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Citations for "Asset pricing in production economies"

by Jermann, Urban J.

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  1. Jean-Pierre DANTHINE & John B. DONALDSON & Paolo SICONOLFI, 2005. "Distribution Risk and Equity Returns," FAME Research Paper Series rp161, International Center for Financial Asset Management and Engineering.
  2. Yongsung Chang & Jay H. Hong, 2003. "On the employment effect of technology : evidence from U.S. manufacturing for 1958-1996," Working Paper 03-06, Federal Reserve Bank of Richmond.
  3. Massimiliano De Santis, 2005. "Interpreting Aggregate Stock Market Behavior: How Far Can the Standard Model Go?," Money Macro and Finance (MMF) Research Group Conference 2005 5, Money Macro and Finance Research Group.
  4. George Constantinides & John Donaldson & Rajnish Mehra, 2007. "Junior is rich: bequests as consumption," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 32(1), pages 125-155, July.
  5. Ellen R. McGrattan & Edward C. Prescott, 2001. "Taxes, regulations, and asset prices," Working Papers 610, Federal Reserve Bank of Minneapolis.
  6. Ana Maria Santacreu & Federico Gavazzoni, 2015. "International R&D Spillovers and Asset Prices," 2015 Meeting Papers 405, Society for Economic Dynamics.
  7. Sylvain, Serginio, 2014. "Does Human Capital Risk Explain The Value Premium Puzzle?," MPRA Paper 54551, University Library of Munich, Germany.
  8. Stefano D'Addona & Christos Giannikos, 2011. "Asset Pricing And The Role Of Macroeconomic Volatility," Working Papers 0711, CREI Università degli Studi Roma Tre, revised 2011.
  9. Burkhard Heer & Alfred Maussner & Halvor Ruf, 2016. "Q-Targeting in New Keynesian Models," CESifo Working Paper Series 5854, CESifo Group Munich.
  10. Karnizova, Lilia, 2010. "The spirit of capitalism and expectation-driven business cycles," Journal of Monetary Economics, Elsevier, vol. 57(6), pages 739-752, September.
  11. Bundick, Brent & Basu, Susanto, 2014. "Uncertainty shocks in a model of effective demand," Research Working Paper RWP 14-15, Federal Reserve Bank of Kansas City, revised 01 Nov 2015.
  12. Alemdar, Nedim M. & Sirakaya, Sibel & Husseinov, Farhad, 2006. "Optimal time aggregation of infinite horizon control problems," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 569-593, April.
  13. Xiaoji Lin, 2009. "Endogenous Technological Progress and the Cross Section of Stock Returns," FMG Discussion Papers dp634, Financial Markets Group.
  14. Wen Yao, 2012. "International Business Cycles and Financial Frictions," Staff Working Papers 12-19, Bank of Canada.
  15. Chambers, Robert G. & Quiggin, John, 2009. "Separability of stochastic production decisions from producer risk preferences in the presence of financial markets," Journal of Mathematical Economics, Elsevier, vol. 45(11), pages 730-737, December.
  16. Olaf Posch, 2009. "Risk premia in general equilibrium," CREATES Research Papers 2009-58, Department of Economics and Business Economics, Aarhus University.
  17. Eva Carceles-Poveda & Chryssi Giannitsarou, 2007. "Online Appendix to Asset Pricing with Adaptive Learning," Technical Appendices carceles08, Review of Economic Dynamics.
  18. Martin M. Andreasen & Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2013. "The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications," NBER Working Papers 18983, National Bureau of Economic Research, Inc.
  19. Paul Gomme & B. Ravikumar & Peter Rupert, 2006. "The return to capital and the business cycle," Working Paper 0603, Federal Reserve Bank of Cleveland.
  20. Ivo Krznar, 2008. "International Business Cycles with Frictions in Goods and Factors Markets," Working Papers 18, The Croatian National Bank, Croatia.
  21. Michael Dotsey, 1999. "Structure from shocks," Working Paper 99-06, Federal Reserve Bank of Richmond.
  22. Donaldson, John B. & Gershun, Natalia & Giannoni, Marc P., 2013. "Some unpleasant general equilibrium implications of executive incentive compensation contracts," Journal of Economic Theory, Elsevier, vol. 148(1), pages 31-63.
  23. Crawford, Ian & Polisson, Matthew, 2014. "Testing for intertemporal nonseparability," Journal of Mathematical Economics, Elsevier, vol. 52(C), pages 46-49.
  24. M. Fatih Guvenen, 2003. "A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation or Cross-sectional Heterogeneity?," RCER Working Papers 499, University of Rochester - Center for Economic Research (RCER).
  25. Claudio Campanale & Rui Castro & Gian Luca Clementi, 2007. "Asset Pricing in a Production Economy with ChewÐDekel Preferences," Working Paper Series 07_07, The Rimini Centre for Economic Analysis.
  26. Francois Gourio, 2005. "Operating Leverage, Stock Market Cyclicality, and the Cross-Section of Returns," 2005 Meeting Papers 66, Society for Economic Dynamics.
  27. Mennuni, Alessandro, 2014. "The Role of Curvature in the Transformation Frontier between Consumption and Investment," Discussion Paper Series In Economics And Econometrics 1407, Economics Division, School of Social Sciences, University of Southampton.
  28. Canzoneri, Matthew B. & Cumby, Robert E. & Diba, Behzad T., 2007. "Euler equations and money market interest rates: A challenge for monetary policy models," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1863-1881, October.
  29. Clemens Sialm, 2002. "Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium," NBER Working Papers 9301, National Bureau of Economic Research, Inc.
  30. Miguel Casares & Bennett T. McCallum, 2000. "An Optimizing IS-LM Framework with Endogenous Investment," NBER Working Papers 7908, National Bureau of Economic Research, Inc.
  31. M. Fatih Guvenen, 2002. "Reconciling Conflicting Evidence on the Elasticity of Intertemporal Substitution: A Macroeconomic Perspective," RCER Working Papers 491, University of Rochester - Center for Economic Research (RCER), revised Mar 2003.
  32. Urban Jermann, 2006. "The Equity Premium Implied by Production," NBER Working Papers 12487, National Bureau of Economic Research, Inc.
