Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.3/3301
Título: An exploration of asset returns in a production economy with relative habits
Autor: Budría, Santiago
Palavras-chave: Business Cycles
Equity Premium
Habit Persistance
Data: Dez-2004
Editora: CEEAplA
Relatório da Série N.º: Working Paper Series;07/2004
Resumo: This paper explores asset returns in a production economy with habit forming households. I show that a model with capital adjustment costs and relative habits is consistent with salient financial facts, such as the equity premium, the market price of risk, and the riskfree interest rate. These predictions are not at odds with good business cycle predictions. In the model economy investment is strongly procyclical and more volatile than output, which in turn is more volatile than consumption. Moreover, consumption growth is positively autocorrelated and negatively (positively) correlated with future (past) stock returns.
Peer review: yes
URI: http://hdl.handle.net/10400.3/3301
Aparece nas colecções:CEEAplA Working Paper Series 2004

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