IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Habit Formation: A Resolution of the Equity Premium Puzzle"

by Constantinides, George M

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. repec:dgr:kubcen:199554 is not listed on IDEAS
  2. Jérôme B. Detemple & Christos I. Giannikos, 1995. "Asset and Commodity Prices with Multiattribute Durable Goods," CIRANO Working Papers 95s-47, CIRANO.
  3. Fielding, David & Stracca, Livio, 2007. "Myopic loss aversion, disappointment aversion, and the equity premium puzzle," Journal of Economic Behavior & Organization, Elsevier, vol. 64(2), pages 250-268, October.
  4. Braun, R. Anton & Evans, Charles L., 1995. "Seasonality and equilibrium business cycle theories," Journal of Economic Dynamics and Control, Elsevier, vol. 19(3), pages 503-531, April.
  5. Martin Sommer & Christopher Carroll, 2004. "Epidemiological expectations and consumption dynamics," Money Macro and Finance (MMF) Research Group Conference 2003 92, Money Macro and Finance Research Group.
  6. Neuman, Einat & Neuman, Shoshana, 2006. "Explorations of the Effect of Experience on Preferences: Two Health-Care Case Studies," CEPR Discussion Papers 5659, C.E.P.R. Discussion Papers.
  7. Jermann, Urban J., 2010. "The equity premium implied by production," Journal of Financial Economics, Elsevier, vol. 98(2), pages 279-296, November.
  8. Julien Hugonnier & Erwan Morellec & Suresh Sundaresan, 2005. "Growth Options in General Equilibrium: Some Asset Pricing Implications," FAME Research Paper Series rp138, International Center for Financial Asset Management and Engineering.
  9. Ikeda, S. & Gombi, I., 1995. "Habits, Costly Investment, and Current Account Dynamics," ISER Discussion Paper 0442, Institute of Social and Economic Research, Osaka University.
  10. repec:ebl:ecbull:v:4:y:2002:i:5:p:1-5 is not listed on IDEAS
  11. Fernando Alvarez & Urban J. Jermann, 2004. "Using Asset Prices to Measure the Cost of Business Cycles," Journal of Political Economy, University of Chicago Press, vol. 112(6), pages 1223-1256, December.
  12. Guglielmo Maria Caporale & Ricardo M. Sousa, 2011. "Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries," NIPE Working Papers 33/2011, NIPE - Universidade do Minho.
  13. Faraglia, Elisa & Marcet, Albert & Scott, Andrew, 2010. "In search of a theory of debt management," Journal of Monetary Economics, Elsevier, vol. 57(7), pages 821-836, October.
  14. Kenza Benhima & Baptiste Massenot, 2012. "Safety Traps," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 12.04, Université de Lausanne, Faculté des HEC, DEEP.
  15. Goncalo Monteiro & Stephen Turnovsky, 2013. "Anticipated Consumption and its Impact on Capital Accumulation and Growth: 'Forward-Looking' vs. 'Backward-Looking' Consumption Reference," CESifo Working Paper Series 4536, CESifo Group Munich.
  16. Daniel S. Hamermesh & Joel Slemrod, 2005. "The Economics of Workaholism: We Should Not Have Worked on This Paper," NBER Working Papers 11566, National Bureau of Economic Research, Inc.
  17. Jorion, Philippe & Giovannini, Alberto, 1993. "Time-series tests of a non-expected-utility model of asset pricing," European Economic Review, Elsevier, vol. 37(5), pages 1083-1100, June.
  18. Bowman, David & Minehart, Deborah & Rabin, Matthew, 1999. "Loss aversion in a consumption-savings model," Journal of Economic Behavior & Organization, Elsevier, vol. 38(2), pages 155-178, February.
  19. Riedel, Frank, 2005. "Generic determinacy of equilibria with local substitution," Journal of Mathematical Economics, Elsevier, vol. 41(4-5), pages 603-616, August.
  20. Olaf Posch, 2009. "Risk premia in general equilibrium," CREATES Research Papers 2009-58, School of Economics and Management, University of Aarhus.
  21. Campbell, John, 1993. "Intertemporal Asset Pricing Without Consumption Data," Scholarly Articles 3221491, Harvard University Department of Economics.
  22. Aase, Knut K., 2014. "Recursive utility using the stochastic maximum principle," Discussion Papers 2014/3, Department of Business and Management Science, Norwegian School of Economics, revised 25 Mar 2015.
  23. Aylin Seckin, 2000. "Habit Formation: A Kind of Prudence?," CIRANO Working Papers 2000s-42, CIRANO.
  24. Riedel, Frank, 2009. "Optimal consumption choice with intolerance for declining standard of living," Journal of Mathematical Economics, Elsevier, vol. 45(7-8), pages 449-464, July.
  25. Zakamouline, Valeri & Koekebakker, Steen, 2009. "Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1242-1254, July.
  26. Takashi Kano & James M. Nason, 2009. "Business Cycle Implications of Internal Consumption Habit for New Keynesian Model," CARF F-Series CARF-F-151, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  27. Patricio Garcia-Minguez & Ausias Ribo Argemi, 2014. "Economics breeds culture," UB Economics Working Papers 2014/312, Universitat de Barcelona, Facultat d'Economia i Empresa, UB Economics.
  28. S. Rao Aiyagari & Mark Gertler, 1999. ""Overreaction" of Asset Prices in General Equilibrium," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 2(1), pages 3-35, January.
  29. CHEN, Chuanglian & CHEN, Guojin & YAO, Shujie, 2012. "Do imports crowd out domestic consumption? A comparative study of China, Japan and Korea," China Economic Review, Elsevier, vol. 23(4), pages 1036-1050.
  30. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc.
  31. Cecilia García-Peñalosa & Stephen Turnovsky, 2008. "Consumption externalities: a representative consumer model when agents are heterogeneous," Economic Theory, Springer, vol. 37(3), pages 439-467, December.
  32. Mary C. Daly & Daniel J. Wilson, 2006. "Keeping up with the Joneses and staying ahead of the Smiths: evidence from suicide data," Working Paper Series 2006-12, Federal Reserve Bank of San Francisco.
  33. Fuerst, Michael E., 2006. "Investor risk premia and real macroeconomic fluctuations," Journal of Macroeconomics, Elsevier, vol. 28(3), pages 540-563, September.
  34. Zvi Bodie & J�r�me Detemple & Marcel Rindisbacher, 2009. "Life-Cycle Finance and the Design of Pension Plans," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 249-286, November.
  35. Tano Santos & Pietro Veronesi, 2004. "Conditional Betas," NBER Working Papers 10413, National Bureau of Economic Research, Inc.
  36. Thomas Davidoff & Jeffrey R. Brown & Peter A. Diamond, 2003. "Annuities and Individual Welfare," NBER Working Papers 9714, National Bureau of Economic Research, Inc.
  37. Harris, Matthew & Kohn, Jennifer, 2015. "Reference dependent utility from health and the demand for medical care," MPRA Paper 61926, University Library of Munich, Germany.
  38. Berkelaar, Arjan & Kouwenberg, Roy, 2009. "From boom 'til bust: How loss aversion affects asset prices," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1005-1013, June.
  39. Backus, David & Chernov, Mikhail & Zin, Stanley E., 2011. "Sources of entropy in representative agent models," CEPR Discussion Papers 8488, C.E.P.R. Discussion Papers.
  40. Morten O. Ravn & Stephanie Schmitt-Grohe, 2004. "Deep Habits," 2004 Meeting Papers 208, Society for Economic Dynamics.
  41. John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," NBER Working Papers 5610, National Bureau of Economic Research, Inc.
  42. Peter Bank & Frank Riedel, 1999. "Optimal Consumption Choice under Uncertainty with Intertemporal Substitution," GE, Growth, Math methods 9908002, EconWPA.
  43. Munk, Claus, 2008. "Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3560-3589, November.
  44. Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius, 2008. "A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings," Discussion Papers 08-31, University of Copenhagen. Department of Economics.
  45. Petr Zemčík, 2001. "An empirical investigation of the consumption based Capital Asset Pricing Model using a modified variance-ratio test," Journal of Economics and Finance, Springer, vol. 25(1), pages 1-22, March.
  46. Bansal, Ravi & Gallant, A. Ronald & Hussey, Robert & Tauchen, George, 1995. "Nonparametric estimation of structural models for high-frequency currency market data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 251-287.
  47. 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.).
  48. 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.
  49. 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.
  50. Sergio Rebelo, 2005. "Real Business Cycle Models: Past, Present, and Future," NBER Working Papers 11401, National Bureau of Economic Research, Inc.
  51. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2009. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," Journal of Finance, American Finance Association, vol. 64(2), pages 579-629, 04.
  52. Ali Choudhary & Paul Levine, 2006. "The 24/7 Society and Multiple Habits," School of Economics Discussion Papers 0506, School of Economics, University of Surrey.
  53. Mordecai Kurz, . "Endogenous Uncertainty: A Unified View of Market Volatility," Working Papers 98013, Stanford University, Department of Economics.
  54. Malcolm Baker & Jeffrey Wurgler, 2012. "Dividends as Reference Points: A Behavioral Signaling Approach," NBER Working Papers 18242, National Bureau of Economic Research, Inc.
  55. Aase, Knut K., 2004. "The perpetual American put option for jump-diffusions: Implications for equity premiums," Discussion Papers 2004/19, Department of Business and Management Science, Norwegian School of Economics.
  56. Russel Cooper & Kieran P. Donaghy, 2000. "Risk and Growth: Theoretical Relationships and Preliminary Estimates for South Africa," Econometric Society World Congress 2000 Contributed Papers 0527, Econometric Society.
  57. 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.
  58. Ni, Shawn, 1995. "An empirical analysis on the substitutability between private consumption and government purchases," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 593-605, December.
  59. Grammig, Joachim & Schrimpf, Andreas, 2009. "Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns," Review of Financial Economics, Elsevier, vol. 18(3), pages 113-123, August.
  60. Andrew J. G. Cairns & David Blake & Kevin Dowd, 2004. "Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans," LSE Research Online Documents on Economics 24831, London School of Economics and Political Science, LSE Library.
  61. James M. Nason & Takashi Kano, 2004. "Business Cycle Implications of Habit Formation," Computing in Economics and Finance 2004 175, Society for Computational Economics.
  62. Enrique Sentana, 1993. "The econometrics of the stock market II: asset pricing," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 421-444, September.
  63. Jim Malley & Hassan Molana, 1999. "The Permanent Income Hypothesis Revisited," Dundee Discussion Papers in Economics 105, Economic Studies, University of Dundee.
  64. Guiso, Luigi & Sapienza, Paola & Zingales, Luigi, 2013. "Time Varying Risk Aversion," CEPR Discussion Papers 9589, C.E.P.R. Discussion Papers.
  65. Pakoš, Michal & Zemcik, Petr, 2011. "Housing Services and Volatility Bounds with Real Estate Returns," ERES eres2011_84, European Real Estate Society (ERES).
  66. Faria, Joao Ricardo & Mollick, Andre Varella, 2004. "The nominal theory of interest under habit formation: evidence for the U.S., 1959-2002," The North American Journal of Economics and Finance, Elsevier, vol. 15(3), pages 333-354, December.
