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Interpretable Asset Markets?
Bansal, Ravi - 2002
In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are …
Persistent link: https://www.econbiz.de/10012469320
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Monetary Policy and Asset Valuation
Bianchi, Francesco - 2016
We find evidence of infrequent shifts, or "regimes," in the mean of the asset valuation variable <i>cay<sub>t</sub></i> that are strongly associated with low-frequency fluctuations in the real federal funds rate, with low policy rates associated with high asset valuations, and vice versa. There is no evidence...
Persistent link: https://www.econbiz.de/10012456107
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What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?
Dumas, Bernard - 2005
price volatility and "sentiment" fluctuations. We construct a general equilibrium model of sentiment. In it, there are two … the proportion of wealth invested into equity except when they are extremely optimistic about future growth. Moreover … exploit, and hence, eliminate excessive volatility, except in the very long run." …
Persistent link: https://www.econbiz.de/10012466868
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Dynamic Asset Allocation With Event Risk
Liu, Jun - 2002
Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices … and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide … event risk is less willing to take leveraged or short positions. The investor acts as if some portion of his wealth may …
Persistent link: https://www.econbiz.de/10012469608
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A Theory of Housing Collateral, Consumption Insurance and Risk Premia
Lustig, Hanno - 2004
In a model with housing collateral, a decrease in house prices reduces the collateral value of housing, increases household exposure to idiosyncratic risk, and increases the conditional market price of risk. This collateral mechanism can quantitatively replicate the conditional and the...
Persistent link: https://www.econbiz.de/10012467732
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Housing Collateral, Consumption Insurance and Risk Premia : An Empirical Perpective
Lustig, Hanno - 2003
In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of … that a decrease in the ratio of housing wealth to human wealth predicts higher returns on stocks. Conditional on this ratio …
Persistent link: https://www.econbiz.de/10012468738
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Understanding Trend and Cycle in Asset Values : Reevaluating the Wealth Effect on Consumption
Lettau, Martin - 2003
Both textbook economics and common sense teach us that the value of household wealth should be related to consumer … suggest. An important first step in understanding the consumption-wealth linkage is determining how closely the two variables … relative importance of permanent and transitory innovations in the variation of consumer spending and wealth and find that …
Persistent link: https://www.econbiz.de/10012468849
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Monetary Policy According to HANK
Kaplan, Greg - 2016
Keynesian (HANK) model. The model yields empirically realistic distributions of household wealth and marginal propensities to …
Persistent link: https://www.econbiz.de/10012456775
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The Wealthy Hand-to-Mouth
Kaplan, Greg - 2014
The wealthy hand-to-mouth are households who hold little or no liquid wealth (cash, checking, and savings accounts …
Persistent link: https://www.econbiz.de/10012458591
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Wealth and Volatility
Heathcote, Jonathan - 2015
unemployment. The novel feature is that the scope for sunspot-driven volatility depends on the level of household wealth. When …Periods of low household wealth in United States macroeconomic history have also been periods of high business cycle … volatility. This paper develops a simple model that can exhibit self-fulfilling fluctuations in the expected path for …
Persistent link: https://www.econbiz.de/10012457673