The Consumption Terms of Trade and Commodity Prices Abstract: Movements in a nation's terms of trade are widely viewed as important for the understanding the sources of business cycle fluctuations, the dynamics of the trade balance and economic welfare. Backus, Kehoe and Kydland (1994) emphasize...

We develop a framework in which information about firm value is noisily observed. Investors are then faced with a signal extraction problem. Solving this would enable them to probabilistically infer the fundamental value of the firm and, hence, price its stocks. If the innovations driving the...

We study the effects of incorporating incomplete information in the recently developed long run risks model of asset pricing. Studying the effects of incomplete information in such a setting is tractable, especially in the homoskedastic case with no fluctuating economic uncertainty. The...

We investigate the impact of ignoring fat tails observed in the empirical distributions of macroeconomic time series on the equilibrium implications of the consumption-based asset-pricing model with habit formation. Fat tails in the empirical distributions of consumption growth rates are modeled...

We investigate the economic importance of modeling non-linearities in the dynamics of exogenous processes on the implied moments of endogenous variables in the context of the consumption-based asset pricing model. For this purpose, we model the endowment process alternatively as a linear...

We investigate forecast performance of artificial neural network models using Ashley, et al. (1980) and employ neural network nonlinearity test proposed by Lee, et al. (1993) to find possible existence of business cycle asymmetries in Canada, France, Japan, UK, and USA real GDP growth rates. Our...

We investigate asymmetries in the conditional mean dynamics of four sectors of the U.S. GDP data. Since the statistical evidence on nonlinearities in the conditional mean could be influenced by the presence of outliers, or by a failure to model conditional heteroskedasticity, we explicitly...