  67. Koehne, Sebastian & Kuhn, Moritz, 2013. "Optimal capital taxation for time-nonseparable preferences," MPRA Paper 45203, University Library of Munich, Germany.
  68. Yulei Luo, 2005. "Consumption Dynamics under Information Processing Constraints," Macroeconomics 0505011, EconWPA, revised 03 Jun 2005.
  69. Gürtler, Marc & Hartmann, Nora, 2004. "The equity premium puzzle and emotional asset pricing," Working Papers FW10V3, Technische Universität Braunschweig, Institute of Finance.
  70. Turnovsky, Stephen J. & Monteiro, Goncalo, 2007. "Consumption externalities, production externalities, and efficient capital accumulation under time non-separable preferences," European Economic Review, Elsevier, vol. 51(2), pages 479-504, February.
  71. Mathias Hoffmann, 2005. "Proprietary Income, Entrepreneurial Risk and the Predictability of U.S. Stock Returns," Computing in Economics and Finance 2005 229, Society for Computational Economics.
  72. 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.
  73. Carroll, Christopher D. & Slacalek, Jiri & Sommer, Martin, 2008. "International evidence on sticky consumption growth," Working Paper Series 0886, European Central Bank.
  74. Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2003. "The Price is (Almost) Right," NBER Working Papers 10131, National Bureau of Economic Research, Inc.
  75. Higashi, Youichiro & Hyogo, Kazuya & Takeoka, Norio, 2014. "Stochastic endogenous time preference," Journal of Mathematical Economics, Elsevier, vol. 51(C), pages 77-92.
  76. A. Johri & M-A. Letendre, 2001. "Labour Market Dynamics in RBC Models," Department of Economics Working Papers 2001-03, McMaster University.
  77. Amartya Lahiri & Mikko Puhakka, 1996. "Habit Persistence in Overlapping Generations Economies Under Pure Exchange," UCLA Economics Working Papers 754, UCLA Department of Economics.
  78. Eijffinger, Sylvester C W & Wagner, Wolf, 2001. "The Feasible Gains from International Risk Sharing," CEPR Discussion Papers 2691, C.E.P.R. Discussion Papers.
  79. Carroll, Christopher D & Overland, Jody & Weil, David N, 1997. " Comparison Utility in a Growth Model," Journal of Economic Growth, Springer, vol. 2(4), pages 339-67, December.
  80. 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.
  81. Josep Pijoan-Mas 2 & Antonia Díaz & José-Víctor Ríos-Rull, 2001. "Habit Formation: Inplications For The Wealth Distribution," Economics Working Papers we015114, Universidad Carlos III, Departamento de Economía.
  82. Kraft, Holger & Munk, Claus & Seifried, Frank Thomas & Wagner, Sebastian, 2013. "Consumption habits and humps," SAFE Working Paper Series 15, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  83. William A. Barnett & Yi Liu, 1996. "The CAPM-Extended Divisia Monetary Aggregate with Exact Tracking under Risk," Finance 9602001, EconWPA.
  84. Fluck, Zsuzsanna & John, Kose & Abraham Ravid, S., 1996. "Privatizing in stages and the dynamics of ownership structure," Pacific-Basin Finance Journal, Elsevier, vol. 4(2-3), pages 277-296, July.
  85. Kiyoung Chang & Incheol Kim & Ying Li, 2014. "The Heterogeneous Impact of Corporate Social Responsibility Activities That Target Different Stakeholders," Journal of Business Ethics, Springer, vol. 125(2), pages 211-234, December.
  86. Aizenman, Joshua & Brooks, Eileen, 2005. "Globalization and taste convergence: The cases of wine and beer," Santa Cruz Center for International Economics, Working Paper Series qt99j2n7rf, Center for International Economics, UC Santa Cruz.
  87. Isaenko, Sergei, 2008. "The term structure of interest rates in a pure exchange economy where investors have heterogeneous recursive preferences," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 457-481, August.
  88. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
  89. Roman Naryshkin & Matt Davison, 2009. "Utility Function and Optimum Consumption in the models with Habit Formation and Catching up with the Joneses," Papers 0909.3655, arXiv.org.
  90. 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.
  91. Aase, Knut K, 2005. "The perpetual American put option for jump-diffusions with applications," University of California at Los Angeles, Anderson Graduate School of Management qt31g898nz, Anderson Graduate School of Management, UCLA.
  92. Christopher D Carroll, 2000. "Solving Consumption Models with Multiplicative Habits," Economics Working Paper Archive 421, The Johns Hopkins University,Department of Economics.
  93. Raman Uppal & Harjoat Bhamra, 2013. "Asset Prices with Heterogeneity in Preferences and Beliefs," 2013 Meeting Papers 1344, Society for Economic Dynamics.
  94. 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).
  95. Riedel, Frank & Bank, Peter, 1998. "Non-time additive utility optimization: The case of certainty," SFB 373 Discussion Papers 1998,108, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  96. Alexandre Dmitriev & Ivan Roberts, 2013. "International Business Cycles with Complete Markets," RBA Research Discussion Papers rdp2013-08, Reserve Bank of Australia.
  97. Grund, Christian & Sliwka, Dirk, 2001. "The Impact of Wage Increases on Job Satisfaction - Empirical Evidence and Theoretical Implications," IZA Discussion Papers 387, Institute for the Study of Labor (IZA).
  98. Li, George, 2008. "Aggregate stock market behavior and investors' low risk aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2349-2369, July.
  99. John Y. Campbell, 2013. "Comment on "Shocks and Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 355-366 National Bureau of Economic Research, Inc.
  100. Shahid Ebrahim, M. & Mathur, Ike, 2001. "Investor heterogeneity, market segmentation, leverage and the equity premium puzzle," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1897-1919, October.
  101. 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.
  102. William T. Smith & Qiang Zhang, 2006. "Asset Pricing With Multiplicative Habit and Power-Expo Preferences (Subsequently published in "Economics Letters", 2007, 94(3), 319-325. )," CARF F-Series CARF-F-070, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  103. Louis Kaplow, 2005. "The Value of a Statistical Life and the Coefficient of Relative Risk Aversion," Journal of Risk and Uncertainty, Springer, vol. 31(1), pages 23-34, July.
  104. Bleichrodt, Han & Gafni, Amiram, 1996. "Time preference, the discounted utility model and health," Journal of Health Economics, Elsevier, vol. 15(1), pages 49-66, February.
  105. S. Rao Aiyagari, 1993. "Explaining financial market facts: the importance of incomplete markets and transaction costs," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 17-31.
  106. Emilio Fernandez-Corugedo, 2004. "Consumption Theory," Handbooks, Centre for Central Banking Studies, Bank of England, number 23, December.
  107. Buffie, Edward F. & Atolia, Manoj, 2012. "Resurrecting the weak credibility hypothesis in models of exchange-rate-based stabilization," European Economic Review, Elsevier, vol. 56(3), pages 361-372.
  108. Haug, Jorgen, 2001. "Explicit characterizations of financial prices with history-dependent utility," Journal of Mathematical Economics, Elsevier, vol. 36(4), pages 337-356, December.
  109. Otrok, Christopher & Ravikumar, B & Whiteman, Charles, 2001. "Stochastic Discount Factor Models and the Equity Premium Puzzle," MPRA Paper 22938, University Library of Munich, Germany, revised Nov 2004.
  110. Obstfeld, Maurice, 1992. "International Adjustment with Habit-Forming Consumption: A Diagrammatic Exposition," Review of International Economics, Wiley Blackwell, vol. 1(1), pages 32-48, November.
  111. Jean-Pierre Danthine & John B. Donaldson & Christos Giannikos & Hany Guirguis, 2002. "On the Consequences of State Dependent Preferences for the Pricing of Financial Assets," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 02.17, Université de Lausanne, Faculté des HEC, DEEP.
  112. Aase, Knut K., 2014. "Heterogeneity and limited stock market Participation," Discussion Papers 2014/5, Department of Business and Management Science, Norwegian School of Economics, revised 25 Mar 2015.
  113. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc.
  114. Timothy Kam, 2003. "The Value of Interest-rate Smoothing in a Forward-looking Small Open Economy," Economics Discussion / Working Papers 03-12, The University of Western Australia, Department of Economics.
  115. Bossi, Luca & Gomis-Porqueras, Pere, 2009. "Consequences Of Modeling Habit Persistence," Macroeconomic Dynamics, Cambridge University Press, vol. 13(03), pages 349-365, June.
  116. Carroll, Christopher D. & Weil, David N., 1994. "Saving and growth: a reinterpretation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 40(1), pages 133-192, June.
  117. Josep Pijoan-Mas, 2002. "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," Centro de Alti­simos Estudios Ri­os Pe©rez(CAERP) 3, Centro de Altisimos Estudios Rios Perez (CAERP).
  118. Andries, Marianne & Eisenbach, Thomas M. & Schmalz, Martin C., 2014. "Asset pricing with horizon-dependent risk aversion," Staff Reports 703, Federal Reserve Bank of New York.
  119. Adrian Ma, . "Time-varying Risk Premium in the Forward Exchange Rate," EcoMod2006 272100057, EcoMod.
  120. 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.
  121. Berg, Nathan, 2003. "Normative behavioral economics," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 32(4), pages 411-427, September.
  122. Karen K. Lewis, 1997. "Are Countries with Official International Restrictions "Liquidity Constrained?"," NBER Working Papers 5991, National Bureau of Economic Research, Inc.
  123. Elyès Jouini & Paul Karehnke & Clotilde Napp, 2013. "On Portfolio Choice with Savoring and Disappointment," Post-Print halshs-00927267, HAL.
  124. CARDI, Oliver & BERTINELLI, Luisito, 2004. "A formal model of krugman’s intuition on the J-curve," CORE Discussion Papers 2004043, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  125. 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.
  126. David Aadland & Kevin Huang, 2002. "Consistent High-Frequency Calibration," Working Papers 2002-01, Utah State University, Department of Economics.
  127. Aronsson, Thomas & Johansson-Stenman, Olof, 2014. "Positional preferences in time and space: Optimal income taxation with dynamic social comparisons," Journal of Economic Behavior & Organization, Elsevier, vol. 101(C), pages 1-23.
  128. Maria Grith & Wolfgang Karl Härdle & Volker Krätschmer, 2013. "Reference Dependent Preferences and the EPK Puzzle," SFB 649 Discussion Papers SFB649DP2013-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  129. Seiya Fujisaki, 2009. "Habit Formation, Interest-Rate Control and Equilibrium Determinacy," Discussion Papers in Economics and Business 09-23, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  130. Gurdip S. Bakshi & Zhiwu Chen, 1996. "The Spirit of Capitalism and Stock-Market Prices," CEMA Working Papers 511, China Economics and Management Academy, Central University of Finance and Economics.
  131. Stéphane Dées & Loïc Cadiou & Olivier Allais, 2001. "Habitudes de consommation et prime de risque sur le marché actions dans les pays du G7," Économie et Prévision, Programme National Persée, vol. 147(1), pages 1-18.
