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Pessimistic beliefs under rational learning : quantitative implications for the equity premium puzzle

Guidolin, Massimo (contributor) - 2005

"In the presence of infrequent but observable structural breaks, we show that a model in which the representative agent is on a rational learning path concerning the real consumption growth process can generate high equity premia and low risk-free interest rates. In fact, when the model is...

Persistent link: https://www.econbiz.de/10002917582

A Bayesian approach to counterfactual analysis of structural change

Kim, Chang-jin (contributor); Morley, James C. (contributor) - 2004 - [Elektronische Ressource], rev.

Persistent link: https://www.econbiz.de/10002496905

High equity premia and crash fears : rational foundations

Guidolin, Massimo (contributor) - 2005

"We show that when in Lucas trees model the process for dividends is described by a lattice tree subject to infrequent but observable structural breaks, in equilibrium recursive rational learning may inflate the equity risk premium and reduce the risk-free interest rate for low levels of risk...

Persistent link: https://www.econbiz.de/10002977384

The less volatile U.S. economy : a bayesian investigation of timing, Breadth, and potential explanations

Kim, Chang-jin (contributor); Nelson, Charles R. (contributor) - 2003 - [Elektronische Ressource].rev

Persistent link: https://www.econbiz.de/10001965242

Modeling volcker as a non-absorbing state : agnostic identification of a markov-switching VAR

Owyang, Michael T. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001974169

Is inflation persistence intrinsic in industrial economies?

Levin, Andrew T. (contributor); … - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001974382

The stock market : bubbles, volatility, and chaos ; proceedings of the 13. Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis

Dwyer, Gerald P. <jun.> (contributor); … - 1990

Persistent link: https://www.econbiz.de/10000789817

Market timing with aggregate and idiosyncratic stock volatilities

Guo, Hui (contributor); Higbee, Jason (contributor) - 2005 - rev.

Persistent link: https://www.econbiz.de/10003344908

An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns

Guidolin, Massimo (contributor); … - 2005

stock returns, a more complicated four state model with regimes characterized as crash, slow growth, bull and recovery … form. Exits from the crash state are almost always to the recovery state and occur with close to 50 percent chance … suggesting a bounce-back effect from the crash to the recovery state"--Federal Reserve Bank of St. Louis web site …

Persistent link: https://www.econbiz.de/10002917580

Optimal portfolio choice under regime switching, skew and kurtosis preferences

Guidolin, Massimo (contributor); … - 2005

"This paper proposes a new tractable approach to solving multi-period asset allocation problems. We assume that investor preferences are defined over moments of the terminal wealth distribution such as its skew and kurtosis. Time-variations in investment opportunities are driven by a regime...

Persistent link: https://www.econbiz.de/10002917583