  33. Juha Ilmari Seppala, 2000. "Asset Prices and Business Cycles Under Limited Commitment," Econometric Society World Congress 2000 Contributed Papers 0244, Econometric Society.
  34. Alessandra Fogli & Fabrizio Perri, 2015. "Macroeconomic Volatility and External Imbalances," NBER Working Papers 20872, National Bureau of Economic Research, Inc.
  35. Jönsson, Kristian, 2005. "Real Exchange Rate and Consumption Fluctuations following Trade Liberalization," Working Paper Series 187, Sveriges Riksbank (Central Bank of Sweden).
  36. Harald Uhlig & Lars Ljungqvist, 2000. "Tax Policy and Aggregate Demand Management under Catching Up with the Joneses," American Economic Review, American Economic Association, vol. 90(3), pages 356-366, June.
  37. James M. Nason & Takashi Kano, 2004. "Business Cycle Implications of Habit Formation," Econometric Society 2004 Far Eastern Meetings 619, Econometric Society.
  38. Lopez, Pier & Lopez-Salido, J. David & Vazquez-Grande, Francisco, 2015. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Finance and Economics Discussion Series 2015-64, Board of Governors of the Federal Reserve System (U.S.).
  39. Juillard Michel, 2011. "Local approximation of DSGE models around the risky steady state," wp.comunite 0087, Department of Communication, University of Teramo.
  40. Michele Boldrin & Lawrence J. Christiano & Jonas D.M. Fisher, 1995. "Asset Pricing Lessons for Modeling Business Cycles," NBER Working Papers 5262, National Bureau of Economic Research, Inc.
  41. Berthold Herrendorf & Akos Valentinyi, 2002. "Determinacy Through Intertemporal Capital Adjustment Costs," IEHAS Discussion Papers 0209, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences.
  42. Douch, Mohamed & Bouaddi, Mohammed, 2010. "EQUITY Premium Puzzle in a Data-Rich Environment," MPRA Paper 29440, University Library of Munich, Germany.
  43. Sydney Ludvigson & Stijn Van Nieuwerburgh & Jack Favilukis, 2010. "The Macroeconomic E¤ects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium," 2010 Meeting Papers 733, Society for Economic Dynamics.
  44. Tobias Adrian & Nina Boyarchenko, 2012. "Intermediary Leverage Cycles and Financial Stability," Working Papers 2012-010, Becker Friedman Institute for Research In Economics.
  45. Bouakez, Hafedh & Cardia, Emanuela & Ruge-Murcia, Francisco J., 2005. "Habit formation and the persistence of monetary shocks," Journal of Monetary Economics, Elsevier, vol. 52(6), pages 1073-1088, September.
  46. Eric T. Swanson, 2012. "Risk Aversion and the Labor Margin in Dynamic Equilibrium Models," American Economic Review, American Economic Association, vol. 102(4), pages 1663-91, June.
  47. Kuehn, Lars-Alexander & Petrosky-Nadeau, Nicolas & Zhang, Lu, 2011. "An Equilibrium Asset Pricing Model with Labor Market Search," Working Paper Series 2012-01, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  48. Charles Ka Yui Leung, 2005. "Equilibrium Correlation of Asset Price and Return," Discussion Papers 00017, Chinese University of Hong Kong, Department of Economics.
  49. Kenza Benhima & Baptiste Massenot, 2013. "Safety Traps," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(4), pages 68-106, October.
  50. 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 170-80, March.
  51. Chahnez Boudaya, 2006. "Stage-specific technology shocks and employment :could we reconcile with the RBC models ?," Cahiers de la Maison des Sciences Economiques v06043, Université Panthéon-Sorbonne (Paris 1).
  52. 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.
  53. Kim, Sei-Wan & Krausz, Joshua & Nam, Kiseok, 2013. "Revisiting asset pricing under habit formation in an overlapping-generations economy," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 132-138.
  54. Marika Santoro & Chao Wei, 2011. "Taxation, Investment and Asset Pricing," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(3), pages 443-454, July.
  55. Laurent-Emmanuel Calvet & Adlai J. Fisher, 2011. "Multifrequency News and Stock Returns," Working Papers hal-00591678, HAL.
  56. Andreas Hornstein & Harald Uhlig, 2000. "What is the Real Story for Interest Rate Volatility?," German Economic Review, Verein für Socialpolitik, vol. 1(1), pages 43-67, 02.
  57. Grüne, Lars & Semmler, Willi, 2008. "Asset pricing with loss aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3253-3274, October.
  58. 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.
  59. Douch, Mohamed, 2004. "Equity Premiums In a Small Open Economy," MPRA Paper 876, University Library of Munich, Germany.
  60. Howard Kung, 2014. "Macroeconomic linkages between monetary policy and the term structure of interest rates," 2014 Meeting Papers 560, Society for Economic Dynamics.
  61. Anil Kashyap & Francois Gourio, 2007. "Investment Spikes: New Facts and a General Equilibrium Exploration," 2007 Meeting Papers 148, Society for Economic Dynamics.
  62. Ramey, Valerie A & Francis, Neville, 2002. "Is The Technology-Driven Real Business Cycle Hypothesis Dead? Shocks and Aggregate Fluctuations Revisted," University of California at San Diego, Economics Working Paper Series qt6x80k3nx, Department of Economics, UC San Diego.
  63. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
  64. Challe, Edouard & Giannitsarou, Chryssi, 2014. "Stock prices and monetary policy shocks: A general equilibrium approach," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 46-66.
  65. Martin Sommer, 2004. "Habits, Sentiment and Predictable Income in the Dynamics of Aggregate Consumption," Macroeconomics 0408004, EconWPA.
  66. Ian Crawford, 2007. "A nonparametric analysis of habits models," CeMMAP working papers CWP30/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  67. D. Carroll Christopher, 2000. "Risky Habits and the Marginal Propensity to Consume Output of Permanent Income, or, How Much Would a Permanent Tax Cut Boost Japanese Consumption?," International Economic Journal, Taylor & Francis Journals, vol. 14(4), pages 1-40.
  68. Scheffel, Eric, 2008. "A Credit-Banking Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Cardiff Economics Working Papers E2008/30, Cardiff University, Cardiff Business School, Economics Section.
  69. De Graeve, Ferre & Emiris, Marina & Wouters, Raf, 2009. "A structural decomposition of the US yield curve," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 545-559, May.
