[go: up one dir, main page]
create a website
Habits die hard: implications for bond and stock markets internationally. (2021). Nitschka, Thomas ; Satkurunathan, Shajivan.
In: Working Papers.
RePEc:snb:snbwpa:2021-08.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 36

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Bank of Japan. 2001. New Procedures for Money Market Operations and Monetary Easing. Press release, 19 March 2001.
    Paper not yet in RePEc: Add citation now
  2. Bank of Japan. 2016. Outline of Outright Purchases of Japanese Government Bonds during September. Press release, 21 September 2016.
    Paper not yet in RePEc: Add citation now

  3. Bansal, R., Yaron, A. 2004. Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles. Journal of Finance 59, 1481-1509.

  4. Barro, R. 2009. Rare Disasters, Asset Prices, and Welfare Costs. American Economic Review 99, 243-264.

  5. Bauer, M.D., Rudebusch, G.D. 2020. Interest Rates Under Falling Stars. American Economic Review 110, 1316-1354..

  6. Borio, C., Disyatat, P., Juselius, M., Rungcharoenkitkul, P. 2017. Why so low for so long? A long-term view of real interest rates. BIS Working Paper No 685.

  7. Caballero, R.J., Farhi, E., Gourinchas, P-O. 2017. The Safe Assets Shortage Conundrum. Journal of Economic Perspectives 31, 29-46.

  8. Campbell, J.Y., Cochrane, J.H. 1995. By force of habit: a consumptionbased explanation of aggregate stock market behaviour. NBER Working Paper 4995.

  9. Campbell, J.Y., Cochrane, J.H. 1999. By force of habit: a consumptionbased explanation of aggregate stock market behaviour. Journal of Political Economy 107, 205-251.

  10. Campbell, J.Y., Pflueger, C., Viceira, L.M. 2020. Macroeconomic Drivers of Bond and Equity Risks. Journal of Political Economy 128, 3148-3185.

  11. Campbell, J.Y., Shiller, R.J. 1988. The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies 1, 195-227.

  12. Campbell, J.Y., Shiller, R.J. 1991. Yield spreads and interest rate movements: a bird’s eye view. Review of Economic Studies 58, 495-514.

  13. Christensen, J.H.E., Rudebusch, G.D. 2012. The response of interest rates to US and UK quantitative easing. Economic Journal 122, 385414.

  14. Darrat, A.F., Li, B., Park. J.C. 2011. Consumption-based CAPM models: International evidence. Journal of Banking and Finance 35, 2148-2157.

  15. Del Negro, M., Giannone, D., Giannoni, M.P., Tambalotti, A. 2019. Global trends in interest rates. Journal of International Economics 118, 248-262.

  16. Drechsel, D., Funk, A.K. 2017. Time-Varying and Regional Dynamics in Swiss Housing Markets. Swiss Journal of Economics and Statistics 153, 37-72.

  17. Duffee, G. 2013. Bond Pricing and the Macroeconomy. Chapter 13 in Handbook of the Economics of Finance, vol. 2, part b, eds. George Constantinides, Milt Harris and René Stulz. Elsevier.

  18. Engsted, T., Hyde, S., Moller S.V. 2010. Habit formation, surplus consumption and return predictability: International evidence. Journal of International Money and Finance 29, 1237-1255.

  19. Ermolov, A. 2019. International Real Yields. Unpublished Working Paper.
    Paper not yet in RePEc: Add citation now

  20. Fama, E. F. 2013. Does the Fed Control Interest Rates? Review of Asset Pricing Studies 3(2), 180-199.

  21. Fama, E.F., Bliss, R. 1987. The information in long-maturity forward rates. American Economic Review 77, 680-692.

  22. Farhi, E., Gourio, F. 2018. Accounting for Macro-Finance Trends: Market Power, Intangibles, and Risk Premia. Brookings Papers on Economic Activity (Fall), 147-223.

