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Citations for "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles"

by Ravi Bansal & Amir Yaron

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  1. Crost, Benjamin & Traeger, Christian P., 2013. "Optimal climate policy: Uncertainty versus Monte Carlo," Economics Letters, Elsevier, vol. 120(3), pages 552-558.
  2. Jesús Fernández-Villaverde, 2009. "The Econometrics of DSGE Models," PIER Working Paper Archive 09-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  3. Ravi Bansal & Ivan Shaliastovich, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," NBER Working Papers 18357, National Bureau of Economic Research, Inc.
  4. Jaroslav Borovička & Lars P. Hansen & Jose A. Scheinkman, 2014. "Shock Elasticities and Impulse Responses," NBER Working Papers 20104, National Bureau of Economic Research, Inc.
  5. Peter N. Ireland & Scott Schuh, 2006. "Productivity and U.S. Macroeconomic Performance: Interpreting the Past and Predicting the Future with a Two-Sector Real Business Cycle Model," Boston College Working Papers in Economics 642, Boston College Department of Economics.
  6. Nicholas Bloom, 2014. "Fluctuations in Uncertainty," Journal of Economic Perspectives, American Economic Association, vol. 28(2), pages 153-76, Spring.
  7. Dahlquist, Magnus & Hasseltoft, Henrik, 2013. "International Bond Risk Premia," Journal of International Economics, Elsevier, vol. 90(1), pages 17-32.
  8. Myroslav Pidkuyko, 2016. "When the Going Gets Tough: Durable Consumption and the Equity Premium," Centre for Growth and Business Cycle Research Discussion Paper Series 225, Economics, The Univeristy of Manchester.
  9. Stuart, Charles & Bohn, Henning, 2011. "Global Warming and the Population Externality," University of California at Santa Barbara, Economics Working Paper Series qt82z9c3p6, Department of Economics, UC Santa Barbara.
  10. Georg Kaltenbrunner & Lars Lochstoer, 2007. "Long-Run Risk through Consumption Smoothing," 2007 Meeting Papers 25, Society for Economic Dynamics.
  11. Alain MONFORT & Fulvio PEGORARO, 2010. "Asset Pricing with Second-Order Esscher Transforms," Working Papers 2010-54, Centre de Recherche en Economie et Statistique.
  12. Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin, 2007. "Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models," NBER Working Papers 13245, National Bureau of Economic Research, Inc.
  13. Kris Jacobs & Stephane Pallage & Michel A. Robe, 2004. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," CIRANO Working Papers 2004s-54, CIRANO.
  14. Glanemann, Nicole & Belaia, Mariia & Funke, Michael, 2015. "Global Warming and a Potential Tipping Point in the Atlantic Thermohaline Circulation: The Role of Risk Aversion," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113037, Verein für Socialpolitik / German Economic Association.
  15. Robert J. Barro & Sanjay Misra, 2016. "Gold Returns," Economic Journal, Royal Economic Society, vol. 126(594), pages 1293-1317, 08.
  16. Kim, Kun Ho, 2014. "Counter-cyclical risk aversion," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 384-401.
  17. Ravi Bansal & Hengjie Ai, 2016. "Macro Announcement Premium and Risk Preferences," 2016 Meeting Papers 715, Society for Economic Dynamics.
  18. Bandi, Federico M. & Perron, Benoît, 2008. "Long-run risk-return trade-offs," Journal of Econometrics, Elsevier, vol. 143(2), pages 349-374, April.
  19. Park, Cheolbeom, 2010. "When does the dividend-price ratio predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 81-101, January.
  20. Antonio Falato, 2003. "Happiness Maintenance and Asset Prices," Finance 0310003, EconWPA.
  21. Pierre Perron† & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP?," Boston University - Department of Economics - Working Papers Series WP2005-031, Boston University - Department of Economics, revised Oct 2005.
  22. Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series WP2006-047, Boston University - Department of Economics.
  23. Dolmas, Jim, 2013. "Disastrous disappointments: asset-pricing with disaster risk and disappointment aversion," Working Papers 1309, Federal Reserve Bank of Dallas.
  24. Li, Junye, 2012. "Option-implied volatility factors and the cross-section of market risk premia," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 249-260.
