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Wealth Effects Revisited 1978-2009
Case, Karl E.; Quigley, John M.; Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 2011
recent volatility in asset markets -- that the effects of declines in housing wealth in reducing consumption are at least as …
Persistent link: https://www.econbiz.de/10008854040
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Index-Based Futures and Options Markets in Real Estate
Case, Karl E.; Shiller, Robert J.; Weiss, Allan N. - Cowles Foundation for Research in Economics, Yale University - 1991
Most institutional and individual portfolios are very undiversified in real estate: many hold no real estate at all, many have holdings highly concentrated in certain regions or types of real estate. The risk of these concentrated holdings is not hedged. We propose here that cash-settled futures...
Persistent link: https://www.econbiz.de/10005593586
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Comparing Wealth Effects: The Stock Market versus the Housing Market
Case, Karl E.; Quigley, John M.; Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 2001
We examine the link between increases in housing wealth, financial wealth, and consumer spending. We rely upon a panel of 14 countries observed annually for various periods during the past 25 years and a panel of U.S. states observed quarterly during the 1980s and 1990s. We impute the aggregate...
Persistent link: https://www.econbiz.de/10005593603
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Nonparametric Predictive Regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2012
A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The test statistics are related to those of Kasparis and Phillips...
Persistent link: https://www.econbiz.de/10011213863
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Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns
Phillips, Peter C.B.; Loretan, Mico - Cowles Foundation for Research in Economics, Yale University - 1990
This paper studies tests for covariance stationarity under conditions which permit failure in the existence of fourth order moments. The problem is important because many econometric diagnostics such as tests for parameter constancy, constant variance and ARCH and GARCH effects routinely rely on...
Persistent link: https://www.econbiz.de/10005464057
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Infinite Density at the Median and the Typical Shape of Stock Return Distributions
Han, Chirok; Cho, Jin Seo; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2009
Statistics are developed to test for the presence of an asymptotic discontinuity (or infinite density or peakedness) in a probability density at the median. The approach makes use of work by Knight (1998) on L_1 estimation asymptotics in conjunction with non-parametric kernel density estimation...
Persistent link: https://www.econbiz.de/10004998320
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Why Does Bad News Increase Volatility and Decrease Leverage?
Fostel, Ana; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2010
A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro …-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second … volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, agents have the incentive to invest …
Persistent link: https://www.econbiz.de/10009251219
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Information and Volatility
Bergemann, Dirk; Heumann, Tibor; Morris, Stephen - Cowles Foundation for Research in Economics, Yale University - 2013
structure determines aggregate volatility. We show that the maximal aggregate volatility is attained in a noise free information … the common component, as in Lucas (1972). The upper bound on aggregate volatility is linearly increasing in the variance …
Persistent link: https://www.econbiz.de/10010817221
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Why Does Bad News Increase Volatility and Decrease Leverage?
Fostel, Ana; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2010
A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro …-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second … volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, agents have the incentive to invest …
Persistent link: https://www.econbiz.de/10008828614
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Leverage and Default in Binomial Economies: A Complete Characterization
Fostel, Ana; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2012
asset to the riskless rate of interest. Finally, our Binomial Leverage-Volatility theorem provides a precise link between … leverage and volatility. …
Persistent link: https://www.econbiz.de/10010895644