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ECONIS (ZBW)
60
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1
Lock-in of extrapolative expectations in an asset pricing model
Lansing, Kevin J.
(
contributor
)
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002116841
Saved in:
2
Speculative growth and overreaction to technology shocks
Lansing, Kevin J.
-
Federal Reserve Bank of San Francisco
-
2008
This paper develops a stochastic endogenous growth model that exhibits “excess volatility” of equity prices because speculative agents overreact to observed technology shocks. When making forecasts about the future, speculative agents behave like rational agents with very low risk aversion....
Persistent link: https://www.econbiz.de/10005361519
Saved in:
3
Closing panel presentation
Yellen, Janet L.
-
Federal Reserve Bank of San Francisco
-
2009
Panel discussion for the Federal Reserve Board/Journal of Money, Credit, and Banking (JMCB) conference on "Financial Markets and Monetary Policy", Washington D.C. , June 5, 2009
Persistent link: https://www.econbiz.de/10010724800
Saved in:
4
Bubbles tomorrow and bubbles yesterday, but never bubbles today?
Williams, John C.
-
Federal Reserve Bank of San Francisco
-
2013
Presentation to the National Association for Business Economics, San Francisco, September 9, 2013
Persistent link: https://www.econbiz.de/10010724828
Saved in:
5
House prices, expectations, and time-varying fundamentals
Gelain, Paolo
;
Lansing, Kevin J.
-
Federal Reserve Bank of San Francisco
-
2013
We investigate the behavior of the equilibrium price-rent ratio for housing in a standard asset pricing model. We allow for time-varying risk aversion (via external habit formation) and time-varying persistence and volatility in the stochastic process for rent growth, consistent with U.S. data...
Persistent link: https://www.econbiz.de/10010628453
Saved in:
6
Idiosyncratic risk and the equity premium: evidence from the Consumer Expenditure Survey
Cogley, Timothy
-
Federal Reserve Bank of San Francisco
-
1998
This paper uses household consumption data to investigate whether uninsurable idiosyncratic risk accounts for the equity premium. The analysis complements and extends prior empirical work by relaxing maintained assumptions about idiosyncratic income shocks. Following Mankiw (1986), the paper...
Persistent link: https://www.econbiz.de/10010702306
Saved in:
7
Risk aversion, the labor margin, and asset pricing in DSGE models
Swanson, Eric T.
-
Federal Reserve Bank of San Francisco
-
2009
In dynamic stochastic general equilibrium (DSGE) models, the household's labor margin as well as consumption margin affects Arrow-Pratt risk aversion. This paper derives simple, closed-form expressions for risk aversion that take into account the household's labor margin. Ignoring the labor...
Persistent link: https://www.econbiz.de/10008603768
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8
Some new variance bounds for asset prices: a comment
Lansing, Kevin J.
-
Federal Reserve Bank of San Francisco
-
2010
Engel (2005) derives a theoretical variance inequality involving the change in equilibrium stock prices Var ( p) : Assuming that stock prices are "cum-dividend" and that investors are risk neutral, he shows that Var ( p) must be greater than or equal to the variance of the "perfect foresight"...
Persistent link: https://www.econbiz.de/10008690996
Saved in:
9
Asset pricing with concentrated ownership of capital
Lansing, Kevin J.
-
Federal Reserve Bank of San Francisco
-
2011
This paper investigates how concentrated ownership of capital influences the pricing of risky assets in a production economy. The model is designed to approximate the skewed distribution of wealth and income in U.S. data. I show that concentrated ownership significantly magnifies the equity risk...
Persistent link: https://www.econbiz.de/10008862180
Saved in:
10
Should central banks lean against changes in asset prices?
Leduc, Sylvain
;
Natal, Jean-Marc
-
Federal Reserve Bank of San Francisco
-
2011
How should monetary policy be conducted in the presence of endogenous feedback loops between asset prices, firms’ financial health, and economic activity? We reconsider this question in the context of the financial accelerator model and show that, when the level of natural output is...
Persistent link: https://www.econbiz.de/10009131477
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