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Examining the sources of excess return predictability : stochastic volatility or market inefficiency?

Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - 2018

Persistent link: https://www.econbiz.de/10011977460

Risk aversion and stock price volatility

Lansing, Kevin J.; LeRoy, Stephen F. - 2010

Persistent link: https://www.econbiz.de/10008698340

Explaining exchange rate anomalies in a model with taylor-rule fundamentals and consistent expectations

Lansing, Kevin J.; Ma, Jun - 2014

Persistent link: https://www.econbiz.de/10010407463

Lock-in of extrapolative expectations in an asset pricing model

Lansing, Kevin J. (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002116841

Some new variance bounds for asset prices : a comment

Lansing, Kevin J. - 2010

Persistent link: https://www.econbiz.de/10008698335

Time-varying US inflation dynamics and the new Keynesian Phillips curve

Lansing, Kevin J. (contributor) - 2006

Persistent link: https://www.econbiz.de/10003417793

Real business cycles, animal spirits, and stock market valuation

Lansing, Kevin J. - 2018

Persistent link: https://www.econbiz.de/10011898964

House prices, credit growth, and excess volatility : implications for monetary and macroprudential policy

Gelain, Paolo; Lansing, Kevin J.; Mendicino, Caterina - 2012

Persistent link: https://www.econbiz.de/10009576266

House prices, credit growth, and excess volatility : implications for monetary and macroprudential policy

Gelain, Paolo; Lansing, Kevin J.; Mendicino, Caterina - 2012

Persistent link: https://www.econbiz.de/10009577632

Exchange Rate Dynamics and Global Monetary Policy Spillovers : Time-Varying Dynamic Causal Effects

Liao, Wenting - 2020

We show how to study time-varying dynamic causal effects of structural shocks using external instruments in a generalized Factor-Augmented-VAR(FAVAR) model with time-varying parameters and stochastic volatility. Specifically, we employ the Bayesian MCMC estimation methodology and focus on global...

Persistent link: https://www.econbiz.de/10012846323