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Citations for "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns"

by Hansen, Lars Peter & Singleton, Kenneth J

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  1. Pozzi, Lorenzo, 2003. "The coefficient of relative risk aversion: a Monte Carlo study investigating small sample estimator problems," Economic Modelling, Elsevier, vol. 20(5), pages 923-940, September.
  2. John Y. Campbell, 1993. "Understanding Risk and Return," NBER Working Papers 4554, National Bureau of Economic Research, Inc.
  3. Tobias J. Moskowitz & Annette Vissing-Jorgensen, 2002. "The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?," NBER Working Papers 8876, National Bureau of Economic Research, Inc.
  4. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, EconWPA.
  5. Gomes, Fábio Augusto Reis & Issler, João Victor, 2014. "Testing consumption optimality using aggregate data," Economics Working Papers (Ensaios Economicos da EPGE) 752, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  6. John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," Harvard Institute of Economic Research Working Papers 1763, Harvard - Institute of Economic Research.
  7. Lindberg, Sara, 1999. "Consumption and Capital Mobility in the Nordic Countries," Working Paper Series 1999:6, Uppsala University, Department of Economics.
  8. R. Glenn Hubbard & Kenneth L. Judd, 1985. "Social Security and Individual Welfare: Precautionary Saving, LiquidityConstraints, and the Payroll Tax," NBER Working Papers 1736, National Bureau of Economic Research, Inc.
  9. Lim, G.C. & Maasoumi, Esfandiar & Martin, Vance L., 2006. "A reexamination of the equity-premium puzzle: A robust non-parametric approach," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 173-189, August.
  10. van Dalen, Hendrik P., 1999. "Intertemporal substitution in public and private consumption -- long-run evidence from the US and the UK," Economic Modelling, Elsevier, vol. 16(3), pages 355-370, August.
  11. Casey B. Mulligan, 2002. "Capital, Interest, and Aggregate Intertemporal Substitution," NBER Working Papers 9373, National Bureau of Economic Research, Inc.
  12. Krueger, Dirk & Lustig, Hanno, 2006. "The Irrelevance of Market Incompleteness for the Price of Aggregate Risk," CEPR Discussion Papers 5936, C.E.P.R. Discussion Papers.
  13. Philippe De Donder & Eugenio Peluso, 2014. "Politically Sustainable Probabilistic Minority Targeting," CESifo Working Paper Series 4915, CESifo Group Munich.
  14. 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.
  15. Robert F. Whitelaw, 1997. "Time-Varying Sharpe Ratios and Market Timing," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-074, New York University, Leonard N. Stern School of Business-.
  16. De Donder, Philippe & Pestieau, Pierre, 2011. "Private, social and self insurance for longterm care: a political economy analysis," IDEI Working Papers 719, Institut d'Économie Industrielle (IDEI), Toulouse, revised Jun 2014.
  17. Yacine Ait-Sahalia & Andrew W. Lo, 2000. "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers 6130, National Bureau of Economic Research, Inc.
  18. Edward C. Prescott, 1986. "Theory ahead of business cycle measurement," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 9-22.
  19. Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor, 2009. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Economics Working Papers (Ensaios Economicos da EPGE) 688, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  20. Dahlberg, Matz & Lindstrom, Tomas, 1998. "Are Local Governments Governed by Forward Looking Decision Makers?: An Investigation of Spending Patterns in Swedish Municipalities," Journal of Urban Economics, Elsevier, vol. 44(2), pages 254-271, September.
  21. Pope, Rulon D. & LaFrance, Jeffrey T. & Just, Richard E., 2011. "Agricultural arbitrage and risk preferences," Journal of Econometrics, Elsevier, vol. 162(1), pages 35-43, May.
  22. Atanasov, Victoria, 2016. "Conditional interest rate risk and the cross-section of excess stock returns," Review of Financial Economics, Elsevier, vol. 30(C), pages 23-32.
  23. Krueger, Dirk & Lustig, Hanno, 2010. "When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?," Journal of Economic Theory, Elsevier, vol. 145(1), pages 1-41, January.
  24. Hardouvelis, Gikas A. & Kim, Dongcheol & Wizman, Thierry A., 1996. "Asset pricing models with and without consumption data: An empirical evaluation," Journal of Empirical Finance, Elsevier, vol. 3(3), pages 267-301, September.
  25. repec:nsr:niesrd:406 is not listed on IDEAS
  26. Faff, Robert W., 1998. "The empirical relationship between aggregate consumption and security prices in Australia," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 213-224, May.
