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Do survey expectations of stock returns reflect risk adjustments?
Adam, Klaus; Matveev, Dmitry; Nagel, Stefan - In: Journal of monetary economics 117 (2021), pp. 723-740
Persistent link: https://www.econbiz.de/10012603211
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Internal Rationality, Imperfect Market Knowledge and Asset Prices
Adam, Klaus; Marcet, Albert - Centre for Economic Performance, LSE - 2011
then determined by investors' expectations of the price and dividend in the next period, rather than by expectations of the …
Persistent link: https://www.econbiz.de/10009220233
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Stock Market Volatility and Learning
Adam, Klaus; Marcet, Albert; Nicolini, Juan Pablo - Centre for Economic Performance, LSE - 2011
beliefs about price and dividend behavior to deviate slightly from rational expectations priors. Learning about stock price … form expectations about future stock prices using past price observations. …
Persistent link: https://www.econbiz.de/10009322528
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Robustly optimal monetary policy in a microfounded New Keynesian model
Adam, Klaus; Woodford, Michael - In: Journal of Monetary Economics 59 (2012) 5, pp. 468-487
central bank recognizes that private-sector expectations need not be precisely model-consistent, and wishes to choose a policy … increases in inflation than would be considered optimal if one could count on the private sector to have “rational expectations.” …
Persistent link: https://www.econbiz.de/10011042885
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Stock Price Booms and Expected Capital Gains
Adam, Klaus; Marcet, Albert; Beutel, Johannes - Barcelona Graduate School of Economics (Barcelona GSE) - 2015
investors' subjective capital gains expectations. Survey measures of these expectations display excessive optimism at market … expected returns observed in survey data. We show that models imposing objective or 'rational' price expectations cannot …
Persistent link: https://www.econbiz.de/10011194310
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Robustly Optimal Monetary Policy in a Microfounded New Keynesian Model
Adam, Klaus; Woodford, Michael - Abteilung für Volkswirtschaftslehre, Universität Mannheim - 2012
central bank recognizes that private-sector expectations need not be precisely model-consistent, and wishes to choose a policy … increases in inflation than would be considered optimal if one could count on the private sector to have “rational expectations.” …
Persistent link: https://www.econbiz.de/10009651852
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Stock Market Volatility and Learning
Adam, Klaus; Marcet, Albert; Nicolini, Juan Pablo - Abteilung für Volkswirtschaftslehre, Universität Mannheim - 2012
We study a standard consumption based asset pricing model with rational investors who entertain subjective prior beliefs about price behavior. Optimal behavior then dictates that investors learn about price behavior from past price observations. We show that this imparts momentum and mean...
Persistent link: https://www.econbiz.de/10010570564
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Booms and Busts in Asset Prices
Adam, Klaus; Marcet, Albert - Centre for Economic Performance, LSE - 2011
to differ infinitesimally from the rational expectations prior. Bayesian updating of return beliefs then gives rise to … intertemporally transfer resources. Once returns fall short of expectations, investors revise return expectations downward and set in …
Persistent link: https://www.econbiz.de/10009150056
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Learning and Equilibrium Selection in a Monetary Overlapping Generations Model with Sticky Prices
Adam, Klaus - Center for Financial Studies - 2003
by avoiding simultaneity between prices and price expectations. Adaptive learning then robustly selects the determinate …
Persistent link: https://www.econbiz.de/10010958494
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Are stationary hyperinflation paths learnable?
Adam, Klaus; Evans, George W.; Honkapohja, Seppo - Center for Financial Studies - 2003
Earlier studies of the seigniorage inflation model have found that the high-inflation steady state is not stable under adaptive learning. We reconsider this issue and analyze the full set of solutions for the linearized model. Our main focus is on stationary hyperinflationary paths near the...
Persistent link: https://www.econbiz.de/10010958763