  132. Mansoorian Arman & Neaime Simon, 2002. "Habits And Durability In Consumption And The Effects Of Exchange Rate Policies," International Economic Journal, Taylor & Francis Journals, vol. 16(2), pages 97-114.
  133. Philip Jagd & Jakob Madsen, 2009. "Myopic loss aversion, bond returns and the equity premium puzzle," Applied Financial Economics, Taylor & Francis Journals, vol. 19(17), pages 1383-1390.
  134. Jonen, Benjamin & Scheuring, Simon, 2014. "Time-varying international diversification and the forward premium," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 128-148.
  135. Ian Crawford & Matthew Polisson, 2013. "Testing for intertemporal nonseparability," IFS Working Papers W13/19, Institute for Fiscal Studies.
  136. M. Dolores Collado & Martín Browning, 2006. "Habits And Heterogeneity In Demands: A Panel Data Analysis," Working Papers. Serie AD 2006-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  137. Xiaohong Chen & Sydney C. Ludvigson, 2009. "Land of addicts? an empirical investigation of habit-based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1057-1093.
  138. Wei-Bin Zhang, 2013. "Dynamic Interactions among Growth, Environmental Change, Habit Formation, and Preference Change," The International Journal of Economic Behavior - IJEB, Faculty of Business and Administration, University of Bucharest, vol. 3(1), pages 3-25, December.
  139. Aditya Goenka & Melisso Boschi, 2004. "International capital flows and transmission of financial crises," Econometric Society 2004 Far Eastern Meetings 785, Econometric Society.
  140. Guest, Ross S & McDonald, Ian M, 1998. "The Socially Optimal Level of Saving in Australia, 1960-61 to 1994-95," Australian Economic Papers, Wiley Blackwell, vol. 37(3), pages 213-35, September.
  141. Daniel Sámano, 2009. "Explaining Taxes at the Upper Tail of the Income Distribution: The Role of Utility Interdependence," Working Papers 2009-16, Banco de México.
  142. Jens Larsen & Ben May & James Talbot, 2003. "Estimating real interest rates for the United Kingdom," Bank of England working papers 200, Bank of England.
  143. George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
  144. Been-lon Chen & Yu-shan Hsu, 2009. "Is admiration a source of indeterminacy when the speed of habit formation is finite?," Economics Bulletin, AccessEcon, vol. 29(4), pages 3041-3049.
  145. Jang‐Ting Guo & Alan Krause, 2011. "Optimal Nonlinear Income Taxation with Habit Formation," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 13(3), pages 463-480, 06.
  146. Christian Grund & Dirk Sliwka, 2003. ""The Further We Stretch the Higher the Sky" - On the Impact of Wage Increases on Job Satisfaction," Bonn Econ Discussion Papers bgse1_2003, University of Bonn, Germany.
  147. Olivier Allais & Loic Cadiou & Stéphane Dees, 2000. "Consumption Habit and Equity Premium in the G7 Countries," Working Papers 2000-19, CEPII research center.
  148. Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich, 2009. "The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy," IESE Research Papers D/821, IESE Business School.
  149. Santiago Budria & Antonia Diaz, 2006. "Term Premium And Equity Premium In Economies With Habit Formation," Economics Working Papers we065522, Universidad Carlos III, Departamento de Economía.
  150. Enrichetta Ravina, 2005. "Keeping Up with the Joneses: Evidence from Micro Data," 2005 Meeting Papers 557, Society for Economic Dynamics.
  151. Kevin X.D. Huang & Zheng Liu & John Q. Zhu, 2013. "Temptation and self-control: some evidence and applications," Working Paper Series 2013-23, Federal Reserve Bank of San Francisco.
  152. Faria, Joao Ricardo, 2001. "Habit formation in a monetary growth model," Economics Letters, Elsevier, vol. 73(1), pages 51-55, October.
  153. R. Lahiri, 1998. "The Inflation Tax, Variable Time Preference, and the Business Cycle," Economics Discussion / Working Papers 98-04, The University of Western Australia, Department of Economics.
  154. Katsuhiko Hori & Akihisa Shibata, 2008. "A Dynamic Game Model of Endogenous Growth with Consumption Externalities," Keio/Kyoto Joint Global COE Discussion Paper Series 2008-040, Keio/Kyoto Joint Global COE Program.
  155. Gómez, Manuel A., 2014. "Equilibrium dynamics in a class of one-sector endogenous growth models with external habits: An application of special functions," Journal of Mathematical Economics, Elsevier, vol. 51(C), pages 50-54.
  156. Okumura, Tsunao, 1997. "Housing Investment and Residential Land Supply in Japan: An Asset Market Approach," Journal of the Japanese and International Economies, Elsevier, vol. 11(1), pages 27-54, March.
  157. Marco antonio Bonomo & Rene Garcia, 1992. "Consumption and equilibrium asset pricing: An empirical assessment," Textos para discussão 284, Department of Economics PUC-Rio (Brazil).
  158. Braun, Phillip A. & Constantinides, George M. & Ferson, Wayne E., 1993. "Time nonseparability in aggregate consumption : International evidence," European Economic Review, Elsevier, vol. 37(5), pages 897-920, June.
  159. Benjamin Eden, 2008. "Substitution, Risk Aversion and Asset Prices: An Expected Utility Approach," Vanderbilt University Department of Economics Working Papers 0803, Vanderbilt University Department of Economics.
  160. Andrei Semenov, 2008. "Estimation of the consumption CAPM with imperfect sample separation information," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 333-348.
  161. Wen Yi, 2004. "What Does It Take to Explain Procyclical Productivity?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 4(1), pages 1-40, June.
  162. Roman Muraviev, 2011. "Additive habits with power utility: Estimates, asymptotics and equilibrium," Papers 1108.2889, arXiv.org.
  163. Isaac Gross & James Hansen, 2013. "Reserves of Natural Resources in a Small Open Economy," RBA Research Discussion Papers rdp2013-14, Reserve Bank of Australia.
  164. Ramchand, Latha, 1999. "Asset pricing in open economies with incomplete markets: implications for foreign currency returns," Journal of International Money and Finance, Elsevier, vol. 18(6), pages 871-890, December.
  165. Eyal Ert & Ido Erev, 2013. "On the descriptive value of loss aversion in decisions under risk: Six clarifications," Judgment and Decision Making, Society for Judgment and Decision Making, vol. 8(3), pages 214-235, May.
  166. 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.
  167. M. C. Freeman & I. R. Davidson, 1999. "Estimating the equity premium," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 236-246.
  168. Christopher Otrok, 2000. "On Measuring the Welfare Cost of Business Cycles," Econometric Society World Congress 2000 Contributed Papers 1094, Econometric Society.
  169. Zin, Stanley E., 2002. "Are behavioral asset-pricing models structural?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 215-228, January.
  170. Nicholas Barberis & Ming Huang & Tano Santos, . "Prospect Theory and Asset Prices," CRSP working papers 494, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  171. Yum K. Kwan & Jinyue Dong, 2014. "Stock Price Dynamics of China: What Do the Asset Markets Tell Us About the Chinese Utility Function?," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 50(03), pages 77-108, May.
  172. Arman Mansoorian & Simon Neaime, 1996. "Habits and Durability in Consumption, and the Effects of Tariff Protection," Working Papers 1996_02, York University, Department of Economics.
  173. Eric Swanson, 2013. "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," 2013 Meeting Papers 1137, Society for Economic Dynamics.
  174. George M. Constantinides & Anisha Ghosh, 2008. "Asset pricing tests with long run risks in consumption growth," LSE Research Online Documents on Economics 24428, London School of Economics and Political Science, LSE Library.
  175. 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.
  176. Kraus, Alan & Sagi, Jacob S., 2006. "Asset pricing with unforeseen contingencies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 417-453, November.
  177. Mankiw, N.G. & Zeldes, S.P., 1990. "The Consumption Of Stockholders And Non-Stockholders," Weiss Center Working Papers 23-90, Wharton School - Weiss Center for International Financial Research.
  178. Guglielmo Maria Caporale & Ricardo M. Sousa, 2011. "Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets," CESifo Working Paper Series 3601, CESifo Group Munich.
  179. Matsen, Egil, 2003. "Habit persistence and welfare gains from international asset trade," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 239-260, April.
  180. Carrasco, Raquel & Labeaga Azcona, J Maria & López-Salido, J David, 2002. "Consumption and Habits: Evidence from Panel Data," CEPR Discussion Papers 3520, C.E.P.R. Discussion Papers.
  181. Chaigneau, Pierre, 2013. "Explaining the structure of CEO incentive pay with decreasing relative risk aversion," Journal of Economics and Business, Elsevier, vol. 67(C), pages 4-23.
  182. Mansoorian, Arman & Neaime, Simon, 2003. "Durable goods, habits, time preference, and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 14(1), pages 115-130, March.
  183. Ikeda, Shinsuke & Gombi, Ichiro, 2009. "Habit Formation In An Interdependent World Economy," Macroeconomic Dynamics, Cambridge University Press, vol. 13(04), pages 477-492, September.
  184. Wen, Yi, 2002. "Fickle Consumers versus Random Technology: Explaining Domestic and International Comovements," Working Papers 02-01, Cornell University, Center for Analytic Economics.
  185. 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.
  186. Falato, Antonio, 2009. "Happiness maintenance and asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1247-1262, June.
  187. Mordecai Kurz, 1997. "Social States of Belief and the Determinants of the Equity Risk Premium in A Rational Belief Equilibrium," Working Papers 97026, Stanford University, Department of Economics.
  188. Jingyi Liu, 2008. "Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?," ESE Discussion Papers 181, Edinburgh School of Economics, University of Edinburgh.
  189. Douch, Mohamed & Bouaddi, Mohammed, 2010. "EQUITY Premium Puzzle in a Data-Rich Environment," MPRA Paper 29440, University Library of Munich, Germany.
  190. 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.
  191. Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 110(4), pages 793-824, August.
  192. Carl D. Lantz & Pierre-Daniel G. Sarte, 2001. "Consumption, savings, and the meaning of the wealth effect in general equilibrium," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 53-71.
  193. Benartzi, Shlomo & Thaler, Richard H, 1995. "Myopic Loss Aversion and the Equity Premium Puzzle," The Quarterly Journal of Economics, MIT Press, vol. 110(1), pages 73-92, February.
  194. Rosenberg, Joshua V. & Engle, Robert F., 2002. "Empirical pricing kernels," Journal of Financial Economics, Elsevier, vol. 64(3), pages 341-372, June.
  195. Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
  196. Jonathan A. Parker, 2001. "The Consumption Risk of the Stock Market," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(2), pages 279-348.
  197. Vincenzo Merella & Steve Satchell, 2005. "The Impact of Consumer Confidence on Expected Utility Maximization: A Contribution to the Equity Premium Puzzle Literature," Birkbeck Working Papers in Economics and Finance 0525, Birkbeck, Department of Economics, Mathematics & Statistics.
  198. Philip Jefferson, 2001. "Price dynamics when there are alternatives to cash payment," Journal of Economics and Finance, Springer, vol. 25(2), pages 149-171, June.
  199. Guiso, Luigi & Sodini, Paolo, 2012. "Household Finance: An Emerging Field," CEPR Discussion Papers 8934, C.E.P.R. Discussion Papers.
