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Citations for "Can Habit Formation be Reconciled with Business Cycle Facts?"

by Martin Lettau & Harald Uhlig

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  1. 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).
  2. Kuehn Lars-Alexander & Petrosky-Nadeau Nicolas & Zhang Lu, "undated". "An Equilibrium Asset Pricing Model with Labor Market Search," GSIA Working Papers 2010-E63, Carnegie Mellon University, Tepper School of Business.
  3. Stephanie Schmitt-Grohe & Martin Uribe, 2008. "What's News in Business Cycles," NBER Working Papers 14215, National Bureau of Economic Research, Inc.
  4. Li, Erica X.N. & Palomino, Francisco, 2014. "Nominal rigidities, asset returns, and monetary policy," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 210-225.
  5. Aysun, Uluc, 2008. "Automatic stabilizer feature of fixed exchange rate regimes," Emerging Markets Review, Elsevier, vol. 9(4), pages 302-328, December.
  6. Díaz, Antonia & Budria, Santiago, 2006. "Term premium and equity premium in economies with habit formation," UC3M Working papers. Economics we065522, Universidad Carlos III de Madrid. Departamento de Economía.
  7. Huang-Meier, Winifred & Freeman, Mark C., 2015. "Aggregate dividends and consumption smoothing," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 324-335.
  8. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
  9. Stephane Auray & Fabrice Collard & Patrick Feve, 2005. "Habit Persistence, Money Growth Rule and Real Indeterminacy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(1), pages 48-67, January.
  10. Otrok, Christopher, 2001. "On measuring the welfare cost of business cycles," Journal of Monetary Economics, Elsevier, vol. 47(1), pages 61-92, February.
  11. Rajnish Mehra & Facundo Piguillem & Edward C. Prescott, 2011. "Costly financial intermediation in neoclassical growth theory," Quantitative Economics, Econometric Society, vol. 2(1), pages 1-36, 03.
  12. 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.
  13. Posch, Olaf, 2011. "Risk premia in general equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 35(9), pages 1557-1576, September.
  14. Howard Kung, 2014. "Macroeconomic linkages between monetary policy and the term structure of interest rates," 2014 Meeting Papers 560, Society for Economic Dynamics.
  15. KevinX.D. Huang & Zheng Liu & Tao Zha, 2009. "Learning, Adaptive Expectations and Technology Shocks," Economic Journal, Royal Economic Society, vol. 119(536), pages 377-405, 03.
  16. Khorunzhina, Natalia, 2015. "Real business-cycle model with habits: Empirical investigation," Economic Modelling, Elsevier, vol. 46(C), pages 61-69.
  17. Gómez Manuel A., 2010. "Endogenous Growth, Habit Formation and Convergence Speed," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-32, January.
  18. Safarzyńska, Karolina & van den Bergh, Jeroen C.J.M., 2017. "Integrated crisis-energy policy: Macro-evolutionary modelling of technology, finance and energy interactions," Technological Forecasting and Social Change, Elsevier, vol. 114(C), pages 119-137.
  19. Fisher, Jonas D. M. & Christiano, Lawrence J. & Boldrin, Michele, 1995. "Asset pricing lessons for modeling business cycles," UC3M Working papers. Economics 3915, Universidad Carlos III de Madrid. Departamento de Economía.
  20. 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.
  21. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
  22. Lars Grüne & Willi Semmler, 2007. "Asset pricing with dynamic programming," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 233-265, May.
  23. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
  24. Santiago Budría, 2008. "An Exploration of Asset Returns in a Production Economy with Relative Habits," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 36(3), pages 261-274, September.
  25. Willi Semmler & Lars Grüne, 2004. "Asset Pricing with Delayed Consumption Decisions," Computing in Economics and Finance 2004 59, Society for Computational Economics.
  26. Jordi Gali & Pau Rabanal, 2004. "Technology Shocks and Aggregate Fluctuations: How Well Does the RBS Model Fit Postwar U.S. Data?," NBER Working Papers 10636, National Bureau of Economic Research, Inc.
  27. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series WP2006-042, Boston University - Department of Economics.
  28. 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.
  29. 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.
  30. James M. Nason & Takashi Kano, 2004. "Business Cycle Implications of Habit Formation," Econometric Society 2004 Far Eastern Meetings 619, Econometric Society.
  31. 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.
  32. Mariano M. Croce, 2006. "Welfare Costs, Long Run Consumption Risk, and a Production Economy," 2006 Meeting Papers 582, Society for Economic Dynamics.
  33. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
  34. Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2007. "Macroeconomic implications of changes in the term premium," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 241-270.
