Abstract

This paper studies a DSGE model with endogenous financial asset supply and ambiguity averse investors. An increase in uncertainty about financial conditions leads firms to substitute away from debt and reduce shareholder payout in bad times when measured risk premia are high. Regime shifts in...

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This paper builds and estimates a quantitative model of business cycle fluctuations and asset premia driven by changes in uncertainty.

This paper studies a search model of the housing market to show how heterogeneity of beliefs affect house prices and trading volume.

We study a quantitative asset pricing model with a continuum of house types. Equilibrium house prices match the inventory of available houses and housing demand from households that differ by age, income, wealth, and access to credit markets. The shape of the house price function reflects...

This paper implements a structural model of the yield curve with data on nominal positions and survey forecasts. Bond prices are characterized in terms of investors' current portfolio holdings as well as their subjective beliefs about future bond payoffs. Risk premia measured by an...

This paper views the US financial system as a collection of partially linked, segmented asset markets. It studies the response of such a collection of markets to various shocks and uses the results to interpret recent boom and bust episodes.

Movements in the yield curve are decomposed into changes in bond supply, income and the term structure of inflation expectations.

This paper documents stylized facts on buyer and seller behavior across different segments of the housing market, and uses them to inform a search model with heterogeneous houses.