Consumption-based asset pricing models (CCAPMs) connect asset returns with consumption growth. The poor empirical performance of early consumption models has led to the development of a number of more sophisticated models. Nevertheless, most models focus on the US markets, and very few CCAPMs...

Diese Dissertation beinhaltet drei eigenständige Aufsätze, die die Interaktionen von Bewertungsmodellen für Wertpapiere, Finanzmärkten und der Volkswirtschaft untersuchen. Alle drei Papiere tragen zu einem besseren Verständnis von Verknüpfungen zwischen Finanzmärkten und Realwirtschaft....

We use the consumption-based asset pricing model with habit formation to study the predictability and cross-section of returns from the international equity markets. We find that the predictability of returns from many developed countries' equity markets is explained in part by changing prices...

Duesenberry introduced the notion of a ratchet investor who does not tolerate any decline in her consumption rate. We connect the demand behavior of such an agent to the behavior of standard time-additive agents. A ratchet investor demands the running maximum of the optimal plan a conventional...

Research macroeconomists have witnessed remarkable methodological developments in mathematical, statistical, and computational tools during the last two decades. The three essays in this dissertation took advantage of these advances to analyze important macroeconomic issues.The first essay, “...

We estimate the importance of preference interdependence from consumption choices. Our strategy follows the literature that tests the constraints imposed by optimality in the evolution of individual consumption. We derive a Euler equation from a preference specifi cation that allows for...

This paper explores the extent of consumption smoothing between 1981 and 1985 in rural Burkina Faso. In particular, we examine the extent to which livestock, grain storage and interhousehold transfers are used to smooth consumption against income risk. The survey coincided with a period of...

The thesis presents several theoretical models on the causes and consequences of income growth and uncertainty.Part I deals with international trade as a major source of aggregate productivity. It presents the Melitz (2003) model and develops an integrated model of intra-industry trade and...

Artículo de revista ; The article quantifies the contributions made by different household groups to the change in the aggregate household saving rate in Spain between 2007 and 2016. Against the backdrop of the last crisis – heightened uncertainty and significant labour market deterioration...