vol. 100(2), pages 552-556, May.
    2. Simon Lloyd & Emile Marin, 2020. "Exchange rate risk and business cycles," Bank of England Staff Working Paper series 872, Bank of England.
    3. 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.
    4. Backus, David & Chernov, Mikhail & Martin, Ian, 2009. "Disasters implied by equity index options," CEPR Discussion Papers 7416, Centre for Economic Policy Research.
    5. 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.
    6. Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers CWP37/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    7. Jaroslav Borovička & John Stachurski, 2017. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," NBER Working Papers 24162, National Bureau of Economic Research, Inc.
    8. Hecq, Alain & Issler, João Victor, 2012. "A Common-feature approach for testing present-value restrictions with financial data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 728, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    9. Jiang, Zhengyang & Lustig, Hanno & Van Nieuwerburgh, Stijn & Xiaolan, Mindy Z., 2026. "Manufacturing risk-free government debt," Journal of Financial Economics, Elsevier, vol. 176(C).
    10. 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.
    11. 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.
    12. Startz Richard & Tsang Kwok Ping, 2012. "Nonexponential Discounting: A Direct Test And Perhaps A New Puzzle," The B.E. Journal of Macroeconomics, De Gruyter, vol. 12(1), pages 1-35, November.
    13. Damir Filipovic & Martin Larsson & Anders B. Trolle, 2018. "On the Relation Between Linearity-Generating Processes and Linear-Rational Models," Papers 1806.03153, arXiv.org.
    14. Frijns, Bart & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2017. "Excess stock return comovements and the role of investor sentiment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 74-87.
    15. Borovička, Jaroslav & Hansen, Lars Peter, 2014. "Examining macroeconomic models through the lens of asset pricing," Journal of Econometrics, Elsevier, vol. 183(1), pages 67-90.
    16. Michael Johannes & Lars Lochstoer & Pierre Collin-Dufresne, 2015. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," 2015 Meeting Papers 647, Society for Economic Dynamics.
    17. Pau Rabanal & Juan F. Rubio-Ramirez & Vicente Tuesta, 2009. "Cointegrated TFP processes and international business cycles," FRB Atlanta Working Paper 2009-23, Federal Reserve Bank of Atlanta.
    18. Narayana R. Kocherlakota, 2023. "Infinite Debt Rollover in Stochastic Economies," Econometrica, Econometric Society, vol. 91(5), pages 1629-1658, September.
    19. Francisco Palomino & Alex Hsu, 2013. "What do Nominal Rigidities and Monetary Policy tell us about the Real Yield Curve?," 2013 Meeting Papers 50, Society for Economic Dynamics.
    20. Dillschneider, Yannick & Maurer, Raimond, 2019. "Functional Ross recovery: Theoretical results and empirical tests," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    21. Xiaohong Chen & Lars P. Hansen & Peter G. Hansen, 2020. "Robust Identification of Investor Beliefs," Cowles Foundation Discussion Papers 2236, Cowles Foundation for Research in Economics, Yale University.
    22. David Staines, 2023. "Stochastic Equilibrium the Lucas Critique and Keynesian Economics," Papers 2312.16214, arXiv.org, revised Jun 2024.
    23. Thien Nguyen & Steve Raymond & Lukas Schmid & Mariano Croce, 2016. "Government Debt and the Returns to Innovation," 2016 Meeting Papers 1443, Society for Economic Dynamics.
    24. Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2017. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," 2017 Meeting Papers 1633, Society for Economic Dynamics.
    25. Matthijs Breugem & Stefano Colonnello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Carlo Alberto Notebooks 626, Collegio Carlo Alberto.
    26. Lars Peter Hansen & Jose A Sheinkman, 2007. "Long-term Risk: An Operator Approach," Levine's Bibliography 122247000000001669, UCLA Department of Economics.
    27. Giglio, Stefano & Ströbel, Johannes & Maggiori, Matteo, 2014. "No-Bubble Condition: Model-Free Tests in Housing Markets," CEPR Discussion Papers 9978, Centre for Economic Policy Research.
    28. 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.
    29. Ghosh, Anisha & Julliard, Christian & Taylor, Alex, 2016. "An information based one-factor asset pricing model," LSE Research Online Documents on Economics 118978, London School of Economics and Political Science, LSE Library.
    30. Cosmin L. Ilut & Martin Schneider, 2022. "Modeling Uncertainty as Ambiguity: a Review," NBER Working Papers 29915, National Bureau of Economic Research, Inc.
    31. Ravi Jagannathan & Binying Liu, 2015. "Dividend Dynamics, Learning, and Expected Stock Index Returns," NBER Working Papers 21557, National Bureau of Economic Research, Inc.
