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Expectations, Asset Prices, and Monetary Policy : The Role of Learning

Gilchrist, Simon - 2010

. Asset price movements induced by changes in trend growth influence balance-sheet conditions that determine the external … the asset price gap represents distortions in the resource allocation induced by financial market imperfections more … calculation of the potential and thus reduces the benefit of responding to the asset price gap. A policy that responds to the …

Persistent link: https://www.econbiz.de/10012761257

Price Uncertainty, Tax Policy, and Addiction : Evidence and Implications

Coppejans, Mark; Sieg, Holger - 2021

during the past decade. Price uncertainty has a potentially large impact on the economic well-being of young individuals with … relatively low levels of disposable income. We develop a model to study consumption of addictive substances under price …

Persistent link: https://www.econbiz.de/10013232884

International Evidence on Sticky Consumption Growth

Carroll, Christopher D. - 2008

We estimate the degree of amp;apos;stickinessamp;apos; in aggregate consumption growth (sometimes interpreted as reflecting consumption habits) for thirteen advanced economies. We find that, after controlling for measurement error, consumption growth has a high degree of autocorrelation, with a...

Persistent link: https://www.econbiz.de/10012772369

Rationalizing Rational Expectations? Tests and Deviations

D'Haultfœuille, Xavier - 2018

In this paper, we build a new test of rational expectations based on the marginal distributions of realizations and subjective beliefs. This test is widely applicable, including in the common situation where realizations and beliefs are observed in two different datasets that cannot be matched....

Persistent link: https://www.econbiz.de/10012907747

Investors' Portfolio Behavior Under Alternative Models of Long-Term Interest Rate Expectations : Unitary, Rational, or Autoregressive

Friedman, Benjamin M. - 2010

This paper develops behavioral relationships explaining investors' demands for long-term bonds, using three alternative hypotheses about investors' expectations of future bond prices (yields). The results, based on U.S. 'data for six major categories of bond market investors, consistently...

Persistent link: https://www.econbiz.de/10012763222

Using Expectations Data to Study Subjective Income Expectations

Dominitz, Jeff - 2010

We have collected data on the one-year-ahead income expectations of members of American households in our Survey of Economic Expectations (SEE), a module of a national continuous telephone survey conducted at the University of Wisconsin. The income-expectations questions take this form: `What do...

Persistent link: https://www.econbiz.de/10012763557

Analyzing Investments Whose Histories Differ in Length

Stambaugh, Robert F. - 2010

-history assets, but for the shorter-history assets as well. To account for the remaining parameter uncertainty, or estimation risk … the value of using the combined sample of histories and accounting for estimation risk, as compared to truncating the … sample to produce equal-length histories or ignoring estimation risk by using maximum-likelihood estimates …

Persistent link: https://www.econbiz.de/10012763664

Growth Expectations, Dividend Yields, and Future Stock Returns

Da, Zhi - 2014

According to the dynamic version of the Gordon growth model, the long-run expected return on stocks, stock yield, is the sum of the dividend yield on stocks plus some weighted average of expected future growth rates in dividends. We construct a measure of stock yield based on sell-side analysts'...

Persistent link: https://www.econbiz.de/10013044614

Exchange-Rate Expectations and Nominal Interest Differentials : A Test Ofthe Fisher Hypothesis

Cumby, Robert E.; Obstfeld, Maurice - 2021

This note tests the hypothesis that nominal interest differentials between similar assets denominated in different currencies can be explained entirely by the expected change in the exchange rate over the holding period. This proposition, often called the "Fisher open" hypothesis or the...

Persistent link: https://www.econbiz.de/10013222938

Individual Subjective Survival Curves

Gan, Li; Hurd, Michael D.; McFadden, Daniel L. - 2021

Testing life-cycle models and other economic models of saving and consumption at micro level requires knowledge of individuals' subjective believes of their mortality risk. Previous studies have shown that individual responses on subjective survival probabilities are generally consistent with...

Persistent link: https://www.econbiz.de/10013226056

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