The Market Cost of Business Cycle Fluctuations
References
- (2012) Assessing misspecified asset pricing models with empirical likelihood estimators. J. Econom. 170(2):519–537.Crossref, Google Scholar
- (2016) Economic implications of nonlinear pricing kernels. Management Sci. 63(10):3147–3529.Google Scholar
- (2019) Nonparametric assessment of hedge fund performance. J. Econometrics.Google Scholar
- (2004) Using asset prices to measure the cost of business cycles. J. Political Econom. 112(6):1223–1256.Crossref, Google Scholar
- (1994) Reconsidering the costs of business cycles with incomplete markets. NBER Macroeconom. Ann. 187–207.Crossref, Google Scholar
- (2013) Sources of entropy in representative agent models. J. Finance.Google Scholar
- (2020) Searching for the equity premium. NBER Working Paper No. 28001, National Bureau of Economic Research, Cambridge, MA.Google Scholar
- (2004) Risks for the long run: A potential resolution of asset pricing puzzles. J. Finance 59(4):1481–1509.Crossref, Google Scholar
- (2021) The term structure of equity risk premia. J. Financial Econom. 142(3):1209–1228.Crossref, Google Scholar
- (2004) The cost of business cycles under endogenous growth. Amer. Econom. Rev. 94(4):964–990.Crossref, Google Scholar
- (2005) The cost of business cycles and the benefits of stabilization. Econom. Perspectives Federal Reserve Bank Chicago Q(I):32–49.Google Scholar
- (2005) Rare events and the equity premium. NBER Working Paper No. 11310, National Bureau of Economic Research, Cambridge, MA.Google Scholar
- (2006) Rare disasters and asset markets in the twentieth century. Quart. J. Econom. 121(3):823–866.Crossref, Google Scholar
- (2009) Rare disasters, asset prices, and welfare costs. Amer. Econom. Rev. 99(1):243–264.Crossref, Google Scholar
- (2010) Equilibrium asset prices and investor behaviour in the presence of money illusion. Rev. Econom. Stud. 77(3):914–936.Crossref, Google Scholar
- (2001) The cost of business cycles and the stabilization value of unemployment insurance. Eur. Econom. Rev. 45:1545–1572.Crossref, Google Scholar
- (2019) Public debt and low interest rates. Amer. Econom. Rev. 109(4):1197–1229.Google Scholar
- (2016) Misspecified recovery. J. Finance 71(6):2493–2544.Crossref, Google Scholar
- (1990) A correspondence principle for relative entropy minimization. Naval Res. Logist. 37(2):191–202.Crossref, Google Scholar
- (2024a) Consumption in asset returns. Preprint, submitted March 12, http://dx.doi.org/10.2139/ssrn.3783070.Google Scholar
- (2024b) Macro strikes back: Term structure of risk premia and market segmentation. (December), https://www.aeaweb.org/conference/2026/program/paper/nz9EF6bN.Google Scholar
- (1999) By force of habit: A consumption-based explanation of aggregate stock market behavior. J. Political Econom. 107(2):205–251.Crossref, Google Scholar
- (2020) Robust identification of investor beliefs. Proc. Natl. Acad. Sci. USA 117:33130–33140.Google Scholar
- (2021) Conditional dynamics and the multihorizon risk-return trade-off. Rev. Financial Stud. 35(3):1310–1347.Crossref, Google Scholar
- (1996) Asset pricing with heterogeneous consumers. J. Political Econom. 104(2):219–240.Crossref, Google Scholar
- (2017) Asset pricing with countercyclical household consumption risk. J. Finance 72(1):415–460.Crossref, Google Scholar
- (1975) I-divergence geometry of probability distributions and minimization problems. Ann. Probabilities 3:146–158.Google Scholar
- (2020) Trendy business cycles and asset prices. Working Paper No. 4211721, University of North Carolina, Chapel Hill.Google Scholar
- (1998) Risk preferences and the welfare cost of business cycles. Rev. Econom. Dynamics 1:646–676.Crossref, Google Scholar
- (1989) Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework. Econometrica 57:937–968.Crossref, Google Scholar
- (2014) How much would you pay to resolve long-run risk? Amer. Econom. Rev. 104(9):2680–2697.Crossref, Google Scholar
- (2026) Properties of subjective beliefs estimators. Rev. Finance Forthcoming.Google Scholar
- (2019) Identifying beliefs from asset prices. Working paper, McGill University, Quebec.Google Scholar
- (2017) What is the consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models. Rev. Financial Stud. 30(2):442–504.Crossref, Google Scholar
- (2022) An information-based one-factor asset pricing model. Working paper, London School of Economics and Political Science, LSE Library, London.Google Scholar
- (2018) Why you should never use the Hodrick-Prescott filter. Rev. Econom. Statist. 100.Crossref, Google Scholar
- (2014) Nobel lecture: Uncertainty outside and inside economic models. J. Political Econom. 122(5):945–987.Crossref, Google Scholar
- (1991) Implications of security market data for models of dynamic economies. J. Political Econom. 99(2):225–262.Crossref, Google Scholar
