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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. 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.
  2. Jan Bonenkamp & Yvonne Adema & Lex Meijdam, 2011. "Retirement Flexibility and Portfolio Choice," CPB Discussion Paper 182, CPB Netherlands Bureau for Economic Policy Analysis.
  3. Patrick Honohan, 1995. "The Impact of Financial and Fiscal Policies on Saving," Papers WP059, Economic and Social Research Institute (ESRI).
  4. 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.
  5. repec:nsr:niesrd:407 is not listed on IDEAS
  6. Irina Zviadadze, 2014. "Term-structure of consumption risk premia in the cross-section of currency returns," 2014 Meeting Papers 1075, Society for Economic Dynamics.
  7. 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.
  8. Jeffrey A. Miron & Stephen P. Zeldes, . "Seasonality, Cost Shocks and the Production Smoothing Model of Inventories," Rodney L. White Center for Financial Research Working Papers 1-87, Wharton School Rodney L. White Center for Financial Research.
  9. 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.
  10. Lovisa Persson, 2016. "Government consumption smoothing in a balanced budget regime," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 23(2), pages 289-315, April.
  11. Adelman, Irma & Berck, Peter, 1989. "A Modern View of Joseph's Policy: food stocks as financial assets," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt9gt3z6xg, Department of Agricultural & Resource Economics, UC Berkeley.
  12. Thomas D. Tallarini, Jr. & Harold H. Zhang, 2005. "External Habit and the Cyclicality of Expected Stock Returns," The Journal of Business, University of Chicago Press, vol. 78(3), pages 1023-1048, May.
  13. Russo, Benjamin & Gandar, John M., 2003. "Interest-sensitive wealth and the life-cycle hypothesis: implications for fiscal policy," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 418-432.
  14. 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).
  15. Robert J. Shiller & J. Huston McCulloch, 1987. "The Term Structure of Interest Rates," NBER Working Papers 2341, National Bureau of Economic Research, Inc.
  16. 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).
  17. Javid, Attiya Yasmin, 2008. "Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms," MPRA Paper 37561, University Library of Munich, Germany.
  18. Edward L. Glaeser, 1996. "Should Transfer Payments Be Indexed to Local Price Levels?," NBER Working Papers 5598, National Bureau of Economic Research, Inc.
  19. 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.
  20. 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.
  21. Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society.
  22. Evi Pappa & Rana Sajedi & Eugenia Vella, 2014. "Fiscal Consolidation with Tax Evasion and Corruption," NBER Chapters, in: NBER International Seminar on Macroeconomics 2014, pages 56-75 National Bureau of Economic Research, Inc.
  23. Garber, Alan M. & Phelps, Charles E., 1997. "Economic foundations of cost-effectiveness analysis," Journal of Health Economics, Elsevier, vol. 16(1), pages 1-31, February.
  24. Bouaddi, Mohammed & Larocque, Denis & Normandin, Michel, 2015. "Equity premia and state-dependent risks," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 393-409.
  25. N. Gregory Mankiw, 1986. "The Equity Premium and the Concentration of Aggregate Shocks," NBER Working Papers 1788, National Bureau of Economic Research, Inc.
  26. Paul Beaudry & Eric van Wincoop, 1992. "Alternative specifications for consumption and the estimation of the intertemporal elasticity of substitution," Discussion Paper / Institute for Empirical Macroeconomics 69, Federal Reserve Bank of Minneapolis.
  27. H. Youn Kim, 2003. "Intertemporal production and asset pricing: a duality approach," Oxford Economic Papers, Oxford University Press, vol. 55(2), pages 344-379, April.
  28. Fábio Augusto Reis Gomes & Lourenço S. Paz, 2016. "Large Estimates Of The Elasticity Of Intertemporal Substitution: Is It The Aggregate Return Series Or The Instrument List?," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting] 030, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  29. Dr Justin van de Ven, 2013. "The influence of decision costs on investments in Individual Savings Accounts," NIESR Discussion Papers 407, National Institute of Economic and Social Research.
  30. 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.
  31. Loek Groot, 2004. "La consommation de ressources environnementales en incertitude," Recherches économiques de Louvain, De Boeck Université, vol. 70(3), pages 255-286.
  32. Fischer Black, 1989. "Mean Reversion and Consumption Smoothing," NBER Working Papers 2946, National Bureau of Economic Research, Inc.
  33. Reichling, Felix, 2006. "Optimal Unemployment Insurance in Labor Market Equilibrium when Workers can Self-Insure," MPRA Paper 5362, University Library of Munich, Germany, revised 16 Oct 2007.