  27. Fatih Guvenen, 2005. "Reconciling Conflicting Evidence on the Elasticity of Intertemporal Substitution: A Macroeconomic Perspective," Macroeconomics 0507005, EconWPA.
  28. Chen, Guojin & Hong, Zhiwu & Ren, Yu, 2016. "Durable consumption and asset returns: Cointegration analysis," Economic Modelling, Elsevier, vol. 53(C), pages 231-244.
  29. Marey, Philip S., 2004. "Exchange rate expectations: controlled experiments with artificial traders," Journal of International Money and Finance, Elsevier, vol. 23(2), pages 283-304, March.
  30. John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
  31. J. Francois Outreville, 2014. "Risk Aversion, Risk Behavior, and Demand for Insurance: A Survey," Journal of Insurance Issues, Western Risk and Insurance Association, vol. 37(2), pages 158-186.
  32. Abel, Andrew B., 1990. "Consumption and investment," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 2, chapter 14, pages 725-778 Elsevier.
  33. Robert E. Hall, 2005. "Separating the Business Cycle from Other Economic Fluctuations," NBER Working Papers 11651, National Bureau of Economic Research, Inc.
  34. repec:pri:wwseco:dp223 is not listed on IDEAS
  35. Yvonne Adema & Jan Bonenkamp & Lex Meijdam, 2011. "Retirement Flexibility and Portfolio Choice in General Equilibrium," Tinbergen Institute Discussion Papers 11-038/2/DSF13, Tinbergen Institute.
  36. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
  37. Bergman, Michael, 2000. "The 'Expansionary Fiscal Contraction Hypothesis' and Uncertainty About the Permanence of Fiscal Consolidations," Working Papers 2000:2, Lund University, Department of Economics.
  38. Orazio Attanasio & Hamish Low, 2002. "Estimating Euler equations," IFS Working Papers W02/06, Institute for Fiscal Studies.
  39. Barberis, Nicholas & Greenwood, Robin & Jin, Lawrence & Shleifer, Andrei, 2015. "X-CAPM: An extrapolative capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 115(1), pages 1-24.
  40. Hugo Benítez-Silva & Selcuk Eren & Frank Heiland & Sergi Jiménez-Martín, 2008. "How well do individuals predict the selling prices of their homes?," Economics Working Papers 1065, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2008.
  41. Lawrence H. Summers, 1982. "Tax Policy, the Rate of Return, and Savings," NBER Working Papers 0995, National Bureau of Economic Research, Inc.
  42. Buffie, Edward F., 1999. "Optimal trade liberalization and the welfare costs of imperfect credibility," Journal of International Economics, Elsevier, vol. 47(2), pages 371-398, April.
  43. Jeffrey A. Miron & Stephen P. Zeldes, "undated". "Seasonality, Cost Shocks and the Production Smoothing Model of Inventories," Rodney L. White Center for Financial Research Working Papers 01-87, Wharton School Rodney L. White Center for Financial Research.
  44. Salvador Navarro, 2011. "Using Observed Choices to Infer Agent's Information: Reconsidering the Importance of Borrowing Constraints, Uncertainty and Preferences in College Attendance," University of Western Ontario, Centre for Human Capital and Productivity (CHCP) Working Papers 20118, University of Western Ontario, Centre for Human Capital and Productivity (CHCP).
  45. Peter N. Ireland, 1999. "Sticky-Price Models of the Business Cycle: Specification and Stability," Boston College Working Papers in Economics 426, Boston College Department of Economics.
  46. Casey B. Mulligan, 2004. "Robust Aggregate Implications of Stochastic Discount Factor Volatility," NBER Working Papers 10210, National Bureau of Economic Research, Inc.
  47. Boldrin, M. & Christiano, L.J. & Fischer, J.D.M., 1996. "Asset Pricing Lessons for Modeling Business Cycles," Papers 268, Banca Italia - Servizio di Studi.
  48. Enrico Saltari & Davide Ticchi, 2002. "Risk aversion, intertemporal substitution, and the aggregate investment-uncertainty relationship," Working Papers 69, University of Rome La Sapienza, Department of Public Economics.
  49. Alan J. Auerbach & Kevin Hassett, 1991. "Corporate Savings and Shareholder Consumption," NBER Chapters, in: National Saving and Economic Performance, pages 75-102 National Bureau of Economic Research, Inc.
