Predictability and habit persistence

DOI10.1016/j.jedc.2005.06.016zbMath1162.91371MaRDI QIDQ959671

Fabrice Collard, Patrick Fève, Imen Ghattassi

Publication date: 12 December 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://publications.ut-capitole.fr/1257/1/collard_feve_ghattassi.pdf

zbMATH Keywords

asset pricing; predictability; catching up with the Joneses; habit stock

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

91B50: General equilibrium theory

Related Items

Predetermined interest rates in an analytical RBC model, WHY DO RISK PREMIA VARY OVER TIME? A THEORETICAL INVESTIGATION UNDER HABIT FORMATION

Cites Work

• Unnamed Item
• Unnamed Item
• Equilibrium stock return dynamics under alternative rules of learning about hidden states
• Impulse response analysis in nonlinear multivariate models
• Solving asset pricing models with Gaussian shocks
• Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
• Exact solution of asset pricing models with arbitrary shock distributions
• Asset Prices in an Exchange Economy
• HABIT PERSISTENCE AND ASSET RETURNS IN AN EXCHANGE ECONOMY
• An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications