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Citations for "Habit persistence and durability in aggregate consumption: Empirical tests"

by Ferson, Wayne E. & Constantinides, George M.

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  1. Boldrin, Michele & Christiano, Lawrence J. & Fisher, Jonas D.M., 1997. "Habit Persistence And Asset Returns In An Exchange Economy," Macroeconomic Dynamics, Cambridge University Press, vol. 1(02), pages 312-332, June.
  2. George M. Constantinides & Anisha Ghosh, 2008. "Asset pricing tests with long run risks in consumption growth," LSE Research Online Documents on Economics 24428, London School of Economics and Political Science, LSE Library.
  3. Raquel Carrasco & Jose M. Labeaga & J.David López-Salido, 2002. "Unobserved Heterogeneity and Intertemporal Nonseparability: Evidence from Consumption Panel Data," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 C4-4, International Conferences on Panel Data.
  4. Bakshi, Gurdip S. & Naka, Atsuyuki, 1997. "An empirical investigation of asset pricing models using Japanese stock market data," Journal of International Money and Finance, Elsevier, vol. 16(1), pages 81-112, February.
  5. Tano Santos & Pietro Veronesi, 2005. "Cash-Flow Risk, Discount Risk, and the Value Premium," NBER Working Papers 11816, National Bureau of Economic Research, Inc.
  6. repec:ebl:ecbull:v:5:y:2002:i:2:p:1-7 is not listed on IDEAS
  7. R. Anton Braun & Charles L. Evans, 1991. "Seasonal Solow residuals and Christmas: a case for labor hoarding and increasing returns," Working Paper Series, Macroeconomic Issues 91-20, Federal Reserve Bank of Chicago.
  8. John Y. Campbell & John H. Cochrane, 1999. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," NBER Working Papers 7237, National Bureau of Economic Research, Inc.
  9. Stéphane Auray & Patrick Fève & Fabrice Collard, 2004. "Habit Persistence and Money in the Utility Function," Economics Bulletin, AccessEcon, vol. 5(10), pages 1-9.
  10. David Aadland & Kevin X.D. Huang, 2002. "Consistent High-Frequency Calibration," Macroeconomics 0211007, EconWPA, revised 08 Jan 2003.
  11. Garcia, René & Kichian, Maral, 2000. "Modelling Risk Premiums in Equity and Foreign Exchange Markets," Staff Working Papers 00-9, Bank of Canada.
  12. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho.
  13. Saten Kumar & Barrett Owen, 2013. "Financial Crisis and Sticky Expectations," Working Papers 2013-05, Auckland University of Technology, Department of Economics.
  14. Mansoorian, Arman & Mohsin, Mohammed, 2010. "On the employment, investment, and current account effects of trade liberalizations with durability in consumption," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 228-240, December.
  15. Yi Wen, 2005. "By force of demand: explaining international comovements and the saving-investment correlation puzzle," Working Papers 2005-043, Federal Reserve Bank of St. Louis.
  16. Sibert, Anne, 1996. "Unconventional preferences: do they explain foreign exchange risk premia?," Journal of International Money and Finance, Elsevier, vol. 15(1), pages 149-165, February.
  17. Thomas D. Tallarini & Harold H. Zhang, 2005. "External habit and the cyclicality of expected stock returns," Finance and Economics Discussion Series 2005-27, Board of Governors of the Federal Reserve System (U.S.).
  18. Wessel Marquering & Marno Verbeek, 1998. "An Empirical Analysis of Intertemporal Asset Pricing Models with Transaction Costs and Habit Persistence," Working Papers Department of Economics ces9824, KU Leuven, Faculty of Economics and Business, Department of Economics.
  19. Christopher D. Carroll & Jiri Slacalek & Martin Sommer, 2008. "International Evidence on Sticky Consumption Growth," NBER Working Papers 13876, National Bureau of Economic Research, Inc.
  20. Croix,David,de la & Urbain,Jean-Pierre, 1996. "Intertemporal substitution in import demand and habit formation ," Research Memorandum 003, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  21. Jönsson, Kristian, 2004. "Real Exchange Rate and Consumption Fluctuations following Trade Liberalization," SSE/EFI Working Paper Series in Economics and Finance 568, Stockholm School of Economics, revised 04 Jan 2005.