  25. Hening Liu, 2010. "Robust consumption and portfolio choice for time varying investment opportunities," Annals of Finance, Springer, vol. 6(4), pages 435-454, October.
  26. Jaccard Ivan, 2011. "Asset Pricing and Housing Supply in a Production Economy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-40, October.
  27. Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio, 2014. "Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns," Documentos de Trabajo del ICAE 2014-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  28. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
  29. Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.).
  30. Cakici, Nusret & Tan, Sinan, 2014. "Size, value, and momentum in developed country equity returns: Macroeconomic and liquidity exposures," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 179-209.
  31. Brevik, Frode & d’Addona, Stefano, 2011. "Information Quality and Stock Returns Revisited," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(06), pages 1419-1446, January.
  32. Farmer, Roger E A, 2015. "Global Sunspots and Asset Prices in a Monetary Economy," CEPR Discussion Papers 10402, C.E.P.R. Discussion Papers.
  33. 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.
  34. Wayne E. Ferson & Suresh K. Nallareddy & Biqin Xie, 2012. "The "Out of Sample" Performance of Long-run Risk Models," NBER Working Papers 17848, National Bureau of Economic Research, Inc.
  35. Hakon Tretvoll, 2012. "Real exchange rate variability in a two country business cycle model," 2012 Meeting Papers 911, Society for Economic Dynamics.
  36. Éric Jacquier & Cédric Okou, 2013. "Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships," CIRANO Working Papers 2013s-14, CIRANO.
  37. Aase, Knut K., 2015. "Recursive utility and jump-diffusions," Discussion Papers 2015/6, Department of Business and Management Science, Norwegian School of Economics.
  38. Cheolbeom Park, 2006. "The Persistence and Predictive Power of the Dividend-Price Ratio," Departmental Working Papers wp0603, National University of Singapore, Department of Economics.
  39. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management," NBER Working Papers 18084, National Bureau of Economic Research, Inc.
  40. Croce & Colacito, 2008. "Risk sharing for the long-run. The benefits from financial integration," 2008 Meeting Papers 985, Society for Economic Dynamics.
  41. Andrew B. Abel, 2006. "Equity Premia with Benchmark Levels of Consumption: Closed-Form Results," NBER Working Papers 12290, National Bureau of Economic Research, Inc.
  42. de Groot, Oliver, 2014. "Solving asset pricing models with stochastic volatility," Finance and Economics Discussion Series 2014-71, Board of Governors of the Federal Reserve System (U.S.).
  43. Santos, Tano & Veronesi, Pietro, 2010. "Habit formation, the cross section of stock returns and the cash-flow risk puzzle," Journal of Financial Economics, Elsevier, vol. 98(2), pages 385-413, November.
  44. Roger Farmer, 2014. "Asset Prices in a Lifecycle Economy," NBER Working Papers 19958, National Bureau of Economic Research, Inc.
  45. Coeurdacier, Nicolas & Rey, Hélène & Winant, Pablo, 2015. "Financial Integration and Growth in a Risky World," CEPR Discussion Papers 11009, C.E.P.R. Discussion Papers.
  46. Martin Lettau & Jessica A. Wachter, 2007. "Why Is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," Journal of Finance, American Finance Association, vol. 62(1), pages 55-92, 02.
  47. Roche, Hervé, 2011. "Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 80-96, January.
  48. Maurice J. Roche & Michael J. Moore, 2010. "For Rich or for Poor: When does Uncovered Interest Parity Hold?," Working Papers 015, Ryerson University, Department of Economics.
  49. Gollier, Christian, 2012. "Evaluation of long-dated assets : The role of parameter uncertainty," TSE Working Papers 12-361, Toulouse School of Economics (TSE), revised Sep 2015.
  50. Bianchi, Francesco & Kung, Howard, 2014. "Growth, Slowdowns, and Recoveries," CEPR Discussion Papers 10291, C.E.P.R. Discussion Papers.
  51. Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2015. "The long and the short of the risk-return trade-off," Journal of Econometrics, Elsevier, vol. 187(2), pages 580-592.
  52. Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
  53. Lars Peter Hansen & Jose A. Scheinkman, 2012. "Recursive utility in a Markov environment with stochastic growth," Working Papers 1380, Princeton University, Department of Economics, Econometric Research Program..
