A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation or Cross-sectional Heterogeneity? [PDF]
In this paper we study the asset pricing implications of a parsimonious two-agent macroeconomic model with two key features: limited participation in the stock market and heterogeneity in the elasticity of intertemporal substitution. The parameter values
M. Fatih Guvenen
core
What happened to the U.S. stock market? accounting for the past 50 years [PDF]
The extreme volatility of stock market values has been the subject of a large body of literature. Previous research focused on the short run because of a widespread belief that in the long run the market reverts to well-established fundamentals.
Adrian Peralta-Alva, Michele Boldrin
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Tests of the Consumption-Based Capital Asset Pricing Model Using Korean Security Market Data
, 2014 Nam Yun-Myung +2 more
openalex +1 more source
ASSET PRICING AND THE ROLE OF MACROECONOMIC VOLATILITY [PDF]
Standard Real Business Cycle (RBC) models are well known to generate counter-factual asset pricing implications. This paper provides a simple extension to the prior literature where we study an economy that follows a regimes switching process both in the
Christos Giannikos, Stefano D'Addona
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ASSET PRICING, GROWTH, AND THE BUSINESS CYCLE WITH IRREVERSIBLE INVESTMENT [PDF]
This paper advances a simple model that emphasizes the diversity of capital types, some of these types are long lived, while others are highly specific.
Miquel Faig
core
The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street [PDF]
We use a standard single-agent model to conduct a simple consumption growth accounting exercise. Consumption growth is driven by news about current and expected future returns on the market portfolio.
Hanno Lustig, Stijn Van Nieuwerburgh
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Robust Aggregate Implications of Stochastic Discount Factor Volatility [PDF]
The stochastic discount factor seems volatile, but is this observation of any consequence for aggregate analysis of consumption, capital accumulation, output, etc.? I amend the standard frictionless model of aggregate consumption and capital accumulation
Casey B. Mulligan
core
Credit Frictions and 'Sudden Stops' in Small Open Economies: An Equilibrium Business Cycle Framework for Emerging Markets Crises [PDF]
Financial frictions are a central element of most of the models that the literature on emerging markets crises has proposed for explaining the Sudden Stop' phenomenon.
Cristina Arellano, Enrique G. Mendoza
core
Dynamic interdependence between consumer confidence and housing prices: Evidence from bootstrap rolling window causality tests. [PDF]
PLoS OneGuan Y, Su C, Wang Y.
europepmc +1 more source