  50. Crump, Richard K. & Eusepi, Stefano & Tambalotti, Andrea & Topa, Giorgio, 2015. "Subjective intertemporal substitution," Staff Reports 734, Federal Reserve Bank of New York.
  51. Angelo Melino, 1986. "The Term Structure of Interest Rates: Evidence and Theory," NBER Working Papers 1828, National Bureau of Economic Research, Inc.
  52. Qiang Zhang, 2004. "Accounting for Human Capital and Weak Identification in Evaluating the Esptein-Zin-Weil Non-Expected Utility Model of Asset Pricing," CIRJE F-Series CIRJE-F-289, CIRJE, Faculty of Economics, University of Tokyo.
  53. Alberto Giovannini & Philippe Jorion, 1989. "Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing," NBER Working Papers 3195, National Bureau of Economic Research, Inc.
  54. Hausman, Jerry A & Poterba, James M, 1987. "Household Behavior and the Tax Reform Act of 1986," Journal of Economic Perspectives, American Economic Association, vol. 1(1), pages 101-119, Summer.
  55. Erik Hurst, 2003. "Grasshoppers, Ants, and Pre-Retirement Wealth: A Test of Permanent Income," NBER Working Papers 10098, National Bureau of Economic Research, Inc.
  56. Bin Chen & Yongmiao Hong, 2013. "Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametri," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  57. Petri Maki-Franti, 2008. "Money and stock returns: is there habit formation for holding liquid assets?," International Economic Journal, Taylor & Francis Journals, vol. 22(1), pages 63-80.
  58. Ostergaard, Charlotte & Sørensen, Bent E & Yosha, Oved, 2001. "Consumption and Aggregate Constraints: Evidence from US States and Canadian Provinces," CEPR Discussion Papers 2947, C.E.P.R. Discussion Papers.
  59. Jonathan S. Skinner, 1987. "Risky Income, Life Cycle Consumption, and Precautionary Savings," NBER Working Papers 2336, National Bureau of Economic Research, Inc.
  60. Bram De Rock & Bart Capéau, 2015. "The implications of household size and children for life-cycle saving," Working Paper Research 286, National Bank of Belgium.
  61. René Garcia & Eric Renault, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Working Papers 98-10, Centre de Recherche en Economie et Statistique.
  62. John Y. Campbell & Robert J. Shiller, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," NBER Working Papers 2100, National Bureau of Economic Research, Inc.
  63. Décamps, Jean-Paul, 1992. "Valorisation de Produits Obligataires dans un Modèle d'Equilibre Général en Temps Discret," IDEI Working Papers 12, Institut d'Économie Industrielle (IDEI), Toulouse.
  64. Bennett, R.L. & Farmer, R.E.A., 1999. "Indeterminacy with Non-Separable Utility," Economics Working Papers eco99/34, European University Institute.
  65. Persson, Lovisa, 2013. "Consumption smoothing in a balanced budget regim," Working Paper Series 2013:19, Uppsala University, Department of Economics.
  66. De Donder, P. & Leroux, M.-L., 2015. "The political choice of social long-term care transfers when family gives time and money," CORE Discussion Papers 2015025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  67. Kreider, Brent, 1998. "Workers' Applications to Social Insurance Programs when Earnings and Eligibility Are Uncertain," Staff General Research Papers Archive 5189, Iowa State University, Department of Economics.
  68. repec:pit:wpaper:504 is not listed on IDEAS
  69. Thomas Tallarini & Harold Zhang, "undated". "External Habit and the Cyclicality of Expected Stock Returns," GSIA Working Papers 1997-26, Carnegie Mellon University, Tepper School of Business.
  70. René Garcia & Éric Renault & Andrei Semenov, 2003. "Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level," CIRANO Working Papers 2003s-12, CIRANO.
  71. Robert J. Shiller, 2014. "Speculative Asset Prices," American Economic Review, American Economic Association, vol. 104(6), pages 1486-1517, June.
  72. Néstor Gandelman & Rafael Porzecanski, 2013. "Happiness Inequality: How Much is Reasonable?," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 110(1), pages 257-269, January.
  73. Gonzalez-Rivera, Gloria, 1996. "Time-varying risk The case of the American computer industry," Journal of Empirical Finance, Elsevier, vol. 2(4), pages 333-342, February.
  74. Ravi Jagannathan & Yong Wang, 2005. "Consumption Risk and the Cost of Equity Capital," NBER Working Papers 11026, National Bureau of Economic Research, Inc.