  35. Longstaff, Francis A. & Piazzesi, Monika, 2004. "Corporate earnings and the equity premium," Journal of Financial Economics, Elsevier, vol. 74(3), pages 401-421, December.
  36. Fortin, Ines & Hlouskova, Jaroslava & Tsigaris, Panagiotis, 2016. "The Consumption-Investment Decision of a Prospect Theory Household," Economics Series 322, Institute for Advanced Studies.
  37. Lawrence J. Christiano & Michele Boldrin & Jonas D. M. Fisher, 2001. "Habit Persistence, Asset Returns, and the Business Cycle," American Economic Review, American Economic Association, vol. 91(1), pages 149-166, March.
  38. Aysun, Uluc & Honig, Adam, 2011. "Bankruptcy costs, liability dollarization, and vulnerability to sudden stops," Journal of Development Economics, Elsevier, vol. 95(2), pages 201-211, July.
  39. Harald Uhlig, 2007. "Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model," American Economic Review, American Economic Association, vol. 97(2), pages 239-243, May.
  40. Lior Menzly & Tano Santos & Pietro Veronesi, 2002. "The Time Series of the Cross Section of Asset Prices," NBER Working Papers 9217, National Bureau of Economic Research, Inc.
  41. 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.).
  42. Christian Calmès, 2005. "Self-Enforcing Labour Contracts and the Dynamics Puzzle," Staff Working Papers 05-1, Bank of Canada.
  43. Manuel A. Gómez, 2010. "The welfare cost of external habits: a quantitative assessment," Estudios de Economia, University of Chile, Department of Economics, vol. 37(1 Year 20), pages 5-26, June.
  44. Jaime Alonso-Carrera & Jordi Caballé & Xavier Raurich, 2004. "Consumption Externalities, Habit Formation and Equilibrium Efficiency," Scandinavian Journal of Economics, Wiley Blackwell, vol. 106(2), pages 231-251, 06.
  45. Rajnish Mehra & Facundo Piguillem & Edward C. Prescott, 2007. "Intermediated quantities and returns," Working Papers 655, Federal Reserve Bank of Minneapolis.
  46. Fatih Guvenen, 2009. "A Parsimonious Macroeconomic Model for Asset Pricing," Econometrica, Econometric Society, vol. 77(6), pages 1711-1750, November.
  47. Scheffel, Eric, 2008. "Consumption Velocity in a Cash Costly-Credit Model," Cardiff Economics Working Papers E2008/31, Cardiff University, Cardiff Business School, Economics Section.
  48. 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.
  49. Galí, Jordi & Rabanal, Pau, 2004. "Technology Shocks and Aggregate Fluctuations: How Well Does the RBC Model Fit Post-War US Data?," CEPR Discussion Papers 4522, C.E.P.R. Discussion Papers.
  50. Virginia Olivella & Jessica Roldán-Peña, 2013. "Re-examining the Role of Financial Constraints in Business Cycles: Is Something Wrong with the Credit Multiplier?," Working Papers 2013-05, Banco de México.
  51. Glenn D. Rudebusch & Eric T. Swanson, 2008. "The bond premium in a DSGE model with long-run real and nominal risks," Working Paper Series 2008-31, Federal Reserve Bank of San Francisco.
  52. Hafedh Bouakez & Takashi Kano, 2006. "Learning-by-Doing or Habit Formation?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(3), pages 508-524, July.
  53. David Backus & Mikhail Chernov & Stanley Zin, 2014. "Sources of Entropy in Representative Agent Models," Journal of Finance, American Finance Association, vol. 69(1), pages 51-99, 02.
  54. 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.
  55. Ljungqvist, L. & Uhlig, H.F.H.V.S., 1996. "Catching up with the Keynesians," Discussion Paper 1996-96, Tilburg University, Center for Economic Research.
  56. Eric Swanson & Glenn Rudebusch, 2008. "Long-Run Inflation Risk and the Postwar Term Premium," 2008 Meeting Papers 988, Society for Economic Dynamics.
  57. Kung, Howard, 2015. "Macroeconomic linkages between monetary policy and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 115(1), pages 42-57.
  58. 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.
  59. Alonso-Carrera, Jaime & Caballe, Jordi & Raurich, Xavier, 2005. "Growth, habit formation, and catching-up with the Joneses," European Economic Review, Elsevier, vol. 49(6), pages 1665-1691, August.
  60. Neville Francis & Valerie A. Ramey, 2002. "Is the Technology-Driven Real Business Cycle Hypothesis Dead?," NBER Working Papers 8726, National Bureau of Economic Research, Inc.
  61. Markus C. Becker & Thorbjørn Knudsen, 2017. "Heterogeneity of habits as a foundation for Schumpeterian economic policy," Journal of Evolutionary Economics, Springer, vol. 27(1), pages 43-62, January.