  200. Christos Koulovatianos & Carsten Schröder & Ulrich Schmidt, 2014. "Confronting the Representative Consumer with Household-Size Heterogeneity," CREA Discussion Paper Series 14-13, Center for Research in Economic Analysis, University of Luxembourg.
  201. Chen Zhen & Michael K. Wohlgenant, 2006. "Meat Demand under Rational Habit Persistence," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 54(4), pages 477-495, December.
  202. Dominique Pepin, 2011. "Instabilité des comportements et cycles financiers : une relecture dans un cadre rationnel avec préférences endogènes," Working Papers hal-00960012, HAL.
  203. Sousa, João & Sousa, Ricardo M., 2013. "Asset returns under model uncertainty: evidence from the euro area, the U.S. and the U.K," Working Paper Series 1575, European Central Bank.
  204. Olivier, CARDI, 2005. "Another View of the J-Curve," Discussion Papers (ECON - Département des Sciences Economiques) 2005029, Université catholique de Louvain, Département des Sciences Economiques.
  205. Shu-Hua Chen, 2012. "On the Growth and Stability Effects of Habit Formation and Durability in Consumption," Annals of Economics and Finance, Society for AEF, vol. 13(2), pages 283-298, November.
  206. Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
  207. Mordecai Kurz & Maurizio Motolese, . "Endogenous Uncertainty and Market Volatility," Working Papers 99005, Stanford University, Department of Economics.
  208. Rubens Penha Cysne, 2005. "Equity-Premium Puzzle: Evidence From Brazilian Data," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting] 088, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  209. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," 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 11, pages 639-742 Elsevier.
  210. Ellen R. McGrattan & Edward C. Prescott, 2001. "Taxes, Regulations, and Asset Prices," NBER Working Papers 8623, National Bureau of Economic Research, Inc.
  211. René Garcia & Richard Luger, 2007. "The Canadian macroeconomy and the yield curve: an equilibrium-based approach," Canadian Journal of Economics, Canadian Economics Association, vol. 40(2), pages 561-583, May.
  212. Jon Danielsson & Jean-Pierre Zigrand, 2008. "Equilibrium asset pricing with systemic risk," LSE Research Online Documents on Economics 24823, London School of Economics and Political Science, LSE Library.
  213. Alessie, R.J.M. & Teppa, F., 2002. "Saving and Habit Formation : Evidence from Dutch Panel Data," Discussion Paper 2002-62, Tilburg University, Center for Economic Research.
  214. Arman Mansoorian, 1996. "Habits and Durability in Consumption, and the Dynamics of the Current Account," Working Papers 1996_01, York University, Department of Economics.
  215. Bruhn, Kenneth & Steffensen, Mogens, 2013. "Optimal smooth consumption and annuity design," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2693-2701.
  216. Yang, Yunhong, 2000. "Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation," Journal of Mathematical Economics, Elsevier, vol. 33(2), pages 135-153, March.
  217. Salyer, Kevin D., 1998. "Crash states and the equity premium: Solving one puzzle raises another," Journal of Economic Dynamics and Control, Elsevier, vol. 22(6), pages 955-965, June.
  218. Willi Semmler & Lars Grüne, 2004. "Asset Pricing with Delayed Consumption Decisions," Computing in Economics and Finance 2004 59, Society for Computational Economics.
  219. Yeung Lewis Chan & Leonid Kogan, 2001. "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," NBER Working Papers 8607, National Bureau of Economic Research, Inc.
  220. Johnson, Timothy C., 2012. "Inequality risk premia," Journal of Monetary Economics, Elsevier, vol. 59(6), pages 565-580.
  221. Seeun Jung & Carole Treibich, 2014. "Is Self-Reported Risk Aversion Time Varying?," PSE Working Papers halshs-00965549, HAL.
  222. De Waegenaere, Anja & Wakker, Peter P., 2001. "Nonmonotonic Choquet integrals," Journal of Mathematical Economics, Elsevier, vol. 36(1), pages 45-60, September.
  223. Joao Ricardo Faria, 2002. "Growth and labor supply in the presence of habit formation in consumption," Economics Bulletin, AccessEcon, vol. 4(5), pages 1-5.
  224. Michael T. Kiley, 2007. "Habit persistence, non-separability between consumption and leisure, or rule-of thumb consumers: which accounts for the predictability of consumption growth?," Finance and Economics Discussion Series 2007-48, Board of Governors of the Federal Reserve System (U.S.).
  225. Cheung, Yin-Wong & He, Jia & Ng, Lilian K., 1997. "What are the global sources of rational variation in international equity returns?," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 821-836, December.
  226. Jaccard, Ivan, 2013. "Liquidity constraints, risk premia, and themacroeconomic effects of liquidity shocks," Working Paper Series 1525, European Central Bank.
  227. Chen, Yong & Jayaprakash, Ciriyam & Irwin, Elena G., 2008. "Divergent Time Scales in a Coupled Ecological-Economic Model of Regional Growth," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6195, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  228. 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.
  229. Longstaff, Francis A. & Piazzesi, Monika, 2004. "Corporate earnings and the equity premium," Journal of Financial Economics, Elsevier, vol. 74(3), pages 401-421, December.
  230. Lungu, Laurian & Minford, Patrick, 2005. "Explaining The Equity Risk Premium," CEPR Discussion Papers 5017, C.E.P.R. Discussion Papers.
  231. Hideaki Tamura & Yoichi Matsubayashi, 2014. "A New Solution to the Equity Premium Puzzle and the Risk-Free Rate Puzzle: Theory and Evidence," Discussion Papers 1422, Graduate School of Economics, Kobe University.
  232. hafedh bouakez & emanuela cardia, 2003. "Habit Formation and the Persistence of Monetary Shocks," Computing in Economics and Finance 2003 72, Society for Computational Economics.
  233. Ravi Bansal & Amir Yaron, 2000. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," NBER Working Papers 8059, National Bureau of Economic Research, Inc.
  234. James M. Nason, 1991. "The permanent income hypothesis when the bliss point is stochastic," Discussion Paper / Institute for Empirical Macroeconomics 46, Federal Reserve Bank of Minneapolis.
  235. Yacine Aït-Sahalia, 2001. "Variable Selection for Portfolio Choice," Journal of Finance, American Finance Association, vol. 56(4), pages 1297-1351, 08.
  236. Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010. "Habit formation, surplus consumption and return predictability: International evidence," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1237-1255, November.
  237. Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
  238. Meyer, Donald J. & Meyer, Jack, 2005. "Risk preferences in multi-period consumption models, the equity premium puzzle, and habit formation utility," Journal of Monetary Economics, Elsevier, vol. 52(8), pages 1497-1515, November.
  239. Boldrin, Michele & Christiano, Lawrence J. & Fisher, Jonas D.M., 1997. "Habit Persistence And Asset Returns In An Exchange Economy," Macroeconomic Dynamics, Cambridge University Press, vol. 1(02), pages 312-332, June.
  240. Hlouskova, Jaroslava & Tsigaris, Panagiotis, 2012. "Capital Income Taxation and Risk Taking under Prospect Theory," Economics Series 283, Institute for Advanced Studies.
  241. Achury, Carolina & Hubar, Sylwia & Koulovatianos, Christos, 2011. "Saving rates and portfolio choice with subsistence consumption," CFS Working Paper Series 2011/06, Center for Financial Studies (CFS).
  242. Farmer, Roger E A, 2015. "Global Sunspots and Asset Prices in a Monetary Economy," CEPR Discussion Papers 10402, C.E.P.R. Discussion Papers.
  243. Aude Pommeret & Anne Epaulard, 2001. "Agents' Preferences, the Equity Premium, and the Consumption-Saving Trade-Off; An Application to French Data," IMF Working Papers 01/117, International Monetary Fund.
  244. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
  245. Gurdip Bakshi, 2009. "Du subjectiv expectations explain asset pricing puzzles?," 2009 Meeting Papers 1234, Society for Economic Dynamics.
  246. Francisco Gomes & Alexander Michaelides, 2003. "Portfolio Choice With Internal Habit Formation: A Life-Cycle Model With Uninsurable Labor Income Risk," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 729-766, October.
  247. Jean-Pierre DANTHINE & John B. DONALDSON & Rajnish MEHRA, 1992. "The Equity Premium and the Allocation of Income Risk," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 9203, Université de Lausanne, Faculté des HEC, DEEP.
  248. Olivier Allais, 2004. "Local Substitution and Habit Persistence: Matching the Moments of the Equity Premium and the Risk-Free Rate," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(2), pages 265-296, April.
  249. Arjen Siegmann, 2003. "Shortfall allowed: loss aversion and habit formation," WO Research Memoranda (discontinued) 741, Netherlands Central Bank, Research Department.
  250. Atkeson, Andrew & Ogaki, Masao, 1996. "Wealth-varying intertemporal elasticities of substitution: Evidence from panel and aggregate data," Journal of Monetary Economics, Elsevier, vol. 38(3), pages 507-534, December.
  251. Ioannis Oikonomou & Stephen Pavelin, 2010. "The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis," ICMA Centre Discussion Papers in Finance icma-dp2010-12, Henley Business School, Reading University.
  252. Charles Ka Yui Leung & Nan-Kuang Chen, 2005. "Intrinsic Cycles of Land Price: A Simple Model," Discussion Papers 00005, Chinese University of Hong Kong, Department of Economics.
  253. Rieger, Marc Oliver & Wang, Mei, 2012. "Can ambiguity aversion solve the equity premium puzzle? Survey evidence from international data," Finance Research Letters, Elsevier, vol. 9(2), pages 63-72.
  254. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
  255. Lin, Wen-chang & Lu, Jin-ray, 2012. "Risky asset allocation and consumption rule in the presence of background risk and insurance markets," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 150-158.
  256. Semyon Malamud, 2008. "Universal bounds for asset prices in heterogeneous economies," Finance and Stochastics, Springer, vol. 12(3), pages 411-422, July.
  257. Gormley, Todd & Liu, Hong & Zhou, Guofu, 2010. "Limited participation and consumption-saving puzzles: A simple explanation and the role of insurance," Journal of Financial Economics, Elsevier, vol. 96(2), pages 331-344, May.
  258. Jan-Peter Olters & Daniel Leigh, 2006. "Natural-Resource Depletion, Habit Formation, and Sustainable Fiscal Policy; Lessons From Gabon," IMF Working Papers 06/193, International Monetary Fund.
  259. 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.
  260. Johdo, Wataru, 2009. "Habit persistence and stagnation," Economic Modelling, Elsevier, vol. 26(5), pages 1110-1114, September.
  261. Yacine A�T-Sahalia & Jonathan A. Parker & Motohiro Yogo, 2004. "Luxury Goods and the Equity Premium," Journal of Finance, American Finance Association, vol. 59(6), pages 2959-3004, December.
  262. 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.
  263. Douch, Mohamed, 2004. "Equity Premiums In a Small Open Economy," MPRA Paper 876, University Library of Munich, Germany.
