Heterogenous Beliefs and Tests of Present Value Models

Citations

Cited by:

1. Miao, Jianjun & Wu, Jieran & Young, Eric R., 2021. "Macro-financial volatility under dispersed information," Theoretical Economics, Econometric Society, vol. 16(1), January.
   • Jianjun Miao & Jieran Wu & Eric Young, 2016. "Macro-Financial Volatility under Dispersed Information," Boston University - Department of Economics - Working Papers Series WP2019-12, Boston University - Department of Economics, revised May 2019.
   • Jianjun Miao & Jieran Wu & Eric Young, 2016. "Macro-Financial Volatility under Dispersed Information," Boston University - Department of Economics - Working Papers Series WP2019-10, Boston University - Department of Economics, revised May 2019.
2. Lucia Alessi & Mark Kerssenfischer, 2019. "The response of asset prices to monetary policy shocks: Stronger than thought," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 661-672, August.
   • Alessi, Lucia & Kerssenfischer, Mark, 2016. "The response of asset prices to monetary policy shocks: stronger than thought," Working Paper Series 1967, European Central Bank.
3. Michele Berardi, 2021. "Learning from prices: information aggregation and accumulation in an asset market," Annals of Finance, Springer, vol. 17(1), pages 45-77, March.
   • Berardi, Michele, 2020. "Learning from prices: information aggregation and accumulation in an asset market," MPRA Paper 102139, University Library of Munich, Germany.
4. Chahrour, Ryan & Jurado, Kyle, 2025. "Revisiting the forecasts of others," Journal of Monetary Economics, Elsevier, vol. 155(S).
   • Ryan Chahrour & Kyle Jurado, 2025. "Revisiting the Forecasts of Others," NBER Working Papers 33794, National Bureau of Economic Research, Inc.
5. Taub, B., 2023. "Signal-jamming in the frequency domain," Games and Economic Behavior, Elsevier, vol. 142(C), pages 896-930.
6. Martin Ellison & Andreas Tischbirek, 2021. "Beauty Contests and the Term Structure [Risk Premia and Term Premia in General Equilibrium]," Journal of the European Economic Association, European Economic Association, vol. 19(4), pages 2234-2282.
   • Martin Ellison & Andreas Tischbirek, 2018. "Beauty Contests and the Term Structure," Economics Series Working Papers 846, University of Oxford, Department of Economics.
   • Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty contests and the term structure," LSE Research Online Documents on Economics 87384, London School of Economics and Political Science, LSE Library.
   • Martin Ellison & Andreas Tischbirek, 2018. "Beauty Contests and the Term Structure," Discussion Papers 1807, Centre for Macroeconomics (CFM).
   • Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty Contests and the Term Structure," CEPR Discussion Papers 12762, C.E.P.R. Discussion Papers.
7. Djeutem, Edouard & Kasa, Kenneth, 2013. "Robustness and exchange rate volatility," Journal of International Economics, Elsevier, vol. 91(1), pages 27-39.
   • Edouard Djeutem & Ken Kasa, 2012. "Robustness and Exchange Rate Volatility," Discussion Papers dp12-01, Department of Economics, Simon Fraser University.
8. Angelini, Giovanni & Sorge, Marco M., 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
   • Giovanni Angelini & Marco M. Sorge, 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Working Papers wp1160, Dipartimento Scienze Economiche, Universita' di Bologna.
9. Yongok Choi & Giacomo Rondina & Todd B. Walker, 2023. "Information Aggregation Bias and Samuelson's Dictum," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(5), pages 1119-1145, August.
10. Zhao Han & Xiaohan Ma & Ruoyun Mao, 2023. "The Role of Dispersed Information in Inflation and Inflation Expectations," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 48, pages 72-106, April.
    • Zhao Han & Xiaohan Ma & Ruoyun Mao, 2022. "Code and data files for "The Role of Dispersed Information in Inflation and Inflation Expectations"," Computer Codes 20-423, Review of Economic Dynamics.
11. George-Marios Angeletos & Zhen Huo, 2021. "Myopia and Anchoring," American Economic Review, American Economic Association, vol. 111(4), pages 1166-1200, April.
    • George-Marios Angeletos & Zhen Huo, 2018. "Myopia and Anchoring," NBER Working Papers 24545, National Bureau of Economic Research, Inc.
12. Lof Matthijs, 2013. "Noncausality and asset pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 211-220, April.
    • Lof, Matthijs, 2011. "Noncausality and Asset Pricing," MPRA Paper 30519, University Library of Munich, Germany.
13. He, Xue-Zhong & Zheng, Huanhuan, 2016. "Trading heterogeneity under information uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 64-80.
    • Xue-Zhong He & Huanhuan Zheng, 2016. "Trading Heterogeneity Under Information Uncertainty," Research Paper Series 373, Quantitative Finance Research Centre, University of Technology, Sydney.
14. Rondina, Giacomo & Walker, Todd B., 2021. "Confounding dynamics," Journal of Economic Theory, Elsevier, vol. 196(C).
    • Todd Walker & Giacomo Rondina, 2017. "Confounding Dynamics," 2017 Meeting Papers 525, Society for Economic Dynamics.
    • Todd Walker, 2017. "Confounding Dynamics," 2017 Meeting Papers 141, Society for Economic Dynamics.
15. Michele Berardi, 2020. "Learning from Prices: Information Aggregation and Accumulation in an Asset Price Model," Economics Discussion Paper Series 2009, Economics, The University of Manchester.
16. Ethan Struby, 2018. "Macroeconomic Disagreement in Treasury Yields," Working Papers 2018-04, Carleton College, Department of Economics.
17. Huo, Zhen & Pedroni, Marcelo, 2023. "Dynamic information aggregation: Learning from the past," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 107-124.
18. Tan, Fei & Walker, Todd B., 2015. "Solving generalized multivariate linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 95-111.
19. Hamidi Sahneh, Mehdi, 2017. "News, Noise, and Tests of Present Value Models," MPRA Paper 82715, University Library of Munich, Germany.
20. Han, Zhao & Tan, Fei & Wu, Jieran, 2022. "Analytic policy function iteration," Journal of Economic Theory, Elsevier, vol. 200(C).
21. Markku Lanne & Henri Nyberg, 2015. "Nonlinear dynamic interrelationships between real activity and stock returns," CREATES Research Papers 2015-36, Department of Economics and Business Economics, Aarhus University.
22. Athreya, Kartik B., 2014. "Big Ideas in Macroeconomics: A Nontechnical View," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262019736, December.
23. Lof, Matthijs & Nyberg, Henri, 2017. "Noncausality and the commodity currency hypothesis," Energy Economics, Elsevier, vol. 65(C), pages 424-433.
24. Jurado, Kyle, 2023. "Rational inattention in the frequency domain," Journal of Economic Theory, Elsevier, vol. 208(C).
25. Giovanni Angelini & Luca Fanelli & Marco M. Sorge, 2025. "Is Time an Illusion? A Bootstrap Likelihood Ratio Test for Shock Transmission Delays in DSGE Models," Computational Economics, Springer;Society for Computational Economics, vol. 65(5), pages 2477-2503, May.
26. Nyholm, Juho, 2017. "Residual-based diagnostic tests for noninvertible ARMA models," MPRA Paper 81033, University Library of Munich, Germany.