Showing 1 - 10 of 17
Persistent link: https://www.econbiz.de/10012249229
In a parsimonious regime switching model, expected consumption growth varies over time. Adding in ation as a conditioning variable, we uncover two states in which expected consumption growth is low, one with high and one with negative expected in ation. Embedded in a general equilibrium asset...
Persistent link: https://www.econbiz.de/10012000998
We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on equity markets, consumption and portfolio choices. When agents are more...
Persistent link: https://www.econbiz.de/10011699050
In a parsimonious regime switching model, we find strong evidence that expected consumption growth varies over time. Adding inflation as a second variable, we uncover two states in which expected consumption growth is low, one with high and one with negative expected inflation. Embedded in a...
Persistent link: https://www.econbiz.de/10012802574
We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on equity markets, consumption and portfolio choices. When agents are more...
Persistent link: https://www.econbiz.de/10012950589
We investigate the stock return predictability for the aggregate Central and Eastern European (CEE) markets from 1998 through the mid-2017. Using the firm-level data we construct country portfolios and sets of component portfolios: 10 industry portfolios, 10 size portfolios, 10 market-to-book...
Persistent link: https://www.econbiz.de/10012912578
In a parsimonious regime switching model, expected consumption growth varies over time. Adding inflation as a conditioning variable, we uncover two states in which expected consumption growth is low, one with high and one with negative expected inflation. Embedded in a general equilibrium asset...
Persistent link: https://www.econbiz.de/10012902952
We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on equity markets, consumption and portfolio choices. When agents are more...
Persistent link: https://www.econbiz.de/10012899138
In a parsimonious regime switching model, expected consumption growth varies over time. Adding in ation as a conditioning variable, we uncover two states in which expected consumption growth is low, one with high and one with negative expected in ation. Embedded in a general equilibrium asset...
Persistent link: https://www.econbiz.de/10012000570
We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on equity markets, consumption and portfolio choices. When agents are more...
Persistent link: https://www.econbiz.de/10011698927