Recent research showing negative correlations between detrended output and prices during the postwar period has brought … into question the conventional wisdom that prices are procyclical. However, this finding has been shown to be sensitive to … the sample period considered. This paper examines the relationship between output and prices in the frequency domain …

prices. Applications to value-at-risk and portfolio choice calculations illustrate the importance of using arbitrage …

This paper explores the theoretical relationship between the population growth rate and asset prices implied by an … overlapping-generations model. The model shows that changes in a population's age distribution affect asset prices but such … changes generate low frequency movements in asset prices. The model also shows that the treatment of expectations matter; a …

It is common practice to estimate the response of asset prices to monetary policy actions using market-based measures …

This paper argues that the positive relationship between the level of prices and interest rates noted by Gibson arises …, in part, because measured prices indexes, which are comprised primarily of the prices of short-lived consumption goods …