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Recursos bibliográficos en papel y digitales -
- libros, artículos de revistas,
ponencias de eventos, etc. -
» Resultado:
8 registros
| Registro 1 de 8 |
| Autor: |
Cecchetti, Stephen-G - Lam, Pok-sang - Mark, Nelson-C - |
| Título: |
Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True? |
| Fuente: |
American Economic Review. v.90, n.4. American Economic Association |
| Páginas: |
pp. 787-805 |
| Año: |
Sept. 2000 |
| Resumen: |
We study a Lucas asset-pricing model that is standard in all respects, except that the representative agent’s subjective beliefs about endowment growth are distorted. Using constant relative risk-aversion (CRRA) utility, with a CRRA coefficient below 10; fluctuating beliefs that exhibit, on average, excessive pessimism over expansions; and excessive optimism over contractions (both ending more quickly than the data suggest), our model is able to match the first and second moments of the equity premium and risk-free rate, as well as he persistence and predictability of excess returns found in the data. |
| Solicitar por: |
HEMEROTECA A + datos de Fuente |
| Registro 2 de 8 |
| Autor: |
Cecchetti, Stephen-G - Kashyap, Anil-K - Wilcox, David-W - |
| Título: |
Interactions between the Seasonal and Business Cycles in Production and Inventories |
| Fuente: |
American Economic Review. v.87, n.5. American Economic Association |
| Páginas: |
pp. 884-92 |
| Año: |
Dec. 1997 |
| Resumen: |
This paper shows that, in several U.S. manufacturing industries, the seasonal variability of production and inventories varied with the state of the business cycle. The authors present a simple model which implies that, if firms reduce the seasonal variability of their production as the economy strengthens and they either hold constant or increase the stock of inventories they bring into the high-production seasons of the year, then they must be facing upward-sloping and convex marginal cost curves. The authors conclude that firms in a number of industries face upward-sloping and convex marginal-production-cost curves. |
| Solicitar por: |
HEMEROTECA A + datos de Fuente |
| Registro 3 de 8 |
| Autor: |
Cecchetti, Stephen-G - Lam, Pok-sang - Mark, Nelson-C - |
| Título: |
Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns |
| Fuente: |
Journal of Finance. v.49, n.1. American Finance Association |
| Páginas: |
pp. 123-52 |
| Año: |
Mar. 1994 |
| Resumen: |
The Euler equations derived from intertemporal asset pricing models, together with the unconditional moments of asset returns, imply a lower bound on the volatility of the intertemporal marginal rate of substitution. This paper develops and implements statistical tests of these lower bound restrictions. While the availability of short time series of consumption data often undermines the ability of these tests to discriminate among different utility functions, the authors find that the restrictions implied by a number of widely studied financial data sets continue to pose quite a challenge to the current generation of intertemporal asset pricing theories. |
| Solicitar por: |
HEMEROTECA J + datos de Fuente |
| Registro 4 de 8 |
| Autor: |
Cecchetti, Stephen-G - |
| Título: |
Prices during the Great Depression: Was the Deflation of 1930-1932 Really Unanticipated? |
| Fuente: |
American Economic Review. v.82, n.1. American Economic Association |
| Páginas: |
pp. 141-56 |
| Año: |
Mar. 1992 |
| Resumen: |
This paper examines inflationary expectations in order to investigate whether the deflation of 1930-32 could have been anticipated. The major conclusion is that beginning in late 1930, and possibly as early as late 1929, deflation could have been anticipated at horizons of three-six months. This implies, in turn, that short-run ex ante real interest rates were very high during the initial phases of the Great Depression. These results provide further support for the proposition that monetary contraction was the driving force behind the economic decline. |
| Solicitar por: |
HEMEROTECA A + datos de Fuente |
| Registro 5 de 8 |
| Autor: |
Ball, Laurence - Cecchetti, Stephen-G - |
| Título: |
Wage Indexation and Discretionary Monetary Policy |
| Fuente: |
American Economic Review. v.81, n.5. American Economic Association |
| Páginas: |
pp. 1310-19 |
| Año: |
Dec. 1991 |
| Solicitar por: |
HEMEROTECA A + datos de Fuente |
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