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Citations for "A parsimonious macroeconomic model for asset pricing"

by Fatih Guvenen

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  1. 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.
  2. Daron Acemoglu & Martin Kaae Jensen, 2015. "Robust Comparative Statics in Large Dynamic Economies," Journal of Political Economy, University of Chicago Press, vol. 123(3), pages 587-640.
  3. Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2014. "Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing," NBER Working Papers 20744, National Bureau of Economic Research, Inc.
  4. Liu, Keqing, 2016. "Bank equity and macroprudential policy," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 1-17.
  5. Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2012. "Saving Rates and Portfolio Choice with Subsistence Consumption," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(1), pages 108-126, January.
  6. Kazufumi Yamana, "undated". "Structural Household Finance," Discussion papers ron279, Policy Research Institute, Ministry of Finance Japan.
  7. CAMPANALE, Claudio & CASTRO, Rui & CLEMENTI, Gian Luca, 2009. "Asset Pricing in a Production Economy with Chew–Dekel Preferences," Cahiers de recherche 2009-09, Universite de Montreal, Departement de sciences economiques.
  8. Andreas Fagereng & Luigi Guiso & Davide Malacrino & Luigi Pistaferri, 2016. "Heterogeneity and Persistence in Returns to Wealth," EIEF Working Papers Series 1615, Einaudi Institute for Economics and Finance (EIEF), revised Nov 2016.
  9. Kaas, Leo & Pintus, Patrick A. & Ray, Simon, 2016. "Land collateral and labor market dynamics in France," European Economic Review, Elsevier, vol. 84(C), pages 202-218.
  10. Walentin Karl, 2010. "Earnings Inequality and the Equity Premium," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-23, November.
  11. 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.
  12. Dolmas, Jim, 2013. "Disastrous disappointments: asset-pricing with disaster risk and disappointment aversion," Working Papers 1309, Federal Reserve Bank of Dallas.
  13. Gust, Christopher & López-Salido, J David, 2010. "Monetary Policy and the Cyclicality of Risk," CEPR Discussion Papers 7727, C.E.P.R. Discussion Papers.
  14. Bingbing Dong, 2014. "Asset Pricing and Monetary Policy," 2014 Meeting Papers 881, Society for Economic Dynamics.
  15. Carlos Garriga & Finn E. Kydland & Roman Šustek, 2015. "Mortgages and Monetary Policy," Working Papers 751, Queen Mary University of London, School of Economics and Finance.
  16. James Staveley-O'Carroll & Olena M. Staveley-O'Carroll, 2016. "Impact of Pension System Structure on International Financial Capital Allocation," Working Papers 1601, College of the Holy Cross, Department of Economics.
  17. Pierre-Olivier Weill & Chris Edmond, 2008. "Aggregate implications of micro asset market segmentation," 2008 Meeting Papers 481, Society for Economic Dynamics.
  18. Dewachter, Hans & Wouters, Raf, 2014. "Endogenous risk in a DSGE model with capital-constrained financial intermediaries," Journal of Economic Dynamics and Control, Elsevier, vol. 43(C), pages 241-268.
  19. Nicolas Coeurdacier & Hélène Rey, 2011. "Home Bias in Open Economy Financial Macroeconomics," NBER Working Papers 17691, National Bureau of Economic Research, Inc.
  20. David Backus & Mikhail Chernov & Ian Martin, 2011. "Disasters Implied by Equity Index Options," Journal of Finance, American Finance Association, vol. 66(6), pages 1969-2012, December.
  21. Li, Jinlu, 2010. "Some solutions to the equity premium and volatility puzzles," MPRA Paper 26833, University Library of Munich, Germany, revised 01 Aug 2010.
  22. Felipe S. Iachan & Plamen T. Nenov & Alp Simsek, 2015. "The Choice Channel of Financial Innovation," NBER Working Papers 21686, National Bureau of Economic Research, Inc.
  23. repec:spo:wpecon:info:hdl:2441/c8dmi8nm4pdjkuc9g81p7j6b6 is not listed on IDEAS
  24. Georgy Chabakauri, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
  25. Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson, 2014. "Origins of Stock Market Fluctuations," NBER Working Papers 19818, National Bureau of Economic Research, Inc.
  26. Kraft, Holger & Seifried, Frank Thomas, 2014. "Stochastic differential utility as the continuous-time limit of recursive utility," Journal of Economic Theory, Elsevier, vol. 151(C), pages 528-550.
  27. Kevin J. Lansing, 2011. "Asset pricing with concentrated ownership of capital," Working Paper Series 2011-07, Federal Reserve Bank of San Francisco.
  28. Alexis Akira Toda & Kieran Walsh, 2015. "Asset Pricing and the One Percent," 2015 Meeting Papers 858, Society for Economic Dynamics.
  29. Bhamra, Harjoat Singh & Uppal, Raman, 2013. "Asset Prices with Heterogeneity in Preferences and Beliefs," CEPR Discussion Papers 9459, C.E.P.R. Discussion Papers.
