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Risk-sensitive real business cycles
8 references·16 citing·42 second hop
Risk-sensitive real business cycles (2000)Risk-sensitive real business cyclesFrontiers of Business Cycle Research (1995)Frontiers of Business Cycle R…Current Real Business Cycle Theories and Aggregate Labor Market Fluctuations (1990)Current Real Business Cycle T…‘First-order’ risk aversion and the equity premium puzzle (1990)‘First-order’ risk aversion a…Production, growth and business cycles (1988)Production, growth and busine…Models of business cycles (1987)Models of business cyclesTime to Build and Aggregate Fluctuations (1982)Time to Build and Aggregate F…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…An intertemporal CAPM with stochastic volatility (2018)An intertemporal CAPM with st…Macro-Finance (2017)Macro-FinanceInnovation, Growth, and Asset Prices (2015)Innovation, Growth, and Asset…Business Cycle Dynamics under Rational Inattention (2015)Business Cycle Dynamics under…Disaster Risk and Business Cycles (2012)Disaster Risk and Business Cy…Ambiguity, Learning, and Asset Returns (2012)Ambiguity, Learning, and Asse…Risks for the Long Run and the Real Exchange Rate (2011)Risks for the Long Run and th…How should environmental policy respond to business cycles? Optimal policy under persistent productivity shocks (2011)How should environmental poli…Long-Run Risk through Consumption Smoothing (2010)Long-Run Risk through Consump…Consumption Strikes Back? Measuring Long‐Run Risk (2008)Consumption Strikes Back? Mea…Financial Markets and the Real Economy (2005)Financial Markets and the Rea…Robust Portfolio Rules and Asset Pricing (2004)Robust Portfolio Rules and As…A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection (2003)A Quartet of Semigroups for M…Robust Permanent Income and Pricing (1999)Robust Permanent Income and P…Asset pricing in production economies (1998)Asset pricing in production e…INCOME AND WEALTH HETEROGENEITY, PORTFOLIO CHOICE, AND EQUILIBRIUM ASSET RETURNS (1997)INCOME AND WEALTH HETEROGENEI…A Contribution to the Theory of Economic Growth (1956)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)On the mechanics of economic development (1988)Long-Run Policy Analysis and Long-Run Growth (1991)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The Race between Man and Machine: Implications of Technology for Growth, Factor Shares, and Employment (2018)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Asset Prices in an Exchange Economy (1978)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)The Value Premium (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Organization Capital and the Cross‐Section of Expected Returns (2013)Risk, Ambiguity, and the Savage Axioms (1961)Optimum consumption and portfolio rules in a continuous-time model (1971)The equity premium: A puzzle (1985)Model Misspecification and Underdiversification (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Utility Theory for Decision Making (1971)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)A Smooth Model of Decision Making under Ambiguity (2005)Expected Stock Returns and Variance Risk Premia (2009)Aggregate Dynamics and Staggered Contracts (1980)Macroeconomics and Reality (1980)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010)Market Expectations in the Cross‐Section of Present Values (2013)Disaster on the horizon: The price effect of sea level rise (2019)Why Do Americans Work So Much More Than Europeans? (2004)Are Technology Improvements Contractionary? (2006)Business Cycle Accounting (2007)Income and Wealth Heterogeneity in the Macroeconomy (1998)Information and the Change in the Paradigm in Economics (2002)The Macroeconomics of Happiness (2003)Optimal Investment, Growth Options, and Security Returns (1998)A Unified Framework for Monetary Theory and Policy Analysis (2005)
this work references cited by second hop

References

  • 1982Time to Build and Aggregate Fluctuations5,933 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1988Production, growth and business cycles2,193 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1987Models of business cycles1,509 cited
  • 1995Frontiers of Business Cycle Research1,154 cited
  • 1990Current Real Business Cycle Theories and Aggregate Labor Market Fluctuations978 cited
  • 1990‘First-order’ risk aversion and the equity premium puzzle285 cited

Cited by

  • 1998Asset pricing in production economies1,083 cited
  • 2004Robust Portfolio Rules and Asset Pricing784 cited
  • 2008Consumption Strikes Back? Measuring Long‐Run Risk753 cited
  • 2012Disaster Risk and Business Cycles737 cited
  • 2003A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection635 cited
  • 2005Financial Markets and the Real Economy572 cited
  • 2011How should environmental policy respond to business cycles? Optimal policy under persistent productivity shocks495 cited

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1999
Robust Permanent Income and Pricing
476 cited
  • 2012Ambiguity, Learning, and Asset Returns405 cited
  • 2011Risks for the Long Run and the Real Exchange Rate383 cited
  • 2015Innovation, Growth, and Asset Prices350 cited
  • 2018An intertemporal CAPM with stochastic volatility348 cited
  • 2010Long-Run Risk through Consumption Smoothing345 cited
  • 2017Macro-Finance337 cited
  • 2015Business Cycle Dynamics under Rational Inattention335 cited
  • 1997INCOME AND WEALTH HETEROGENEITY, PORTFOLIO CHOICE, AND EQUILIBRIUM ASSET RETURNS328 cited