  22. Brennan, Michael J. & Xia, Yihong, 2001. "Stock price volatility and equity premium," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 249-283, April.
  23. Braun, Phillip A. & Constantinides, George M. & Ferson, Wayne E., 1993. "Time nonseparability in aggregate consumption : International evidence," European Economic Review, Elsevier, vol. 37(5), pages 897-920, June.
  24. Schrimpf, Andreas & Grammig, Joachim G., 2007. "Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032 [rev.], ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  25. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
  26. Gomes, Fábio Augusto Reis & Ribeiro, Priscila Fernandes, 2015. "Estimating the elasticity of intertemporal substitution taking into account the precautionary savings motive," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 108-123.
  27. Mansoorian Arman & Neaime Simon, 2002. "Habits And Durability In Consumption And The Effects Of Exchange Rate Policies," International Economic Journal, Taylor & Francis Journals, vol. 16(2), pages 97-114.
  28. Francisco Alvarez-Cuadrado & Jose Maria Casado & Jose Maria Labeaga & Dhanoos Sutthiphisal, 2012. "Envy and habits: panel data estimates of interdependent preferences," Working Papers 1213, Banco de España;Working Papers Homepage.
  29. Douch, Mohamed & Bouaddi, Mohammed, 2010. "EQUITY Premium Puzzle in a Data-Rich Environment," MPRA Paper 29440, University Library of Munich, Germany.
  30. Harris Schlesinger, 2003. "Some Remarks on the Evolution of Risk Preferences," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 28(2), pages 101-104, December.
  31. Andrei Semenov, 2003. "An Empirical Assessment of a Consumption CAPM with a Reference Level under Incomplete Consumption Insurance," Working Papers 2003_5, York University, Department of Economics.
  32. Aylin Seckin, 2000. "Habit Formation: A Kind of Prudence?," CIRANO Working Papers 2000s-42, CIRANO.
  33. Díaz, Antonia & Ríos Rull, José Víctor & Pijoan Mas, Josep, 2001. "Habit formation: implications for the wealth distribution," UC3M Working papers. Economics we015114, Universidad Carlos III de Madrid. Departamento de Economía.
  34. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
  35. Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
  36. Kuznitz, Arik & Kandel, Shmuel & Fos, Vyacheslav, 2008. "A portfolio choice model with utility from anticipation of future consumption and stock market mean reversion," European Economic Review, Elsevier, vol. 52(8), pages 1338-1352, November.
  37. Sydney Ludvigson, 2008. "The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(2), pages -, April.
  38. Shlomo Benartzi & Richard H. Thaler, 1993. "Myopic Loss Aversion and the Equity Premium Puzzle," NBER Working Papers 4369, National Bureau of Economic Research, Inc.
  39. Vincenzo Merella & Steve Satchell, 2005. "The Impact of Consumer Confidence on Expected Utility Maximization: A Contribution to the Equity Premium Puzzle Literature," Birkbeck Working Papers in Economics and Finance 0525, Birkbeck, Department of Economics, Mathematics & Statistics.
  40. Marjorie Flavin & Shinobu Nakagawa, 2004. "A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence," NBER Working Papers 10458, National Bureau of Economic Research, Inc.
  41. Ravn, Morten O & Schmitt-Grohé, Stephanie & Uribe, Martín, 2004. "Deep Habits," CEPR Discussion Papers 4269, C.E.P.R. Discussion Papers.
  42. Mansoorian, Arman, 1998. "Habits and durability in consumption, and the dynamics of the current account," Journal of International Economics, Elsevier, vol. 44(1), pages 69-82, February.
  43. Norman Loayza & Klaus Schmidt-Hebbel & Luis Servén, 2001. "Una Revisión del COmportamiento y de los determinantes del ahorro en el mundo," Central Banking, Analysis, and Economic Policies Book Series, in: Felipe Morandé & Rodrigo Vergara & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series Edit (ed.), Análisis Empírico del Ahorro en Chile, edition 1, volume 1, chapter 2, pages 13-48 Central Bank of Chile.
