This paper proposes an empirical model for analyzing the dynamics of Bitcoin prices. To do this, we consider a vector error correction model over two overlapping periods: 2010-2017 and 2010-2019. Price discovery is achieved through the Gonzalo-Granger permanent-transitory decomposition. The...

Dynamic asset pricing models typically do not generate trading volume whereas empirically trading volume is strongly related to asset prices; volume is usually high when returns are high and during periods of high return volatility. Stock prices on the other hand are known to be quite volatile...

We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of...

This paper proposes an estimable asset pricing model that builds upon micro consumption andreference-dependent preference. Central to the model is an S-shaped consumption utility function that is convex below the reference point. The model quantitatively accounts for both low risk-free rates and...