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Elasticities of substitution in real business cycle models with home production
Campbell, John Y. (contributor);  … - 1998 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001511621
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Capital Share Risk in U.S. Asset Pricing
Lettau, Martin - 2014
A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...
Persistent link: https://www.econbiz.de/10012457922
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Monetary-Based Asset Pricing : A Mixed-Frequency Structural Approach
Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - National Bureau of Economic Research - 2022
We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation …. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why … financial market risk. However, the structural estimation also finds that much of the causal impact of monetary policy on …
Persistent link: https://www.econbiz.de/10013210100