  30. De Graeve, Ferre & Dossche, Maarten & Emiris, Marina & Sneessens, Henri & Wouters, Raf, 2010. "Risk premiums and macroeconomic dynamics in a heterogeneous agent model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1680-1699, September.
  31. Rengel, Malte & Herwartz, Helmut & Xu, Fang, 2013. "Persistence in the price-to-dividend ratio and its macroeconomic fundamentals," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79860, Verein für Socialpolitik / German Economic Association.
  32. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
  33. 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).
  34. Jonathan Heathcote & Kjetil Storesletten & Giovanni L. Violante, 2009. "Quantitative Macroeconomics with Heterogeneous Households," NBER Working Papers 14768, National Bureau of Economic Research, Inc.
  35. Favilukis, Jack, 2013. "Inequality, stock market participation, and the equity premium," Journal of Financial Economics, Elsevier, vol. 107(3), pages 740-759.
  36. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  37. Adrian Buss & Bernard Dumas & Raman Uppal & Grigory Vilkov, 2016. "The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis," Carlo Alberto Notebooks 449, Collegio Carlo Alberto.
  38. Missaka Warusawitharana, 2011. "The expected real return to equity," Finance and Economics Discussion Series 2011-14, Board of Governors of the Federal Reserve System (U.S.).
  39. Anastasia Zervou, 2016. "Monetary Policy Rules and the Equity Premium," 2016 Meeting Papers 1624, Society for Economic Dynamics.
  40. De Graeve, Ferre & Iversen, Jens, 2015. "Central bank policy paths and market forward rates: A simple model," Working Paper Series 303, Sveriges Riksbank (Central Bank of Sweden).
  41. Aase, Knut K., 2014. "The Life Cycle Model with Recursive Utility: New insights on optimal consumption," Discussion Papers 2014/19, Department of Business and Management Science, Norwegian School of Economics, revised 16 Oct 2015.
  42. Iraola, Miguel & Torres-Martínez, Juan Pablo, 2013. "Liquidity Contractions, Incomplete Financial Participation and the Prevalence of Negative Equity Non-recourse Loans," MPRA Paper 46838, University Library of Munich, Germany.
  43. 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.
  44. Bernard Dumas & Andrew Lyasoff, 2008. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," NBER Working Papers 14629, National Bureau of Economic Research, Inc.
  45. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2016. "Asset prices with non-permanent shocks to consumption," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 152-178.
  46. YiLi Chien & Kanda Naknoi, 2012. "The risk premium and long-run global imbalances," Working Papers 2012-009, Federal Reserve Bank of St. Louis.
  47. Fatih Guvenen, 2005. "Reconciling Conflicting Evidence on the Elasticity of Intertemporal Substitution: A Macroeconomic Perspective," Macroeconomics 0507005, EconWPA.
  48. Gangopadhyay, Kausik & Nishimura, Atsushi & Pal, Rupayan, 2016. "Can the information technology revolution explain the incidence of co-movement of skill premium and stock prices?," Economic Modelling, Elsevier, vol. 53(C), pages 107-120.
  49. Caliendo, Frank N. & Guo, Nick L., 2014. "Roosevelt And Prescott Come To An Agreement," Macroeconomic Dynamics, Cambridge University Press, vol. 18(06), pages 1383-1402, September.
  50. Shi, Lei, 2016. "Consumption-based CAPM with belief heterogeneity," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 30-46.
  51. Barnett, Richard & Bhattacharya, Joydeep & Bunzel, Helle, 2016. "The Fight-or-Flight Response to the Joneses," School of Economics Working Paper Series 2016-12, LeBow College of Business, Drexel University.
  52. Jones, Christopher S. & Tuzel, Selale, 2013. "Inventory investment and the cost of capital," Journal of Financial Economics, Elsevier, vol. 107(3), pages 557-579.
  53. Alan Guoming Huang & Eric Hughson & J. Chris Leach, 2016. "Generational Asset Pricing, Equity Puzzles, and Cyclicality," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 22, pages 52-71, October.
  54. Andreas Tischbirek, 2016. "Long-Term Government Debt and Household Portfolio Composition," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 16.17, Université de Lausanne, Faculté des HEC, DEEP.
  55. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," FMG Discussion Papers dp707, Financial Markets Group.
  56. Harald Uhlig, 2010. "Easy EZ in DSGE," 2010 Meeting Papers 111, Society for Economic Dynamics.
  57. 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.).
  58. 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.
  59. Gust, Christopher & López-Salido, J David, 2009. "Monetary Policy, Velocity, and the Equity Premium," CEPR Discussion Papers 7388, C.E.P.R. Discussion Papers.
  60. Ivan Jaccard, 2010. "Asset Pricing and Housing Supply in a Production Economy," 2010 Meeting Papers 605, Society for Economic Dynamics.
  61. 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.
  62. Kliem, Martin & Uhlig, Harald, 2013. "Bayesian estimation of a DSGE model with asset prices," Discussion Papers 37/2013, Deutsche Bundesbank, Research Centre.
  63. Gregory Phelan & Alexis Akira Toda, 2015. "On the Robustness of Theoretical Asset Pricing Models," Department of Economics Working Papers 2015-10, Department of Economics, Williams College.