  34. Casey B. Mulligan, 2004. "Robust Aggregate Implications of Stochastic Discount Factor Volatility," NBER Working Papers 10210, National Bureau of Economic Research, Inc.
  35. Dolmas, Jim, 2013. "Disastrous disappointments: asset-pricing with disaster risk and disappointment aversion," Working Papers 1309, Federal Reserve Bank of Dallas.
  36. 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.
  37. Aase, Knut K., 2012. "What Puzzles? New insights in asset pricing," Discussion Papers 2012/13, Department of Business and Management Science, Norwegian School of Economics.
  38. Pedersen, Karsten N., 1991. "Intertemporal substitution in consumption : evidence for some high- and middle-income countries," Policy Research Working Paper Series 641, The World Bank.
  39. N. Gregory Mankiw, 1987. "Consumer Spending and the After-Tax Real Interest Rate," NBER Chapters, in: The Effects of Taxation on Capital Accumulation, pages 53-68 National Bureau of Economic Research, Inc.
  40. Stefano Eusepi & Giorgio Topa & Andrea Tambalotti & Richard Crump, 2016. "Subjective Intertemporal Substitution," 2016 Meeting Papers 83, Society for Economic Dynamics.
  41. Shi, Shouyong & Wen, Quan, 1997. "Labor market search and capital accumulation: Some analytical results," Journal of Economic Dynamics and Control, Elsevier, vol. 21(10), pages 1747-1776, August.
  42. Pesaran, M. Hashem & Smith, Ron, 1995. "The role of theory in econometrics," Journal of Econometrics, Elsevier, vol. 67(1), pages 61-79, May.
  43. Mark Weder, 2006. "Sticky Prices and Indeterminacy," School of Economics Working Papers 2006-02, University of Adelaide, School of Economics.
  44. George Athanasopoulos & Osmani T. de C. Guillén & João V. Issler & Farshid Vahid, 2009. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Monash Econometrics and Business Statistics Working Papers 2/09, Monash University, Department of Econometrics and Business Statistics.
  45. Kent Daniel & David Hirshleifer, 2015. "Overconfident Investors, Predictable Returns, and Excessive Trading," Journal of Economic Perspectives, American Economic Association, vol. 29(4), pages 61-88, Fall.
  46. Wayne E. Ferson & Campbell R. Harvey, 1996. "Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing," NBER Working Papers 5860, National Bureau of Economic Research, Inc.
  47. Zein Kallas & Teresa Serra & José M. Gil, 2012. "Effects of policy instruments on farm investments and production decisions in the Spanish COP sector," Applied Economics, Taylor & Francis Journals, vol. 44(30), pages 3877-3886, October.
  48. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification?," Working Papers wp2009_0905, CEMFI.
  49. Judd, Kenneth L, 1987. "The Welfare Cost of Factor Taxation in a Perfect-Foresight Model," Journal of Political Economy, University of Chicago Press, vol. 95(4), pages 675-709, August.
  50. Alan M. Garber & Charles E. Phelps, 1992. "Economic Foundations of Cost Effective Analysis," NBER Working Papers 4164, National Bureau of Economic Research, Inc.
  51. Lawrence H. Summers, 1984. "The After Tax Rate of Return Affects Private Savings," NBER Working Papers 1351, National Bureau of Economic Research, Inc.
  52. Gollier, Christian, 2002. "Discounting an uncertain future," Journal of Public Economics, Elsevier, vol. 85(2), pages 149-166, August.
  53. Albert Solé-Ollé & Elisabet Viladecans-Marsal, 2011. "Local spending and the housing boom," Working Papers 2011/27, Institut d'Economia de Barcelona (IEB).
  54. Prescott, Edward C., 1986. "Theory ahead of business-cycle measurement," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 11-44, January.
  55. John H. Cochrane, 1988. "Production Based Asset Pricing," NBER Working Papers 2776, National Bureau of Economic Research, Inc.
  56. Benítez-Silva, Hugo & Eren, Selçuk & Heiland, Frank & Jiménez-Martín, Sergi, 2015. "How well do individuals predict the selling prices of their homes?," Journal of Housing Economics, Elsevier, vol. 29(C), pages 12-25.
  57. Joseph DeJuan & Maria J. Luengo-Prado, 2005. "Consumption and Aggregate Constraints: International Evidence," Macroeconomics 0501018, EconWPA.