  264. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  265. Maurice Obstfeld, 1989. "Intertemporal Dependence, Impatience, and Dynamics," NBER Working Papers 3028, National Bureau of Economic Research, Inc.
  266. Andrew B. Abel, 2006. "Equity Premia with Benchmark Levels of Consumption: Closed-Form Results," NBER Working Papers 12290, National Bureau of Economic Research, Inc.
  267. Giuseppe Cappelletti, 2012. "Do wealth fluctuations generate time-varying risk aversion? Italian micro-evidence on household asset allocation," Temi di discussione (Economic working papers) 845, Bank of Italy, Economic Research and International Relations Area.
  268. Ljungqvist, L. & Uhlig, H.F.H.V.S., 1996. "Catching up with the Keynesians," Discussion Paper 1996-96, Tilburg University, Center for Economic Research.
  269. Kandel, Shmuel & Kuznitz, Arik, 2004. "A Portfolio Choice Model with Utility from Anticipation of Future Consumption and Stock Markets' Mean Reversion," CEPR Discussion Papers 4701, C.E.P.R. Discussion Papers.
  270. Engen, Eric & Gale, William & Uccello, Cori, 1999. "The Adequacy of Household Saving," MPRA Paper 56442, University Library of Munich, Germany.
  271. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
  272. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho.
  273. Lars Peter Hansen, 2012. "Risk Pricing over Alternative Investment Horizons," Working Papers 2012-008, Becker Friedman Institute for Research In Economics.
  274. Sarkar, Asani & Zhang, Lingjia, 2009. "Time varying consumption covariance and dynamics of the equity premium: Evidence from the G7 countries," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 613-631, September.
  275. Driscoll, John C. & Holden, Steinar, 2014. "Behavioral economics and macroeconomic models," Journal of Macroeconomics, Elsevier, vol. 41(C), pages 133-147.
  276. Casey B. Mulligan, 2004. "Robust Aggregate Implications of Stochastic Discount Factor Volatility," NBER Working Papers 10210, National Bureau of Economic Research, Inc.
  277. Beaubrun-Diant, Kevin E. & Tripier, Fabien, 2005. "Asset returns and business cycles in models with investment adjustment costs," Economics Letters, Elsevier, vol. 86(1), pages 141-146, January.
  278. 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.
  279. Ryan Banerjee & Nicoletta Batini, 2003. "UK Consumers’ Habits," Discussion Papers 13, Monetary Policy Committee Unit, Bank of England.
  280. John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Chapters, in: NBER Macroeconomics Annual 1992, Volume 7, pages 115-182 National Bureau of Economic Research, Inc.
  281. P Simmons, . "Static Decisions May Be Optimal in a Life Cycle Setting," Discussion Papers 11/18, Department of Economics, University of York.
  282. Wataru Johdo, 2013. "Does monetary expansion improve welfare under habit formation?," Economics Bulletin, AccessEcon, vol. 33(3), pages 1959-1968.
  283. Takashi Kano, 2008. "Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect," CIRJE F-Series CIRJE-F-572, CIRJE, Faculty of Economics, University of Tokyo.
  284. Niklas Karlsson & George Loewenstein & Duane Seppi, 2009. "The ostrich effect: Selective attention to information," Journal of Risk and Uncertainty, Springer, vol. 38(2), pages 95-115, April.
  285. Martin Sommer, 2004. "Habits, Sentiment and Predictable Income in the Dynamics of Aggregate Consumption," Macroeconomics 0408004, EconWPA.
  286. Janine Aron & John Muellbauer, 2000. "Financial liberalisation, consumption and debt in South Africa," CSAE Working Paper Series 2000-22, Centre for the Study of African Economies, University of Oxford.
  287. Paul Bergin & Hyung-Cheol Shin & Ivan Tchakarov, 2005. "Does Exchange Rate Variability Matter for Welfare? A Quantitative Investigation of Stabilization Policies," Working Papers 512, University of California, Davis, Department of Economics.
  288. Jacobs, Kris, 2000. "Estimating Nonseparable Preference Specifications for Asset Market Participants," Econometric Society World Congress 2000 Contributed Papers 1472, Econometric Society.
  289. Zakaria Babutsidze & Robin Cowan, 2014. "Showing or telling? Local interaction and organization of behavior," Journal of Economic Interaction and Coordination, Springer, vol. 9(2), pages 151-181, October.
  290. Paul Ehling, 2004. "Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership," Econometric Society 2004 North American Winter Meetings 311, Econometric Society.
  291. T. Arun, 2012. "The Merton Problem with a Drawdown Constraint on Consumption," Papers 1210.5205, arXiv.org.
  292. Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Computing in Economics and Finance 2006 217, Society for Computational Economics.
  293. Andrei Semenov, 2003. "An Empirical Assessment of a Consumption CAPM with a Reference Level under Incomplete Consumption Insurance," Working Papers 2003_5, York University, Department of Economics.
  294. Sebastian Koehne & Moritz Kuhn, 2014. "Optimal Taxation in a Habit Formation Economy," CESifo Working Paper Series 4581, CESifo Group Munich.
  295. Jönsson, Kristian, 2004. "Real Exchange Rate and Consumption Fluctuations following Trade Liberalization," SSE/EFI Working Paper Series in Economics and Finance 568, Stockholm School of Economics, revised 04 Jan 2005.
  296. Maria I. Marika Santoro & Chao D. Wei, 2008. "Taxation and Asset Pricing in a Production Economy: Working Paper 2008-10," Working Papers 20412, Congressional Budget Office.
  297. Michele Boldrin & Lawrence J. Christiano & Jonas D.M. Fisher, 1995. "Asset pricing lessons for modeling business cycles," Working Papers 560, Federal Reserve Bank of Minneapolis.
  298. Maria I. Marika Santoro & Chao D. Wei, 2008. "The Impact of Progressive Dividend Taxation on Investment Decisions: Working Paper 2008-03," Working Papers 19630, Congressional Budget Office.
  299. Maurice J. Roche & Michael J. Moore, 2007. "Solving Exchange Rate Puzzles with neither Sticky Prices nor Trade Costs," Economics, Finance and Accounting Department Working Paper Series n1750507, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  300. Wu, Stephen, 2001. "Adapting to heart conditions: a test of the hedonic treadmill," Journal of Health Economics, Elsevier, vol. 20(4), pages 495-507, July.
  301. Azariadis, Costas & Kaas, Leo, 2007. "Asset price fluctuations without aggregate shocks," Journal of Economic Theory, Elsevier, vol. 136(1), pages 126-143, September.
  302. Woglom, Geoffrey, 2003. "Endowment spending rates, intergenerational equity and the sources of capital gains," Economics of Education Review, Elsevier, vol. 22(6), pages 591-601, December.
  303. Koehne, Sebastian & Kuhn, Moritz, 2015. "Optimal taxation in a habit formation economy," Journal of Public Economics, Elsevier, vol. 122(C), pages 31-39.
  304. Fang Yang & Xuan Liu & Zongwu Cai, . "Does Relative Risk Aversion Vary with Wealth? Evidence from Households' Portfolio Choice Data," Departmental Working Papers 2013-09, Department of Economics, Louisiana State University.
  305. 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.
  306. TallariniJr., Thomas D., 2000. "Risk-sensitive real business cycles," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 507-532, June.
  307. Marika Santoro & Chao Wei, 2011. "The Welfare Cost of Capital Taxation: An Asset Market Approach (Working Paper 2011-03)," Working Papers 41152, Congressional Budget Office.
  308. Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers 2014/9, Department of Business and Management Science, Norwegian School of Economics.
  309. Aase, Knut K., 2004. "Jump Dynamics: The Equity Premium and the Risk-Free Rate Puzzles," Discussion Papers 2004/12, Department of Business and Management Science, Norwegian School of Economics.
  310. Christian Grund & Dirk Sliwka, 2007. "Reference-Dependent Preferences and the Impact of Wage Increases on Job Satisfaction: Theory and Evidence," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 163(2), pages 313-335, June.
  311. Jim Malley & Hassan Molana, 2002. "The Life-Cycle-Permanent-Income Model: A Reinterpretation and Supporting Evidence," Working Papers 2002_17, Business School - Economics, University of Glasgow.
  312. Nelson C. Mark & S.G. Cecchetti & P-s. Lam, 1997. "Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?," Working Papers 017, Ohio State University, Department of Economics.
  313. Lawrence J. Christiano & Jonas D.M. Fisher, 1995. "Tobin's Q and asset returns: implications for business cycle analysis," Working Paper Series, Macroeconomic Issues 95-14, Federal Reserve Bank of Chicago.
  314. Alok Johri and Marc-André Letendre, 2006. "What do “residuals” from first-order conditions reveal about DGE models?," Department of Economics Working Papers 2006-01, McMaster University.
  315. Rajnish Mehra, 2003. "The Equity Premium: Why is it a Puzzle?," NBER Working Papers 9512, National Bureau of Economic Research, Inc.
  316. Luigi Guiso, 2014. "Risk Aversion and Financial Crisis," EIEF Working Papers Series 1412, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2014.
  317. Christopher Tsoukis & Frédéric Tournemaine, 2013. "Status In A Canonical Macro Model: Labour Supply, Growth And Inequality," Manchester School, University of Manchester, vol. 81, pages 65-92, October.
  318. Simon, András & Várpalotai, Viktor, 2001. "Eladósodás, kockázat és óvatosság
    [Optimal indebtedness in a small open economy showing precautionary behaviour]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 363-392.
  319. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
  320. Kris Jacobs & Stephane Pallage & Michel A. Robe, 2005. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," Computing in Economics and Finance 2005 47, Society for Computational Economics.
  321. Rhodes, Charles, 2012. "A Dynamic Model of Failure to Maximize Utility in the Chronic Consumer Choice to Consume Foods High in Added Sugars," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124693, Agricultural and Applied Economics Association.
  322. Grüne, Lars & Semmler, Willi, 2008. "Asset pricing with loss aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3253-3274, October.
  323. Ravi Jagannathan & Yong Wang, 2005. "Consumption Risk and the Cost of Equity Capital," NBER Working Papers 11026, National Bureau of Economic Research, Inc.
  324. William T. Smith & Qiang Zhang, 2006. "Asset Pricing With Multiplicative Habit and Power-Expo Preferences," CIRJE F-Series CIRJE-F-429, CIRJE, Faculty of Economics, University of Tokyo.
  325. Ferhan Salman, 2005. "Risk Aversion, Sovereign Bonds and Risk Premium," Working Papers 0514, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  326. IWAMOTO Koichiro, 2011. "Food Consumption Expenditure and Habit Formation: Evidence from Japanese Household Panel Data," ESRI Discussion paper series 264, Economic and Social Research Institute (ESRI).
  327. Eric T. Swanson, 2009. "Risk aversion, the labor margin, and asset pricing in DSGE models," Working Paper Series 2009-26, Federal Reserve Bank of San Francisco.
  328. Santos, Tano & Veronesi, Pietro, 2010. "Habit formation, the cross section of stock returns and the cash-flow risk puzzle," Journal of Financial Economics, Elsevier, vol. 98(2), pages 385-413, November.
