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Structural Break or Asymmetry? An Empirical Study of the Stock Wealth Effect on Consumption

Leung, Charles Ka Yui; Chen, Nan-Kuang; Hsu, Chih-Chiang - Econometric Society - 2004

The purpose of this paper is to examine whether the stock wealth effect of consumption exhibits structural change(s) or behaves asymmetrically over business cycles. We first perform a general test of linearity for the behavior of aggregate consumption in response to changes in stock wealth based...

Persistent link: https://www.econbiz.de/10005342325

Obsolescence of Durable Goods and Optimal Consumption

Stacchetti, Ennio; Stolyarov, Dmitriy - Econometric Society - 2004

We study a model with a durable good subject to abrupt, periodic obsolescence, and characterize the optimal purchasing policy. Consumers optimally synchronize new purchases with the arrival of new durable models. Hence, some agents use a "flexible" optimal replacement rule that switches between...

Persistent link: https://www.econbiz.de/10005130217

Chain Reactions, Trade Credit and the Business Cycle

Cardoso-Lecourtois, Miguel - Econometric Society - 2004

Firms in poor countries often tend to rely on alternative sources of financing different than banks. We show that borrowing constraints lead to financial arrangements between firms that can amplify the effect of liquidity or productivity shocks in the economy. In particular, we focus on the...

Persistent link: https://www.econbiz.de/10005702640

The Equity Premium and the Baby Boom

Brooks, Robin - Econometric Society - 2004

This paper explores the quantitative impact of the Baby Boom on stock and bond returns. It constructs a neoclassical growth model with overlapping generations, in which agents make a portfolio decision over risky capital and safe bonds in zero net supply. The model has exogenous technology and...

Persistent link: https://www.econbiz.de/10005328938

Do Heterogeneous Beliefs Matter for Asset Pricing?

Juergens, Jennifer; Anderson, Evan; Ghysels, Eric - Econometric Society - 2004

We study how heterogeneous beliefs affect returns and examine whether heterogeneous beliefs are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected (short-term and long-term)...

Persistent link: https://www.econbiz.de/10005342284

Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?

Timmermann, Allan; Elliott, Graham; Komunjer, Ivana - Econometric Society - 2004

Survey data on expectations frequently find evidence that forecasts are biased, rejecting the joint hypothesis of rational expectations and symmetric loss. While the literature has attempted to explain this bias through forecasters' strategic behavior, we propose a simpler explanation based on...

Persistent link: https://www.econbiz.de/10005702628

Unemployment Dynamics and Social Security

Rojas, Juan; Rendon, Silvio - Econometric Society - 2004

The goal of this paper is to determine the effects of different social security regimes on job search. A less generous pension system induces higher savings across the life cycle and makes agents wealthier and thus more reluctant to accept low wage offers. On the other hand, as the social...

Persistent link: https://www.econbiz.de/10005328864

Obsolescence of Durable Goods and Optimal Consumption

Stolyarov, Dmitriy; Stacchetti, Ennio - Econometric Society - 2004

Persistent link: https://www.econbiz.de/10005328887

A Life-cycle Model with Housing, Portfolio Allocation, and Mortgage Financing

Nichols, Joseph - Econometric Society - 2004

. First, housing is explicitly modeled as both a consumption and investment good, as opposed to examining just one aspect in … Retirement Survey. As a result, the model proves that the “over-investment” of housing is not inconsistent with the behavior of … link between the housing “over-investment” and the stock “under-investment” puzzles …

Persistent link: https://www.econbiz.de/10005328942

Mortgages as Recursive Contracts

Marquis, Milton H.; Krainer, John - Econometric Society - 2004

Mortgages are one-sided contracts under which the borrower may terminate the contract at any time, while the lender must commit to honoring the terms of the contract throughout its life. There are two aspects to this feature of the contract that are modeled in this paper. The first is that the...

Persistent link: https://www.econbiz.de/10005328972

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