  58. Wang, H. Holly & Du, Wen, 2005. "Intertemporal Risk Management Decisions of Farmers under Preference, Market, and Policy Dynamics," 2005 Annual meeting, July 24-27, Providence, RI 19526, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  59. Gollier, Christian, 2008. "Discounting with Fat-Tailed Economic Growth," IDEI Working Papers 523, Institut d'Économie Industrielle (IDEI), Toulouse.
  60. Charlotte Ostergaard & Bent E. Sorensen & Oved Yosha, 2000. "Consumption and aggregate constraints : evidence from U.S. states and Canadian provinces," Research Working Paper RWP 00-04, Federal Reserve Bank of Kansas City.
  61. N. Gregory Mankiw & Matthew D. Shapiro, 1984. "Risk and Return: Consumption versus Market Beta," NBER Working Papers 1399, National Bureau of Economic Research, Inc.
  62. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
  63. Joshua Rosenberg, 2000. "Asset Pricing Puzzles: Evidence from Options Markets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-025, New York University, Leonard N. Stern School of Business-.
  64. Goswami, Gautam & Tan, Sinan, 2012. "Pricing the US residential asset through the rent flow: A cross-sectional study," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2742-2756.
  65. Attanasio, Orazio P & Browning, Martin, 1995. "Consumption over the Life Cycle and over the Business Cycle," American Economic Review, American Economic Association, vol. 85(5), pages 1118-37, December.
  66. Gandelman, Nestor & Hernandez-Murillo, Ruben, 2015. "Risk Aversion at the Country Level," Review, Federal Reserve Bank of St. Louis, vol. 97(1), pages 53-66.
  67. Gomes, Fábio Augusto Reis & Paz, Lourenço S., 2013. "Estimating the elasticity of intertemporal substitution: Is the aggregate financial return free from the weak instrument problem?," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 63-75.
  68. Lindberg, Sara, 1999. "Consumption and Capital Mobility in the Nordic Countries," Working Paper Series 1999:6, Uppsala University, Department of Economics.
  69. Alonso-Ortiz, Jorge, 2013. "Taxes, Transfers and the Macroeconomy," MPRA Paper 49569, University Library of Munich, Germany.
  70. Aaron S. Edlin, 1993. "Is College Financial Aid Equitable and Efficient?," Journal of Economic Perspectives, American Economic Association, vol. 7(2), pages 143-158, Spring.
  71. Jacob Boudoukh & Roni Michaely & Matthew Richardson & Michael Roberts, 2004. "On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing," NBER Working Papers 10651, National Bureau of Economic Research, Inc.
  72. Ravi Jagannathan & Srikant Marakani & Hitoshi Takehara & Yong Wang, 2012. "Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns," Management Science, INFORMS, vol. 58(3), pages 507-522, March.
  73. Emmanuel De Veirman & Ashley Dunstan, 2011. "Time-Varying Returns, Intertemporal Substitution and Cyclical Variation in Consumption," CAMA Working Papers 2011-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  74. 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.
  75. FARMER Karl & WENDNER Ronald, . "Dynamic Multi-Sector CGE Modelling and the Specification of Capital," EcoMod2003 330700051, EcoMod.
  76. Jonathan S. Skinner, 1987. "Risky Income, Life Cycle Consumption, and Precautionary Savings," NBER Working Papers 2336, National Bureau of Economic Research, Inc.
  77. John Y. Campbell & John H. Cochrane, 1995. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," NBER Working Papers 4995, National Bureau of Economic Research, Inc.
  78. Tam Bang Vu, 2005. "Mankiw's Puzzle on Consumer Durables: A Misspecification," Working Papers 200515, University of Hawaii at Manoa, Department of Economics.
  79. Lawrence J. Christiano & Martin Eichenbaum & David Marshall, 1987. "The Permanent Income Hypothesis Revisited," NBER Working Papers 2209, National Bureau of Economic Research, Inc.
  80. 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.
  81. De Donder, Philippe & Pestieau, Pierre, 2013. "Private, social and self-insurance for long-term care in the presence of family help: A political economy analysis," CEPR Discussion Papers 9587, C.E.P.R. Discussion Papers.
  82. Irina Khvostova & Alexander Larin & Anna Novak, 2014. "Euler equation with habits and measurement errors: estimates on Russian micro data," HSE Working papers WP BRP 52/EC/2014, National Research University Higher School of Economics.
  83. Massimo Guidolin, 2006. "High equity premia and crash fears - Rational foundations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 28(3), pages 693-708, 08.
  84. 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 17/2012, Stellenbosch University, Department of Economics.
  85. Miles S. Kimball, 1990. "Precautionary Saving and the Marginal Propensity to Consume," NBER Working Papers 3403, National Bureau of Economic Research, Inc.