  70. Warusawitharana, Missaka, 2013. "The expected real return to equity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1929-1946.
  71. Zhang, Wenlang & Semmler, Willi, 2009. "Prospect theory for stock markets: Empirical evidence with time-series data," Journal of Economic Behavior & Organization, Elsevier, vol. 72(3), pages 835-849, December.
  72. Ravenna, Federico & Seppälä, Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers 25/2006, Bank of Finland.
  73. Carrillo, J. & Fève, P. & Matheron, J., 2006. "Monetary Policy Inertia or Persistent Shocks?," Working papers 150, Banque de France.
  74. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
  75. Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 2002. "Habit formation: a resolution of the equity premium puzzle?," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1261-1288, September.
  76. Jean-François Rouillard, 2013. "International Risk Sharing and Land Dynamics," Cahiers de recherche 13-02, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
  77. Chambers, Robert G. & Quiggin, John, 2005. "Cost minimization and asset pricing," Risk and Sustainable Management Group Working Papers 151170, University of Queensland, School of Economics.
  78. Glenn D. Rudebusch & Eric T. Swanson, 2008. "The bond premium in a DSGE model with long-run real and nominal risks," Working Paper Research 143, National Bank of Belgium.
  79. Lars Lochstoer & Harjoat S. Bhamra, 2009. "Return Predictability and Labor Market Frictions in a Real Business Cycle Model," 2009 Meeting Papers 1257, Society for Economic Dynamics.
  80. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
  81. Carceles-Poveda, Eva & Giannitsarou, Chryssi, 2007. "Asset Pricing with Adaptive Learning," CEPR Discussion Papers 6223, C.E.P.R. Discussion Papers.
  82. Huang, Dayong & Wang, Fang, 2009. "Cash, investments and asset returns," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2301-2311, December.
  83. Gomes, Joao F & Kogan, Leonid & Zhang, Lu, 2002. "Equilibrium Cross-Section of Returns," CEPR Discussion Papers 3482, C.E.P.R. Discussion Papers.
  84. Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 2007. "A generalized volatility bound for dynamic economies," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2269-2290, November.
  85. Georg Kaltenbrunner & Lars Lochstoer, 2007. "Long-Run Risk through Consumption Smoothing," 2007 Meeting Papers 25, Society for Economic Dynamics.
  86. Belo, Frederico, 2010. "Production-based measures of risk for asset pricing," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 146-163, March.
  87. Adrien Verdelhan, 2010. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Journal of Finance, American Finance Association, vol. 65(1), pages 123-146, 02.
  88. Eran Yashiv, 2015. "Capital Values and Job Values," Discussion Papers 1502, Centre for Macroeconomics (CFM).
  89. Hassan, Tarek A. & Mertens, Thomas M. & Zhang, Tony, 2016. "Not so disconnected: Exchange rates and the capital stock," Journal of International Economics, Elsevier, vol. 99(S1), pages S43-S57.
  90. Fedotenkov, I., 2012. "Pensions and ageing in a globalizing world. International spillover effects via trade and factor mobility," Other publications TiSEM 8830bc21-4138-4479-8459-a, Tilburg University, School of Economics and Management.
  91. Pierpaolo Beningo & Luigi Paciello, 2011. "Monetary Policy, Doubts and Asset Prices," 2011 Meeting Papers 857, Society for Economic Dynamics.
  92. Juan Carlos Hatchondo, 2008. "A quantitative study of the role of wealth inequality on asset prices," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 73-96.
  93. Carceles Poveda, Eva, 2003. "Capital adjustment costs and firm risk aversion," Economics Letters, Elsevier, vol. 81(1), pages 101-107, October.
  94. Jeong-Joon Lee, 2007. "The Adjusted Solow Residual and Asset Returns," Eastern Economic Journal, Eastern Economic Association, vol. 33(2), pages 231-255, Spring.
  95. Juha Seppala & Federico Ravenna, 2007. "Monetary Policy, Expected Inflation, and Inflation Risk Premium," 2007 Meeting Papers 513, Society for Economic Dynamics.
  96. 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.
  97. Francisco Gomes & Alexander Michaelides, 2008. "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 415-448, January.
  98. Peter Rupert & Roman Sustek, 2016. "On the Mechanics of New Keynesian Models," Discussion Papers 1608, Centre for Macroeconomics (CFM), revised Mar 2016.
  99. Kevin E. Beaubrun-Diant & Julien Matheron, 2008. "Rentabilités d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique," Economie & Prévision, La Documentation Française, vol. 0(2), pages 35-63.
  100. Francisco RUGE-MURCIA, 2014. "Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models : With an Application to Asset Pricing under Skewness Risk," Cahiers de recherche 15-2014, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  101. Favilukis, Jack & Lin, Xiaoji, 2012. "Long Run Productivity Risk and Aggregate Investment," Working Paper Series 2012-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  102. Ellen R. McGrattan & Edward C. Prescott, 2005. "Taxes, regulations, and the value of U.S. and U.K. corporations," Staff Report 309, Federal Reserve Bank of Minneapolis.
  103. Hassan, Tarek & Mertens, Thomas M., 2014. "Information Aggregation in a DSGE Model," CEPR Discussion Papers 10020, C.E.P.R. Discussion Papers.
  104. Charlotta Groth & Hashmat Khan, 2007. "Investment adjustment costs: evidence from UK and US industries," Bank of England working papers 332, Bank of England.
  105. Emilio Espino & Thomas Hintermaier, 2009. "Asset trading volume in a production economy," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 39(2), pages 231-258, May.
  106. Fang Yang & Xuan Liu & Zongwu Cai, . "Does Relative Risk Aversion Vary with Wealth? Evidence from Households' Portfolio Choice Data," Departmental Working Papers 2013-09, Department of Economics, Louisiana State University.
  107. Tarek A. Hassan & Thomas M. Mertens, 2011. "The Social Cost of Near-Rational Investment," NBER Working Papers 17027, National Bureau of Economic Research, Inc.
  108. Eric Swanson & Glenn Rudebusch, 2008. "Long-Run Inflation Risk and the Postwar Term Premium," 2008 Meeting Papers 988, Society for Economic Dynamics.