  44. Stuart Hyde & Mohamed Sherif, 2004. "Don't break the habit: structural stability tests of consumption models in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 49, Money Macro and Finance Research Group.
  45. Klaus Schmidt-Hebbel & Luis Servén, 1998. "World saving: trends and theories," Estudios de Economia, University of Chile, Department of Economics, vol. 25(2 Year 19), pages 191-215, December.
  46. Silva, Andres & Dharmasena, Senarath, 2013. "Modeling Seasonal Unit Roots as a Simple Empirical Method to Handle Autocorrelation in Demand Systems: Evidence from UK Expenditure Data," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 149928, Agricultural and Applied Economics Association.
  47. Li, George, 2008. "Aggregate stock market behavior and investors' low risk aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2349-2369, July.
  48. Lior Menzly & Tano Santos & Pietro Veronesi, 2002. "The Time Series of the Cross Section of Asset Prices," NBER Working Papers 9217, National Bureau of Economic Research, Inc.
  49. Marcos José Pérez Monteiro & Pedro Cavalcante Ferreira & Leandro Radusweski Quintal, 2014. "The Latin American Saving Gap," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 036, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  50. Ferson, Wayne & Nallareddy, Suresh & Xie, Biqin, 2013. "The “out-of-sample” performance of long run risk models," Journal of Financial Economics, Elsevier, vol. 107(3), pages 537-556.
  51. Seckin, Aylin, 2001. "Consumption-leisure choice with habit formation," Economics Letters, Elsevier, vol. 70(1), pages 115-120, January.
  52. Amano, Robert A. & Wirjanto, Tony S., 1996. "Intertemporal substitution, imports and the permanent income model," Journal of International Economics, Elsevier, vol. 40(3-4), pages 439-457, May.
  53. Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
  54. Gomes, Francisco J & Michaelides, Alexander, 2003. "Portfolio Choice with Internal Habit Formation: A Life-Cycle Model with Uninsurable Labour Income Risk," CEPR Discussion Papers 3868, C.E.P.R. Discussion Papers.
  55. Bekaert, Geert, 1996. "The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 427-470.
  56. Arman Mansoorian & Mohammed Mohsin, 2010. "The Effects of Inflation in a Small Open Economy with Durability in Consumption," Open Economies Review, Springer, vol. 21(2), pages 221-236, April.
  57. de la Croix, David, 1995. "Economic Growth and the Relativity of Satisfaction," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1995023, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  58. Francesco Grigoli & Alexander Herman & Klaus Schmidt-Hebbel, 2014. "World Saving," IMF Working Papers 14/204, International Monetary Fund.
  59. Bakshi, Gurdip S. & Chen, Zhiwu & Naka, Atsuyuki, 1995. "Production-based asset pricing in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 217-240, July.
  60. Smith, William T., 2002. "Consumption and saving with habit formation and durability," Economics Letters, Elsevier, vol. 75(3), pages 369-375, May.
  61. CHEN, Chuanglian & CHEN, Guojin & YAO, Shujie, 2012. "Do imports crowd out domestic consumption? A comparative study of China, Japan and Korea," China Economic Review, Elsevier, vol. 23(4), pages 1036-1050.
  62. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
  63. Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 110(4), pages 793-824, August.
  64. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing Specification Errors in Stochastic Discount Factor Models," NBER Technical Working Papers 0153, National Bureau of Economic Research, Inc.
  65. Okumura, Tsunao, 1997. "Housing Investment and Residential Land Supply in Japan: An Asset Market Approach," Journal of the Japanese and International Economies, Elsevier, vol. 11(1), pages 27-54, March.
  66. Pierdzioch, Christian & Doepke, Joerg & Buch, Claudia M., 2002. "Consumer preferences and the reliability of Euler equation tests of capital mobility: some simulation-based evidence," Kiel Working Papers 1131, Kiel Institute for the World Economy (IfW).
  67. Brennan, Michael & Xia, Yihong, 1997. "Stock Price Volatility, Learning, and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management qt3zw2w634, Anderson Graduate School of Management, UCLA.