  23. Guiso, L., Sapienza, P., Zingales, L. 2018. Time varying risk aversion. Journal of Financial Economics 128, 403-421.

  24. Hasseltoft, H. 2012. Stocks, Bonds, and Long-Run Consumption Risks. Journal of Financial and Quantitative Analysis 47, 309-332.

  25. Holston, K., Laubach, T., Williams, J.C. 2017. Measuring the Natural Rate of Interest: International Trends and Determinants. Journal of International Economics 108, 59-75.

  26. Hyde, S., Sherif, M. 2010. Consumption asset pricing and the term structure. Quarterly Review of Economics and Finance 50, 99-110.

  27. Jorda, O., Knoll, K., Kuvshinov, D., Schularick, M., Taylor, A.M. 2019. The Rate of Return on Everything, 1870-2015. Quarterly Journal of Economics 134, 1225-1298.

  28. Li, Y., Zhong, M. 2005. Consumption habit and international stock returns. Journal of Banking and Finance 29, 579-601.

  29. Madueria, L. 2007. The ex ante real rate and inflation premium under a habit consumption model. Journal of Empirical Finance 14, 355-382.
    Paper not yet in RePEc: Add citation now

  30. Malmendier, U., Nagel. S. 2011. Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking? Quarterly Journal of Economics 126, 373-416.

  31. Miller, M., Paron, J.D., Wachter J.A. 2020. Sovereign default and the decline in interest rates. Unpublished working paper.
    Paper not yet in RePEc: Add citation now

  32. Rietz, T.A. 1988. The Equity Risk Premium: A Solution. Journal of Monetary Economics 22, 117-131.

  33. Song, D. 2017. Bond Market Exposures to Macroeconomic and Monetary Policy Risks. Review of Financial Studies 30, 2761-2817.

  34. Stehle, R., Schmidt. M.H. 2015. Returns on German Stocks: 1954 to 2013. Credit and Capital Markets 48, 427-476.
    Paper not yet in RePEc: Add citation now
  35. Swanson, E.T. 2020. Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets. Journal of Monetary Economics, Forthcoming.
    Paper not yet in RePEc: Add citation now

  36. Wachter, J.A. 2006. A consumption-based model of the term structure of interest rates. Journal of Financial Economics 79, 365-399.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Variance stochastic orders. (2017). Gollier, Christian.
    In: TSE Working Papers.
    RePEc:tse:wpaper:31818.

    Full description at Econpapers || Download paper

  2. Global Sunspots and Asset Prices in a Monetary Economy. (2015). Farmer, Roger ; Farmer, Roger E A, .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10402.

    Full description at Econpapers || Download paper

  3. Growth, Slowdowns, and Recoveries. (2014). Bianchi, Francesco ; Kung, Howard.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10291.

    Full description at Econpapers || Download paper

  4. Persistence in the price-to-dividend ratio and its macroeconomic fundamentals. (2013). Xu, Fang ; Rengel, Malte ; Herwartz, Helmut.
    In: Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
    RePEc:zbw:vfsc13:79860.

    Full description at Econpapers || Download paper

  5. Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships. (2013). Okou, Cedric ; Jacquier, Eric .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2013s-14.

    Full description at Econpapers || Download paper

  6. Systematic Consumption Risk in Currency Returns. (2013). Studer-Suter, Rahel ; Hoffmann, Mathias.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4273.

    Full description at Econpapers || Download paper

  7. A 4-stated DICE: quantitatively addressing uncertainty effects in climate change. (2013). Traeger, Christian.
    In: Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series.
    RePEc:cdl:agrebk:qt9034k05t.

    Full description at Econpapers || Download paper

  8. A Search-Theoretic Model of the Term Premium. (2013). Salyer, Kevin ; Herrenbrueck, Lucas ; Geromichalos, Athanasios.
    In: Working Papers.
    RePEc:cda:wpaper:13-8.

    Full description at Econpapers || Download paper

  9. A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks. (2012). Papanikolaou, Dimitris ; Kogan, Leonid.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17975.