  109. Nicolas Coeurdacier & Hélène Rey & Pablo Winant, 2015. "Financial Integration and Growth in a Risky World," NBER Working Papers 21817, National Bureau of Economic Research, Inc.
  110. Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 1999. "Habit persistence, asset returns and the business cycles," Working Paper Series WP-99-14, Federal Reserve Bank of Chicago.
  111. Francois Gourio, 2010. "Credit risk and Disaster risk," 2010 Meeting Papers 112, Society for Economic Dynamics.
  112. Grune, Lars & Semmler, Willi, 2004. "Using dynamic programming with adaptive grid scheme for optimal control problems in economics," Journal of Economic Dynamics and Control, Elsevier, vol. 28(12), pages 2427-2456, December.
  113. Berthold Herrendorf & Akos Valentinyi, 2003. "Determinacy Through Intertemporal Adjustment Costs," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(3), pages 483-497, July.
  114. Claudio Campanale & Gian Luca Clementi & Rui Castro, 2008. "Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences," Working Papers. Serie AD 2008-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  115. Harald Uhlig, 2010. "Easy EZ in DSGE," 2010 Meeting Papers 111, Society for Economic Dynamics.
  116. De Paoli, Bianca & Scott, Alasdair & Weeken, Olaf, 2010. "Asset pricing implications of a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2056-2073, October.
  117. Ryan Banerjee & Nicoletta Batini, 2003. "UK Consumers’ Habits," Discussion Papers 13, Monetary Policy Committee Unit, Bank of England.
  118. Jianjun Miao & Pengfei Wang, . "Does Lumpy Investment Matter for Business Cycles?," Boston University - Department of Economics - Working Papers Series wp2010-002, Boston University - Department of Economics.
  119. Frode Brevik & Manfred Gärtner, 2005. "Welfare and Distribution Effects of Bank Secrecy Laws," University of St. Gallen Department of Economics working paper series 2005 2005-07, Department of Economics, University of St. Gallen.
  120. Fabrizio Perri & Vincenzo Quadrini, 2011. "International Recessions," NBER Working Papers 17201, National Bureau of Economic Research, Inc.
  121. Nikolay Hristov, 2016. "The Ifo DSGE Model for the German Economy," Ifo Working Paper Series Ifo Working Paper No. 210, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
  122. 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.
  123. Ngo, Phuong V., 2014. "Habit formation in state-dependent pricing models: Implications for the dynamics of output and prices," Economics Letters, Elsevier, vol. 123(3), pages 336-340.
  124. Pijoan-Mas, Josep, 2006. "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," CEPR Discussion Papers 5602, C.E.P.R. Discussion Papers.
  125. Alvarez, F. & Jermann, U.J., 2000. "Using Asset Prices to Measure the Cost of Business Cycles," Weiss Center Working Papers 00-1, Wharton School - Weiss Center for International Financial Research.
  126. In, Francis & Yoon, Jai Hyung, 2007. "Determination of asset prices with an investment-specific technology model: Implications for the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2637-2658, August.
  127. Chen, Been-Lon & Liao, Shian-Yu, 2014. "Capital, credit constraints and the comovement between consumer durables and nondurables," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 127-139.
  128. Woon Gyu Choi, 2007. "Measuring Interest Rates as Determined by Thrift and Productivity," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 167-195, May.
  129. Borenstein, Eliezer & Elkayam, David, 2014. "The equity premium in a small open economy and an application to Israel," Economic Modelling, Elsevier, vol. 43(C), pages 81-99.
  130. Kiley Michael T., 2003. "An Analytical Approach to the Welfare Cost of Business Cycles and the Benefit from Activist Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 3(1), pages 1-26, March.
  131. Jack Favilukis & Xiaoji Lin, 2012. "Wage Rigidity: A Solution to Several Asset Pricing Puzzles," 2012 Meeting Papers 589, Society for Economic Dynamics.
  132. Uhlig, Harald, 2007. "Monetary policy in Europe vs the US: what explains the difference?," MPRA Paper 14119, University Library of Munich, Germany.
  133. Salomons, Roelof & Sterken, Elmer, 2009. "Corporate control rights and the long-run equity risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 63-76, February.
  134. Ferre de Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters, 2009. "Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model," CREA Discussion Paper Series 09-17, Center for Research in Economic Analysis, University of Luxembourg.
  135. Gomes, Joao F & Yaron, Amir & Zhang, Lu, 2003. "Asset Prices and Business Cycles with Costly External Finance," CEPR Discussion Papers 3927, C.E.P.R. Discussion Papers.
  136. Alexandre Dmitriev & Ivan Roberts, 2013. "International Business Cycles with Complete Markets," RBA Research Discussion Papers rdp2013-08, Reserve Bank of Australia.
  137. Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013. "International risk cycles," Journal of International Economics, Elsevier, vol. 89(2), pages 471-484.
  138. João F. Gomes & Amir Yaron & Lu Zhang, 2006. "Asset Pricing Implications of Firms' Financing Constraints," Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1321-1356.
  139. Andrew B. Abel, 2001. "On the Invariance of the Rate of Return to Convex Adjustment Costs," NBER Working Papers 8649, National Bureau of Economic Research, Inc.
  140. Gadi Barlevy, 2003. "The Cost of Business Cycles Under Endogenous Growth," NBER Working Papers 9970, National Bureau of Economic Research, Inc.
  141. Hassan, Tarek A. & Mertens, Thomas M. & Zhang, Tony, 2015. "Not so disconnected: exchange rates and the capital stock," Working Paper Series 2015-21, Federal Reserve Bank of San Francisco.
  142. Francois Gourio, 2009. "Disaster risk and business cycles," 2009 Meeting Papers 1176, Society for Economic Dynamics.
  143. Ronald J. Balvers & Dayong Huang, 2005. "Productivity-Based Asset Pricing: Theory and Evidence," Working Papers 05-05 Classification- JEL, Department of Economics, West Virginia University.
  144. Lucas Herrenbrueck, 2014. "Quantitative Easing and the Liquidity Channel of Monetary Policy," Discussion Papers dp14-09, Department of Economics, Simon Fraser University, revised Apr 2016.
  145. Gust, Christopher & López-Salido, J David, 2010. "Monetary Policy and the Cyclicality of Risk," CEPR Discussion Papers 7727, C.E.P.R. Discussion Papers.
