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Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
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Cited by:
- Heaton, John & Lucas, Deborah, 1995. "The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 42(1), pages 1-32, June.
- Ran Sun Lyng & Jie Zhou, 2019. "Household Portfolio Choice Before and After a House Purchase," Economics Working Papers 2019-01, Department of Economics and Business Economics, Aarhus University.
- 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.
- Kalyvitis Sarantis & Panopoulou Ekaterini, 2013.
"Estimating C-CAPM and the equity premium over the frequency domain,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(5), pages 551-571, December.
- Ekaterini Panopoulou & Sarantis Kalyvitis, 2012. "Estimating C-CAPM and the Equity Premium over the Frequency Domain," DEOS Working Papers 1216, Athens University of Economics and Business.
- Jonathan A. Parker, 2001. "The Consumption Risk of the Stock Market," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(2), pages 279-348.
- Maj-Britt Nordfang & Mogens Steffensen, 2017. "Portfolio Optimization and Mortgage Choice," JRFM, MDPI, vol. 10(1), pages 1-21, January.
- Mork, Knut Anton & Harang, Fabian Andsem & Trønnes, Haakon Andreas & Bjerketvedt, Vegard Skonseng, 2023. "Dynamic spending and portfolio decisions with a soft social norm," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
- Khorunzhina, Natalia, 2013.
"Structural estimation of stock market participation costs,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2928-2942.
- Khorunzhina, Natalia, 2011. "Dynamic Stock Market Participation of Households," MPRA Paper 35310, University Library of Munich, Germany.
- Baker, Scott R. & Johnson, Stephanie & Kueng, Lorenz, 2024.
"Financial returns to household inventory management,"
Journal of Financial Economics, Elsevier, vol. 151(C).
- Scott R. Baker & Stephanie Johnson & Lorenz Kueng, 2020. "Financial Returns to Household Inventory Management," Swiss Finance Institute Research Paper Series 20-114, Swiss Finance Institute.
- Scott R. Baker & Stephanie Johnson & Lorenz Kueng, 2020. "Financial Returns to Household Inventory Management," Swiss Finance Institute Research Paper Series 20-70, Swiss Finance Institute.
- Küng, Lorenz & Baker, Scott & Johnson, Stephanie, 2020. "Financial Returns to Household Inventory Management," CEPR Discussion Papers 15191, C.E.P.R. Discussion Papers.
- Scott R. Baker & Stephanie G. Johnson & Lorenz Kueng, 2020. "Financial Returns to Household Inventory Management," NBER Working Papers 27740, National Bureau of Economic Research, Inc.
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- Russel J. Cooper & Kieran P. Donaghy, 2007.
"Risk and Growth: Theoretical Relationships and Preliminary Estimates for South Africa,"
Advances in Spatial Science, in: Russel Cooper & Kieran Donaghy & Geoffrey Hewings (ed.), Globalization and Regional Economic Modeling, chapter 17, pages 417-464,
Springer.
- Russel Cooper & Kieran P. Donaghy, 2000. "Risk and Growth: Theoretical Relationships and Preliminary Estimates for South Africa," Econometric Society World Congress 2000 Contributed Papers 0527, Econometric Society.
- Cho, Sang-Wook (Stanley), 2010.
"Household wealth accumulation and portfolio choices in Korea,"
Journal of Housing Economics, Elsevier, vol. 19(1), pages 13-25, March.
- Sang-Wook Stanley Cho, 2007. "Household Wealth Accumulation and Portfolio Choices in Korea," Discussion Papers 2007-26, School of Economics, The University of New South Wales.
- Veronica Guerrieri & Guido Lorenzoni, 2017.
"Credit Crises, Precautionary Savings, and the Liquidity Trap,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(3), pages 1427-1467.
- Guido Lorenzoni & Veronica Guerrieri, 2011. "Credit Crises, Precautionary Savings and the Liquidity Trap," 2011 Meeting Papers 1414, Society for Economic Dynamics.
- Veronica Guerrieri & Guido Lorenzoni, 2011. "Credit Crises, Precautionary Savings, and the Liquidity Trap," NBER Working Papers 17583, National Bureau of Economic Research, Inc.
- Qize Li & Dirk Brounen & Jianjun Li & Xu Wei, 2022. "The Effect of Housing Wealth on Household Portfolio Choice," Annals of Economics and Finance, Society for AEF, vol. 23(2), pages 253-277, November.