  329. Binswanger, Johannes, 2010. "Understanding the heterogeneity of savings and asset allocation: A behavioral-economics perspective," Journal of Economic Behavior & Organization, Elsevier, vol. 76(2), pages 296-317, November.
  330. Ogaki, Masao & Park, Joon Y., 1997. "A cointegration approach to estimating preference parameters," Journal of Econometrics, Elsevier, vol. 82(1), pages 107-134.
  331. Juan-Ángel Jiménez-Martín & Alfonso Novales Cinca, 2009. "State-Uncertainty preferences and the Risk Premium in the Exchange rate market," Documentos de Trabajo del ICAE 0917, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  332. Willman, Alpo, 2007. "Sequential optimization, front-loaded information, and U.S. consumption," Working Paper Series 0765, European Central Bank.
  333. Tano Santos & Pietro Veronesi, 2005. "Cash-Flow Risk, Discount Risk, and the Value Premium," NBER Working Papers 11816, National Bureau of Economic Research, Inc.
  334. Li, Yuming, 2001. "Expected Returns and Habit Persistence," Review of Financial Studies, Society for Financial Studies, vol. 14(3), pages 861-99.
  335. Adam Szeidl & Raj Chetty, 2005. "Consumption Commitments: Neoclassical Foundations for Habit Formation," 2005 Meeting Papers 122, Society for Economic Dynamics.
  336. Bakshi, Gurdip S. & Naka, Atsuyuki, 1997. "An empirical investigation of asset pricing models using Japanese stock market data," Journal of International Money and Finance, Elsevier, vol. 16(1), pages 81-112, February.
  337. Weinbaum, David, 2005. "Subsistence consumption, habit formation and the demand for long-term bonds," Journal of Economics and Business, Elsevier, vol. 57(4), pages 273-287.
  338. Patrick Pintus & Yi Wen, 2013. "Leveraged Borrowing and Boom-Bust Cycles," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(4), pages 617-633, October.
  339. Hanno Lustig & Stijn Van Nieuwerburgh, 2006. "Can Housing Collateral Explain Long-Run Swings in Asset Returns?," NBER Working Papers 12766, National Bureau of Economic Research, Inc.
  340. Fethke, Gary & Jagannathan, Raj, 1996. "Habit persistence, heterogeneous tastes, and imperfect competition," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 1193-1207.
  341. Sandrine Lardic & Valérie Mignon, 2003. "Cointégration fractionnaire entre la consommation et le revenu," Économie et Prévision, Programme National Persée, vol. 158(2), pages 123-142.
  342. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho.
  343. Martin Sommer, 2001. "Sentiment Predictable Income and Habits in the Dynamics of Aggregate Consumption," Economics Working Paper Archive 458, The Johns Hopkins University,Department of Economics.
  344. Cuoco, Domenico & Liu, Hong, 2000. "Optimal consumption of a divisible durable good," Journal of Economic Dynamics and Control, Elsevier, vol. 24(4), pages 561-613, April.
  345. Marco Taboga, 2002. "The Realized Equity Premium has been Higher than Expected: Further Evidence," CeRP Working Papers 29, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  346. Vipul Bhatt & Masao Ogaki & Yuichi Yaguchi, 2014. "A Reformulation of Normative Economics for Models with Endogenous Preferences," IMES Discussion Paper Series 14-E-02, Institute for Monetary and Economic Studies, Bank of Japan.
  347. Kwan, Yum K. & Leung, Charles Ka Yui & Dong, Jinyue, 2014. "Comparing Consumption-based Asset Pricing Models: The Case of an Asian City," MPRA Paper 60513, University Library of Munich, Germany.
  348. 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.
  349. Sialm, Clemens, 2006. "Stochastic taxation and asset pricing in dynamic general equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 511-540, March.
  350. Enrico Giorgi & Thorsten Hens & János Mayer, 2007. "Computational aspects of prospect theory with asset pricing applications," Computational Economics, Society for Computational Economics, vol. 29(3), pages 267-281, May.
  351. Martin Lettau & Harald Uhlig, 2000. "Can Habit Formation be Reconciled with Business Cycle Facts?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(1), pages 79-99, January.
  352. van der Sar, Nico L., 2004. "Behavioral finance: How matters stand," Journal of Economic Psychology, Elsevier, vol. 25(3), pages 425-444, June.
  353. Ronald J. Balvers & Dayong Huang, 2005. "Productivity-Based Asset Pricing: Theory and Evidence," Working Papers 05-05 Classification- JEL, Department of Economics, West Virginia University.
  354. Steinar Holden, 2012. "Implications of insights from behavioral economics for macroeconomic models," Working Paper 2012/12, Norges Bank.
  355. Mao-Wei Hung & Jr-Yan Wang, 2011. "Loss aversion and the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 43(29), pages 4623-4640.
  356. Gershun, Natalia, 2010. "Habit persistence, impediments to production factor adjustments, and asset returns in general equilibrium models with self-fulfilling expectations," Review of Financial Economics, Elsevier, vol. 19(1), pages 19-27, January.
  357. Lettau, M. & Uhlig, H.F.H.V.S., 1995. "Can Habit Formation be Reconciled with Business Cycle Facts?," Discussion Paper 1995-54, Tilburg University, Center for Economic Research.
  358. Wachter, Jessica A., 2005. "Solving models with external habit," Finance Research Letters, Elsevier, vol. 2(4), pages 210-226, December.
  359. Sean D. Campbell, 2005. "Stock market volatility and the Great Moderation," Finance and Economics Discussion Series 2005-47, Board of Governors of the Federal Reserve System (U.S.).
  360. Ivan Tchakarov & Paul Bergin, 2003. "Does Exchange Rate Risk Matter for Welfare?," Computing in Economics and Finance 2003 61, Society for Computational Economics.
  361. Belbute, José & Caleiro, António, 2009. "Measuring the Persistence on Consumption in Portugal," MPRA Paper 15116, University Library of Munich, Germany.
  362. de Miguel, Carlos & Manzano, Baltasar, 2011. "Green tax reforms and habits," Resource and Energy Economics, Elsevier, vol. 33(1), pages 231-246, January.
  363. Wen, Yi, 2007. "By force of demand: Explaining international comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 1-23, January.
  364. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
  365. Kubota, Keiichi & Tokunaga, Toshifumi & Wada, Kenji, 2008. "Consumption behavior, asset returns, and risk aversion: Evidence from the Japanese household survey," Japan and the World Economy, Elsevier, vol. 20(1), pages 1-18, January.
  366. Alessie, Rob & Lusardi, Annamaria, 1997. "Consumption, saving and habit formation," Economics Letters, Elsevier, vol. 55(1), pages 103-108, August.
  367. Kartik B. Athreya & Xuan S. Tam & Eric R. Young, 2009. "Are harsh penalties for default really better?," Working Paper 09-11, Federal Reserve Bank of Richmond.
  368. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," 2004 Meeting Papers 334, Society for Economic Dynamics.
  369. Brevik, Frode & d’Addona, Stefano, 2011. "Information Quality and Stock Returns Revisited," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(06), pages 1419-1446, January.
  370. Issler, João Victor & Piqueira, Natália Scotto, 2000. "Estimando a Aversão ao Risco, a Taxa de Desconto Intertemporal, e a Substutibilidade Intertemporal do Consumo no Brasil usando Três tipos de Função Utilidade (Versão Preliminar)," Economics Working Papers (Ensaios Economicos da EPGE) 387, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  371. M Saifur Rahman, 2008. "Should Dynamic Scoring be done with Heterogeneous Agent-Based Models? Challenging the Conventional Wisdom," Caepr Working Papers 2008-023, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  372. Been-Lon Chen, 2007. "Multiple BGPs in a Growth Model with Habit Persistence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 25-48, 02.
  373. Bakshi, Gurdip S. & Zhiwu, Chen, 1997. "An alternative valuation model for contingent claims," Journal of Financial Economics, Elsevier, vol. 44(1), pages 123-165, April.
  374. Jönsson, Kristian, 2005. "Real Exchange Rate and Consumption Fluctuations following Trade Liberalization," Working Paper Series 187, Sveriges Riksbank (Central Bank of Sweden).
  375. Aydilek, Asiye, 2013. "Habit formation and housing over the life cycle," Economic Modelling, Elsevier, vol. 33(C), pages 858-866.
  376. Marco Antonio Bonomo & Rene Garcia, 1993. "Disappointment aversion as a solution to the equity premium and the risk-free rate puzzles," Textos para discussão 308, Department of Economics PUC-Rio (Brazil).
  377. Babutsidze, Zakaria & Cowan, Robin, 2009. "Inertia, Interaction and Clustering in Demand," MERIT Working Papers 045, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
  378. Sousa, Ricardo M., 2009. "Wealth effects on consumption: evidence from the euro area," Working Paper Series 1050, European Central Bank.
  379. 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.
  380. Sule Alan, 2012. "Do disaster expectations explain household portfolios?," Quantitative Economics, Econometric Society, vol. 3(1), pages 1-28, 03.
  381. Ravenna , Federico & Seppälä , Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers 25/2006, Bank of Finland.
  382. Alpanda, Sami & Woglom, Geoffrey, 2007. "The Case Against Power Utility and a Suggested Alternative: Resurrecting Exponential Utility," MPRA Paper 5897, University Library of Munich, Germany.
  383. Gurdip S. Bakshi & Zhiwu Chen, . "An Alternative Model for Contingent Claims," Research in Financial Economics 9504, Ohio State University.
  384. Jian Wang, 2007. "Home bias, exchange rate disconnect, and optimal exchange rate policy," Working Papers 0701, Federal Reserve Bank of Dallas.
  385. Ricardo Sousa, 2011. "Building proxies that capture time-variation in expected returns using a VAR approach," Applied Financial Economics, Taylor & Francis Journals, vol. 21(3), pages 147-163.
  386. Thomas M. Eisenbach & Martin C. Schmalz, 2013. "Up close it feels dangerous: 'anxiety' in the face of risk," Staff Reports 610, Federal Reserve Bank of New York.
  387. Koulovatianos, Christos & Schröder, Carsten & Schmidt, Ulrich, 2014. "Do demographics prevent consumer aggregates from reflecting micro-level preferences?," CFS Working Paper Series 484, Center for Financial Studies (CFS).
  388. Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," NBER Working Papers 20394, National Bureau of Economic Research, Inc.
  389. Dios Palomares, Rafaela & Martínez Paz, José Miguel & Martínezcarrasco Pleite, Federico, 2006. "Including environmental variables in the effi ciency analysis: A three-step method/El análisis de efi ciencia con variables de entorno: un método de programas con tres etapas," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 24, pages 477-497, Abril.
  390. Uluc Aysun & Adam Honig, 2008. "Bankruptcy Costs, Liability Dollarization, and Vulnerability to Sudden Stops," Working papers 2008-41, University of Connecticut, Department of Economics.
  391. Wendner, Ronald, 2003. "Do habits raise consumption growth?," Research in Economics, Elsevier, vol. 57(2), pages 151-163, June.
  392. Madureira, Leonardo, 2007. "The ex ante real rate and inflation premium under a habit consumption model," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 355-382, June.
  393. Michael W. Brandt & Qiang Kang, 2002. "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers 9056, National Bureau of Economic Research, Inc.
