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 …

random disturbances. Finally we show that the degree of pricing efficiency of this options market can strongly condition the … 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 …

-varying S&P 500 implied volatility surface may be not inconsistent with market efficiency. …

It is common practice to estimate the response of asset prices to monetary policy actions using market-based measures … of monetary policy shocks, such as the federal funds futures rate. I show that because interest rates and market …-based measures of monetary policy shocks respond simultaneously to all news and not simply news about monetary policy actions, market …

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 …