  62. 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.
  63. Abel, Andrew B., 1999. "Risk premia and term premia in general equilibrium," Journal of Monetary Economics, Elsevier, vol. 43(1), pages 3-33, February.
  64. Wachter, Jessica A., 2005. "Solving models with external habit," Finance Research Letters, Elsevier, vol. 2(4), pages 210-226, December.
  65. Perron, Pierre & Wada, Tatsuma, 2009. "Let's take a break: Trends and cycles in US real GDP," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.
  66. 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.
  67. 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.
  68. Ali Choudhary & Paul Levine, 2006. "The 24/7 Society and Multiple Habits," School of Economics Discussion Papers 0506, School of Economics, University of Surrey.
  69. 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.
  70. 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.
  71. TallariniJr., Thomas D., 2000. "Risk-sensitive real business cycles," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 507-532, June.
  72. Ben Malin, 2006. "Lower-Frequency Macroeconomic Fluctuations: Living Standards and Leisure," 2006 Meeting Papers 752, Society for Economic Dynamics.
  73. David De La Croix & Jean-Pierre Urbain, 1998. "Intertemporal substitution in import demand and habit formation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(6), pages 589-612.
  74. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, vol. 102(6), pages 2734-2766, October.
  75. Grüne, Lars & Semmler, Willi, 2008. "Asset pricing with loss aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3253-3274, October.
  76. Pagano, Patrizio, 2004. "Habit persistence and the marginal propensity to consume in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 18(3), pages 316-329, September.
  77. Wen, Yi, 2007. "By force of demand: Explaining international comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 1-23, January.
  78. Pierlauro Lopez, 2016. "Welfare Implications of the Term Structure of Returns: Should Central Banks Fill Gaps or Remove Volatility?," 2016 Meeting Papers 742, Society for Economic Dynamics.
  79. Georg Kaltenbrunner & Lars Lochstoer, 2007. "Long-Run Risk through Consumption Smoothing," 2007 Meeting Papers 25, Society for Economic Dynamics.
  80. Frederick Van der Ploeg, 2004. "The Welfare State, Redistribution and the Economy, Reciprocal Altruism, Consumer Rivalry and Second Best," CESifo Working Paper Series 1234, CESifo Group Munich.
  81. 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.
  82. Hyeon O. Lee & Hyun Park, 2015. "Indeterminate Balanced Growth under Habit Persistence and Fiscal Policies," International Economic Journal, Taylor & Francis Journals, vol. 29(2), pages 259-284, June.
  83. Zbynek Stork, 2011. "A DSGE model of the Czech economy: a Ministry of Finance approach," EcoMod2011 3007, EcoMod.
  84. Johri, Alok & Letendre, Marc-Andre, 2007. "What do `residuals' from first-order conditions reveal about DGE models?," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2744-2773, August.
  85. 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.
  86. Yi Wen, 2005. "By force of demand: explaining international comovements and the saving-investment correlation puzzle," Working Papers 2005-043, Federal Reserve Bank of St. Louis.
  87. Park, Hyun, 2013. "Do habits generate endogenous fluctuations in a growing economy?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 54-68.
  88. Santacreu, Ana Maria, 2005. "Reaction functions in a small open economy: What role for non-traded inflation?," Working Papers 2014-44, Federal Reserve Bank of St. Louis.
  89. Zbynek Stork, 2016. "Term Structure of Interest Rates: Macro-Finance Approach," EcoMod2016 9566, EcoMod.
  90. Ctirad Slavik, 2011. "Asset Prices and Business Cycles with Financial Frictions," 2011 Meeting Papers 587, Society for Economic Dynamics.
  91. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
  92. Auray, Stéphane, 2009. "Consommation, effet de substitution intertemporelle et formation des habitudes," L'Actualité Economique, Société Canadienne de Science Economique, vol. 85(4), pages 437-473, décembre.
  93. 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.
  94. Graham, Liam, 2008. "Consumption habits and labor supply," Journal of Macroeconomics, Elsevier, vol. 30(1), pages 382-395, March.
  95. Santiago Budría & Antonia Díaz, 2006. "Term and Equity Premium in Economies with Habit Formation," Working Papers 2006-23, FEDEA.
  96. Liu, Chia-ying & Chang, Juin-jen, 2011. "Keeping up with the Joneses, consumer ethnocentrism, and optimal taxation," Economic Modelling, Elsevier, vol. 28(4), pages 1519-1525, July.
  97. Longstaff, Francis & Piazzesi, Monika, 2002. "Corporate Earnings and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management qt3qn115m4, Anderson Graduate School of Management, UCLA.
  98. 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.).
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