Habit persistence and asset returns in an exchange economy

Macroeconomic Dynamics

Volumn 1, Issue 2, 1997, Pages 312-332

  Boldrin, Michele ^a,b   Christiano, Lawrence J ^b,c,d   Fisher, Jonas D M ^d,e  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

^b CEPR ^*

^c NORTHWESTERN UNIVERSITY   (United States)

^d FEDERAL RESERVE BANK OF CHICAGO   (United States)

^e UNIVERSITY OF WESTERN ONTARIO   (Canada)

Author keywords

Asset Pricing; Capital Gains; Habit Persistence; Risk Aversion

Indexed keywords

EID: 0031331173     PISSN: 13651005     EISSN: None     Source Type: Journal    
DOI: 10.1017/s1365100597003027     Document Type: Article

References (24)

1. Abel, A. (1990) Asset prices under habit formation and catching up with the Joneses. American Economic Review 80, 38-42.
2. Boldrin, M., L.J. Christiano & J.D.M. Fisher (1995) Asset Pricing Lessons for Modelling Business Cycles. NBER working paper 5262.
3. Campbell, J.Y. & J.H. Cochrane (1997) By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior. Manuscript. University of Chicago.
4. Cecchetti, S.G., P.-S. Lam & N.C. Mark (1993) The equity premium and the risk-free rate: Matching the moments. Journal of Monetary Economics 31, 21-4-5.
5. Christiano, L.J. (1988) Why does inventory investment fluctuate so much? Journal of Monetary Economics 21, 247-280.
6. Christiano, L.J. (1989) Comment on "Consumption, income, and interest rates." In O.J. Blanchard & S. Fischer (eds.). NBER Macroeconomics Annual 1989, pp. 216-233. Cambridge, MA: MIT Press.
7. Christiano, L.J. & J.D.M. Fisher (1997) Algorithms for Solving Dynamic Models with Occasionally Binding Constraints. Manuscript, Federal Reserve of Chicago.
8. Christiano, L.J. & J.D.M. Fisher (1995) Tobin's q and Asset Returns: Implications for Business Cycle Analysis. NBER working paper 5292.
9. Cochrane, J.H. & L.P. Hansen (1992) Asset pricing explorations for macroeconomics. In O.J. Blanchard & S. Fischer (eds.), NBER Macroeconomics Annual 1992, pp. 115-165. Cambridge, MA: MIT Press.
10. Constantinides, G. (1990) Habit formation: A resolution of the equity premium puzzle. Journal of Political Economy 98, 519-543.
11. Fisher. J. (1994) A Dynamic, General Equilibrium Empirical Analysis of Real and Monetary Aspects of the Business Cycle. Ph.D. Dissertation, Northwestern University.
12. Ferson, W. E. & G.M. Constantinides (1991) Habit persistence and durability in aggregate consumption: Empirical tests. Journal of Financial Economics 29, 199-240.
13. Gibbons, M.R. (1989) On the volatility of bond prices. Carnegie-Rochester Conference Series on Public Policy 31, 139-175.
14. Hansen, L.P. & R. Jagannathan (1991) Implications of security market data for models of dynamic economics. Journal of Political Economy 99, 225-262.
15. Heaton, J. (1993) The interaction between time-nonseparable preferences and time aggregation. Econometrica 61, 353-385.
16. Heaton, J. (1995) An empirical investigation of asset pricing with temporally dependent preference specifications. Econometrica 63, 681-717.
17. Judd, K.L. (1992) Projection methods for solving aggregate growth models. Journal of Economic Theory 58, 410-452.
18. Lucas, R.E., Jr. (1978) Asset prices in an exchange economy. Econometrica 46, 1429-1445.
19. Mehra, R. & B.C. Prescott (1985) The equity premium: A puzzle. Journal of Monetary Economics 15, 145-161.
20. Quah, D. (1990) Permanent and transitory movements in labor income: An explanation for "excess smoothness" in consumption. Journal of Political Economy 98, 449-475.
21. Sargent, T. (1989) Two models of measurements and the investment accelerator. Journal of Political Economy 97, 251-287.
22. Weil, P. (1989) The equity premium puzzle and the risk-free rate puzzle. Journal of Monetary Economics 24, 401-421.
23. Weil, P. (1992) Comment on "Asset pricing explorations for macroeconomics." In O.J. Blanchard & S. Fischer (eds.), NBER Macroeconomics Annual 1992, pp. 169-181. Cambridge, MA: MIT Press.
24. Wilcox, D.W. (1992) The construction of U.S. consumption data: Some facts and their implications for empirical work. American Economic Review 82, 922-941.