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Citations for "Using Asset Prices to Measure the Cost of Business Cycles"

by Fernando Alvarez & Urban J. Jermann

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  1. tom krebs, 2004. "welfare cost of business cycles when markets are incomplete," Econometric Society 2004 North American Summer Meetings 283, Econometric Society.
  2. Robert M. Townsend & Kenichi Ueda, 2010. "Welfare Gains From Financial Liberalization," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 51(3), pages 553-597, 08.
  3. 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.
  4. José L. Fillat & Judit Montoriol-Garriga, 2010. "Addressing the pro-cyclicality of capital requirements with a dynamic loan loss provision system," Risk and Policy Analysis Unit Working Paper QAU10-4, Federal Reserve Bank of Boston.
  5. Douglas Sutherland & Peter Hoeller & Balázs Égert & Oliver Röhn, 2010. "Counter-cyclical Economic Policy," OECD Economics Department Working Papers 760, OECD Publishing.
  6. Angelo Melino, 2010. "Measuring the cost of economic fluctuations with preferences that rationalize the equity premium," Canadian Journal of Economics, Canadian Economics Association, vol. 43(2), pages 405-422, May.
  7. Barillas, Francisco & Hansen, Lars Peter & Sargent, Thomas J., 2009. "Doubts or variability?," Journal of Economic Theory, Elsevier, vol. 144(6), pages 2388-2418, November.
  8. Issler, Joao Victor & de Mello Franco-Neto, Afonso Arinos & de Carvalho Guillen, Osmani Teixeira, 2008. "The welfare cost of macroeconomic uncertainty in the post-war period," Economics Letters, Elsevier, vol. 98(2), pages 167-175, February.
  9. David K. Backus & Bryan R. Routledge & Stanley E. Zin, 2005. "Exotic Preferences for Macroeconomists," NBER Chapters, in: NBER Macroeconomics Annual 2004, Volume 19, pages 319-414 National Bureau of Economic Research, Inc.
  10. Robert Shimer, 2004. "The Consequences of Rigid Wages in Search Models," Journal of the European Economic Association, MIT Press, vol. 2(2-3), pages 469-479, 04/05.
  11. Ricardo Reis, 2009. "Optimal Monetary Policy Rules in an Estimated Sticky-Information Model," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(2), pages 1-28, July.
  12. Gadi Barlevy, 2004. "The Cost of Business Cycles and the Benefits of Stabilization: A Survey," NBER Working Papers 10926, National Bureau of Economic Research, Inc.
  13. Eduardo Dávila, 2016. "Using elasticities to derive optimal bankruptcy exemptions," ESRB Working Paper Series 26, European Systemic Risk Board.
  14. Sam Schulhofer-Wohl, 2008. "Heterogeneous Risk Preferences and the Welfare Cost of Business Cycles," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(4), pages 761-780, October.
  15. Santiago García-Verdú & Manuel Ramos-Francia, 2016. "On the costs of deflation: a consumption-based approach," BIS Papers chapters, in: Bank for International Settlements (ed.), Inflation mechanisms, expectations and monetary policy, volume 89, pages 247-273 Bank for International Settlements.
  16. Hannsgen, Greg, 2008. "The welfare economics of macroeconomics and chooser-dependent, non-expected utility preferences: A Senian critique with an application to the costs of the business cycle," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 37(5), pages 1980-1993, October.
  17. Sylvester Eijffinger & Wolf Wagner, 2001. "The Feasible Gains from International Risk Sharing," CESifo Working Paper Series 472, CESifo Group Munich.
  18. Barro, Robert, 2006. "On the Welfare Costs of Consumption Uncertainty," Scholarly Articles 3224745, Harvard University Department of Economics.
  19. Mark Huggett and Greg Kaplan, 2012. "The Money Value of a Man," Working Papers gueconwpa~12-12-02, Georgetown University, Department of Economics.
  20. 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.
  21. repec:pri:wwseco:dp233 is not listed on IDEAS
  22. Ricardo Reis, 2009. "The Time-Series Properties of Aggregate Consumption: Implications for the Costs of Fluctuations," Journal of the European Economic Association, MIT Press, vol. 7(4), pages 722-753, 06.