  68. Bakshi, Gurdip S & Chen, Zhiwu, 1996. "The Spirit of Capitalism and Stock-Market Prices," American Economic Review, American Economic Association, vol. 86(1), pages 133-157, March.
  69. Luciano Fanti, 2012. "Habits, aspirations and endogenous fertility," Discussion Papers 2012/142, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
  70. Lee, Wai, 1997. "Covariance risk, consumption risk, and international stock market returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(2), pages 491-510.
  71. Kuismanen, Mika & Pistaferri, Luigi, 2006. "Information, habits, and consumption behavior: evidence from micro data," Working Paper Series 0572, European Central Bank.
  72. Gonzalez-Hernandez, Ramon A. & Karayalcin, Cem, 2013. "Habit formation, adjustment costs, and international transmission of fiscal policy," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 341-359.
  73. Jón Daníelsson & Jean-Pierre Zigrand, 2008. "Equilibrium asset pricing with systemic risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 35(2), pages 293-319, May.
  74. 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.
  75. Petr Zemčík, 2001. "An empirical investigation of the consumption based Capital Asset Pricing Model using a modified variance-ratio test," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(1), pages 1-22, March.
  76. Henry, O. & Messinis, G. & Olekalns, N., 1999. "Rational Habit Modification: the Role of Credit," Department of Economics - Working Papers Series 729, The University of Melbourne.
  77. Kris Jacobs & Stephane Pallage & Michel A. Robe, 2004. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," CIRANO Working Papers 2004s-54, CIRANO.
  78. Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
  79. Carrasco, Raquel & Labeaga Azcona, J Maria & López-Salido, J David, 2002. "Consumption and Habits: Evidence from Panel Data," CEPR Discussion Papers 3520, C.E.P.R. Discussion Papers.
  80. Madureira, Leonardo, 2007. "The ex ante real rate and inflation premium under a habit consumption model," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 355-382, June.
  81. John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Chapters, in: NBER Macroeconomics Annual 1992, Volume 7, pages 115-182 National Bureau of Economic Research, Inc.
  82. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  83. Gori, Luca & Sodini, Mauro, 2012. "Indeterminacy and nonlinear dynamics in an OLG growth model with endogenous labour supply and inherited tastes," MPRA Paper 35942, University Library of Munich, Germany.
  84. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc.
  85. Wataru Johdo, 2013. "Does monetary expansion improve welfare under habit formation?," Economics Bulletin, AccessEcon, vol. 33(3), pages 1959-1968.
  86. Beach, Robert H. & Zhen, Chen, 2009. "Consumer Purchasing Behavior in Response to Media Coverage of Avian Influenza," 2009 Conference, August 16-22, 2009, Beijing, China 51742, International Association of Agricultural Economists.
  87. Ni, Shawn & Seol, Youn, 2014. "New evidence on excess sensitivity of household consumption," Journal of Monetary Economics, Elsevier, vol. 63(C), pages 80-94.
  88. Guidolin, Massimo & Timmermann, Allan, 2007. "Properties of equilibrium asset prices under alternative learning schemes," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 161-217, January.
  89. Hunter, John & Wu, Feng, 2014. "Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies," Economic Modelling, Elsevier, vol. 36(C), pages 557-565.
  90. Pagano, Patrizio, 2004. "Habit persistence and the marginal propensity to consume in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 18(3), pages 316-329, September.
  91. Croix, David de la & Michel, Philippe, 1999. "Optimal growth when tastes are inherited," Journal of Economic Dynamics and Control, Elsevier, vol. 23(4), pages 519-537, February.
  92. Lungu, Laurian & Minford, Patrick, 2005. "Explaining The Equity Risk Premium," CEPR Discussion Papers 5017, C.E.P.R. Discussion Papers.
  93. Hori, Keiichi, 1997. "Japanese stock returns and investment: A test of production-based asset pricing model," Japan and the World Economy, Elsevier, vol. 9(1), pages 37-56, March.