  394. Claude Bergeron, 2013. "Dividend growth, stock valuation, and long-run risk," Journal of Economics and Finance, Springer, vol. 37(4), pages 547-559, October.
  395. Manuel Dominguez & Ignacio Lobato, 2010. "Consistent Inference in Models Defined by COnditional Moment Restrictions: an Alternative to GMM," Working Papers 1005, Centro de Investigacion Economica, ITAM.
  396. Eckwert, Bernhard, 1996. "Equilibrium term structure relations of risky assets in incomplete markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(3), pages 327-346.
  397. Cepii & Cepremap, 2001. "MARMOTTE : a Multinational Model," Working Papers 2001-15, CEPII research center.
  398. Santiago Budría, 2008. "An Exploration of Asset Returns in a Production Economy with Relative Habits," Atlantic Economic Journal, International Atlantic Economic Society, vol. 36(3), pages 261-274, September.
  399. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  400. Stefano Athanasoulis & Oren Sussman, 2007. "Habit formation and the equity–premium puzzle: a skeptical view," Annals of Finance, Springer, vol. 3(2), pages 193-212, March.
  401. 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.
  402. Liu, Wen-Fang & Turnovsky, Stephen J., 2005. "Consumption externalities, production externalities, and long-run macroeconomic efficiency," Journal of Public Economics, Elsevier, vol. 89(5-6), pages 1097-1129, June.
  403. M Boschi & S d'Addona & A Goenka, 2012. "Testing external habits in an asset pricing model," CAMA Working Papers 2012-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  404. João Sousa & Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Eveidence from the euro area, the U.K and the U.S," NIPE Working Papers 21/2011, NIPE - Universidade do Minho.
  405. Guidolin, Massimo, 2006. "Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle," Journal of Economics and Business, Elsevier, vol. 58(2), pages 85-118.
  406. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
  407. Chen, Been-Lon & Hsu, Mei, 2007. "Admiration is a source of indeterminacy," Economics Letters, Elsevier, vol. 95(1), pages 96-103, April.
  408. Chen, Been-Lon & Lee, Shun-Fa, 2007. "Import Tariffs and Growth in a Model with Habits," MPRA Paper 27667, University Library of Munich, Germany.
  409. Neuman, Tzahi & Neuman, Einat & Neuman, Shoshana, 2010. "Explorations of the effect of experience on preferences for a health-care service," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 39(3), pages 407-419, June.
  410. John Mullahy & Jody L. Sindelar, 1995. "Health, Income, and Risk Aversion: Assessing Some Welfare Costs of Alcoholism and Poor Health," Journal of Human Resources, University of Wisconsin Press, vol. 30(3), pages 439-459.
  411. Piergiorgio Alessandri, 2004. "Aggregate Consumption and the Stock Market: Should We Worry about Non-linear Wealth Effects?," Birkbeck Working Papers in Economics and Finance 0410, Birkbeck, Department of Economics, Mathematics & Statistics.
  412. Scheffel, Eric, 2008. "Consumption Velocity in a Cash Costly-Credit Model," Cardiff Economics Working Papers E2008/31, Cardiff University, Cardiff Business School, Economics Section.
  413. Liu, Zheng, 2000. "Seasonal cycles, business cycles, and monetary policy," Journal of Monetary Economics, Elsevier, vol. 46(2), pages 441-464, October.
  414. Belén Nieto & Rosa Rodríguez, 2004. "Modelos De Valoracion De Activos Condicionales: Un Panorama Comparativo Con Datos Españoles," Documentos de Trabajo de Economía de la Empresa db040202, Universidad Carlos III, Departamento de Economía de la Empresa.
  415. Yulei Luo, 2006. "Rational Inattention, Portfolio Choice, and the Equity Premium," Computing in Economics and Finance 2006 56, Society for Computational Economics.
  416. Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2011. "Online Appendix to "Saving Rates and Portfolio Choice with Subsistence Consumption"," Technical Appendices 10-11, Review of Economic Dynamics.
  417. J. Bradford DeLong & Konstantin Magin, 2009. "The U.S. Equity Return Premium: Past, Present, and Future," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 193-208, Winter.
  418. Willman, Alpo, 2003. "Consumption, habit persistence, imperfect information and the lifetime budget constraint," Working Paper Series 0251, European Central Bank.
  419. Stanislav Khrapov, 2012. "Risk Premia: Short and Long-term," Working Papers w0169, Center for Economic and Financial Research (CEFIR).
  420. Thomas Nitschka, 2008. "Idiosyncratic Consumption Risk and Predictability of the Carry Trade Premium: Euro Area Evidence," IEW - Working Papers 387, Institute for Empirical Research in Economics - University of Zurich.
  421. Aronsson, Thomas & Johansson-Stenman, Olof, 2013. "Publicly Provided Private Goods and Optimal Taxation when Consumers Have Positional Preferences," Working Papers in Economics 558, University of Gothenburg, Department of Economics.
  422. 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.
  423. George M. Constantinides, 2006. "Market Organization And The Prices Of Financial Assets," Manchester School, University of Manchester, vol. 74(s1), pages 1-23, 09.
  424. Antonelli, Fabio & Barucci, Emilio & Mancino, Maria Elvira, 2001. "Asset pricing with a forward-backward stochastic differential utility," Economics Letters, Elsevier, vol. 72(2), pages 151-157, August.
  425. Eunhee Lee & Chang Kim & In-Moo Kim, 2015. "Equity premium over different investment horizons," Empirical Economics, Springer, vol. 48(3), pages 1169-1187, May.
  426. Jaroslava Hlouskova & Jana Mikocziova & Rudolf Sivak & Peter Tsigaris, 2014. "Capital Income Taxation and Risk-Taking under Prospect Theory: The Continuous Distribution Case," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(5), pages 374-391, November.
  427. Kartik B. Athreya & Xuan S. Tam & Eric R. Young, 2012. "Debt default and the insurance of labor income risks," Economic Quarterly, Federal Reserve Bank of Richmond, issue 4Q, pages 255-307.
  428. Anthony W. Lynch & Sinan Tan, 2004. "Labor Income Dynamics at Business-Cycle Frequencies: Implications for Portfolio Choice," NBER Working Papers 11010, National Bureau of Economic Research, Inc.
  429. Mordecai Kurz & Hehui Jin & Maurizio Motolese, 2005. "Determinants of stock market volatility and risk premia," Annals of Finance, Springer, vol. 1(2), pages 109-147, 07.
  430. Aase, Knut K., 2005. "Using Option Pricing Theory to Infer About Equity Premiums," Discussion Papers 2005/11, Department of Business and Management Science, Norwegian School of Economics.
  431. Dmitriev, Alexandre & Roberts, Ivan, 2013. "The cost of adjustment: On comovement between the trade balance and the terms of trade," Economic Modelling, Elsevier, vol. 35(C), pages 689-700.
  432. Santiago García Verdú, 2010. "Equilibrium yield curves under regime switching," Working Papers 2010-08, Banco de México.
  433. 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.
  434. Christopher Otrok & B. Ravikumar & Charles H. Whiteman, 2000. "Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation," Virginia Economics Online Papers 350, University of Virginia, Department of Economics.
  435. P N Smith & S Sorensen & M R Wickens, . "Macroeconomic Sources of Equity Risk," Discussion Papers 03/13, Department of Economics, University of York.
  436. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  437. Roger E.A. Farmer, 2015. "Global Sunspots and Asset Prices in a Monetary Economy," NBER Working Papers 20831, National Bureau of Economic Research, Inc.
  438. Pok-sang Lam & Stephen G. Cecchetti & Nelson C. Mark, 2000. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?," American Economic Review, American Economic Association, vol. 90(4), pages 787-805, September.
  439. Aronsson, Thomas & Johansson-Stenman, Olof, 2014. "Genuine Saving and Conspicuous Consumption," Working Papers in Economics 605, University of Gothenburg, Department of Economics.
  440. Monteiro, Goncalo & Cook, Adam & Dey, Sanjoy, 2013. "Optimal tax policy under habit formation and capital utilization," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 230-248.
  441. Jan Carlos Hatchondo, 2008. "A quantitative study of the role of wealth inequality on asset prices," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 73-96.
  442. Grishchenko, Olesya V., 2010. "Internal vs. external habit formation: The relative importance for asset pricing," Journal of Economics and Business, Elsevier, vol. 62(3), pages 176-194, May.
  443. Drees, Burkhard & Eckwert, Bernhard, 1995. "The composition of stock price indices and the excess volatility puzzle," International Review of Economics & Finance, Elsevier, vol. 4(1), pages 29-36.
  444. Smith, Peter & Wickens, Michael, 2002. " Asset Pricing with Observable Stochastic Discount Factors," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 397-446, July.
  445. Borenstein, Eliezer & Elkayam, David, 2014. "The equity premium in a small open economy and an application to Israel," Economic Modelling, Elsevier, vol. 43(C), pages 81-99.
  446. Akdeniz,L. & Dechert,W.D., 2005. "The equity premium in Brock's asset pricing model," Working papers 3, Wisconsin Madison - Social Systems.
  447. Hasseltoft, Henrik, 2007. "The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates," SIFR Research Report Series 58, Institute for Financial Research.
  448. Ngo, Phuong V., 2014. "Habit formation in state-dependent pricing models: Implications for the dynamics of output and prices," Economics Letters, Elsevier, vol. 123(3), pages 336-340.
  449. 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.
  450. Mansoorian, Arman & Michelis, Leo, 2006. "The transition to a new inflation rate in models with habit formation," Economics Letters, Elsevier, vol. 91(1), pages 56-60, April.
  451. Tirole, Jean, 2002. "Rational irrationality: Some economics of self-management," European Economic Review, Elsevier, vol. 46(4-5), pages 633-655, May.
  452. 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.
  453. Strulik, Holger, 2008. "Comparing Consumption: A Curse or a Blessing?," Hannover Economic Papers (HEP) dp-382, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  454. Jhy-yuan Shieh & Ching-chong Lai & Wen-ya Chang, 2000. "Addictive behavior and endogenous growth," Journal of Economics, Springer, vol. 72(3), pages 263-273, October.
  455. Arthur J. Robson, 2001. "The Biological Basis of Economic Behavior," Journal of Economic Literature, American Economic Association, vol. 39(1), pages 11-33, March.
  456. Duernecker, Georg, 2007. "Growth Effects of Consumption Jealousy in a Two-Sector Model," Economics Series 201, Institute for Advanced Studies.
  457. Basak, Suleyman, 2002. "A comparative study of portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1217-1241, July.
  458. Evans, Paul & Hasan, Iftekhar, 1998. "The consumption-based capital asset pricing model: International evidence," Journal of Multinational Financial Management, Elsevier, vol. 8(1), pages 1-21, January.
  459. Francisco J. Gomes & Alexander Michaelides, 2003. "Portfolio choice with internal habit formation : a life-cycle model with uninsurable labor income risk," LSE Research Online Documents on Economics 196, London School of Economics and Political Science, LSE Library.
  460. Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
  461. Olivier Allais & Loic Cadiou & Stéphane Dees, 2001. "Defining Consumption Behaviour in a Multi-Country Model," Working Papers 2001-02, CEPII research center.