    32. 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.
    33. Borovička, Jaroslav & Stachurski, John, 2021. "Stability of equilibrium asset pricing models: A necessary and sufficient condition," Journal of Economic Theory, Elsevier, vol. 193(C).
    34. Jesus Fernandez-Villaverde & Pablo Guerron-Quintana, 2020. "Uncertainty Shocks and Business Cycle Research," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 118-166, August.
    35. Mariano M. Croce, 2006. "Welfare Costs, Long Run Consumption Risk, and a Production Economy," 2006 Meeting Papers 582, Society for Economic Dynamics.
    36. Bandi, Federico M. & Tamoni, Andrea, 2023. "Business-cycle consumption risk and asset prices," Journal of Econometrics, Elsevier, vol. 237(2).
    37. Jaroslav Borovicka & Lars Peter Hansen & Jose A. Scheinkman, 2015. "Misspecified Recovery," Working Papers 063_2014, Princeton University, Department of Economics, Econometric Research Program..
    38. Likuan Qin & Vadim Linetsky, 2014. "Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery and Long-Term Pricing," Papers 1411.3075, arXiv.org, revised Sep 2015.
    39. Segal, Gill & Shaliastovich, Ivan, 2023. "Uncertainty, risk, and capital growth," SAFE Working Paper Series 388, Leibniz Institute for Financial Research SAFE.
    40. 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.
    41. Stanislav Khrapov, 2012. "Risk Premia: Short and Long-term," Working Papers w0169, Center for Economic and Financial Research (CEFIR).
    42. 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.
    43. 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.
    44. Emile A. Marin & JiYong Jung, 2026. "Looking for Risk: Volatility Bounds in Macro," Working Papers 378, University of California, Davis, Department of Economics.
    45. Huarui Jing, 2025. "Robustness Study of Unit Elasticity of Intertemporal Substitution Assumption and Preference Misspecification," Mathematics, MDPI, vol. 13(10), pages 1-23, May.
    46. Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers 37/14, Institute for Fiscal Studies.
    47. Mariano Max Croce & Thien T. Nguyen & Steve Raymond, 2019. "Persistent Government Debt and Aggregate Risk Distribution," NBER Working Papers 26177, National Bureau of Economic Research, Inc.
    48. Hansen, Lars Peter, 2013. "Risk Pricing over Alternative Investment Horizons," 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 1571-1611, Elsevier.
    49. Sandulescu, Paula Mirela & Trojani, Fabio & Vedolin, Andrea, 2018. "Model-Free International Stochastic Discount Factors," CEPR Discussion Papers 12971, Centre for Economic Policy Research.
    50. 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.
    51. Guillén, Osmani Teixeira de Carvalho & Issler, João Victor & Franco-Neto, Afonso Arinos de Mello, 2014. "On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 62-78.
    52. 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.
    53. Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014. "Very Long-Run Discount Rates," NBER Working Papers 20133, National Bureau of Economic Research, Inc.
    54. 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.
    55. Dreyer, Johannes K. & Schneider, Johannes & Smith, William T., 2013. "Saving-based asset-pricing," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3704-3715.
    56. Mikhail Chernov & Drew Creal, 2023. "International Yield Curves and Currency Puzzles," Journal of Finance, American Finance Association, vol. 78(1), pages 209-245, February.
    57. Likuan Qin & Vadim Linetsky, 2016. "Long-Term Factorization of Affine Pricing Kernels," Papers 1610.00778, arXiv.org, revised Jul 2017.
    58. Zhang Chen & Chen Kay, 2026. "Historical Developments in Probability Measures for Asset Pricing: From State Prices to Modern Pricing Kernels," Papers 2605.27658, arXiv.org.
    59. Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
    60. 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.
    61. 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.
    62. Martin, Ian & Ross, Stephen, 2018. "Notes on the Yield Curve," CEPR Discussion Papers 13176, Centre for Economic Policy Research.
    63. Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," NBER Working Papers 20394, National Bureau of Economic Research, Inc.
    64. Jaroslav Borovička & Lars Peter Hansen & Mark Hendricks & José A. Scheinkman, 2009. "Risk Price Dynamics," NBER Working Papers 15506, National Bureau of Economic Research, Inc.
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  21. 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.
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    Cited by:

    1. Jermann, Urban J., 1999. "Social security and institutions for intergenerational, intragenerational, and international risk-sharing : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 50(1), pages 205-212, June.

  25. Baxter, Marianne & Jermann, Urban J, 1997. "The International Diversification Puzzle Is Worse Than You Think," American Economic Review, American Economic Association, vol. 87(1), pages 170-180, March.
    See citations under working paper version above.
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