  54. Nieto, Belén & Novales, Alfonso & Rubio, Gonzalo, 2014. "Variance swaps, non-normality and macroeconomic and financial risks," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 257-270.
  55. Mariano M. Croce, 2006. "Welfare Costs, Long Run Consumption Risk, and a Production Economy," 2006 Meeting Papers 582, Society for Economic Dynamics.
  56. Jules H. 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," PIER Working Paper Archive 10-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  57. Catherine Buffington & Lucia Foster & Ron Jarmin & Scott Ohlmacher, 2016. "The Management and Organizational Practices Survey (MOPS): An Overview," Working Papers 16-28, Center for Economic Studies, U.S. Census Bureau.
  58. Ganguli, Jayant & Condie, Scott & Illeditsch, Philipp Karl, 2012. "Information Inertia," Economics Discussion Papers 5628, University of Essex, Department of Economics.
  59. Howard Kung, 2014. "Macroeconomic linkages between monetary policy and the term structure of interest rates," 2014 Meeting Papers 560, Society for Economic Dynamics.
  60. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
  61. Traeger, Christian, 2013. "A 4-stated DICE: quantitatively addressing uncertainty effects in climate change," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt9034k05t, Department of Agricultural & Resource Economics, UC Berkeley.
  62. Guglielmo Maria Caporale & Ricardo M. Sousa, 2011. "Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries," CESifo Working Paper Series 3621, CESifo Group Munich.
  63. Yu Chen & Thomas Cosimano & Alex Himonas & Peter Kelly, 2014. "An Analytic Approach for Stochastic Differential Utility for Endowment and Production Economies," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 397-443, December.
  64. Pagel, Michaela, 2012. "Expectations-Based Reference-Dependent Preferences and Asset Pricing," MPRA Paper 47933, University Library of Munich, Germany.
  65. Kroencke, Tim A., 2013. "Asset pricing without garbage," ZEW Discussion Papers 13-071, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  66. Bansal, Ravi & Dahlquist, Magnus, 2001. "Sovereign Risk and Return in Global Equity Markets," CEPR Discussion Papers 3034, C.E.P.R. Discussion Papers.
  67. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2009. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," Journal of Finance, American Finance Association, vol. 64(2), pages 579-629, 04.
  68. Frank Schorfheide & Dongho Song & Amir Yaron, 2014. "Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach," NBER Working Papers 20303, National Bureau of Economic Research, Inc.
  69. Schrimpf, Andreas, 2008. "International Stock Return Predictability Under Model Uncertainty," ZEW Discussion Papers 08-048, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  70. Zeckhauser, Richard Jay & Tran, Ngoc-Khanh, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," Scholarly Articles 5027955, Harvard Kennedy School of Government.
  71. René Garcia & Richard Luger, 2012. "Risk aversion, intertemporal substitution, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 1013-1036, 09.
  72. Lars Peter Hansen & José A. Scheinkman, 2009. "Long-Term Risk: An Operator Approach," Econometrica, Econometric Society, vol. 77(1), pages 177-234, 01.
  73. Francesco FRANZONI & Tobias ADRIAN, . "Learning about Beta: Time-Varying Factor Loadings, Expected Returns,and the Conditional CAPM," Swiss Finance Institute Research Paper Series 08-36, Swiss Finance Institute.
  74. Suzuki, Masataka, 2016. "A representative agent asset pricing model with heterogeneous beliefs and recursive utility," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 298-315.
  75. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan Rubio-Ramirez, 2013. "Estimating Dynamic Equilibrium Models with Stochastic Volatility," Working Papers 2013-23, FEDEA.
  76. Hanno Lustig, . "Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 389, UCLA Department of Economics.
  77. Doh, Taeyoung & Wu, Shu, 2015. "Cash flow and risk premium dynamics in an equilibrium asset-pricing model with recursive preferences," Research Working Paper RWP 15-12, Federal Reserve Bank of Kansas City.
  78. Jesús Fernández-Villaverde & Juan F Rubio-Ramírez, 2007. "How Structural Are Structural Parameters?," Levine's Bibliography 843644000000000057, UCLA Department of Economics.