  86. RUGE-MURCIA, Francisco J., 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 2012-14, Universite de Montreal, Departement de sciences economiques.
  87. Weber, Christian E., 2002. "Intertemporal non-separability and "rule of thumb" consumption," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 293-308, March.
  88. repec:ebl:ecbull:v:3:y:2007:i:44:p:1-6 is not listed on IDEAS
  89. Boldrin, M. & Christiano, L.J. & Fischer, J.D.M., 1996. "Asset Pricing Lessons for Modeling Business Cycles," Papers 268, Banca Italia - Servizio di Studi.
  90. 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.
  91. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Working Papers 2008-018, Federal Reserve Bank of St. Louis.
  92. Gollier, Christian, 2004. "The Consumption-Based Determinants of the Term Structure of Discount Rates," IDEI Working Papers 296, Institut d'Économie Industrielle (IDEI), Toulouse.
  93. Yacine Ait-Sahalia & Andrew W. Lo, 2000. "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers 6130, National Bureau of Economic Research, Inc.
  94. Bennett, Rosalind L. & Farmer, Roger E. A., 2000. "Indeterminacy with Non-separable Utility," Journal of Economic Theory, Elsevier, vol. 93(1), pages 118-143, July.
  95. Philippe De Donder & Marie-Louise Leroux, 2015. "The Political Choice of Social Long Term Care Transfers when Family Gives Time and Money," CESifo Working Paper Series 5384, CESifo Group Munich.
  96. De Donder, Philippe & Peluso, Eugenio, 2014. "Politically Sustainable Probabilistic Minority Targeting," TSE Working Papers 14-509, Toulouse School of Economics (TSE).
  97. Casey Mulligan, 2004. "What Do Aggregate Consumption Euler Equations Say About the Capital-Income Tax Burden?," American Economic Review, American Economic Association, vol. 94(2), pages 166-170, May.
  98. Maasoumi, Esfandiar & Lim, G.C. & Martin, Vance, 2006. "A reexamination of the equity-premium puzzle: A robust non-parametric approach," Departmental Working Papers 0604, Southern Methodist University, Department of Economics.
  99. Dimitris Christelis & Dimitris Georgarakos & Tullio Jappelli & Maarten van Rooij, 2016. "Consumption uncertainty and precautionary saving," DNB Working Papers 496, Netherlands Central Bank, Research Department.
  100. repec:nsr:niesrd:406 is not listed on IDEAS
  101. Campbell, John Y, 1993. "Intertemporal Asset Pricing without Consumption Data," American Economic Review, American Economic Association, vol. 83(3), pages 487-512, June.
  102. Xiao, Wei, 2004. "Can indeterminacy resolve the cross-country correlation puzzle?," Journal of Economic Dynamics and Control, Elsevier, vol. 28(12), pages 2341-2366, December.
  103. Campbell, John, 1986. "Bond and Stock Returns in a Simple Exchange Model," Scholarly Articles 3122544, Harvard University Department of Economics.
  104. Sheng-Kai Chang, 2007. "The asymptotic global power comparisons of the GMM overidentifying restrictions tests," Economics Bulletin, AccessEcon, vol. 3(44), pages 1-6.
  105. Yosef Bonaparte & Russell Cooper, 2010. "Rationalizing Trading Frequency and Returns," NBER Working Papers 16022, National Bureau of Economic Research, Inc.
  106. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
  107. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2005. "Estimating the stochastic discount factor without a utility function," Economics Working Papers (Ensaios Economicos da EPGE) 583, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  108. Lai, Kon S., 2008. "The puzzling unit root in the real interest rate and its inconsistency with intertemporal consumption behavior," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 140-155, February.
  109. John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," NBER Working Papers 5610, National Bureau of Economic Research, Inc.
  110. Fabio Araujo & Marcelo Fernandes e João Victor Issler, 2004. "Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor," Econometric Society 2004 Latin American Meetings 134, Econometric Society.
  111. Ayelet Balsam & Shmuel Kandel & Ori Levy, . "Ex-Ante Real Rates and Inflation Risk Premiums: A Consumption-Based Approach," Rodney L. White Center for Financial Research Working Papers 22-98, Wharton School Rodney L. White Center for Financial Research.
  112. Christiano, Lawrence J. & Trabandt, Mathias & Walentin, Karl, 2010. "DSGE Models for Monetary Policy Analysis," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 7, pages 285-367 Elsevier.
  113. 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.
