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Das Consumption Capital Asset Pricing Model : eine empirische Untersuchung für den Schweizer Kapitalmarkt unter Berücksichtigung saisonaler Effekte

Bärtsch, Oxana - 2009

Persistent link: https://www.econbiz.de/10003819836

Monetary policy and asset valuation : evidence from a Markov-switching cay

Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C. - 2016

Persistent link: https://www.econbiz.de/10011540476

Aktienkurse und gesamtwirtschaftliche Entwicklung : eine empirische Analyse für die Bundesrepublik Deutschland

Forster, Katrin - 2004

Persistent link: https://www.econbiz.de/10002216504

Idiosyncratic volatility, stock market volatility, and expected stock returns

Guo, Hui (contributor); Savickas, Robert (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001985899

Monetary Policy and Asset Valuation

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

Does the turbulence of the stock market terrify consumers? : evidence from a panel of U.S. States using pooled mean group estimation

Ebadi, Esmaeil - 2021

This paper elucidates the influence of stock market volatility on U.S. consumption using pooled mean group (PMG …) estimation of 46 states over the period from 1998 to 2017. The findings confirm that the PMG estimates of the effect of stock … market volatility on consumption are robust to the lag order, lag selection criteria, and outliers compared with the mean …

Persistent link: https://www.econbiz.de/10012661246

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

Monetary policy and asset valuation

Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C. - 2018

Persistent link: https://www.econbiz.de/10011862029

Monetary policy and asset valuation : evidence from a Markov-switching cay

Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C. - 2017

Persistent link: https://www.econbiz.de/10011739466

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