  94. M Boschi & S d'Addona & A Goenka, 2012. "Testing external habits in an asset pricing model," CAMA Working Papers 2012-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  95. Grammig, Joachim G. & Schrimpf, Andreas, 2006. "Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-32, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  96. Sushanta K. Mallick & Mohammed Mohsin, 2016. "Macroeconomic Effects of Inflationary Shocks with Durable and Non-Durable Consumption," Open Economies Review, Springer, vol. 27(5), pages 895-921, November.
  97. Fernando Alvarez & Urban J. Jermann, 2001. "The Size of the Permanent Component of Asset Pricing Kernels," NBER Working Papers 8360, National Bureau of Economic Research, Inc.
  98. Wen, Yi, 2006. "Demand shocks and economic fluctuations," Economics Letters, Elsevier, vol. 90(3), pages 378-383, March.
  99. Jérôme B. Detemple & Christos I. Giannikos, 1995. "Asset and Commodity Prices with Multiattribute Durable Goods," CIRANO Working Papers 95s-47, CIRANO.
  100. Jaime Alonso-Carrera & Jordi Caballé & Xavier Raurich, 2004. "Consumption Externalities, Habit Formation and Equilibrium Efficiency," Scandinavian Journal of Economics, Wiley Blackwell, vol. 106(2), pages 231-251, 06.
  101. Saito, Makoto, 1999. "Dynamic Allocation and Pricing in Incomplete Markets: A Survey," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 17(1), pages 45-75, May.
  102. Marchese, Carla & Privileggi, Fabio, 1997. "Taxpayers' Attitudes toward Risk and Amnesty Participation: Economic Analysis and Evidence for the Italian Case," Public Finance = Finances publiques, , vol. 52(3-4), pages 394-410.
  103. Wen, Yi, 2007. "By force of demand: Explaining international comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 1-23, January.
  104. Boldrin, M. & Christiano, L.J. & Fisher, J.D.M., 1995. "Asset Pricing Lessons for Modeling Business Cycles," UWO Department of Economics Working Papers 9513, University of Western Ontario, Department of Economics.
  105. Tony Wirjanto, 2004. "Exploring consumption-based asset pricing model with stochastic-trend forcing processes," Applied Economics, Taylor & Francis Journals, vol. 36(14), pages 1591-1597.
  106. Johdo, Wataru, 2009. "Habit persistence and stagnation," Economic Modelling, Elsevier, vol. 26(5), pages 1110-1114, September.
  107. Hall, Alastair R. & Inoue, Atsushi, 2003. "The large sample behaviour of the generalized method of moments estimator in misspecified models," Journal of Econometrics, Elsevier, vol. 114(2), pages 361-394, June.
  108. George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
  109. John H Cochrane, 2003. "Where is the Market Going: Uncertain Facts and Novel Theories," Levine's Working Paper Archive 618897000000000762, David K. Levine.
  110. Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1992. "Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns," NBER Technical Working Papers 0124, National Bureau of Economic Research, Inc.
  111. Juan Pedro Gomez, 2005. "An International Capm With Consumption Externalities And Non-Financial Wealth," Working Papers Economia wp05-08, Instituto de Empresa, Area of Economic Environment.
  112. Alessie, R.J.M. & Teppa, F., 2002. "Saving and Habit Formation : Evidence from Dutch Panel Data," Discussion Paper 2002-62, Tilburg University, Center for Economic Research.
  113. Pascal St-Amour, 2005. "Direct Preference Wealth in Aggregate Household Portfolios," FAME Research Paper Series rp136, International Center for Financial Asset Management and Engineering.
  114. Gómez Manuel A., 2010. "Endogenous Growth, Habit Formation and Convergence Speed," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-32, January.
  115. Ivan Jaccard, 2007. "Asset Pricing, Habit Memory, and the Labor Market," Swiss Finance Institute Research Paper Series 07-23, Swiss Finance Institute, revised Nov 2007.
  116. Auray, Stephane & Collard, Fabrice & Feve, Patrick, 2002. "Money and external habit persistence: A tale for chaos," Economics Letters, Elsevier, vol. 76(1), pages 121-127, June.