    Full description at Econpapers || Download paper

  10. International Consumption Risk Is Shared After All: An Asset Return View. (2012). Liu, Edith ; Lewis, Karen K..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17872.

    Full description at Econpapers || Download paper

  11. Boundedly Rational Dynamic Programming: Some Preliminary Results. (2012). Gabaix, Xavier.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17783.

    Full description at Econpapers || Download paper

  12. Risks for the Long Run and the Real Exchange Rate. (2011). Colacito, Riccardo ; Croce, Mariano M..
    In: Journal of Political Economy.
    RePEc:ucp:jpolec:doi:10.1086/659238.

    Full description at Econpapers || Download paper

  13. Asset Returns Under Model Uncertainty: Evidence from the euro area, the U.K. and the U.S.. (2011). Sousa, Ricardo.
    In: Working Papers.
    RePEc:ptu:wpaper:w201119.

    Full description at Econpapers || Download paper

  14. The difficult art of eliciting long-run inflation expectations from government bond prices. (2010). Zarazaga, Carlos ; Carlos E. J. M. Zarazaga, .
    In: Staff Papers.
    RePEc:fip:feddst:y:2010:i:mar:n:9.

    Full description at Econpapers || Download paper

  15. Stock-Market Crashes and Depressions. (2009). Barro, Robert ; Ursa, Jos F..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14760.

    Full description at Econpapers || Download paper

  16. Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM. (2008). Adrian, Tobias ; Franzoni, Francesco.
    In: Staff Reports.
    RePEc:fip:fednsr:193.

    Full description at Econpapers || Download paper

  17. Implications for Asset Pricing Puzzles of a Roll-over Assumption for the Risk-Free Asset-super-. (2008). WARREN, GEOFFREY J..
    In: International Review of Finance.
    RePEc:bla:irvfin:v:8:y:2008:i:3-4:p:125-157.

    Full description at Econpapers || Download paper

  18. Risk Based Explanations of the Equity Premium. (2007). Mehra, Rajnish ; Donaldson, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13220.

    Full description at Econpapers || Download paper

  19. Cointegration and Consumption Risks in Asset Returns. (2007). Dittmar, Robert ; Bansal, Ravi ; Kiku, Dana .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13108.

    Full description at Econpapers || Download paper

  20. Rational Pessimism, Rational Exuberance, and Asset Pricing Models. (2007). Tauchen, George ; Gallant, A. ; Bansal, Ravi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13107.

    Full description at Econpapers || Download paper

  21. Durability of Output and Expected Stock Returns. (2007). Yogo, Motohiro ; Kogan, Leonid ; Gomes, João.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12986.

    Full description at Econpapers || Download paper

  22. Beliefs, Doubts and Learning: Valuing Economic Risk. (2007). Hansen, Lars.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12948.

    Full description at Econpapers || Download paper

  23. Inflation risk and optimal monetary policy. (2007). Pakko, Michael ; Keen, Benjamin ; Gavin, William.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-035.

    Full description at Econpapers || Download paper

  24. Commentary on Long-run risks and financial markets. (2007). Sargent, Thomas.
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:301-304:n:v.89no.4.

    Full description at Econpapers || Download paper

  25. Editors introduction. (2007). Gavin, William.
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:209-214:n:v.89no.4.

    Full description at Econpapers || Download paper

  26. How Structural Are Structural Parameters?. (2007). Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus.
    In: Levine's Bibliography.
    RePEc:cla:levrem:843644000000000057.

    Full description at Econpapers || Download paper

  27. Rational Inattention, Portfolio Choice, and the Equity Premium. (2006). Luo, Yulei.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:56.

    Full description at Econpapers || Download paper

  28. Robustness and Information Processing. (2006). Kasa, Kenneth.
    In: Review of Economic Dynamics.
    RePEc:red:issued:v:9:y:2006:i:1:p:1-33.

    Full description at Econpapers || Download paper

  29. Long Term Risk: An Operator Approach. (2006). Scheinkman, Jose ; Hansen, Lars.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12650.