  75. Lawrence J. Christiano & Jonas D. M. Fisher, 1995. "Tobin's Q and asset returns: implications for business cycle analysis," Staff Report 200, Federal Reserve Bank of Minneapolis.
  76. Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun, 2012. "Real Interest Rate Persistence in South Africa: Evidence and Implications," Working Papers 201204, University of Pretoria, Department of Economics.
  77. Neely, C.J. & Roy, A. & Whiteman, C.H., 1998. "Risk Aversion vs. Intertemporal Substitution: Identification Failure in the Intertemporal Consumption CAPM," Working Papers 98-08, University of Iowa, Department of Economics.
  78. Christiano, Lawrence J & Eichenbaum, Martin & Marshall, David, 1991. "The Permanent Income Hypothesis Revisited," Econometrica, Econometric Society, vol. 59(2), pages 397-423, March.
  79. Robert Kollmann, 1996. "Incomplete asset markets and the cross-country consumption correlation puzzle," ULB Institutional Repository 2013/7640, ULB -- Universite Libre de Bruxelles.
  80. Lars Peter Hansen & John Heaton & Nan Li, 2005. "Consumption Strikes Back?: Measuring Long-Run Risk," NBER Working Papers 11476, National Bureau of Economic Research, Inc.
  81. Dimitris Christelis & Dimitris Georgarakos & Tullio Jappelli & Maarten van Rooij, 2015. "Consumption Uncertainty and Precautionary Saving," CSEF Working Papers 421, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  82. Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 2000. "Habit persistence, asset returns and the business cycle," Staff Report 280, Federal Reserve Bank of Minneapolis.
  83. Gandelman, Néstor & Hernández-Murillo, Rubén, 2013. "What do happiness and health satisfaction data tell us about relative risk aversion?," Journal of Economic Psychology, Elsevier, vol. 39(C), pages 301-312.
  84. Palsson, Anne-Marie, 1996. "Does the degree of relative risk aversion vary with household characteristics?," Journal of Economic Psychology, Elsevier, vol. 17(6), pages 771-787, December.
  85. Michal Pakoš & Petr Zemcik, 2011. "Housing Services and Volatility Bounds with Real Estate Returns," ERES eres2011_84, European Real Estate Society (ERES).
  86. Orazio P. Attanasio, 1998. "Consumption Demand," NBER Working Papers 6466, National Bureau of Economic Research, Inc.
  87. Annette Vissing-Jorgensen, 2002. "Limited Asset Market Participation and the Elasticity of Intertemporal Substitution," NBER Working Papers 8896, National Bureau of Economic Research, Inc.
  88. Jr., Luiz R. de Mello & Carneiro, Francisco G., 2000. "Consumption Behaviour and Persistently High Inflation: Evidence from Latin America," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 54(2), April.
  89. Larry G. Epstein & Angelo Melino, 1993. "A Revealed Preference Analysis of Asset Pricing Under Recursive Utility," NBER Working Papers 4524, National Bureau of Economic Research, Inc.
  90. Hyde, Stuart & Sherif, Mohamed, 2010. "Consumption asset pricing and the term structure," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 99-109, February.
  91. Hamori, Shigeyuki, 1998. "Defying the conventional wisdom: US consumers are found to be more risk averse than those of Japan," Economic Modelling, Elsevier, vol. 15(2), pages 217-235, April.
  92. Elena Asparouhova & Peter Bossaerts & Nilanjan Roy & William Zame, 2013. "'Lucas' In The Laboratory," NBER Working Papers 19068, National Bureau of Economic Research, Inc.
  93. Peter Alders, 1999. "Human Capital and Retirement," Tinbergen Institute Discussion Papers 99-056/3, Tinbergen Institute.
  94. Weder, Mark, 2006. "Sticky Prices and Indeterminacy," CEPR Discussion Papers 5535, C.E.P.R. Discussion Papers.
  95. Jacob Boudoukh & Roni Michaely & Matthew Richardson & Michael R. Roberts, 2007. "On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing," Journal of Finance, American Finance Association, vol. 62(2), pages 877-915, 04.
  96. Hahm, Joon-Ho, 1998. "Consumption adjustment to real interest rates: Intertemporal substitution revisited," Journal of Economic Dynamics and Control, Elsevier, vol. 22(2), pages 293-320, February.
  97. Christian Gollier, 2005. "The Consumption-Based Determinants of the Term Structure of Discount Rates," CESifo Working Paper Series 1375, CESifo Group Munich.
