The dramatic rise in Canada's average house price to average rent ratio has induced some commentators to argue that a speculative bubble is under way the collapse of which will have a calamitous effect on the economy. Others have argued, however, that the currently high level of house prices may...

Investors in equilibrium are modeled as facing investor specific risks across the space of assets. Personalized asset pricing models reflect these risks. Averaging across the pool of investors we obtain a market asset pricing model that reflects market risk exposures. It is observed on invoking...

The US economy experienced a Great Moderation sometime in the mid-1980s -- a fall in the volatility of output growth -- at the same time as a fall in both the volatility of inflation and the average rate of inflation. We put this moderation in historical perspective by comparing it to the...

Dynamic Euler equations restrict multivariate forecasts. Thus a range of links between macroeconomic variables can be studied by seeing whether they hold within the multivariate predictions of professional forecasters. We illustrate this novel way of testing theory by studying the links between...

We review the recent research on time-varying risk premiums, including attempts to explain rejection by Baillie and others of "the unbiasedness hypothesis." Using spot and forward foreign exchange rates we discuss the evidence for time-varying risk premiums, relate it to general equilibrium...

This paper presents a unified framework for examining the general equilibrium effects of transactions costs and trading constraints on security market trades and prices. The model uses a discrete time/state framework and Kuhn-Tucker theory to characterize the optimal decisions of consumers and...