  114. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  115. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
  116. Vella, Eugenia & Dioikitopoulos, Evangelos V. & Kalyvitis, Sarantis, 2015. "Green Spending Reforms, Growth, And Welfare With Endogenous Subjective Discounting," Macroeconomic Dynamics, Cambridge University Press, vol. 19(06), pages 1240-1260, September.
  117. 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.
  118. Christopher J. Neely & Amlan Roy & Charles H. Whiteman, 1999. "Risk aversion vs. intertemporal substitution: identification failure in the intertemporal consumption CAPM," Working Papers 1995-002, Federal Reserve Bank of St. Louis.
  119. John Y. Campbell, 1993. "Understanding Risk and Return," NBER Working Papers 4554, National Bureau of Economic Research, Inc.
  120. Yulei Luo, 2006. "Rational Inattention, Portfolio Choice, and the Equity Premium," Computing in Economics and Finance 2006 56, Society for Computational Economics.
  121. Scott, Andrew, 2000. "Optimal consumption when capital markets are imperfect," Economics Letters, Elsevier, vol. 66(1), pages 65-70, January.
  122. Yves Balcer & Kenneth L. Judd, 1985. "Optimal Consumption Plans and Portfolio Management with Duration- Dependent Returns," Discussion Papers 673, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  123. René Garcia & Eric Renault, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Working Papers 98-10, Centre de Recherche en Economie et Statistique.
  124. Joshua Rosenberg, 1999. "Empirical Tests of Interest Rate Model Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-015, New York University, Leonard N. Stern School of Business-.
  125. Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2016. "A new structural stochastic volatility model of asset pricing and its stylized facts," Papers 1604.08824, arXiv.org.
  126. Dr Justin van de Ven & Dr Martin Weale, 2010. "An Empirical Investigation of Quasi-hyperbolic Discounting," NIESR Discussion Papers 355, National Institute of Economic and Social Research.
  127. 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.
  128. 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.
  129. 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.
  130. Neilson, William S. & Winter, Harold, 2002. "A verification of the expected utility calibration theorem," Economics Letters, Elsevier, vol. 74(3), pages 347-351, February.
  131. Robert E. Hall, 2005. "Separating the Business Cycle from Other Economic Fluctuations," NBER Working Papers 11651, National Bureau of Economic Research, Inc.
  132. Orazio P. Attanasio & Guglielmo Weber, 2010. "Consumption and Saving: Models of Intertemporal Allocation and Their Implications for Public Policy," Journal of Economic Literature, American Economic Association, vol. 48(3), pages 693-751, September.
  133. Rene Garcia & Richard Luger & Eric Renault, 2004. "Option Prices, Preferences, and State Variables," Emory Economics 0418, Department of Economics, Emory University (Atlanta).
  134. 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.
  135. 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.
  136. repec:dau:papers:123456789/3033 is not listed on IDEAS
  137. Yosef Bonaparte & Russell Cooper, 2010. "Rationalizing Trading Frequency and Returns," Economics Working Papers ECO2010/25, European University Institute.
  138. Kihlstrom, Richard, 2009. "Risk aversion and the elasticity of substitution in general dynamic portfolio theory: Consistent planning by forward looking, expected utility maximizing investors," Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 634-663, September.
  139. Kenneth L. Judd, 1984. "The Macroeconomic Effects of Uncertain Fiscal Policy," Discussion Papers 682, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  140. Ekaterini Panopoulou & Michail Koubouros, 2005. "Intertemporal Market Risks and the Cross-Section of Greek Average Returns," Economics, Finance and Accounting Department Working Paper Series n1611205, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  141. Casey B. Mulligan, 1997. "Pecuniary Incentives to Work in the U.S. during World War II," NBER Working Papers 6326, National Bureau of Economic Research, Inc.
  142. R. Glenn Hubbard, 1984. "'Precautionary' Saving Revisited: Social Security, Individual Welfare, and the Capital Stock," NBER Working Papers 1430, National Bureau of Economic Research, Inc.
  143. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-.
  144. 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).
  145. Bullard, James & Russell, Steven, 1999. "An empirically plausible model of low real interest rates and unbacked government debt," Journal of Monetary Economics, Elsevier, vol. 44(3), pages 477-508, December.
  146. Ravi Bansal & Varoujan Khatchatrian & Amir Yaron, 2004. "Interpretable Asset Markets?," 2004 Meeting Papers 136b, Society for Economic Dynamics.
  147. Tam, Henry & Lai, Liona, 2009. "Explaining the equity premium in Hong Kong with C-CAPM: The use of emigration growth as an instrument," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 520-533, July.
  148. 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 343-82.
  149. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
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