  146. Massimiliano Croce, Mariano, 2014. "Long-run productivity risk: A new hope for production-based asset pricing?," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 13-31.
  147. Ines Drumond & José Jorge, 2009. "Basel II Capital Requirements, Firms' Heterogeneity, and the Business Cycle," FEP Working Papers 307, Universidade do Porto, Faculdade de Economia do Porto.
  148. H. Youn Kim, 2003. "Intertemporal production and asset pricing: a duality approach," Oxford Economic Papers, Oxford University Press, vol. 55(2), pages 344-379, April.
  149. Mariano M. Croce, 2006. "Welfare Costs, Long Run Consumption Risk, and a Production Economy," 2006 Meeting Papers 582, Society for Economic Dynamics.
  150. Krebs, Tom & Wilson, Bonnie, 2004. "Asset returns in an endogenous growth model with incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 817-839, January.
  151. Abel, Andrew B., 1999. "Risk premia and term premia in general equilibrium," Journal of Monetary Economics, Elsevier, vol. 43(1), pages 3-33, February.
  152. Jules van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," NBER Working Papers 15890, National Bureau of Economic Research, Inc.
  153. Ivan Jaccard, 2007. "Real Estate Prices in Production Economies," 2007 Meeting Papers 645, Society for Economic Dynamics.
  154. Chen, Zhanhui, 2016. "Time-to-produce, inventory, and asset prices," Journal of Financial Economics, Elsevier, vol. 120(2), pages 330-345.
  155. Doh, Taeyoung, 2011. "Yield curve in an estimated nonlinear macro model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1229-1244, August.
  156. Ctirad Slavik, 2011. "Asset Prices and Business Cycles with Financial Frictions," 2011 Meeting Papers 587, Society for Economic Dynamics.
  157. Harald Uhlig, 2007. "Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model," SFB 649 Discussion Papers SFB649DP2007-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  158. Huang-Meier, Winifred & Freeman, Mark C. & Mazouz, Khelifa, 2015. "Why are aggregate equity payouts pro-cyclical?," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 98-108.
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  160. Thien Nguyen & Lukas Schmid & Howard Kung & Mariano Croce, 2012. "Fiscal Policies and Asset Prices," 2012 Meeting Papers 565, Society for Economic Dynamics.
  161. Fabio ALESSANDRINI, 2003. "Introducing Capital Structure in a Production Economy: Implications for Investment, Debt and Dividends," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 03.03, Université de Lausanne, Faculté des HEC, DEEP.
  162. Lorenzo Menna & Patrizio Tirelli, 2014. "The Equity Premium in a DSGE Model with Limited Asset Market Participation," Working Papers 275, University of Milano-Bicocca, Department of Economics, revised Jun 2014.
  163. Kliem, Martin & Uhlig, Harald, 2013. "Bayesian estimation of a DSGE model with asset prices," Discussion Papers 37/2013, Deutsche Bundesbank, Research Centre.
  164. Malkhozov, Aytek, 2014. "Asset prices in affine real business cycle models," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 180-193.
  165. Liu, Hening & Miao, Jianjun, 2015. "Growth uncertainty, generalized disappointment aversion and production-based asset pricing," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 70-89.
  166. Ghent, Andra C., 2009. "Comparing DSGE-VAR forecasting models: How big are the differences?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 864-882, April.
  167. Belo, Frederico & Yu, Jianfeng, 2013. "Government investment and the stock market," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 325-339.
  168. Sudipto Karmakar, 2013. "Macroprudential Regulation and Macroeconomic Activity," Working Papers w201317, Banco de Portugal, Economics and Research Department.
  169. Markus K. Brunnermeier & Stefan Nagel, 2006. "Do Wealth Fluctuations Generate Time-varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation," NBER Working Papers 12809, National Bureau of Economic Research, Inc.
  170. Stijn Van Nieuwerburgh, 2012. "The Research Agenda: Stijn Van Nieuwerburgh on Housing and the Macroeconomy," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 13(2), April.
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  172. Kevin J. Lansing, 2015. "Asset Pricing with Concentrated Ownership of Capital and Distribution Shocks," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(4), pages 67-103, October.
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  180. Willi Semmler & Lars Grüne, 2004. "Asset Pricing with Delayed Consumption Decisions," Computing in Economics and Finance 2004 59, Society for Computational Economics.
  181. Ryo Jinnai, 2015. "Innovation, Product Cycle, and Asset Prices," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(3), pages 484-504, July.
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  183. Mikhail Simutin & JessieJiaxu Wang & Lars Kuehn, 2014. "A Labor Capital Asset Pricing Model," 2014 Meeting Papers 695, Society for Economic Dynamics.
  184. Henin, Pierre-Yves & Weitzenblum, Thomas, 2005. "Employment protection and the stock market: the common shock case," Economic Modelling, Elsevier, vol. 22(1), pages 127-146, January.
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  186. Martin Andreasen, 2012. "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 295-316, July.
  187. Mariano Max Croce, 2010. "Tax Uncertainty, Leverage and Asset Prices," 2010 Meeting Papers 1084, Society for Economic Dynamics.
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  189. David A. Chapman, 2002. "Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(3), pages 618-645, July.
  190. Burkhard Heer & Alfred Maussner, 2010. "A Note on the Computation of the Equity Premium and the Market Value of Firm Equity," CESifo Working Paper Series 3042, CESifo Group Munich.
  191. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
  192. Heer, Burkhard & Maußner, Alfred & Süssmuth, Bernd, 2014. "Cyclical Asset Returns in the Consumption and Investment Goods Sector," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100319, Verein für Socialpolitik / German Economic Association.
  193. Chambers, Robert G. & Quiggin, John, 2003. "Narrowing the no-arbitrage bounds," Risk and Sustainable Management Group Working Papers 150346, University of Queensland, School of Economics.
  194. Jody Overland & Christopher D. Carroll & David N. Weil, 2000. "Saving and Growth with Habit Formation," American Economic Review, American Economic Association, vol. 90(3), pages 341-355, June.
  195. Gavazzoni, Federico & Santacreu, Ana Maria, 2015. "International R&D Spillovers and Asset Prices," Working Papers 2015-41, Federal Reserve Bank of St. Louis.
