Lars Peter Hansen University of Chicago and NBER
نویسنده
چکیده
منابع مشابه
Habits and Leverage
Many stylized facts of leverage, trading, and asset prices follow from a frictionless general equilibrium model that features agents’ heterogeneity in endowments and habit preferences. Our model predicts that aggregate debt increases in good times when stock prices are high, return volatility is low, and levered agents enjoy a “consumption boom.” Our model is consistent with poorer agents borro...
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This paper investigates the response of hours worked and real wages to fiscal policy shocks in the U.S. during the post World War II era. We identify these shocks with exogenous changes in military purchases and argue that they lead to a persistent increase in government purchases and tax rates on capital and labor income, and a persistent rise in aggregate hours worked as well as declines in r...
متن کاملNonstationary Continuous - Time Processes ∗
∗Preliminary Comments are welcome. Paper written for the Handbook of Financial Econometrics edited by Yacine Aı̈t-Sahalia and Lars Peter Hansen. We thank Darrell Duffie, Benoit Perron and Mark Watson for discussions and Seoyeon Lee for research assistance. Bandi acknowledges financial support from the IBM Corporation Faculty Research Fund at the University of Chicago. Phillips thanks fhe NSF for...
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The benefits of endowment destruction documented by Ljungqvist and Uhlig (2014), and the related possibility that consumption can lower habits, are fragile. Both issues result from a particular way of discretely approximating the underlying continuous-time model, or of adapting it to jumps. Other ways of calculating the discrete-time approximation or extending the model to jumps easily overturn...
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We show that the external habit-formation model economy of Campbell and Cochrane ~1999! can explain why the Capital Asset Pricing Model ~CAPM! and its extensions are better approximate asset pricing models than is the standard consumptionbased model. The model economy produces time-varying expected returns, tracked by the dividend–price ratio. Portfolio-based models capture some of this variati...
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