- Thomas Michielsen & Remco Mocking & Sander van Veldhuizen, 2015.
"Home Ownership and Household Portfolio Choice,"
CPB Discussion Paper
318, CPB Netherlands Bureau for Economic Policy Analysis.
- Thomas Michielsen & Remco Mocking & Sander van Veldhuizen, 2016. "Home Ownership and Household Portfolio Choice," CESifo Working Paper Series 5705, CESifo.
- Li Qian, 2020. "Dynamic effects of consumption tax reforms with durable consumption," The B.E. Journal of Macroeconomics, De Gruyter, vol. 20(2), pages 1-33, June.
- Funke, Michael & Kirkby, Robert & Mihaylovski, Petar, 2018.
"House prices and macroprudential policy in an estimated DSGE model of New Zealand,"
Journal of Macroeconomics, Elsevier, vol. 56(C), pages 152-171.
- Michael Funke & Robert Kirkby & Petar Mihaylovski, 2017. "House Prices and Macroprudential Policy in an Estimated DSGE Model of New Zealand," CESifo Working Paper Series 6487, CESifo.
- Funke, Michael & Kirkby, Robert & Mihaylovski, Petar, 2017. "House prices and macroprudential policy in an estimated DSGE model of New Zealand," Working Paper Series 20225, Victoria University of Wellington, School of Economics and Finance.
- Gautier, Erwan & Le Bihan, Hervé, 2011.
"Time-varying (S, s) band models: Properties and interpretation,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(3), pages 394-412, March.
- Erwan Gautier & Hervé Le Bihan, 2010. "Time-varying (S,s) band models: properties and interpretation," Working Papers hal-00526295, HAL.
- Erwan Gautier & Hervé Le Bihan, 2010. "Time-varying (; ) band models: Properties and interpretation," Post-Print hal-00767498, HAL.
- Jan Rouwendal, 2009. "Housing Wealth and Household Portfolios in an Ageing Society," De Economist, Springer, vol. 157(1), pages 1-48, March.
- Peter Bank & Frank Riedel, 2003.
"Optimal Dynamic Choice of Durable and Perishable Goods,"
Levine's Bibliography
666156000000000402, UCLA Department of Economics.
- Bank, Peter & Riedel, Frank, 2003. "Optimal Dynamic Choice of Durable and Perishable Goods," Bonn Econ Discussion Papers 29/2003, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Zanetti, Francesco, 2014.
"Housing and relative risk aversion,"
Economics Letters, Elsevier, vol. 123(1), pages 23-25.
- Francesco Zanetti, 2014. "Housing and Relative Risk Aversion," Economics Series Working Papers 693, University of Oxford, Department of Economics.
- Ricardo J. Caballero & Eduardo M.R.A. Engel, 2004. "A Comment on the Economics of Labor Adjustment: Mind the Gap: Reply," American Economic Review, American Economic Association, vol. 94(4), pages 1238-1244, September.
- Fang Yang & Wenli Li, 2009. "Deconstructing Life-cycle Consumption with Home Production," 2009 Meeting Papers 670, Society for Economic Dynamics.
- Weil, Philippe, 1989.
"The equity premium puzzle and the risk-free rate puzzle,"
Journal of Monetary Economics, Elsevier, vol. 24(3), pages 401-421, November.
- Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," NBER Working Papers 2829, National Bureau of Economic Research, Inc.
- Phillippe Weil, 1997. "The Equity Premium Puzzle and the Risk-Free Rate Puzzle," Levine's Working Paper Archive 1833, David K. Levine.
- Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," SciencePo Working papers Main hal-03399133, HAL.
- Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," SciencePo Working papers Main hal-03393298, HAL.
- Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," Working Papers hal-03399133, HAL.
- Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," Post-Print hal-03393298, HAL.
- John Y. Campbell, 2000.
"Asset Pricing at the Millennium,"
Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
- Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
- Pelizzon, Loriana & Weber, Guglielmo, 2008.
"Are Household Portfolios Efficient? an Analysis Conditional on Housing,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 401-431, June.
- Weber, Guglielmo, 2003. "Are Household Portfolios Efficient? An Analysis Conditional on Housing," CEPR Discussion Papers 3890, C.E.P.R. Discussion Papers.
- Loriana Pelizzon & Guglielmo Weber, 2006. "Are Household Portfolios Efficient? An Analysis Conditional on Housing," "Marco Fanno" Working Papers 0021, Dipartimento di Scienze Economiche "Marco Fanno".