  79. Nengjiu Ju & Jianjun Miao, 2012. "Ambiguity, Learning, and Asset Returns," Econometrica, Econometric Society, vol. 80(2), pages 559-591, 03.
  80. Kwan, Yum K. & Leung, Charles Ka Yui & Dong, Jinyue, 2015. "Comparing consumption-based asset pricing models: The case of an Asian city," Journal of Housing Economics, Elsevier, vol. 28(C), pages 18-41.
  81. Hyungbin Park, 2015. "The Martin Integral Representation of Markovian Pricing Kernels," Papers 1504.00276, arXiv.org.
  82. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Reading the Recent Monetary History of the U.S., 1959-2007," PIER Working Paper Archive 10-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  83. Kevin J. Lansing, 2011. "Asset pricing with concentrated ownership of capital," Working Paper Series 2011-07, Federal Reserve Bank of San Francisco.
  84. Gollier, Christian & Muermann, Alexander, 2006. "Optimal Choice and Beliefs with Ex Ante Savoring and Ex Post Disappointment," IDEI Working Papers 462, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2009.
  85. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, Elsevier.
  86. Ulrich Mueller & Mark W. Watson, 2013. "Measuring Uncertainty about Long-Run Prediction," NBER Working Papers 18870, National Bureau of Economic Research, Inc.
  87. Yili Chien & Harold Cole & Hanno Lustig, 2011. "A Multiplier Approach to Understanding the Macro Implications of Household Finance," Review of Economic Studies, Oxford University Press, vol. 78(1), pages 199-234.
  88. Yiqun Mou & Lars A. Lochstoer & Michael Johannes, 2011. "Learning about Consumption Dynamics," 2011 Meeting Papers 306, Society for Economic Dynamics.
  89. Barbara Annicchiarico & Alessandra Pelloni & Fabrizio Valenti, 2016. "Volatility and Growth with Recursive Preferences," Working Paper Series 16-05, The Rimini Centre for Economic Analysis.
  90. Erich Battistin & Agar Brugiavini & Enrico Rettore & Guglielmo Weber, 2009. "The Retirement Consumption Puzzle: Evidence from a Regression Discontinuity Approach," American Economic Review, American Economic Association, vol. 99(5), pages 2209-26, December.
  91. Talpsepp, Tõnn & Rieger, Marc Oliver, 2010. "Explaining asymmetric volatility around the world," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 938-956, December.
  92. Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
  93. Tim Bollerslev & Viktor Todorov, 2010. "Tails, Fears and Risk Premia," Working Papers 10-33, Duke University, Department of Economics.
  94. Caporale, Guglielmo Maria & Sousa, Ricardo M., 2016. "Consumption, wealth, stock and housing returns: Evidence from emerging markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 562-578.
  95. Juan M. Londono & Hao Zhou, 2012. "Variance risk premiums and the forward premium puzzle," International Finance Discussion Papers 1068, Board of Governors of the Federal Reserve System (U.S.).
  96. Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov, 2014. "Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns," CREATES Research Papers 2014-48, Department of Economics and Business Economics, Aarhus University.
  97. Backus, David K. & Boyarchenko, Nina & Chernov, Mikhail, 2016. "Term structures of asset prices and returns," Staff Reports 774, Federal Reserve Bank of New York.
  98. Michael B. Devereux & Alan Sutherland, 2009. "Valuation Effects and the Dynamics of Net External Assets," NBER Working Papers 14794, National Bureau of Economic Research, Inc.
  99. Florian Schulz, 2016. "On the Timing and Pricing of Dividends: Comment," American Economic Review, American Economic Association, vol. 106(10), pages 3185-3223, October.
  100. Roman Horvath & Lorant Kaszab, 2016. "Equity Premium and Monetary Policy in a Model with Limited Asset Market Participation," Working Papers IES 2016/04, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2016.
  101. Jaroslav Borovička & Mark Hendricks & José A. Scheinkman, 2011. "Risk-Price Dynamics," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(1), pages 3-65, Winter.
    • Jaroslav Borovička & Lars Peter Hansen & Mark Hendricks & José A. Scheinkman, 2009. "Risk Price Dynamics," NBER Working Papers 15506, National Bureau of Economic Research, Inc.