  196. Frederico Belo & Xiaoji Lin & Maria Ana Vitorino, 2013. "Online Appendix to "Brand Capital and Firm Value"," Technical Appendices 12-71, Review of Economic Dynamics.
  197. Trabandt, Mathias & Uhlig, Harald, 2011. "The Laffer curve revisited," Journal of Monetary Economics, Elsevier, vol. 58(4), pages 305-327.
  198. Ellen R. McGrattan & Edward C. Prescott, 2001. "Is the Stock Market Overvalued?," NBER Working Papers 8077, National Bureau of Economic Research, Inc.
  199. Lansing, Kevin J., 2012. "Speculative growth, overreaction, and the welfare cost of technology-driven bubbles," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 461-483.
  200. Ana Maria Santacreu & Federico Gavazzoni, 2014. "International Comovement through Endogenous Long Run Risk," 2014 Meeting Papers 993, Society for Economic Dynamics.
  201. Tarek A. Hassan & Thomas M. Mertens, 2015. "Information Aggregation in a Dynamic Stochastic General Equilibrium Model," NBER Macroeconomics Annual, University of Chicago Press, vol. 29(1), pages 159 - 207.
  202. Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman, 2013. "Winners and Losers: Creative Destruction and the Stock Market," NBER Working Papers 18671, National Bureau of Economic Research, Inc.
  203. Sydney Ludvigson & Xiaohong Chen, 2004. "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models," 2004 Meeting Papers 692, Society for Economic Dynamics.
  204. Natalia Gershun, 2004. "Macrodynamic and Financial Effects of a Large-Scale Technology Change," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 3(1), pages 67-81, April.
  205. TallariniJr., Thomas D., 2000. "Risk-sensitive real business cycles," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 507-532, June.
  206. RUGE-MURCIA, Francisco J., 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 2012-14, Universite de Montreal, Departement de sciences economiques.
  207. Curatola, Giuliano & Donadelli, Michael & Grüning, Patrick & Meinerding, Christoph, 2016. "Investment-specific shocks, business cycles, and asset prices," SAFE Working Paper Series 129, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  208. Chahnez Boudaya, 2005. "The effects of technological innovations on employment : a new explanation," Cahiers de la Maison des Sciences Economiques v05013, Université Panthéon-Sorbonne (Paris 1).
  209. Burkhard Heer & Alfred Maußner, 2013. "Asset Returns, the Business Cycle and the Labor Market," German Economic Review, Verein für Socialpolitik, vol. 14(3), pages 372-397, 08.
  210. Jeong-Joon Lee, 2006. "The Adjusted Solow Residual and Asset Returns (Subsequently published in "Eastern Economic Journal", 2007, 33,(2), pp. 231-255. )," CARF F-Series CARF-F-056, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  211. Shane Frederick & George Loewenstein & Ted O'Donoghue, 2002. "Time Discounting and Time Preference: A Critical Review," Journal of Economic Literature, American Economic Association, vol. 40(2), pages 351-401, June.
  212. Gershun, Natalia, 2010. "Habit persistence, impediments to production factor adjustments, and asset returns in general equilibrium models with self-fulfilling expectations," Review of Financial Economics, Elsevier, vol. 19(1), pages 19-27, January.
  213. Martin Sommer, 2001. "Sentiment Predictable Income and Habits in the Dynamics of Aggregate Consumption," Economics Working Paper Archive 458, The Johns Hopkins University,Department of Economics.
  214. Mohammad R. Jahan‐Parvar & Xuan Liu & Philip Rothman, 2013. "Equity Returns and Business Cycles in Small Open Economies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(6), pages 1117-1146, 09.
  215. Liu, Desu, 2012. "Is relative risk aversion constant? A reinterpretation of recent asset allocation findings at the micro level," Economics Letters, Elsevier, vol. 117(1), pages 250-252.
  216. Scheffel, Eric, 2008. "Consumption Velocity in a Cash Costly-Credit Model," Cardiff Economics Working Papers E2008/31, Cardiff University, Cardiff Business School, Economics Section.
  217. Jean-Pierre DANTHINE & John B. DONALDSON, 2002. "Decentralizing the Stochastic Growth Model," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 02.05, Université de Lausanne, Faculté des HEC, DEEP.
  218. Xiaoji Lin & Jack Favilukis, 2011. "Micro Frictions, Asset Pricing, and Aggregate Implications," 2011 Meeting Papers 466, Society for Economic Dynamics.
  219. Dimitris Papanikolaou, 2008. "Investment-Specific Technological Change and Asset Prices," 2008 Meeting Papers 637, Society for Economic Dynamics.
  220. Jianjun Miao & Pengfei Wang, 2014. "A Q-theory model with lumpy investment," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 57(1), pages 133-159, September.
  221. Robert J. Vigfusson, 2004. "The delayed response to a technology shock: a flexible price explanation," International Finance Discussion Papers 810, Board of Governors of the Federal Reserve System (U.S.).
  222. Christoffel, Kai & Jaccard, Ivan & Kilponen, Juha, 2013. "Welfare and bond pricing implications of fiscal stabilization policies," Research Discussion Papers 32/2013, Bank of Finland.
  223. Keith Sill, 2006. "Macroeconomic volatility and the equity premium," Working Papers 06-1, Federal Reserve Bank of Philadelphia.
  224. Uebele, Martin & Ritschl, Albrecht, 2009. "Stock markets and business cycle comovement in Germany before World War I: Evidence from spectral analysis," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 35-57, March.
  225. 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.
  226. Francisco Gomes & Alexander Michaelides & Valery Polkovnichenko, 2009. "Quantifying the Distortionary Fiscal Cost of ‘The Bailout’," Working Papers 2009-6, Central Bank of Cyprus.
  227. Sanglim Lee, 2012. "Expected Currency Excess Returns and International Business Cycles," Working papers 2012-16, University of Connecticut, Department of Economics.
  228. Eran Yashiv, 2016. "Capital Values and Job Values," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 19, pages 190-209, January.
  229. Fatih Guvenen, 2009. "A Parsimonious Macroeconomic Model for Asset Pricing," Econometrica, Econometric Society, vol. 77(6), pages 1711-1750, November.
  230. Francois Gourio, 2007. "Putty-Clay Technology And Stock Market Volatility," Boston University - Department of Economics - Working Papers Series WP2007-005, Boston University - Department of Economics.