- (1997) Asssessing specification errors in stochastic discount factor models. J. Finance 52:557–590.Crossref, Google Scholar
- (2010) Fragile beliefs and the price of uncertainty. Quant. Econom. 1(1):129–162.Crossref, Google Scholar
- (1983) Stochastic consumption, risk aversion, and the temporal behavior of asset returns. J. Political Econom. 91:249–268.Crossref, Google Scholar
- (1999) Robust permanent income and pricing. Rev. Econom. Stud. 66(4):873–907.Crossref, Google Scholar
- (2014) Digesting anomalies: An investment approach. Rev. Financial Stud. 28(3):650–705.Crossref, Google Scholar
- (1989) Cost of business cycles with indivisibilities and liquidity constraints. J. Political Econom. 97(6):1364–1383.Crossref, Google Scholar
- (2012) Can rare events explain the equity premium puzzle? Rev. Financial Stud. 25(10):3037–3076.Crossref, Google Scholar
- (2006) Empirical likelihood methods in econometrics: Theory and practice. Cowles Foundation Discussion Paper No. 1569, Cowles Foundation, Yale University, New Haven, CT.Google Scholar
- (1997) An information-theoretic alternative to generalized method of moments estimation. Econometrica 65(4):861–874.Crossref, Google Scholar
- (2004) Empirical likelihood-based inference in conditional moment restriction models. Econometrica 72(6):1667–1714.Crossref, Google Scholar
- (2007) Job displacement risk and the cost of business cycles. Amer. Econom. Rev. 97:664–686.Crossref, Google Scholar
- (2009) Revisiting the welfare effects of eliminating business cycles. Rev. Econom. Dynamics 12(3):393–404.Crossref, Google Scholar
- (2001) Consumption, aggregate wealth, and expected stock returns. J. Finance 56(3):815–849.Crossref, Google Scholar
- (2000) Can book-to-market, size and momentum be risk factors that predict economic growth? J. Financial Econom. 57:221–245.Crossref, Google Scholar
- (1987) Models of Business Cycles (Blackwell, Oxford, UK).Google Scholar
- (2005) Housing collateral, consumption insurance, and risk premia: An empirical perspective. J. Finance 60(3):1167–1219.Crossref, Google Scholar
- (2013) The wealth-consumption ratio. Rev. Asset Pricing Stud. 3(1):38–94.Crossref, Google Scholar
- (2008) Disasters and the welfare cost of uncertainty. Amer. Econom. Rev. 98(2):74–78.Google Scholar
- (1985) The equity premium: A puzzle. J. Monetary Econom. 15(2):145–161.Crossref, Google Scholar
- (2004) Understanding predictability. J. Political Econom. 112(1):1–47.Crossref, Google Scholar
- (1994) Evaluating risky consumption paths: The role of intertemporal substitutability. Eur. Econom. Rev. 38(7):1471–1486.Crossref, Google Scholar
- (2001) On measuring the welfare cost of business cycles. J. Monetary Econom. 47(1):61–92.Crossref, Google Scholar
- (2001) Empirical Likelihood (Chapman and Hall, New York).Crossref, Google Scholar
- (2001) The consumption risk of the stock market. Brookings Pap. Econom. Act 2001(2):279–333.Crossref, Google Scholar
- (2003) Consumption risk and cross-sectional returns. NBER Working Paper No. 9538, National Bureau of Economic Research, Cambridge, MA.Google Scholar
- (2005) Consumption risk and the cross-section of expected returns. J. Political Econom. 113(1).Crossref, Google Scholar
- (1996) Growth trends, cyclical fluctuations, and welfare with non-expected utility preferences. Econom. Lett. 50(3):387–392.Crossref, Google Scholar
- (2007) Equilibrium yield curves. N.B.E.R. Macroeconomics Annual 2006, vol. 21 (MIT Press, Cambridge, MA).Google Scholar
- (2007) Housing, consumption and asset pricing. J. Financial Econom. 83(3):531–569.Crossref, Google Scholar
- (2002) On adjusting the Hodrick-Prescott filter for the frequency of observations. Rev. Econom. Statist. 84(2):371–375.Crossref, Google Scholar
- (2018) Model-free international stochastic discount factors. Working paper, Boston University, Boston, MA.Google Scholar
- (2005) Bayesian exponentially tilted empirical likelihood. Biometrika 92(1):31–46.Crossref, Google Scholar
- (2001) The welfare cost of business cycles revisited: Finite lives and cyclical variation in idiosyncratic risk. Eur. Econom. Rev. 45(7):1311–1339.Crossref, Google Scholar
- (1995) A Bayesian approach to diagnosis of asset pricing models. J. Econom. 68(2):367–397.Crossref, Google Scholar
- (1996) A simple nonparametric approach to derivative security valuation. J. Finance LI(5):1633–1652.Crossref, Google Scholar
- (2000) Risk sensitive real business cycles. J. Monetary Econom. 45(3):507–532.Crossref, Google Scholar
- (2017) The term structure of returns: Facts and theory. J. Financial Econom. 124(1):1–21.Crossref, Google Scholar
- (2013) Can time-varying risk of rare disasters explain aggregate stock market volatility? J. Finance 68(3):987–1035.Crossref, Google Scholar
- (2006) A consumption-based explanation of expected stock returns. J. Finance 61(2):539–580.Crossref, Google Scholar

