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Bianchi, Francesco - 2016

The U.S. economy is characterized by large, longer term regime shifts in asset values relative to macroeconomic fundamentals. These movements coincide with shifts in the real federal funds rate in excess of a measure of the natural rate of interest, and in equity market return premia. We specify...

Persistent link: https://www.econbiz.de/10012984111

Monetary Policy and Asset Valuation

Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C. - 2021

We document large, longer-term, joint regime shifts in asset valuations and the real federal funds rate-r* spread. To interpret these findings, we estimate a novel macro-finance model of monetary transmission and find that the documented regimes coincide with shifts in the parameters of a policy...

Persistent link: https://www.econbiz.de/10013234115

Interpretable Asset Markets?

Bansal, Ravi - 2002

In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are …

Persistent link: https://www.econbiz.de/10012469320

Monetary Policy and Asset Valuation

Bianchi, Francesco - 2016

We find evidence of infrequent shifts, or "regimes," in the mean of the asset valuation variable <i>cay<sub>t</sub></i> that are strongly associated with low-frequency fluctuations in the real federal funds rate, with low policy rates associated with high asset valuations, and vice versa. There is no evidence...

Persistent link: https://www.econbiz.de/10012456107

Asset pricing with two types of heterogeneous consumption volatilities in mind : evidence from China

Chen, Qi-an; Li, Huashi; Lin, Jianyi; Yan, Youliang - In: Pacific-Basin finance journal 77 (2023), pp. 1-36

Persistent link: https://www.econbiz.de/10014463601

Stock price dynamics of China : what do the asset markets tell us about the Chinese utility function?

Kwan, Yum-keung; Dong, Jinyue - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 77-108

Persistent link: https://www.econbiz.de/10010465138

The Consumption of Active Investors and Asset Prices

Zawadowski, Adam - 2010

This paper uses macroeconomic data to measure the consumption of active investors that are wealthy and derive a large fraction of their income from the capital they own. The resulting stochastic discount factor is tested on the time series and cross section of asset returns and yields reasonable...

Persistent link: https://www.econbiz.de/10013146685

Household Portfolios, Monetary Policy and Asset Prices

Leombroni, Matteo; Rogers, Ciaran - 2021

subsequent wealth effect on consumption. In order to jointly study these effects, we introduce an heterogeneous household life … rebalancing toward riskier assets with a consequent increase in their asset prices and an increase in wealth. According to our … model, the positive wealth effect on consumption is offset by an increase in the saving margin induced by the overall …

Persistent link: https://www.econbiz.de/10013321564

Tan, Selin Duz - In: Borsa Istanbul Review 22 (2022) 4, pp. 812-827

This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks...

Persistent link: https://www.econbiz.de/10013334839

"Relative concerns for consumption at the top" : an intertemporal analysis for the UK

Quintana-Domeque, Climent; Wohlfart, Johannes - In: Journal of economic behavior & organization : JEBO 129 (2016), pp. 172-194

Persistent link: https://www.econbiz.de/10011701818