    Full description at Econpapers || Download paper

  30. Linear Approximations and Tests of Conditional Pricing Models. (2006). Chapman, David ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12513.

    Full description at Econpapers || Download paper

  31. Equity Premia with Benchmark Levels of Consumption: Closed-Form Results. (2006). Abel, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12290.

    Full description at Econpapers || Download paper

  32. Risk, Uncertainty and Asset Prices. (2006). Xing, Yuhang ; Engstrom, Eric ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12248.

    Full description at Econpapers || Download paper

  33. Stock and Bond Returns with Moody Investors. (2006). Engstrom, Eric ; Bekaert, Geert ; Grenadier, Steven R..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12247.

    Full description at Econpapers || Download paper

  34. Optimal Market Timing. (2006). Zhang, Lu ; Livdan, Dmitry ; Erica X. N. Li, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12014.

    Full description at Econpapers || Download paper

  35. Stock returns and volatility: pricing the short-run and long-run components of market risk. (2006). Rosenberg, Joshua ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:254.

    Full description at Econpapers || Download paper

  36. Incomplete information processing: a solution to the forward discount puzzle. (2006). van Wincoop, Eric ; Bacchetta, Philippe.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-35.

    Full description at Econpapers || Download paper

  37. Complementarities in information acquisition with short-term trades. (2006). Verdelhan, Adrien.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2006-042.

    Full description at Econpapers || Download paper

  38. Information Quality and Stock Returns Revisited. (2005). d'Addona, Stefano ; Brevik, Frode.
    In: Finance.
    RePEc:wpa:wuwpfi:0511006.

    Full description at Econpapers || Download paper

  39. Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options. (2005). Benzoni, Luca ; Goldstein, Robert S. ; Collin-Dufresne, Pierre.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11861.

    Full description at Econpapers || Download paper

  40. What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?. (2005). Uppal, Raman ; Kurshev, Alexander ; Dumas, Bernard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11803.

    Full description at Econpapers || Download paper

  41. Movements in the Equity Premium: Evidence from a Bayesian Time-Varying VAR. (2005). DeSantis, Massimiliano ; De Santis, Massimiliano .
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:62.

    Full description at Econpapers || Download paper

  42. Interpreting Aggregate Stock Market Behavior: How Far Can the Standard Model Go?. (2005). DeSantis, Massimiliano ; De Santis, Massimiliano .
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:5.

    Full description at Econpapers || Download paper

  43. Asset Mispricing Due to Cognitive Dissonance. (2005). Drees, Burkhard ; Eckwert, Bernhard.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2005/009.

    Full description at Econpapers || Download paper

  44. Risk, uncertainty, and asset prices. (2005). Xing, Yuhang ; Engstrom, Eric ; Bekaert, Geert.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-40.

    Full description at Econpapers || Download paper

  45. What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?. (2005). Uppal, Raman ; Kurshev, Alexander ; Dumas, Bernard J.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5367.

    Full description at Econpapers || Download paper

  46. Let’s Take a Break: Trends and Cycles in US Real GDP?. (2005). Wada, Tatsuma ; Perron, Pierre ; Verdelhan, Adrien.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2005-031.

    Full description at Econpapers || Download paper

  47. The Impact of Monetary Policy on Bond Returns Volatility: A Segmented Markets Approach. (2004). Occhino, Filippo ; Mizrach, Bruce.
    In: Departmental Working Papers.
    RePEc:rut:rutres:200402.

    Full description at Econpapers || Download paper

  48. On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach. (2002). Brandt, Michael W. ; Kang, Qiang .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9056.

    Full description at Econpapers || Download paper

  49. Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles. (2000). Yaron, Amir ; Bansal, Ravi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8059.

    Full description at Econpapers || Download paper

  50. Uncertainty Shocks and Business Cycle Research. (). Guerron, Pablo ; Fernandez-Villaverde, Jesus ; Guerron-Quintana, Pablo.
    In: Review of Economic Dynamics.
    RePEc:red:issued:20-250.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-23 13:44:14 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.