This chapter reviews the behavior of financial asset prices in relation to consumption. The chapter lists some important stylized facts that characterize U.S. data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which...

Frontmatter -- Contents -- List of Figures -- List of Tables -- Preface -- The Econometrics of Financial Markets -- 1. Introduction -- 2. The Predictability of Asset Returns -- 3. Market Microstructure -- 4. Event-Study Analysis -- 5. The Capital Asset Pricing Model -- 6. Multifactor Pricing...

Economic growth, low inflation, and financial stability are among the most important goals of policy makers, and central banks such as the Federal Reserve are key institutions for achieving these goals. In Asset Prices and Monetary Policy, leading scholars and practitioners probe the interaction...