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Long Run Risks, the Macroeconomy, and Asset Prices
16 references·16 citing·45 second hopsampled
Long Run Risks, the Macroeconomy, and Asset Prices (2010)Long Run Risks, the Macroeconomy, and Ass…Crises and Recoveries in an Empirical Model of Consumption Disasters (2013)Crises and Recoveries in an E…A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (2012)A Long-Run Risks Explanation …The Aggregate Dynamics of Capital Structure and Macroeconomic Risk (2010)The Aggregate Dynamics of Cap…Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010)Macroeconomic Conditions and …Long-Run Risk through Consumption Smoothing (2010)Long-Run Risk through Consump…An Empirical Evaluation of the Long-Run Risks Model for Asset Prices (2009)An Empirical Evaluation of th…Consumption Strikes Back? Measuring Long‐Run Risk (2008)Consumption Strikes Back? Mea…AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS (2008)AN EQUILIBRIUM GUIDE TO DESIG…Risks For the Long Run: Estimation and Inference ⁄ (2007)Risks For the Long Run: Estim…Rational Pessimism, Rational Exuberance, and Asset Pricing Models (2007)Rational Pessimism, Rational …Cointegration and Consumption Risks in Asset Returns (2007)Cointegration and Consumption…Consumption, Dividends, and the Cross Section of Equity Returns (2005)Consumption, Dividends, and t…Interpretable Asset Markets? (2002)Interpretable Asset Markets?Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Models of business cycles (1987)Models of business cyclesHow much finance is in climate finance? A bibliometric review, critiques, and future research directions (2023)How much finance is in climat…Pricing climate-related risks in the bond market (2021)Pricing climate-related risks…Financial intermediation and capital reallocation (2020)Financial intermediation and …Higher Order Effects in Asset Pricing Models with Long‐Run Risks (2018)Higher Order Effects in Asset…Income Insurance and the Equilibrium Term Structure of Equity (2017)Income Insurance and the Equi…Risks for the long run: Estimation with time aggregation (2016)Risks for the long run: Estim…Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity (2016)Return Predictability in the …Rare Booms and Disasters in a Multisector Endowment Economy (2015)Rare Booms and Disasters in a…Dividend Dynamics and the Term Structure of Dividend Strips (2015)Dividend Dynamics and the Ter…Optimal CO2 mitigation under damage risk valuation (2014)Optimal CO2 mitigation under …Optimal climate change mitigation under long-term growth uncertainty: Stochastic integrated assessment and analytic findings (2014)Optimal climate change mitiga…Climbing and Falling Off the Ladder: Asset Pricing Implications of Labor Market Event Risk (2014)Climbing and Falling Off the …A 4-Stated DICE: Quantitatively Addressing Uncertainty Effects in Climate Change (2014)A 4-Stated DICE: Quantitative…Optimal climate policy: Uncertainty versus Monte Carlo (2013)Optimal climate policy: Uncer…Learning and Asset-price Jumps (2011)Learning and Asset-price JumpsThe Cross-Section and Time-Series of Stock and Bond Returns (2010)The Cross-Section and Time-Se…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Common risk factors in the returns on stocks and bonds (1993)Consumption Risk and the Cross Section of Expected Returns (2005)Financial Markets and the Real Economy (2005)Market Expectations in the Cross‐Section of Present Values (2013)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Very Long-Run Discount Rates * (2014)Microeconomic Origins of Macroeconomic Tail Risks (2016)Measuring Geopolitical Risk (2022)The Cross-Section of Expected Stock Returns (1992)Disaster on the horizon: The price effect of sea level rise (2019)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Determinants of corporate borrowing (1977)Brownian Motion and Stochastic Calculus (2007)The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2010)Is economic uncertainty priced in the cross-section of stock returns? (2017)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Credit Cycles (1997)Corporate bond default risk: A 150-year perspective (2011)Dynamic Models and Structural Estimation in Corporate Finance (2012)Issuer Quality and Corporate Bond Returns (2013)Time to Build and Aggregate Fluctuations (1982)Asset Pricing with Limited Risk Sharing and Heterogeneous Agents (2007)Handbook of the Equity Risk Premium (2008)Asset Pricing in Production Economies with Extrapolative Expectations (2012)Income and Wealth Heterogeneity in the Macroeconomy (1998)Information and the Change in the Paradigm in Economics (2002)The Macroeconomics of Happiness (2003)Good and bad uncertainty: Macroeconomic and financial market implications (2015)Rare Disasters and Exchange Rates * (2015)Bond Risk Premiums with Machine Learning (2020)
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References

  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1987Models of business cycles1,509 cited
  • 2008Consumption Strikes Back? Measuring Long‐Run Risk753 cited
  • 2005Consumption, Dividends, and the Cross Section of Equity Returns570 cited
  • 2010Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure564 cited
  • 2012A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets531 cited
  • 2013Crises and Recoveries in an Empirical Model of Consumption Disasters374 cited
  • 2010Long-Run Risk through Consumption Smoothing345 cited
  • 2010The Aggregate Dynamics of Capital Structure and Macroeconomic Risk271 cited
  • 2002Interpretable Asset Markets?268 cited
  • 2007Risks For the Long Run: Estimation and Inference ⁄195 cited
  • 2007Cointegration and Consumption Risks in Asset Returns170 cited
  • 2008AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS167 cited
  • 2009An Empirical Evaluation of the Long-Run Risks Model for Asset Prices158 cited

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  • 2007Rational Pessimism, Rational Exuberance, and Asset Pricing Models147 cited
  • Cited by

    • 2014Optimal climate change mitigation under long-term growth uncertainty: Stochastic integrated assessment and analytic findings160 cited
    • 2015Dividend Dynamics and the Term Structure of Dividend Strips132 cited
    • 2016Risks for the long run: Estimation with time aggregation125 cited
    • 2018Higher Order Effects in Asset Pricing Models with Long‐Run Risks125 cited
    • 2021Pricing climate-related risks in the bond market109 cited
    • 2014Optimal CO2 mitigation under damage risk valuation108 cited
    • 2014A 4-Stated DICE: Quantitatively Addressing Uncertainty Effects in Climate Change95 cited
    • 2011Learning and Asset-price Jumps79 cited
    • 2010The Cross-Section and Time-Series of Stock and Bond Returns79 cited
    • 2014Climbing and Falling Off the Ladder: Asset Pricing Implications of Labor Market Event Risk74 cited
    • 2023How much finance is in climate finance? A bibliometric review, critiques, and future research directions71 cited
    • 2016Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity70 cited
    • 2013Optimal climate policy: Uncertainty versus Monte Carlo70 cited
    • 2017Income Insurance and the Equilibrium Term Structure of Equity65 cited
    • 2020Financial intermediation and capital reallocation62 cited
    • 2015Rare Booms and Disasters in a Multisector Endowment Economy59 cited