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A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles
16 references·16 citing·42 second hopsampled
A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles (1996)A Monetary Explanation of the Equity Prem…The Optimum Quantity of Money (2017)The Optimum Quantity of MoneyInflation and Asset Returns in a Monetary Economy (1992)Inflation and Asset Returns i…What does the term structure tell us about future inflation? (1990)What does the term structure …Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Expectations and Volatility of Consumption and Asset Returns (1990)Expectations and Volatility o…‘First-order’ risk aversion and the equity premium puzzle (1990)‘First-order’ risk aversion a…Recursive Methods in Economic Dynamics (1989)Recursive Methods in Economic…Functional equivalence between liquidity costs and the utility of money (1986)Functional equivalence betwee…The equity premium: A puzzle (1985)The equity premium: A puzzleMoney and Interest in a Cash-in-Advance Economy (1985)Money and Interest in a Cash-…MONEY, CREDIT, AND PRICES IN REAL BUSINESS CYCLE (1984)MONEY, CREDIT, AND PRICES IN …The Present-Value Relation: Tests Based on Implied Variance Bounds (1981)The Present-Value Relation: T…Money, Interest, and Prices: An Integration of Monetary and Value Theory. (1957)Money, Interest, and Prices: …The Interest-Elasticity of Transactions Demand For Cash (1956)The Interest-Elasticity of Tr…The Transactions Demand for Cash: An Inventory Theoretic Approach (1952)The Transactions Demand for C…The term structure of equity risk premia (2021)The term structure of equity …Treasury Inconvenience Yields during the COVID-19 Crisis (2020)Treasury Inconvenience Yields…Review on Efficiency and Anomalies in Stock Markets (2020)Review on Efficiency and Anom…Open market operations (2018)Open market operationsThe History and Economics of Safe Assets (2017)The History and Economics of …Show Me the Money: The Monetary Policy Risk Premium (2016)Show Me the Money: The Moneta…Scarce collateral, the term premium, and quantitative easing (2015)Scarce collateral, the term p…Interest Rate Risk and the Cross Section of Stock Returns (2014)Interest Rate Risk and the Cr…Asset Prices, Liquidity, and Monetary Policy in an Exchange Economy (2011)Asset Prices, Liquidity, and …Asset prices and liquidity in an exchange economy (2010)Asset prices and liquidity in…Affine General Equilibrium Models (2008)Affine General Equilibrium Mo…The Demand for Treasury Debt (2007)The Demand for Treasury DebtMonetary policy and asset prices (2007)Monetary policy and asset pri…Equity Premium: Historical, Expected, Required and Implied (2006)Equity Premium: Historical, E…Chapter 14 The equity premium in retrospect (2003)Chapter 14 The equity premium…Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence (2000)Asset Pricing with Heterogene…A RECONSIDERATION OF THE MICROFOUNDATIONS OF MONETARY THEORY (1967)Interest rates and currency prices in a two-country world (1982)Optimal fiscal and monetary policy in an economy without capital (1983)The Computational Experiment: An Econometric Tool (1996)Monetary Policy and Multiple Equilibria (2001)On the equivalence of private and public money (2019)Foundations of Economic Analysis (1948)Foundations of Economic Analysis. (1948)Timing and real indeterminacy in monetary models (2001)Capital requirements, risk choice, and liquidity provision in a business-cycle model (2019)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Asset Prices in an Exchange Economy (1978)Efficient Capital Markets: II (1991)Mental Accounting, Loss Aversion, and Individual Stock Returns (2001)The Dog That Did Not Bark: A Defense of Return Predictability (2007)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Optimum consumption and portfolio rules in a continuous-time model (1971)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)An Intertemporal Capital Asset Pricing Model (1973)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)The Theory of Syndicates (1968)Martingales and arbitrage in multiperiod securities markets (1979)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Conditional Skewness in Asset Pricing Tests (2000)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)A Difficulty with the Optimum Quantity of Money (1983)Public Debt as Private Liquidity (1990)Macroeconomic Consequences of Remittances (2008)Indivisible labor and the business cycle (1985)Occupational Choice and the Process of Development (1993)The Theory of Incentives: The Principal-Agent Model (2001)Dynamic Econometrics (1995)Inflation and Welfare (2000)The Cointegrated VAR Model: Methodology and Applications (2006)A Theoretical Framework for Monetary Analysis (1970)BANKING PANICS AND BUSINESS CYCLES * (1988)Monetary Theory and Policy (1999)
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References

  • 1985The equity premium: A puzzle5,785 cited
  • 1989Recursive Methods in Economic Dynamics3,065 cited
  • 1952The Transactions Demand for Cash: An Inventory Theoretic Approach2,353 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1956The Interest-Elasticity of Transactions Demand For Cash1,489 cited
  • 1981The Present-Value Relation: Tests Based on Implied Variance Bounds1,364 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 1986Functional equivalence between liquidity costs and the utility of money616 cited
  • 1985Money and Interest in a Cash-in-Advance Economy599 cited
  • 2017The Optimum Quantity of Money562 cited
  • 1984MONEY, CREDIT, AND PRICES IN REAL BUSINESS CYCLE551 cited
  • 1990What does the term structure tell us about future inflation?428 cited
  • 1957Money, Interest, and Prices: An Integration of Monetary and Value Theory.373 cited
  • 1990Expectations and Volatility of Consumption and Asset Returns301 cited
  • 1990‘First-order’ risk aversion and the equity premium puzzle285 cited
  • 1992

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Inflation and Asset Returns in a Monetary Economy
277 cited

Cited by

  • 2017The History and Economics of Safe Assets243 cited
  • 2010Asset prices and liquidity in an exchange economy236 cited
  • 2007Monetary policy and asset prices165 cited
  • 2000Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence126 cited
  • 2007The Demand for Treasury Debt119 cited
  • 2016Show Me the Money: The Monetary Policy Risk Premium108 cited
  • 2015Scarce collateral, the term premium, and quantitative easing107 cited
  • 2003Chapter 14 The equity premium in retrospect102 cited
  • 2021The term structure of equity risk premia99 cited
  • 2018Open market operations98 cited
  • 2008Affine General Equilibrium Models90 cited
  • 2020Review on Efficiency and Anomalies in Stock Markets89 cited
  • 2014Interest Rate Risk and the Cross Section of Stock Returns89 cited
  • 2006Equity Premium: Historical, Expected, Required and Implied89 cited
  • 2020Treasury Inconvenience Yields during the COVID-19 Crisis87 cited
  • 2011Asset Prices, Liquidity, and Monetary Policy in an Exchange Economy83 cited