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International Comparative Household Finance

Badarinza, Cristian - 2016

This paper reviews the literature on international comparative household finance. The paper presents summary statistics on household balance sheets for 13 developed countries, and uses these statistics to discuss common features and contrasts across countries. The paper then discusses retirement...

Persistent link: https://www.econbiz.de/10012997290

A Scorecard for Indexed Government Debt

Campbell, John Y.; Shiller, Robert J. - 2021

Within the last five years, Canada, Sweden and New Zealand have joined the ranks of the United Kingdom and other countries in issuing government bonds that are indexed to inflation. Some observers of the experience in these countries have argued that the United States should follow suit. This...

Persistent link: https://www.econbiz.de/10013234354

Mortgage Market Design

Campbell, John Y. - 2012

This paper explores the causes and consequences of cross-country variation in mortgage market structure. It draws on insights from several fields: urban economics, asset pricing, behavioral finance, financial intermediation, and macroeconomics. It discusses lessons from the credit boom, the...

Persistent link: https://www.econbiz.de/10013101510

Global Currency Hedging

Campbell, John Y. - 2007

franc (particularly in the second half of the period) have moved against world equity markets. Thus these currencies should …

Persistent link: https://www.econbiz.de/10012776958

Estimating the Equity Premium

Campbell, John Y. - 2010

To estimate the equity premium, it is helpful to use finance theory: not the old-fashioned theory that efficient … markets imply a constant equity premium, but theory that restricts the time-series behavior of valuation ratios, and that … for stock returns. A steady-state approach suggests that the world geometric average equity premium was almost 4% at the …

Persistent link: https://www.econbiz.de/10012759797

Understanding Risk and Return

Campbell, John Y. - 2021

This paper uses an intertemporal equilibrium asset pricing model to interpret the cross-sectional pattern of stock and bond returns. The model relates assets' mean returns to their covariances with the contemporaneous return and news about future returns on the market portfolio. In a departure...

Persistent link: https://www.econbiz.de/10013223885

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

Campbell, John Y. - 2021

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/10013224398

The Long-Run Risks Model and Aggregate Asset Prices : An Empirical Assessment

Beeler, Jason; Campbell, John Y. - 2021

The long-run risks model of asset prices explains stock price variation as a response to persistent fluctuations in the mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal substitution. This paper documents several empirical...

Persistent link: https://www.econbiz.de/10013225971

Some Lessons from the Yield Curve

Campbell, John Y. - 2021

This paper reviews the literature on the relation between short- and long-term interest rates. It summarizes the mixed evidence on the expectations hypothesis of the term structure: when long rates are high relative to short rates, short rates tend to rise as implied by the expectations...

Persistent link: https://www.econbiz.de/10013235878

A Model of Mortgage Default

Campbell, John Y. - 2011

This paper solves a dynamic model of a household's decision to default on its mortgage, taking into account labor income, house price, inflation, and interest rate risk. Mortgage default is triggered by negative home equity, which results from declining house prices in a low inflation...

Persistent link: https://www.econbiz.de/10013119572