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979,673
On estimating the expected return on the market  an exploratory investigation
 JOURNAL OF FINANCIAL ECONOMICS
, 1980
"... The expected market return is a number frequently required for the solution of many investment and corporate tinance problems, but by comparison with other tinancial variables, there has been little research on estimating this expected return. Current practice for estimating the expected market retu ..."
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Cited by 487 (3 self)
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return adds the historical average realized excess market returns to the current observed interest rate. While this model explicitly reflects the dependence of the market return on the interest rate, it fails to account for the effect of changes in the level of market risk. Three models of equilibrium
House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle
, 2002
"... I develop a general equilibrium model with sticky prices, credit constraints, nominal loans and asset prices. Changes in asset prices modify agents ’ borrowing capacity through collateral value; changes in nominal prices affect real repayments through debt deflation. Monetary policy shocks move asse ..."
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Cited by 508 (10 self)
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asset and nominal prices in the same direction, and are amplified and propagated over time. The “financial accelerator ” is not constant across shocks: nominal debt stabilises supply shocks, making the economy less volatile when the central bank controls the interest rate. I discuss the role of equity
An equilibrium characterization of the term structure.
 J. Financial Econometrics
, 1977
"... The paper derives a general form of the term structure of interest rates. The following assumptions are made: (A.l) The instantaneous (spot) interest rate follows a diffusion process; (A.2) the price of a discount bond depends only on the spot rate over its term; and (A.3) the market is efficient. ..."
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Cited by 1038 (0 self)
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The paper derives a general form of the term structure of interest rates. The following assumptions are made: (A.l) The instantaneous (spot) interest rate follows a diffusion process; (A.2) the price of a discount bond depends only on the spot rate over its term; and (A.3) the market is efficient
Deciphering the liquidity and credit crunch 20072008
 Journal of Economic Perspectives
, 2009
"... T he financial market turmoil in 2007 and 2008 has led to the most severefinancial crisis since the Great Depression and threatens to have largerepercussions on the real economy. The bursting of the housing bubble forced banks to write down several hundred billion dollars in bad loans caused by mort ..."
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Cited by 371 (5 self)
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the plethora of market declines, liquidity dryups, defaults, and bailouts that occurred after the crisis broke in summer 2007. To understand these threads, it is useful to recall some key factors leading up to the housing bubble. The U.S. economy was experiencing a low interest rate environment, both because
AN ESTIMATED STOCHASTIC DYNAMIC GENERAL EQUILIBRIUM MODEL OF THE EURO AREA
, 2002
"... This paper develops and estimates a stochastic dynamic general equilibrium (SDGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilisation. It is estimate ..."
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Cited by 363 (11 self)
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. It is estimated with Bayesian techniques using seven key macroeconomic variables: GDP, consumption, investment, prices, real wages, employment and the nominal interest rate. The introduction of ten orthogonal structural shocks (including productivity, labour supply, investment, preference, costpush and monetary
Negative Nominal Interest Rates
 American Economy Review (Papers and Proceedings
, 2004
"... The determination of inflation is one of many examples in which economic outcomes are driven by an intricate interaction between private expectations and government policy. In these instances, achieving a good equilibrium outcome (e.g., low and stable inflation) requires the policymaker to adopt rul ..."
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Cited by 7 (0 self)
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equilibrium conditions from restrictions on government policy that must hold under all contingencies. An example of this is the controversy over the fiscal theory of the price level. 1 In this paper, we consider an even more paradoxical case, namely, the zero bound on nominal interest rates. While most people
Zero nominal interest rates . . .
, 1998
"... This study shows that in a standard onesector neoclassical growth model, in which money is introduced with a cashinadvance constraint, zero nominal interest rates are optimal. Milton Friedman argued in 1969 that zero nominal rates are necessary for efficient resource allocation. This study shows ..."
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Cited by 1 (0 self)
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This study shows that in a standard onesector neoclassical growth model, in which money is introduced with a cashinadvance constraint, zero nominal interest rates are optimal. Milton Friedman argued in 1969 that zero nominal rates are necessary for efficient resource allocation. This study shows
It’s Baaack! Japan’s Slump and the Return of the Liquidity Trap
 BPEA
, 1998
"... THE LIQUIDITY TRAPthat awkward condition in which monetary policy loses its grip because the nominal interest rate is essentially zero, in which the quantity of money becomes irrelevant because money and bonds are essentially perfect substitutesplayed a central role in the early years of macroecon ..."
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Cited by 342 (1 self)
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THE LIQUIDITY TRAPthat awkward condition in which monetary policy loses its grip because the nominal interest rate is essentially zero, in which the quantity of money becomes irrelevant because money and bonds are essentially perfect substitutesplayed a central role in the early years
Order Flow and Exchange Rate Dynamics
, 1999
"... Macroeconomic models of nominal exchange rates perform poorly. In sample, R 2 statistics as high as 10 percent are rare. Out of sample, these models are typically outforecast by a naïve random walk. This paper presents a model of a new kind. Instead of relying exclusively on macroeconomic determina ..."
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Cited by 302 (23 self)
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Macroeconomic models of nominal exchange rates perform poorly. In sample, R 2 statistics as high as 10 percent are rare. Out of sample, these models are typically outforecast by a naïve random walk. This paper presents a model of a new kind. Instead of relying exclusively on macroeconomic
Results 1  10
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979,673