  23. Tom Krebs, 2006. "Multi-Dimensional Risk and the Cost of Business Cycles," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(4), pages 640-658, October.
  24. Michael Johannes & Lars Lochstoer & Pierre Collin-Dufresne, 2015. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," 2015 Meeting Papers 647, Society for Economic Dynamics.
  25. Satyajit Chatterjee & Dean Corbae, 2000. "On the welfare gains of reducing the likelihood of economic crises," Working Papers 00-14, Federal Reserve Bank of Philadelphia.
  26. Rafael Di Tella & Robert MacCulloch, 2007. "Happiness, Contentment and Other Emotions for Central Banks," NBER Working Papers 13622, National Bureau of Economic Research, Inc.
  27. Marta Arespa, 2013. "The intensive and the extensive margins: not only an international issue," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 12(1), pages 1-34, April.
  28. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
  29. Storesletten, Kjetil & Telmer, Chris I. & Yaron, Amir, 2001. "The welfare cost of business cycles revisited: Finite lives and cyclical variation in idiosyncratic risk," European Economic Review, Elsevier, vol. 45(7), pages 1311-1339.
  30. Edwards Ryan D, 2009. "The Cost of Cyclical Mortality," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-19, March.
  31. 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.
  32. Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2013. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," NBER Working Papers 19705, National Bureau of Economic Research, Inc.
  33. Tom Krebs, 2002. "Growth & Welfare Effects of Business Cycles In Economies with Idiosyncratic Human Capital Risk," Working Papers 2002-31, Brown University, Department of Economics.
  34. Lester, Robert & Pries, Michael & Sims, Eric, 2014. "Volatility and welfare," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 17-36.
  35. Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 1(1), pages 3-49, March.
  36. Garcia, Rene & Renault, Eric & Semenov, Andrei, 2006. "Disentangling risk aversion and intertemporal substitution through a reference level," Finance Research Letters, Elsevier, vol. 3(3), pages 181-193, September.
  37. Robert E. Lucas Jr., 2003. "Macroeconomic Priorities," American Economic Review, American Economic Association, vol. 93(1), pages 1-14, March.
  38. Jang-Ok Cho & Thomas Cooley & Hyung Seok Kim, 2015. "Business Cycle Uncertainty and Economic Welfare," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(2), pages 185-200, April.
  39. Massimiliano De Santis, 2007. "Individual Consumption Risk and the Welfare Cost of Business Cycles," American Economic Review, American Economic Association, vol. 97(4), pages 1488-1506, September.
  40. Jaroslav Borovička & Lars P. Hansen & José A. Scheinkman, 2014. "Misspecified Recovery," NBER Working Papers 20209, National Bureau of Economic Research, Inc.
    • Jaroslav Borovi\v{c}ka & Lars Peter Hansen & Jos\'e A. Scheinkman, 2014. "Misspecified Recovery," Papers 1412.0042, arXiv.org, revised Oct 2015.
  41. Mariano M. Croce, 2006. "Welfare Costs, Long Run Consumption Risk, and a Production Economy," 2006 Meeting Papers 582, Society for Economic Dynamics.
  42. Gadi Barlevy, 2000. "Evaluating the Costs of Business Cycles in Models of Endogenous Growth," Discussion Papers 1287, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  43. Thien Nguyen & Lukas Schmid & Howard Kung & Mariano Croce, 2012. "Fiscal Policies and Asset Prices," 2012 Meeting Papers 565, Society for Economic Dynamics.
  44. Wang, Peng-fei & Wen, Yi, 2011. "Volatility, growth, and welfare," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1696-1709, October.
  45. Gadi Barlevy, 2004. "The Cost of Business Cycles Under Endogenous Growth," American Economic Review, American Economic Association, vol. 94(4), pages 964-990, September.
  46. Mark Huggett & Greg Kaplan, 2016. "How Large is the Stock Component of Human Capital?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 22, pages 21-51, October.
  47. P. Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
  48. Urban Jermann, 2002. "EconomicDynamics Interviews Urban Jermann on Asset Pricing," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 3(2), April.
