This paper investigates the testable restrictions on the time-series behavior of equity premia implied by a representative agent model whose state and time-non-separable preferences are subject to taste shocks. The model nests state and time-separable preferences with and without taste shocks as...

Micro–macro models associate the coarse-grained molecular scale of the kinetic theory to the macroscopic scale of continuum mechanics. The conservation equations are solved along with the microscopic equation or the so-called Fokker–Planck equation. In this paper, a micro–macro approach...

This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use flexible descriptions of preferences and investment opportunities to derive optimal decision rules that nest tactical, myopic, and strategic portfolio allocations. We then compare...

For post-1975 Canadian data, we document the joint behavior of output, the current account, and the interest differential at the business cycle frequency. We also interpret the joint behavior using a simple small open economy model. Our simple model assumes that agents have access to world...

This paper presents and assesses a procedure to estimate conventional parameters characterizing fluctuations at the business cycle frequency, when the economic agents’ information set is superior to the econometrician’s one. Specifically, we first generalize the conditions under which the...

This paper presents and assesses a procedure to generate recursive measures of aggregate total wealth and portfolio return. The procedure is more flexible and yields more realistic measures, compared to the classical replacement cost and present value methods.

In the recent SVAR literature, the liquidity effect has been studied by imposing a variety of identifying restrictions required under the assumption that the SVAR fundamental disturbances are homoscedastic. Using typical SVAR processes, we first show that this assumption is not supported by the...

Résumé : L’hypothèse de déficits jumeaux stipule qu’il existe une relation positive entre les déficits extérieur et budgétaire engendrée suite aux changements de dépenses publiques ou de taxes. La validité de cette hypothèse implique que les problèmes liés aux solvabilités du...