- Loriana Pelizzon & Guglielmo Weber, 2006. "Are Household Portfolios Efficient? An Analysis Conditional on Housing," Working Papers 2006_55, Department of Economics, University of Venice "Ca' Foscari".
- Felici, Marco & Fuerst, Franz, 2023.
"The heterogeneous relationship of owner-occupied and investment property with household portfolio choice,"
Journal of Housing Economics, Elsevier, vol. 62(C).
- Marco Felici & Franz Fuerst, 2021. "The Heterogenous Relationship of Owner-Occupied and Investment Property with Household Portfolio Choice," ERES eres2021_193, European Real Estate Society (ERES).
- In Ho Song, 2013. "House Prices and Monetary Policy: Focus on The Elasticity of Intra-Temporal Substitution between Housing and Consumption," 2013 Meeting Papers 747, Society for Economic Dynamics.
- Roine Vestman, 2019.
"Limited Stock Market Participation Among Renters and Homeowners,"
The Review of Financial Studies, Society for Financial Studies, vol. 32(4), pages 1494-1535.
- Roine Vestman, 2013. "Limited Stock Market Participation Among Renters and Home Owners," 2013 Meeting Papers 549, Society for Economic Dynamics.
- Orazio P. Attanasio & Guglielmo Weber, 2010.
"Consumption and Saving: Models of Intertemporal Allocation and Their Implications for Public Policy,"
Journal of Economic Literature, American Economic Association, vol. 48(3), pages 693-751, September.
- Orazio P. Attanasio & Guglielmo Weber, 2010. "Consumption and Saving: Models of Intertemporal Allocation and Their Implications for Public Policy," NBER Working Papers 15756, National Bureau of Economic Research, Inc.
- Raj Chetty, 2004. "Consumption Commitments, Unemployment Durations, and Local Risk Aversion," NBER Working Papers 10211, National Bureau of Economic Research, Inc.
- Suntum, Ulrich van, 2009. "Housing, taxation and retirement provision," Journal of Housing Economics, Elsevier, vol. 18(3), pages 249-255, September.
- Christopher L. House & John V. Leahy, 2004.
"An sS Model with Adverse Selection,"
Journal of Political Economy, University of Chicago Press, vol. 112(3), pages 581-614, June.
- Christopher L. House & John V. Leahy, 2000. "An sS Model with Adverse Selection," NBER Working Papers 8030, National Bureau of Economic Research, Inc.
- Rui Yao & Haiyong Liu & Wenli Li, 2008. "Housing Over the Life Cycle: A Structural Estimation," 2008 Meeting Papers 701, Society for Economic Dynamics.
- Roys, Nicolas, 2014.
"Optimal investment policy with fixed adjustment costs and complete irreversibility,"
Economics Letters, Elsevier, vol. 124(3), pages 416-419.
- Nicolas Roys, 2007. "Optimal investment policy with fixed adjustment costs and complete irreversibility," CeMMAP working papers CWP29/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Dennis Novy & Alan M. Taylor, 2020.
"Trade and Uncertainty,"
The Review of Economics and Statistics, MIT Press, vol. 102(4), pages 749-765, October.
- Novy, Dennis & Taylor, Alan, 2014. "Trade and Uncertainty," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100381, Verein für Socialpolitik / German Economic Association.
- Dennis Novy & Alan M. Taylor, 2014. "Trade and Uncertainty," NBER Working Papers 19941, National Bureau of Economic Research, Inc.
- Taylor, Alan M. & Novy, Dennis, 2014. "Trade and Uncertainty," CEPR Discussion Papers 9888, C.E.P.R. Discussion Papers.
- Novy, Dennis & Taylor, Alan M., 2014. "Trade and uncertainty," LSE Research Online Documents on Economics 60280, London School of Economics and Political Science, LSE Library.
- Dennis Novy & Alan M. Taylor, 2014. "Trade and Uncertainty," CESifo Working Paper Series 4819, CESifo.
- Dennis Novy & Alan M. Taylor, 2014. "Trade and Uncertainty," CEP Discussion Papers dp1266, Centre for Economic Performance, LSE.
- Antonin Bergeaud & Simon Ray, 2021.
"Adjustment Costs and Factor Demand: New Evidence from Firms’ Real Estate [The heterogeneous impact of market size on innovation: evidence from French firm-level exports],"
The Economic Journal, Royal Economic Society, vol. 131(633), pages 70-100.