  98. Campbell, John, 1991. "A Variance Decomposition for Stock Returns," Scholarly Articles 3207695, Harvard University Department of Economics.
  99. Timmermann, Allan & Granger, Clive W. J., 2004. "Efficient market hypothesis and forecasting," International Journal of Forecasting, Elsevier, vol. 20(1), pages 15-27.
  100. Canzoneri, Matthew B & Dellas, Harris, 1995. "Real Interest Rates and Central Bank Operating Procedures," CEPR Discussion Papers 1099, C.E.P.R. Discussion Papers.
  101. N. Gregory Mankiw, 1987. "The Optimal Collection of Seigniorage: Theory and Evidence," NBER Working Papers 2270, National Bureau of Economic Research, Inc.
  102. Robert S. Pindyck, 1986. "Risk Aversion and Determinants of Stock Market Behavior," NBER Working Papers 1921, National Bureau of Economic Research, Inc.
  103. 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.
  104. Lawrence H. Summers, 1984. "The After Tax Rate of Return Affects Private Savings," NBER Working Papers 1351, National Bureau of Economic Research, Inc.
  105. Adema, Y. & Bonenkamp, J. & Meijdam, A.C., 2011. "Retirement Flexibility and Portfolio Choice," Discussion Paper 2011-077, Tilburg University, Center for Economic Research.
  106. Kramer, Charles, 1999. "Noise trading, transaction costs, and the relationship of stock returns and trading volume," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 343-362, November.
  107. Elisa Newby, 2007. "Macroeconomic Implications of Gold Reserve Policy of the Bank of England during the Eighteenth Century," CDMA Working Paper Series 200708, Centre for Dynamic Macroeconomic Analysis.
  108. Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman, 2013. "Winners and Losers: Creative Destruction and the Stock Market," NBER Working Papers 18671, National Bureau of Economic Research, Inc.
  109. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
  110. Cysne, Rubens Penha, 2005. "Equity-premium puzzle: evidence from Brazilian data," Economics Working Papers (Ensaios Economicos da EPGE) 586, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  111. Justin Van de Ven, 2016. "Parameterising the LINDA microsimulation model of benefit unit savings and labour supply," NIESR Discussion Papers 464, National Institute of Economic and Social Research.
  112. Fábio Gomes & Lourenço Paz, 2015. "Large estimates of the elasticity of intertemporal substitution: is it the aggregate return series or the instrument list?," Economics Bulletin, AccessEcon, vol. 35(1), pages 168-181.
  113. Campbell, John & Cochrane, John, 2000. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," Scholarly Articles 3163265, Harvard University Department of Economics.
  114. Miles S. Kimball, 1990. "Precautionary Saving and the Marginal Propensity to Consume," NBER Working Papers 3403, National Bureau of Economic Research, Inc.
  115. Challe, Edouard & Giannitsarou, Chryssi, 2011. "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," CEPR Discussion Papers 8387, C.E.P.R. Discussion Papers.
  116. Hubbard, R. Glenn & Skinner, Jonathan & Zeldes, Stephen P., 1994. "The importance of precautionary motives in explaining individual and aggregate saving," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 40(1), pages 59-125, June.
  117. Dominique Pepin, 2016. "The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model," Post-Print hal-01299834, HAL.
  118. Vivian, Andrew & Wohar, Mark E., 2013. "The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 40-50.
  119. Robert E. Lucas Jr., 2003. "Macroeconomic Priorities," American Economic Review, American Economic Association, vol. 93(1), pages 1-14, March.
  120. Yongkul Won, 2008. "Exchange Rate Changes and Income Distribution," Korean Economic Review, Korean Economic Association, vol. 24, pages 73-104.
  121. Dimitrios Bermperoglou & Evi Pappa & Eugenia Vella, 2016. "The Government Wage Bill and Private Activity," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 16.24, Université de Lausanne, Faculté des HEC, DEEP.
  122. Enrique Sentana, 1993. "The econometrics of the stock market II: asset pricing," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 421-444, September.
  123. Tobias J. Moskowitz & Annette Vissing-Jørgensen, 2002. "The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?," American Economic Review, American Economic Association, vol. 92(4), pages 745-778, September.
  124. Elena Marquez de la Cruz & Ana Martinez-Canete & Ines Perez-Soba Aguilar, 2007. "Intertemporal preference parameters for some European monetary union countries," Applied Economics, Taylor & Francis Journals, vol. 39(8), pages 997-1011.