  462. Jim Malley & Hassan Molana, . "The Permanent Income Hypothesis Revisited: Reconciling Evidence from Aggregate Data with the Representative Consumer Behaviour," ICMM Discussion Papers 48, Department of Economics University of Strathclyde.
  463. 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.
  464. Aase, Knut K, 2005. "Using Option Pricing Theory to Infer About Historical Equity Premiums," University of California at Los Angeles, Anderson Graduate School of Management qt3dd602j5, Anderson Graduate School of Management, UCLA.
  465. repec:ebl:ecbull:v:5:y:2007:i:2:p:1-9 is not listed on IDEAS
  466. repec:van:wpaper:vuecon-sub-13-00002 is not listed on IDEAS
  467. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
  468. Christopher D Carroll, 1997. "Why Do the Rich Save So Much?," Economics Working Paper Archive 388, The Johns Hopkins University,Department of Economics.
  469. D. Carroll Christopher, 2000. "Risky Habits and the Marginal Propensity to Consume Output of Permanent Income, or, How Much Would a Permanent Tax Cut Boost Japanese Consumption?," International Economic Journal, Taylor & Francis Journals, vol. 14(4), pages 1-40.
  470. Beaudry, Paul & Guay, Alain, 1996. "What do interest rates reveal about the functioning of real business cycle models?," Journal of Economic Dynamics and Control, Elsevier, vol. 20(9-10), pages 1661-1682.
  471. Alex Imas & Michael A. Kuhn & Vera Mironova, 2015. "A History of Violence: Field Evidence on Trauma, Discounting and Present Bias," CESifo Working Paper Series 5338, CESifo Group Munich.
  472. Belén Nieto & Rosa Rodriguez, 2005. "Modelos de valoración de activos condicionales: Un panorama comparativo," Investigaciones Economicas, Fundación SEPI, vol. 29(1), pages 33-71, January.
  473. Lau, Chi-Lei Oscar, 2008. "Disentangling Intertemporal Substitution and Risk Aversion under the Expected Utility Theorem," MPRA Paper 11482, University Library of Munich, Germany.
  474. 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.
  475. Aysun, Uluc, 2008. "Automatic stabilizer feature of fixed exchange rate regimes," Emerging Markets Review, Elsevier, vol. 9(4), pages 302-328, December.
  476. Arman Mansoorian & Simon Neaime, 2000. "Habits and Durability in Consumption, and the Effects of Tariff Protection," Open Economies Review, Springer, vol. 11(3), pages 195-204, July.
  477. Donald Meyer & Jack Meyer, 2005. "Relative Risk Aversion: What Do We Know?," Journal of Risk and Uncertainty, Springer, vol. 31(3), pages 243-262, December.
  478. Jianfeng Yu, 2009. "The Long and the Short of Asset Prices: Using Long Run Consumption-Return Correlations to Test Asset Pricing Models," 2009 Meeting Papers 56, Society for Economic Dynamics.
  479. Grammig, Joachim G. & Schrimpf, Andreas, 2006. "Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-32, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  480. Ricardo M. Sousa, 2010. "The consumption-wealth ratio and asset returns: The Euro Area, the UK and the US," NIPE Working Papers 9/2010, NIPE - Universidade do Minho.
  481. Shin-Ichi Nishiyama, 2011. "The Cross-Euler Equation Approach to testing for the Liquidity Constraint: Evidence from Macro and Micro Data," TERG Discussion Papers 273, Graduate School of Economics and Management, Tohoku University.
  482. Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," Working Papers 2014-06, Becker Friedman Institute for Research In Economics.
  483. Farmer, Roger E A, 2014. "Asset Prices in a Lifecycle Economy," CEPR Discussion Papers 9897, C.E.P.R. Discussion Papers.
  484. 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.
  485. Liu, Desu, 2012. "Is relative risk aversion constant? A reinterpretation of recent asset allocation findings at the micro level," Economics Letters, Elsevier, vol. 117(1), pages 250-252.
  486. Scheffel, Eric, 2008. "A Credit-Banking Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Cardiff Economics Working Papers E2008/30, Cardiff University, Cardiff Business School, Economics Section.
  487. Seckin, Aylin, 2001. "Consumption-leisure choice with habit formation," Economics Letters, Elsevier, vol. 70(1), pages 115-120, January.
  488. Wayne E. Ferson & George M. Constantinides, 1991. "Habit Persistence and Durability in Aggregate Consumption: Empirical Tests," NBER Working Papers 3631, National Bureau of Economic Research, Inc.
  489. Ågren, Martin, 2005. "Myopic Loss Aversion, the Equity Premium Puzzle, and GARCH," Working Paper Series 2005:11, Uppsala University, Department of Economics.
  490. Belbute, José & Caleiro, António, 2010. "Cross Country Evidence on Consumption Persistence," MPRA Paper 22008, University Library of Munich, Germany.
  491. Yih-Luan Chyi & Chao-Hsi Huang, 1997. "An empirical study of the 'rule of thumb' consumption model in five East Asian countries," Applied Economics, Taylor & Francis Journals, vol. 29(10), pages 1271-1282.
  492. Jaime Alonso-Carrera & Jordi Caball?Author-Email: jordi.caballe@uab.es & Xavier Raurich, 2001. "Income Taxation with Habit Formation and Consumption Externalities," UFAE and IAE Working Papers 496.01, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  493. Fischer Black, 1989. "Mean Reversion and Consumption Smoothing," NBER Working Papers 2946, National Bureau of Economic Research, Inc.
  494. Takeshi Nakata, 2007. "Habit Formation, Parents' Education Spending, and Growth," Economics Bulletin, AccessEcon, vol. 5(2), pages 1-9.
  495. Jim Malley & Hassan Molana, 2003. "The Life-Cycle-Permanent- Income Hypothesis: A Reinterpretation and Supporting Evidence," Dundee Discussion Papers in Economics 138, Economic Studies, University of Dundee.
  496. repec:hal:wpaper:halshs-00590436 is not listed on IDEAS
  497. Velculescu, Delia, 2011. "Consumption habits in an overlapping-generations model," Economics Letters, Elsevier, vol. 111(2), pages 127-130, May.
  498. Mariacristina Rossi, 2005. "Households' Consumption under the Habit Formation Hypothesis. Evidence from Italian Households using the Survey of Household Income and Wealth (SHIW)," Economics Discussion Papers 595, University of Essex, Department of Economics.
  499. Hindy, Ayman & Huang, Chi-fu & Zhu, Steven H., 1997. "Optimal consumption and portfolio rules with durability and habit formation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(2-3), pages 525-550.
  500. Chuanglian Chen & Guojin Chen & Shujie Yao, . "Do Imports Crowd Out Domestic Consumption? A Comparative Study of China, Japan and Korea," Discussion Papers 11/03, University of Nottingham, GEP.
  501. Raimundo Soto, . "Nonlinearities in the Demand for money: A Neural Network Approach," ILADES-Georgetown University Working Papers inv107, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines.
  502. Lei Shi, 2010. "Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 9.
  503. Shackman, Joshua D., 2006. "The equity premium and market integration: Evidence from international data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 155-179, April.
  504. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis.
  505. Grant, Simon & Quiggin, John, 2003. "The Risk Premium for Equity: Implicatiosn for Resource Allocation, Welfare adn Policy," Working Papers 2003-14, Rice University, Department of Economics.
  506. Lars Grüne & Willi Semmler, 2007. "Asset pricing with dynamic programming," Computational Economics, Society for Computational Economics, vol. 29(3), pages 233-265, May.
  507. Yu Chen & Thomas Cosimano & Alex Himonas, 2010. "Continuous time one-dimensional asset-pricing models with analytic price–dividend functions," Economic Theory, Springer, vol. 42(3), pages 461-503, March.
  508. Coen Teulings, 2010. "How to Share Our Risks Efficiently? Principles for Optimal Social Insurance and Pension Provision," De Economist, Springer, vol. 158(1), pages 1-21, April.
  509. Augeraud-Veron, Emmanuelle & Bambi, Mauro, 2015. "Endogenous growth with addictive habits," Journal of Mathematical Economics, Elsevier, vol. 56(C), pages 15-25.
  510. Stuart Hyde & Keith Cuthbertson & Dirk Nitzsche, 2005. "Resuscitating the C-CAPM: empirical evidence from France and Germany," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 337-357.
  511. Jin, Xing & Deng, Shuhui, 1997. "Existence and uniqueness of optimal consumption and portfolio rules in a continuous-time finance model with habit formation and without short sales," Journal of Mathematical Economics, Elsevier, vol. 28(2), pages 187-205, September.
  512. Thomas Q. Pedersen, 2008. "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers 2008-60, School of Economics and Management, University of Aarhus.
  513. Mansoorian, Arman, 1998. "Habits and durability in consumption, and the dynamics of the current account," Journal of International Economics, Elsevier, vol. 44(1), pages 69-82, February.
  514. Santiago Budría & Antonia Díaz, 2006. "Term and Equity Premium in Economies with Habit Formation," Working Papers 2006-23, FEDEA.
  515. Hunter, John & Wu, Feng, 2014. "Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies," Economic Modelling, Elsevier, vol. 36(C), pages 557-565.
  516. Sampson, Michael, 2003. "New Eras and Stock Market Bubbles," Structural Change and Economic Dynamics, Elsevier, vol. 14(3), pages 297-315, September.
  517. Dreyer, Johannes K. & Schneider, Johannes & Smith, William T., 2013. "Saving-based asset-pricing," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3704-3715.
  518. Xianzhe Chen & Weidong Tian, 2014. "Optimal portfolio choice and consistent performance," Decisions in Economics and Finance, Springer, vol. 37(2), pages 453-474, October.
  519. Hui Guo & Zijun Wang & Jian Yang, 2006. "Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market," Working Papers 2006-047, Federal Reserve Bank of St. Louis.
  520. Aase, Knut K., 2000. "An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 345-363, December.
  521. Been-Lon Chen & Yu-Shan Hsu & Kazuo Mino, 2013. "Can consumption habit spillovers be a source of equilibrium indeterminacy?," Journal of Economics, Springer, vol. 109(3), pages 245-269, July.
  522. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
  523. Park, Hyun, 2013. "Do habits generate endogenous fluctuations in a growing economy?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 54-68.
  524. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
  525. Shane Frederick & George Loewenstein & Ted O'Donoghue, 2002. "Time Discounting and Time Preference: A Critical Review," Journal of Economic Literature, American Economic Association, vol. 40(2), pages 351-401, June.
  526. Yeung Lewis Chan & Leonid Kogan, . "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," Rodney L. White Center for Financial Research Working Papers 14-00, Wharton School Rodney L. White Center for Financial Research.
  527. Grant, S. & Quiggin, J., 2001. "The Risk Premium for Equity : Explanations and Implications," Discussion Paper 2001-89, Tilburg University, Center for Economic Research.
  528. Lars Peter Hansen & James J. Heckman, 1996. "The Empirical Foundations of Calibration," Journal of Economic Perspectives, American Economic Association, vol. 10(1), pages 87-104, Winter.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.