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Citations for "Stochastic inflation and the equity premium"

by Pamela Labadie

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  1. Eisfeldt, Andrea L., 2007. "Smoothing with liquid and illiquid assets," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1572-1586, September.
  2. Sellin, Peter, 1998. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Working Paper Series 72, Sveriges Riksbank (Central Bank of Sweden).
  3. Seppo Honkapohja & Urho Lempinen, 1997. "Growth, inflation, and economic policy in a stochastic cash-in-advance economy," Finnish Economic Papers, Finnish Economic Association, vol. 10(2), pages 51-66, Autumn.
  4. Yulei Peng & Anastasia Zervou, 2014. "Monetary Policy Rules and the Equity Premium," Working Papers 20141115_001, Texas A&M University, Department of Economics.
  5. William A. Barnett & Yi Liu & Haiyang Xu & Mark Jensen, 1996. "The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets," Econometrics 9602003, EconWPA.
  6. Giovannini, Alberto & Labadie, Pamela, 1991. "Asset Prices and Interest Rates in Cash-in-Advance Models," Journal of Political Economy, University of Chicago Press, vol. 99(6), pages 1215-1251, December.
  7. Erdem Basçi & Mehmet Fatih Ekinci, 2005. "Bond Premium in Turkey : Inflation Risk or Default Risk?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 41(2), pages 25-40, March.
  8. Aiyagari, S. Rao & Gertler, Mark, 1991. "Asset returns with transactions costs and uninsured individual risk," Journal of Monetary Economics, Elsevier, vol. 27(3), pages 311-331, June.
  9. Canova, Fabio & Marrinan, Jane, 1995. "Predicting excess returns in financial markets," European Economic Review, Elsevier, vol. 39(1), pages 35-69, January.
  10. William A. Barnett & Haiyang Xu, 1998. "Money Velocity with Interest Rate Stochastic Volatility and Exact Aggregation," Macroeconomics 9803004, EconWPA.
  11. Timothy Cogley, 1995. "Inflation uncertainty and excess returns on stocks and banks," Economic Review, Federal Reserve Bank of San Francisco, pages 21-29.
  12. Bingbing Dong, 2014. "Asset Pricing and Monetary Policy," 2014 Meeting Papers 881, Society for Economic Dynamics.
  13. Oreste Tristani, 2009. "Model Misspecification, the Equilibrium Natural Interest Rate, and the Equity Premium," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1453-1479, October.
  14. Yu Chen & Thomas Cosimano & Alex Himonas, 2008. "Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks," Annals of Finance, Springer, vol. 4(3), pages 305-344, July.
  15. S. Rao Aiyagari, 1993. "Explaining financial market facts: the importance of incomplete markets and transaction costs," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 17-31.
  16. Sellin, Peter, 2001. " Monetary Policy and the Stock Market: Theory and Empirical Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 15(4), pages 491-541, September.
  17. Christian Aubin & IBRAHIMA DIOUF & DOMINIQUE PEPIN, 2013. "Influence De La Politique Monetaire Sur Le Prix Des Actifs Financiers :Les Enseignements D’Un Modele Miu Applique A La Fed: Impact Of Monetary Policy On Asset Prices :Lessons From A Miu Model Applied ," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 56(3-4), pages 313-333.
  18. Garcia, René & Kichian, Maral, 2000. "Modelling Risk Premiums in Equity and Foreign Exchange Markets," Staff Working Papers 00-9, Bank of Canada.
  19. Ralph Chami & Thomas F. Cosimano & Connel Fullenkamp, 2001. "Capital Trading, Stock Trading, and the Inflation Tax on Equity," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(3), pages 575-606, July.
  20. S. Rao Aiyagari, 1994. "Macroeconomics with frictions," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Sum, pages 24-40.
  21. repec:eee:dyncon:v:84:y:2017:i:c:p:77-90 is not listed on IDEAS
  22. M. Hashem Pesaran & Simon M. Potter, 1993. "Equilibrium Asset Pricing Models and Predictability of Excess Returns," UCLA Economics Working Papers 694, UCLA Department of Economics.
  23. Geweke, John, 2001. "A note on some limitations of CRRA utility," Economics Letters, Elsevier, vol. 71(3), pages 341-345, June.
  24. Basu, Parantap & Gillman, Max & Pearlman, Joseph, 2012. "Inflation, human capital and Tobin's q," Journal of Economic Dynamics and Control, Elsevier, vol. 36(7), pages 1057-1074.
  25. de Groot, Oliver, 2015. "Solving asset pricing models with stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 308-321.
  26. Pamela A. Labadie, 1988. "The effects of stochastic inflation on asset prices," Discussion Paper / Institute for Empirical Macroeconomics 5, Federal Reserve Bank of Minneapolis.
  27. Ingram, B., 1990. "Post Econometric Policy Evaluation : A Critique," Working Papers 90-30, University of Iowa, Department of Economics.
  28. Koedijk, Kees & Kool, Clemens & Nissen, Francois, 1998. "Real interest rates and shifts in macroeconomic volatility," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 241-261, September.
  29. Karen K. Lewis, 1991. "Should the Holding Period Matter for the Intertemporal Consumption-BasedCAPM?," NBER Working Papers 3583, National Bureau of Economic Research, Inc.
  30. Canova, Fabio & Marrinan, Jane, 1996. "Reconciling the term structure of interest rates with the consumption-based ICAP model," Journal of Economic Dynamics and Control, Elsevier, vol. 20(4), pages 709-750, April.
  31. Geert Bekaert & Steven R. Grenadier, 1999. "Stock and Bond Pricing in an Affine Economy," NBER Working Papers 7346, National Bureau of Economic Research, Inc.
  32. Rodriguez, Juan Carlos, 2006. "Consumption, the persistence of shocks, and asset price volatility," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1741-1760, November.
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