  117. repec:acb:camaaa:2012-20 is not listed on IDEAS
  118. Bamikole, Oluwafemi, 2013. "The Habit Persistence Hypothesis: Empirical Evidence from Jamaica," MPRA Paper 57077, University Library of Munich, Germany.
  119. 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.
  120. Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003. "Keeping up with the Joneses: An international asset pricing model," Economics Working Papers 694, Department of Economics and Business, Universitat Pompeu Fabra.
  121. Weder, Mark, 2000. "Can Habit Formation Solve the Consumption Anomaly in the Two-Sector Business Cycle Model?," Journal of Macroeconomics, Elsevier, vol. 22(3), pages 433-444, July.
  122. Xiaohong Chen & Sydney C. Ludvigson, 2009. "Land of addicts? an empirical investigation of habit-based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1057-1093.
  123. Hyde, Stuart & Sherif, Mohamed, 2010. "Consumption asset pricing and the term structure," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 99-109, February.
  124. Hamori, Shigeyuki, 1998. "Defying the conventional wisdom: US consumers are found to be more risk averse than those of Japan," Economic Modelling, Elsevier, vol. 15(2), pages 217-235, April.
  125. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
  126. Monteiro, Goncalo & Cook, Adam & Dey, Sanjoy, 2013. "Optimal tax policy under habit formation and capital utilization," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 230-248.
  127. John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," NBER Working Papers 5610, National Bureau of Economic Research, Inc.
  128. Kim Nummelin, 1994. "Risk aversion, multivariate proxies and the behavior of asset returns," Finnish Economic Papers, Finnish Economic Association, vol. 7(2), pages 94-107, Autumn.
  129. Jorge A. Quiroz & Alberto Valdés, 1994. "Agricultural Diversification And Policy Reform," Reports _001, World Bank Latin America and the Caribean Region Department.
  130. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51.
  131. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
  132. Neely, C.J. & Roy, A. & Whiteman, C.H., 1998. "Risk Aversion vs. Intertemporal Substitution: Identification Failure in the Intertemporal Consumption CAPM," Working Papers 98-08, University of Iowa, Department of Economics.
  133. Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 2000. "Habit persistence, asset returns and the business cycle," Staff Report 280, Federal Reserve Bank of Minneapolis.
  134. 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.
  135. Adrian Ma, "undated". "Time-varying Risk Premium in the Forward Exchange Rate," EcoMod2006 272100057, EcoMod.
  136. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
  137. Melisso Boschi & Stefano d'Addona & Aditya Goenka, 2009. "Testing Habits In An Asset Pricing Model," Working Papers 0509, CREI Università degli Studi Roma Tre, revised 2009.
  138. Messinis, George & Henry, Olan & Olekalns, Nilss, 2002. "Rational habit modification in consumption," Economic Modelling, Elsevier, vol. 19(4), pages 665-678, August.
  139. Zemcik, Petr, 2001. "Mean reversion in asset returns and time non-separable preferences," International Review of Economics & Finance, Elsevier, vol. 10(3), pages 223-245, July.
  140. Mansoorian, Arman & Michelis, Leo, 2005. "Money, habits and growth," Journal of Economic Dynamics and Control, Elsevier, vol. 29(7), pages 1267-1285, July.
  141. Norman Loayza & Klaus Schmidt-Hebbel & Luis Servén, 2000. "Saving in Developing Countries: An Overview," World Bank Economic Review, World Bank Group, vol. 14(3), pages 393-414, September.
  142. Gregory, Allan W. & Lamarche, Jean-Francois & Smith, Gregor W., 2002. "Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 213-233, March.
  143. Elena Márquez de la Cruz, 2005. "La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 455-481, September.
  144. repec:wyi:journl:002197 is not listed on IDEAS
  145. van Dalen, Hendrik P., 1999. "Intertemporal substitution in public and private consumption -- long-run evidence from the US and the UK," Economic Modelling, Elsevier, vol. 16(3), pages 355-370, August.
  146. Yeung Lewis Chan & Leonid Kogan, 2001. "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," NBER Working Papers 8607, National Bureau of Economic Research, Inc.
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