    • Lars Peter Hansen & Jaroslav BoroviÄ ka & Mark Hendricks & José A. Scheinkman, 2010. "Risk Price Dynamics," Working Papers 2010-004, Becker Friedman Institute for Research In Economics.
    • Jaroslav Borovicka & Lars Peter Hansen & Mark Hendricks & Jose A. Scheinkman, 2009. "Risk Price Dynamics," Working Papers 1393, Princeton University, Department of Economics, Econometric Research Program..
  102. Glode, Vincent, 2011. "Why mutual funds "underperform"," Journal of Financial Economics, Elsevier, vol. 99(3), pages 546-559, March.
  103. Michael D. Bauer & Glenn D. Rudebusch & Jing Cynthia Wu, 2014. "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment," American Economic Review, American Economic Association, vol. 104(1), pages 323-37, January.
  104. Andrade, Philippe & Crump, Richard K. & Eusepi, Stefano & Moench, Emanuel, 2016. "Fundamental disagreement," Journal of Monetary Economics, Elsevier, vol. 83(C), pages 106-128.
  105. Bernhard Eckwert & Burkhard Drees, 2005. "Asset Mispricing Due to Cognitive Dissonance," IMF Working Papers 05/9, International Monetary Fund.
  106. Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2009. "Risk, uncertainty, and asset prices," Journal of Financial Economics, Elsevier, vol. 91(1), pages 59-82, January.
  107. Xavier Gabaix, 2012. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," The Quarterly Journal of Economics, Oxford University Press, vol. 127(2), pages 645-700.
  108. repec:mul:jdp901:doi:10.12831/73630:y:2013:i:1:p:11-25 is not listed on IDEAS
  109. YiLi Chien & Hanno Lustig, 2010. "The Market Price of Aggregate Risk and the Wealth Distribution," Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1596-1650, April.
  110. Xavier Gabaix, 2012. "Boundedly Rational Dynamic Programming: Some Preliminary Results," NBER Working Papers 17783, National Bureau of Economic Research, Inc.
  111. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
  112. Likuan Qin & Vadim Linetsky, 2016. "Long-Term Factorization of Affine Pricing Kernels," Papers 1610.00778, arXiv.org.
  113. Ana Maria Santacreu & Federico Gavazzoni, 2015. "International R&D Spillovers and Asset Prices," 2015 Meeting Papers 405, Society for Economic Dynamics.
  114. Adam, Klaus & Beutel, Johannes & Marcet, Albert, 2014. "Stock Price Booms and Expected Capital Gains," CEPR Discussion Papers 9988, C.E.P.R. Discussion Papers.
  115. Kanda Naknoi & YiLi Chien, 2013. "The Risk Premium and Long-Run Global Imbalances," 2013 Meeting Papers 55, Society for Economic Dynamics.
  116. Howard Kung & Gonzalo Morales & Francesco Bianchi, 2015. "Monetary/Fiscal Policy Mix and Asset Prices," 2015 Meeting Papers 1224, Society for Economic Dynamics.
  117. Santiago García Verdú, 2010. "Equilibrium yield curves under regime switching," Working Papers 2010-08, Banco de México.
  118. Ravi Bansal & Varoujan Khatachtrian & Amir Yaron, 2002. "Interpretable Asset Markets?," NBER Working Papers 9383, National Bureau of Economic Research, Inc.
  119. Pakos, Michal, 2013. "Long-Run Risk and Hidden Growth Persistence," MPRA Paper 47217, University Library of Munich, Germany.
  120. Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2016. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," American Economic Review, American Economic Association, vol. 106(3), pages 664-98, March.
  121. Hassan, Tarek & Mertens, Thomas M., 2014. "Information Aggregation in a DSGE Model," CEPR Discussion Papers 10020, C.E.P.R. Discussion Papers.
  122. Doron Avramov & Guofu Zhou, 2010. "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 25-47, December.
  123. Dario Caldara & Jesus Fernandez-Villaverde & Juan Rubio-Ramirez & Wen Yao, 2012. "Computing DSGE Models with Recursive Preferences and Stochastic Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(2), pages 188-206, April.
  124. Schneider, Maik T. & Traeger, Christian P. & Winkler, Ralph, 2007. "Trading off generations: infinitely lived agent versus OLG," CUDARE Working Paper Series 1093R2, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy, revised Jan 2012.
