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Cointegration and Tests of Present Value Models

Campbell, John Y. - 1986

In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the "spread" S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to induce...

Persistent link: https://www.econbiz.de/10012477190

Inflation, Real Interest Rates, and the Bond Market : A Study of UK Nominal and Index-Linked Government Bond Prices

Barr, David G. - 1996

This paper estimates expected future real interest rates and inflation rates from observed prices of UK government …-linked bonds. It assumes that expected log returns on all bonds are equal, and that expected real interest rates and inflation … inflation expectations forecast actual future inflation more accurately than nominal yields do. The estimated real interest rate …

Persistent link: https://www.econbiz.de/10012473007

Elasticities of substitution in real business cycle models with home production

Campbell, John Y. (contributor); … - 1998 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001511621

Strategic Asset Allocation in a Continuous-Time VAR Model

Campbell, John Y. - 2003

This note derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and Viceira (1999), in which the expected excess return on a risky asset follows...

Persistent link: https://www.econbiz.de/10012469153

A Variance Decomposition for Stock Returns

Campbell, John Y. - 1990

This paper shows that unexpected stock returns must be associated with changes in expected future dividends or expected future returns A vector autoregressive method is used to break unexpected stock returns into these two components. In U.S. monthly data in 1927-88, one-third of the variance of...

Persistent link: https://www.econbiz.de/10012475791

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

Campbell, John Y. - 1986

A linearization of a rational expectations present value model for corporate stock prices produces a simple relation between the log dividend-price ratio and mathematical expectations of future log real dividend changes and future real discount rates. This relation can be tested using vector...

Persistent link: https://www.econbiz.de/10012476969

Dispersion and Volatility in Stock Returns : An Empirical Investigation

Campbell, John Y. - 1999

This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily market returns within the month; the cross-sectional volatility or 'dispersion' of daily returns on industry portfolios, relative to the market, within the month; and the...

Persistent link: https://www.econbiz.de/10012471650

Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis

Campbell, John Y. - 1986

The permanent income hypothesis implies that people save because they rationally expect their labor income to decline; they save "for a rainy day". It follows that saving should be at least as good a predictor of declines in labor income as any other forecast that can be constructed from publicly...

Persistent link: https://www.econbiz.de/10012477272

Asset Prices, Consumption, and the Business Cycle

Campbell, John Y. - 1998

This paper reviews the behavior of financial asset prices in relation to consumption. The paper lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features...

Persistent link: https://www.econbiz.de/10012472320