  49. Rhys Bidder, 2013. "Frequency shifting," Working Paper Series 2013-29, Federal Reserve Bank of San Francisco.
  50. Alvarez, Fernando & Jermann, Urban J., 2001. "The Size of the Permanent Component of Asset Pricing Kernels," Working Papers 01-4, University of Pennsylvania, Wharton School, Weiss Center.
  51. Alonso, Irasema & Prado, Mauricio, 2015. "Ambiguity aversion, asset prices, and the welfare costs of aggregate fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 78-92.
  52. Croce, Mariano M. & Nguyen, Thien T. & Schmid, Lukas, 2012. "The market price of fiscal uncertainty," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 401-416.
  53. repec:pri:cepsud:238kaplan.pdf is not listed on IDEAS
  54. repec:pri:wwseco:dp235 is not listed on IDEAS
  55. Marta Arespa, 2011. "Macroeconomics of extensive margins: a simple model," Working Papers XREAP2011-19, Xarxa de Referència en Economia Aplicada (XREAP), revised Nov 2011.
  56. Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan, 2013. "The Term Structure of Currency Carry Trade Risk Premia," NBER Working Papers 19623, National Bureau of Economic Research, Inc.
  57. repec:pri:cepsud:238kaplan is not listed on IDEAS
  58. Pengfei Wang & Yi Wen, 2007. "Endogenous volatility, endogenous growth, and large welfare gains from stabilization policies," Working Papers 2006-032, Federal Reserve Bank of St. Louis.
  59. Pancrazi, Roberto, 2014. "How beneficial was the Great Moderation after all?," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 73-90.
  60. Van den Heuvel, Skander J., 2008. "The welfare cost of bank capital requirements," Journal of Monetary Economics, Elsevier, vol. 55(2), pages 298-320, March.
  61. Guillén, Osmani Teixeira de Carvalho & Issler, João Victor & Franco-Neto, Afonso Arinos de Mello, 2014. "On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 62-78.
  62. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
  63. Ralph S.J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "The Cross-Section and Time-Series of Stock and Bond Returns," NBER Working Papers 15688, National Bureau of Economic Research, Inc.
  64. Campbell, John Y., 2003. "Consumption-based asset pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 13, pages 803-887 Elsevier.
  65. Rafael Di Tella & Robert J. MacCulloch & Andrew J. Oswald, 2003. "The Macroeconomics of Happiness," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 809-827, November.
  66. Gadi Barlevy, 2005. "The cost of business cycles and the benefits of stabilization," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 32-49.
  67. Greg Hannsgen, 2007. "Are the Costs of the Business Cycle 'Trivially Small'?," Economics Working Paper Archive wp_492, Levy Economics Institute.
  68. Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Franco Neto, Afonso Arinos de Mello, 2012. "On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century," Economics Working Papers (Ensaios Economicos da EPGE) 734, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  69. Robert J. Barro, 2007. "Rare Disasters, Asset Prices, and Welfare Costs," NBER Working Papers 13690, National Bureau of Economic Research, Inc.
  70. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
  71. Bill Dupor & Wen-Fang Liu, 2003. "Jealousy and Equilibrium Overconsumption," American Economic Review, American Economic Association, vol. 93(1), pages 423-428, March.
  72. Thomas Beissinger, 2006. "Neue Anforderungen an eine gesamtwirtschaftliche Stabilisierung," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 277/2006, Department of Economics, University of Hohenheim, Germany.
  73. Ren, Yu & Yuan, Yufei & Zhang, Yang, 2014. "Human capital, household capital and asset returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 11-22.
  74. Tom Krebs, 2007. "Job Displacement Risk and the Cost of Business Cycles," American Economic Review, American Economic Association, vol. 97(3), pages 664-686, June.
  75. Tirelli Mario & Turner Sergio, 2010. "Quantifying the Cost of Risk in Consumption," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 10(1), pages 1-33, July.
  76. Katharine G. Abraham & Robert Shimer, 2001. "Changes in Unemployment Duration and Labor Force Attachment," NBER Working Papers 8513, National Bureau of Economic Research, Inc.
  77. Jaroslav Borovička & Lars Peter Hansen, 2016. "Term Structure of Uncertainty in the Macroeconomy," NBER Working Papers 22364, National Bureau of Economic Research, Inc.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.