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- Bergeaud, Antonin & Ray, Simon, 2021. "Adjustment costs and factor demand: new evidence from firms' real estate," LSE Research Online Documents on Economics 114481, London School of Economics and Political Science, LSE Library.
- Harmenberg, Karl & Öberg, Erik, 2021.
"Consumption dynamics under time-varying unemployment risk,"
Journal of Monetary Economics, Elsevier, vol. 118(C), pages 350-365.
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NBER Chapters, in: Studies of Supply and Demand in Higher Education, pages 211-242,
National Bureau of Economic Research, Inc.
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- Andreas Fagereng & Martin Blomhoff Holm & Benjamin Moll & Gisle Natvik, 2019.
"Saving Behavior Across the Wealth Distribution: The Importance of Capital Gains,"
NBER Working Papers
26588, National Bureau of Economic Research, Inc.
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Journal of Economic Dynamics and Control, Elsevier, vol. 24(4), pages 561-613, April.
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"Accounting For Life-Cycle Wealth Accumulation: The Role Of Housing Institution,"
Macroeconomic Dynamics, Cambridge University Press, vol. 16(4), pages 493-517, September.
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- Alvarez, Fernando & Lippi, Francesco, 2013.
"The demand of liquid assets with uncertain lumpy expenditures,"
Journal of Monetary Economics, Elsevier, vol. 60(7), pages 753-770.
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"Overpersistence Bias in Individual Income Expectations and Its Aggregate Implications,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 15(4), pages 331-371, October.
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"Illiquid Assets and Optimal Portfolio Choice,"
University of California at Los Angeles, Anderson Graduate School of Management
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"Investment Dynamics with Information Costs,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(8), pages 1627-1656, December.
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- Murray Carlson & Zeigham Khokher & Sheridan Titman, 2007.
"Equilibrium Exhaustible Resource Price Dynamics,"
Journal of Finance, American Finance Association, vol. 62(4), pages 1663-1703, August.
- Murray Carlson & Zeigham Khokher & Sheridan Titman, 2006. "Equilibrium Exhaustible Resource Price Dynamics," NBER Working Papers 12000, National Bureau of Economic Research, Inc.
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"Transaction Costs and Asset Prices: A Dynamic Equilibrium Model,"
The Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 1-58.
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- Lutz G. Arnold & Andreas Babl, 2013. "Alas, My Home is My Castle: The Excessive Screening Cost of Buying a House," Working Papers 134, Bavarian Graduate Program in Economics (BGPE).
- Jianmei Zhao & Jiandong Li, 2017. "The Dual Effects of Housing on Portfolio Choices: Evidence from Urban China," Annals of Economics and Finance, Society for AEF, vol. 18(2), pages 253-276, November.
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"Accounting For Changes In The Homeownership Rate,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(3), pages 677-726, August.
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- Matthew Chambers & Carlos Garriga & Don E. Schlagenhauf, 2007. "Accounting for changes in the homeownership rate," FRB Atlanta Working Paper 2007-21, Federal Reserve Bank of Atlanta.
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- Francisco Gomes & Michael Haliassos & Tarun Ramadorai, 2021.
"Household Finance,"
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Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2110-2121, November.
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"Household Leverage,"
2009 Meeting Papers
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- Huirong Liu, 2020. "Housing Investment, Stock Market Participation and Household Portfolio choice: Evidence from China's Urban Areas," Papers 2001.01641, arXiv.org.
- Tokuo Iwaisako & Arito Ono & Amane Saito & Hidenobu Tokuda, 2022.
"Disentangling the effect of home ownership on household stockholdings: Evidence from Japanese micro data,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(1), pages 268-295, March.
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- IWAISAKO Tokuo & ONO Arito & SAITO Amane & TOKUDA Hidenobu, 2019. "Disentangling the Effect of Home Ownership on Household Stock-holdings: Evidence from Japanese microdata," Discussion papers 19007, Research Institute of Economy, Trade and Industry (RIETI).
- Robert Östling & Erik Lindqvist & David Cesarini & Joseph Briggs, 2016. "Wealth, Portfolio Allocations, and Risk Preference," 2016 Meeting Papers 1089, Society for Economic Dynamics.
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"Adjustment of Consumers' Durables Stocks: Evidence from Automobile Purchases,"
Journal of Political Economy, University of Chicago Press, vol. 102(3), pages 403-436, June.
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