  231. Jordan Rappaport, 2002. "A bottleneck capital model of development," Research Working Paper RWP 01-10, Federal Reserve Bank of Kansas City.
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  233. Karnizova Lilia, 2012. "News Shocks, Productivity and the U.S. Investment Boom-Bust Cycle," The B.E. Journal of Macroeconomics, De Gruyter, vol. 12(1), pages 1-50, June.
  234. 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.
  235. Gornemann, Nils & Kuester, Keith & Nakajima, Makoto, 2016. "Doves for the Rich, Hawks for the Poor? Distributional Consequences of Monetary Policy," CEPR Discussion Papers 11233, C.E.P.R. Discussion Papers.
  236. Ram Yamarthy & Amir Yaron & Joao Gomes, 2015. "Carlstrom and Fuerst meets Epstein and Zin: The Asset Pricing Implications of Contracting Frictions," 2015 Meeting Papers 1267, Society for Economic Dynamics.
  237. Yongsung Chang & Jay H. Hong, 2006. "Do Technological Improvements in the Manufacturing Sector Raise or Lower Employment?," American Economic Review, American Economic Association, vol. 96(1), pages 352-368, March.
  238. Beaubrun-Diant, Kevin E. & Tripier, Fabien, 2005. "Asset returns and business cycles in models with investment adjustment costs," Economics Letters, Elsevier, vol. 86(1), pages 141-146, January.
  239. 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.
  240. Morris A. Davis & Stijn Van Nieuwerburgh, 2014. "Housing, Finance and the Macroeconomy," NBER Working Papers 20287, National Bureau of Economic Research, Inc.
  241. Burkhard Heer & Alfred Maußner, 2012. "Log-normal approximation of the equity premium in the production model," Applied Economics Letters, Taylor & Francis Journals, vol. 19(5), pages 407-412, March.
  242. Pengfei Wang & Yi Wen, 2012. "Hayashi Meets Kiyotaki and Moore: A Theory of Capital Adjustment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(2), pages 207-225, April.
  243. Roman Sustek & Peter Rupert, 2016. "On the Mechanics of New-Keynesian Models," 2016 Meeting Papers 201, Society for Economic Dynamics.
  244. Grüning, Patrick, 2015. "International endogenous growth, macro anomalies, and asset prices," SAFE Working Paper Series 83, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  245. Hirshleifer, David & Li, Jun & Yu, Jianfeng, 2015. "Asset pricing in production economies with extrapolative expectations," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 87-106.
  246. Jianjun Miao & Pengfei Wang, 2014. "Lumpy Investment and Corporate Tax Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(6), pages 1171-1203, 09.
  247. Chen, Andrew Y., 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
  248. Peter Woehrmann & Willi Semmler & Martin Lettau, . "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
  249. Frode Brevik & Stefano d'Addona, 2005. "Information Quality and Stock Returns Revisited," University of St. Gallen Department of Economics working paper series 2005 2005-24, Department of Economics, University of St. Gallen.
  250. Belo, Frederico & Lin, Xiaoji & Vitorino, Maria Ana, 2013. "Brand Capital and Firm Value," Working Paper Series 2013-04, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  251. Wei, Chao, 2009. "A quartet of asset pricing models in nominal and real economies," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 154-165, January.
  252. Sami Alpanda, 2012. "Taxation, collateral use of land, and Japanese asset prices," Empirical Economics, Springer, vol. 43(2), pages 819-850, October.
  253. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
  254. Chris Otrok, 1999. "On Measuring the Welfare Cost of Business Cycles," Virginia Economics Online Papers 318, University of Virginia, Department of Economics.
  255. Michael Dotsey, 2002. "Structure from shocks," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 37-47.
  256. Bernard Herskovic, 2015. "Networks in Production: Asset Pricing Implications," 2015 Meeting Papers 378, Society for Economic Dynamics.
  257. Jianjun Miao & PENGFEI WANG, 2010. "Credit Risk and Business Cycles," Boston University - Department of Economics - Working Papers Series WP2010-033, Boston University - Department of Economics.
  258. Laurian Lungu & Patrick Minford, 2006. "Explaining The Equity Risk Premium," Manchester School, University of Manchester, vol. 74(6), pages 670-700, December.
  259. Peter Rupert & Roman Šustek, 2016. "On the Mechanics of New-Keynesian Models," Working Papers 784, Queen Mary University of London, School of Economics and Finance.
  260. Santiago Budria, 2005. "An Exploration of Asset Returns in a Production Economy with Relative Habits," Finance 0505004, EconWPA.
  261. Kim, Jinill, 2003. "Functional equivalence between intertemporal and multisectoral investment adjustment costs," Journal of Economic Dynamics and Control, Elsevier, vol. 27(4), pages 533-549, February.
  262. Xiaoji Lin & Fan Yang & Frederico Belo, 2014. "External Equity Financing Costs, Financial Flows, and Asset Prices," 2014 Meeting Papers 863, Society for Economic Dynamics.
  263. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
  264. Harald Uhlig, 2007. "Monetary Policy in Europe versus the United States: What Explains the Difference?," NBER Chapters, in: International Dimensions of Monetary Policy, pages 489-533 National Bureau of Economic Research, Inc.
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  266. Daniel Burren, 2010. "The Term Structure of Interest Rates in a New Keynesian Model with Time-Varying Macro Volatility," Annals of Economics and Finance, Society for AEF, vol. 11(2), pages 277-299, November.
  267. Jiro Yoshida, 2008. "Technology Shocks and Asset Price Dynamics:The Role of Housing in General Equilibrium," CARF F-Series CARF-F-119, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  268. Ivan Jaccard, 2010. "Asset Pricing and Housing Supply in a Production Economy," 2010 Meeting Papers 605, Society for Economic Dynamics.
  269. Stefan Ried, 2009. "Putting Up a Good Fight: The Galí-Monacelli Model versus “The Six Major Puzzles in International Macroeconomicsâ€," SFB 649 Discussion Papers SFB649DP2009-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  270. Nicolae B. Gârleanu & Stavros Panageas & Jianfeng Yu, 2009. "Technological Growth and Asset Pricing," NBER Working Papers 15340, National Bureau of Economic Research, Inc.