  64. Buss, Adrian & Uppal, Raman & Vilkov, Grigory, 2014. "Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs," SAFE Working Paper Series 41, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  65. Lars Ljungqvist & Harald Uhlig, 2009. "Optimal Endowment Destruction under Campbell-Cochrane Habit Formation," NBER Working Papers 14772, National Bureau of Economic Research, Inc.
  66. 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.
  67. Brumm, Johannes & Kubler, Felix & Grill, Michael & Schmedders, Karl, 2014. "Margin regulation and volatility," Working Paper Series 1698, European Central Bank.
  68. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," 2012 Meeting Papers 636, Society for Economic Dynamics.
  69. Ahn, Seryoong & Choi, Kyoung Jin & Koo, Hyeng Keun, 2015. "A simple asset pricing model with heterogeneous agents, uninsurable labor income and limited stock market participation," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 9-22.
  70. Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
  71. Robert J. Barro & Tao Jin, 2016. "Rare Events and Long-Run Risks," Working Paper 115371, Harvard University OpenScholar.
  72. Aase, Knut K., 2015. "The equity premium in a production economy; A new perspective involving recursive utility," Discussion Papers 2015/15, Department of Business and Management Science, Norwegian School of Economics.
  73. Nicolae Gârleanu & Stavros Panageas, 2015. "Young, Old, Conservative, and Bold: The Implications of Heterogeneity and Finite Lives for Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 123(3), pages 670-685.
  74. Raman Uppal & Harjoat Bhamra, 2016. "Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?," 2016 Meeting Papers 1358, Society for Economic Dynamics.
  75. Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2013. "Macroeconomic determinants of stock volatility and volatility premiums," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 203-220.
  76. Yuanyuan Chen & Stuart Fowler, 2016. "Hybrid Perturbation-Projection Method for Solving DSGE Asset Pricing Models," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 649-667, December.
  77. Eric Swanson, 2015. "A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt," 2015 Meeting Papers 273, Society for Economic Dynamics.
  78. Jaccard, Ivan, 2012. "Asset pricing and housing supply in a production economy," Working Paper Series 1454, European Central Bank.
  79. Christopher J. Gust & David López-Salido, 2009. "Portfolio inertia and the equity premium," International Finance Discussion Papers 984, Board of Governors of the Federal Reserve System (U.S.).
  80. Batchuluun, Altantsetseg & Luo, Yulei & Young, Eric, 2014. "Portfolio Choice with Information-Processing Limits," MPRA Paper 58538, University Library of Munich, Germany.
  81. Dumas, Bernard J & Lyasoff, Andrew, 2009. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," CEPR Discussion Papers 7138, C.E.P.R. Discussion Papers.
  82. Qi Zeng & Hae Won (Henny) Jung, 2014. "Optimal Contract, Ownership Structure and Asset Pricing," 2014 Meeting Papers 911, Society for Economic Dynamics.
  83. Manuel Santos & Miguel Iraola, 2014. "Long-Term Asset Price Volatility and Macroeconomic Fluctuations," 2014 Meeting Papers 559, Society for Economic Dynamics.
  84. Mehkari, M. Saif, 2016. "Uncertainty shocks in a model with mean-variance frontiers and endogenous technology choices," Journal of Macroeconomics, Elsevier, vol. 49(C), pages 71-98.
  85. M. Falagiarda & M. Marzo, 2012. "A DSGE model with Endogenous Term Structure," Working Papers wp830, Dipartimento Scienze Economiche, Universita' di Bologna.
  86. 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.
  87. El-Shagi, Makram & Giesen, Sebastian, 2010. "Testing for Structural Breaks at Unknown Time: A Steeplechase," IWH Discussion Papers 19/2010, Halle Institute for Economic Research (IWH).
  88. Boons, Martijn & Duarte, Fernando M. & de Roon, Frans & Szymanowska , Marta, 2013. "Time-varying inflation risk and the cross section of stock returns," Staff Reports 621, Federal Reserve Bank of New York, revised 01 Jul 2016.
  89. repec:hal:journl:halshs-00594096 is not listed on IDEAS
  90. Gertler, Mark & Kiyotaki, Nobuhiro & Queralto, Albert, 2012. "Financial crises, bank risk exposure and government financial policy," Journal of Monetary Economics, Elsevier, vol. 59(S), pages 17-34.
  91. 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.
  92. Solomon, Bernard Daniel, 2010. "Firm leverage, household leverage and the business cycle," MPRA Paper 26504, University Library of Munich, Germany.
  93. Roine Vestman, 2013. "Limited Stock Market Participation Among Renters and Home Owners," 2013 Meeting Papers 549, Society for Economic Dynamics.
  94. Eduard Dubin & Olesya V. Grishchenko & Vasily Kartashov, 2012. "Habit formation heterogeneity: Implications for aggregate asset pricing," Finance and Economics Discussion Series 2012-07, Board of Governors of the Federal Reserve System (U.S.).
  95. Chabakauri, Georgy, 2015. "Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 21-34.
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