  125. Hjort, Ingrid, 2016. "Potential Climate Risks in Financial Markets: A Literature Overview," Memorandum 01/2016, Oslo University, Department of Economics.
  126. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
  127. In-Koo Cho & Kenneth Kasa, 2016. "Gresham’S Law Of Model Averaging," Discussion Papers dp16-06, Department of Economics, Simon Fraser University.
  128. Anthony Diercks, 2016. "The Equity Premium, Long-Run Risk, and Optimal Monetary Policy," 2016 Meeting Papers 207, Society for Economic Dynamics.
  129. Donadelli, Michael & Paradiso, Antonio, 2014. "Does financial integration affect real exchange rate volatility and cross-country equity market returns correlation?," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 206-220.
  130. Sydney Ludvigson, 2008. "The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(2), April.
  131. Airaudo, Marco, 2016. "Endogenous Stock Price Fluctuations with Dynamic Self-Control Preferences," School of Economics Working Paper Series 2016-2, LeBow College of Business, Drexel University.
  132. Hasseltoft, Henrik, 2007. "The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates," SIFR Research Report Series 58, Institute for Financial Research.
  133. Traeger, Christian P., 2008. "Sustainability, Limited Substitutability and Non-Constant Social Discount Rates," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt10d7d7n4, Department of Agricultural & Resource Economics, UC Berkeley.
  134. Amir Yaron, 2007. "The Research Agenda: Amir Yaron on Lifetime Inequality and Long Run Risks and Asset Pricing," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(1), November.
  135. Karantounias, Anastasios G., 2013. "Optimal fiscal policy with recursive preferences," FRB Atlanta Working Paper 2013-07, Federal Reserve Bank of Atlanta, revised 01 Apr 2015.
  136. Andr? Kurmann & Christopher Otrok, 2013. "News Shocks and the Slope of the Term Structure of Interest Rates," American Economic Review, American Economic Association, vol. 103(6), pages 2612-32, October.
  137. Epstein, Larry G. & Farhi, Emmanuel & Strzalecki, Tomasz, 2014. "How Much Would You Pay to Resolve Long-Run Risk?," Scholarly Articles 12967842, Harvard University Department of Economics.
  138. Ralph S. J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2010. "Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk," American Economic Review, American Economic Association, vol. 100(2), pages 552-56, May.
  139. Tédongap, Roméo & Taamouti, Abderrahim & Fontaine, Jean-Sébastien & Feunou, Bruno, 2011. "Risk premium, variance premium and the maturity structure of uncertainty," UC3M Working papers. Economics we1144, Universidad Carlos III de Madrid. Departamento de Economía.
  140. Jermann, Urban J. & Quadrini, Vincenzo, 2007. "Stock market boom and the productivity gains of the 1990s," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 413-432, March.
  141. Ivan Jaccard, 2010. "Asset Pricing and Housing Supply in a Production Economy," 2010 Meeting Papers 605, Society for Economic Dynamics.
  142. Paul Beaudry & Franck Portier, 2014. "News-Driven Business Cycles: Insights and Challenges," Journal of Economic Literature, American Economic Association, vol. 52(4), pages 993-1074, December.
  143. Leonid Kogan & Dimitris Papanikolaou, 2012. "A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks," NBER Working Papers 17975, National Bureau of Economic Research, Inc.
  144. Traeger, Christian P., 2011. "Discounting and confidence," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt61m836d1, Department of Agricultural & Resource Economics, UC Berkeley.
  145. Ricardo Sousa, 2011. "Building proxies that capture time-variation in expected returns using a VAR approach," Applied Financial Economics, Taylor & Francis Journals, vol. 21(3), pages 147-163.
  146. Lars Peter Hansen, 2012. "Risk Pricing over Alternative Investment Horizons," Working Papers 2012-008, Becker Friedman Institute for Research In Economics.
  147. 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 11032rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2015.
  148. Fabio Canova & Matthias Paustian, 2007. "Business cycle measurement with some theory," Economics Working Papers 1203, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2011.
  149. Andreas Fuster & Benjamin Hebert & David Laibson, 2011. "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Working Papers 17301, National Bureau of Economic Research, Inc.
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