  271. Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society.
  272. Tomoyuki Nakajima, 2003. "Asset Price Fluctuations in Japan: 1980-2000," Working Papers 2003-25, Brown University, Department of Economics.
  273. Peter A. Schmid, 2013. "The destabilizing effect of company income taxation," Society and Economy, Akadémiai Kiadó, Hungary, vol. 35(3), pages 365-388, September.
  274. Park, Hyun, 2013. "Do habits generate endogenous fluctuations in a growing economy?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 54-68.
  275. Miguel Palacios, 2010. "Human Capital as an Asset Class: Implications from a General Equilibrium Model," Working Papers 2011-016, Human Capital and Economic Opportunity Working Group.
  276. Eva Carceles-Poveda, 2009. "Asset Prices and Business Cycles under Market Incompleteness," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(3), pages 405-422, July.
  277. Miquel Faig, 1999. "Asset Pricing, Growth, And The Business Cycle With Irreversible Investment," Working Papers faig-98-02, University of Toronto, Department of Economics.
  278. Santoro, Marika & Wei, Chao, 2013. "The marginal welfare cost of capital taxation: Discounting matters," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 897-909.
  279. Chong Wang & Neng Wang & Jinqiang Yang, 2013. "Investment, Tobin's q, and Interest Rates," NBER Working Papers 19327, National Bureau of Economic Research, Inc.
  280. Valery Polkovnichenko & Alexander Michaelides & Francisco Gomes, 2007. "Fiscal Policy, Asset Pricing and Economic Activity in a Savers-Spenders Economy," 2007 Meeting Papers 191, Society for Economic Dynamics.
  281. Yann Algan & Olivier Allais & Eva Carceles-Poveda, 2009. "Macroeconomic Effects of Financial Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(4), pages 678-696, October.
  282. Xiao, Wei, 2004. "Can indeterminacy resolve the cross-country correlation puzzle?," Journal of Economic Dynamics and Control, Elsevier, vol. 28(12), pages 2341-2366, December.
  283. Mindy X. Zhang & Qi Sun, 2016. "Financing Intangible Capital," 2016 Meeting Papers 230, Society for Economic Dynamics.
  284. Alpanda, Sami, 2007. "The Boom-Bust Cycle in Japanese Asset Prices," MPRA Paper 5895, University Library of Munich, Germany.
  285. Kevin J. Lansing, 2008. "Speculative growth and overreaction to technology shocks," Working Paper Series 2008-08, Federal Reserve Bank of San Francisco.
  286. Martin M. Andreasen & Kasper Jørgensen, 2016. "Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution," CREATES Research Papers 2016-16, Department of Economics and Business Economics, Aarhus University.
  287. Reinout De Bock, 2005. "Embodied Technical Change and the Persistence of Vacancies," 2005 Meeting Papers 572, Society for Economic Dynamics.
  288. Lars-Alexander Kuehn, 2007. "Time-to-Build and Asset Prices," 2007 Meeting Papers 1015, Society for Economic Dynamics.
  289. Khorunzhina, Natalia, 2015. "Real business-cycle model with habits: Empirical investigation," Economic Modelling, Elsevier, vol. 46(C), pages 61-69.
  290. Jeffrey C. Fuhrer, 2000. "Habit Formation in Consumption and Its Implications for Monetary-Policy Models," American Economic Review, American Economic Association, vol. 90(3), pages 367-390, June.
  291. Chen, Andrew Y., 2014. "Habit, Production, and the Cross-Section of Stock Returns," Finance and Economics Discussion Series 2014-103, Board of Governors of the Federal Reserve System (U.S.).
  292. Roberto Samaniego, 2013. "Stages of Diversification and Industry Productivity Differences," 2013 Meeting Papers 774, Society for Economic Dynamics.
  293. Maral Shamloo & Aytek Malkhozov, 2010. "Asset Prices in a News Driven Real Business Cycle Model," 2010 Meeting Papers 546, Society for Economic Dynamics.
  294. Ghent, Andra, 2006. "Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?," MPRA Paper 180, University Library of Munich, Germany.
  295. Jack Favilukis & Xiaoji Lin, 2011. "Micro Frictions, Asset Pricing and Aggregate," FMG Discussion Papers dp673, Financial Markets Group.
  296. Smith, William T., 2002. "Consumption and saving with habit formation and durability," Economics Letters, Elsevier, vol. 75(3), pages 369-375, May.
  297. Mete Kilic & Jessica A. Wachter, 2015. "Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility," NBER Working Papers 21575, National Bureau of Economic Research, Inc.
  298. Julien Hugonnier & Erwan Morellec & Suresh Sundaresan, 2005. "Growth Options in General Equilibrium: Some Asset Pricing Implications," FAME Research Paper Series rp138, International Center for Financial Asset Management and Engineering.
  299. Fiori, Giuseppe, 2012. "Lumpiness, capital adjustment costs and investment dynamics," Journal of Monetary Economics, Elsevier, vol. 59(4), pages 381-392.
  300. Grishchenko, Olesya V., 2011. "Asset pricing in the production economy subject to monetary shocks," Journal of Economics and Business, Elsevier, vol. 63(3), pages 187-216, May.
  301. Marika Santoro & Chao Wei, 2011. "The Welfare Cost of Capital Taxation: An Asset Market Approach (Working Paper 2011-03)," Working Papers 41152, Congressional Budget Office.
  302. Matheron,J. & Maury, P-M., 2004. "Evaluating the Fit of Sticky Price Models," Working papers 104, Banque de France.
  303. Pawe³ Kliber, 2016. "A puzzle of excessive equity risk premium and the case of Poland," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 12(1), pages 1-11, June.
  304. Tao Wu, 2001. "Macro factors and the affine term structure of interest rates," Working Paper Series 2002-06, Federal Reserve Bank of San Francisco.
  305. Hassan, Tarek A. & Mertens, Thomas M., 2016. "The Social Cost of Near-Rational Investment," Working Paper Series 2016-16, Federal Reserve Bank of San Francisco.
  306. Frederico Belo & Xiaoji Lin & Jun Li & Xiaofei Zhao, 2015. "Labor-Force Heterogeneity and Asset Prices: the Importance of Skilled Labor," NBER Working Papers 21487, National Bureau of Economic Research, Inc.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.