Showing 1 - 10 of 33
"Price rigidity is the key mechanism for propagating business cycles in traditional Keynesian theory. Yet the New …
Persistent link: https://www.econbiz.de/10002956723
"This paper provides a simple dynamic optimization model of durable goods inventories. Closed-form solutions are derived in a general equilibrium environment with imperfect information and serially correlated shocks. The model is then applied to scrutinize some popular conjectures regarding the...
Persistent link: https://www.econbiz.de/10002956727
Persistent link: https://www.econbiz.de/10001965274
Persistent link: https://www.econbiz.de/10001378895
Persistent link: https://www.econbiz.de/10000358848
"Campbell and Vuolteenaho (2004) and Brennan, Wang, and Xia (2004) recently argue that the value premium co-moves with investment opportunities and thus reflects rational pricing. This paper extends their analysis by showing that the ICAPM interpretation of the value premium also sheds light on...
Persistent link: https://www.econbiz.de/10002995301
"When monetary policies are endogenous, the conventional VAR approach for detecting the effect of monetary policies is powerless. This paper proposes to test the implication of monetary policies along a different dimension. That implication is to exploit the policy induced exogeneity of...
Persistent link: https://www.econbiz.de/10002956722
"One basic problem in business-cycle studies is how to deal with nonstationary time series. The market economy is an evolutionary system. Economic time series therefore contain stochastic components that are necessarily time dependent. Traditional methods of business cycle analysis, such as the...
Persistent link: https://www.econbiz.de/10002956724
"This paper studies strategic asset allocation and consumption choice in the presence of regime switching in asset returns. We find evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states - are required to capture the joint distribution of stock and...
Persistent link: https://www.econbiz.de/10002917579