  125. Nicholas Barberis & Ming Huang & Tano Santos, "undated". "Prospect Theory and Asset Prices," CRSP working papers 494, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  126. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, 08.
  127. Serrano, Carlos, 1999. "Social security reform, income disribution, fiscal policy, and capital accumulation," Policy Research Working Paper Series 2055, The World Bank.
  128. Serra, Teresa & Goodwin, Barry K. & Featherstone, Allen M., 2004. "Determinants Of Investments In Non-Farm Assets By Farm Households," 2004 Annual meeting, August 1-4, Denver, CO 20329, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  129. Yulei Luo, 2006. "Rational Inattention, Portfolio Choice, and the Equity Premium," Computing in Economics and Finance 2006 56, Society for Computational Economics.
  130. Coudert, Virginie & Gex, Mathieu, 2008. "Does risk aversion drive financial crises? Testing the predictive power of empirical indicators," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 167-184, March.
  131. John Y. Campbell & N. Gregory Mankiw, 1989. "Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 185-246 National Bureau of Economic Research, Inc.
  132. Floros, Christos & Kizys, Renatas & Pierdzioch, Christian, 2013. "Financial crises, the decoupling–recoupling hypothesis, and the risk premium on the Greek stock index futures market," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 166-173.
  133. Agnes Kovacs & Orazio Attanasio, 2017. "Euler Equations, Subjective Expectations and Income Shocks," Economics Series Working Papers 820, University of Oxford, Department of Economics.
  134. Gauti B. Eggertsson & Andrea Ferrero & Andrea Raffo, 2013. "Can structural reforms help Europe?," International Finance Discussion Papers 1092, Board of Governors of the Federal Reserve System (U.S.).
  135. Siddiqi, Hammad, 2015. "Anchoring Heuristic and the Equity Premium Puzzle," MPRA Paper 68537, University Library of Munich, Germany.
  136. Mark WEDER, 2006. "Interest rate rules and macroeconomic stabilization," Discussion Papers (REL - Recherches Economiques de Louvain) 2006025, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  137. Jonathan A. Parker, 1999. "Spendthrift in America? On Two Decades of Decline in the U.S. Saving Rate," NBER Working Papers 7238, National Bureau of Economic Research, Inc.
  138. Montes, Gabriel Caldas & Tiberto, Bruno Pires, 2012. "Macroeconomic environment, country risk and stock market performance: Evidence for Brazil," Economic Modelling, Elsevier, vol. 29(5), pages 1666-1678.
  139. Irina Zviadadze, 2014. "Term-structure of consumption risk premia in the cross-section of currency returns," 2014 Meeting Papers 1075, Society for Economic Dynamics.
  140. Leonardo Leiderman & Assaf Razin, 1987. "Testing Ricardian Neutrality with an Intertemporal Stochastic Model," NBER Working Papers 2258, National Bureau of Economic Research, Inc.
  141. Kirby, Chris, 1998. "The Restrictions on Predictability Implied by Rational Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 11(2), pages 343-382.
  142. Karen K. Lewis, 1994. "Puzzles in International Financial Markets," NBER Working Papers 4951, National Bureau of Economic Research, Inc.
  143. Arslan, Mesut Murat, 2007. "Dynamics of Sticky Information and Sticky Price Models in a New Keynesian DSGE Framework," MPRA Paper 5269, University Library of Munich, Germany.
  144. Lawrence J. Christiano & Mathias Trabandt & Karl Walentin, 2010. "DSGE models for monetary policy analysis," FRB Atlanta CQER Working Paper 2010-02, Federal Reserve Bank of Atlanta.
  145. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
  146. Lord, William & Rangazas, Peter, 1998. "Capital Accumulation and Taxation in a General Equilibrium Model with Risky Human Capital," Journal of Macroeconomics, Elsevier, vol. 20(3), pages 509-531, July.
  147. Kent Daniel & David Hirshleifer, 2016. "Overconfident Investors, Predictable Returns, and Excessive Trading," NBER Working Papers 21945, National Bureau of Economic Research, Inc.
  148. Roberto Chang, 1995. "Political party negotiations, income distribution, and endogenous growth," FRB Atlanta Working Paper 95-3, Federal Reserve Bank of Atlanta.
  149. Gollier, Christian, 2008. "Discounting with Fat-Tailed Economic Growth," IDEI Working Papers 523, Institut d'Économie Industrielle (IDEI), Toulouse.
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