The empirical implications of the consumption-oriented capital asset pricing model (CCAPM) are examined, and its performance is compared with a model based on the market portfolio. The CCAPM is estimated after adjusting for measurement problems associated with reported consumption data. The...

This paper uses discrete-time and continuous-time models to derive equilibrium relations among real and nominal interest rates and the expected growth, variance and covariance parameters of optimally chosen paths for aggregate real consumption and aggregate production. Simple, intuitive and...

The century low, near-zero short-term interest rates in the USA, Euro Area, the UK and Japan after the Great Recession of 2008/2009 and the European Sovereign Debt Crisis of 2010-2013 make the non-normality and non-lognormality of short-term interest rates quite clear. To uncover the changing...

This paper implements the time-state preference model in a multi-period economy, deriving the prices of primitive securities from the prices of call options on aggregate consumption. These prices permit an equilibrium valuation of assets with uncertain payoffs at many future dates. Furthermore,...

Real, total consumption growth deviations from normal stock market wealth effects lead economic growth in advanced economies in the Americas, in Europe and in AustralAsia, as shown by Breeden (2013). Consumers' expenditures reflect their information about employment opportunities and future real...

At this year's conference two panel discussions have been organized to address the most recent financial crisis and the associated policy implications. We recommend that you highlight your program schedule to ensure your participation in these engaging panel sessions

This classic article, which was distributed by U.S. savings and loan regulators in the 1980s and 1990s, teaches the basics of hedging interest rate risks with futures, swaps and options. While the assets that are the focus are fixed rate mortgage backed securities, the general technique and...

This article computes the returns from dynamic hedging of the interest rate and prepayment risks of insured fixed rate mortgages. Changing durations cause dynamic hedges with futures markets. Nonparallel shifts in the yield curve are also investigated. Hedges are found to be risk-reducing, but...

This article shows that real, total consumption growth deviations from normal stock market wealth effects lead economic growth. Consumers' expenditures reflect their information about employment opportunities and future real wage growth, as well as information about the volatility of future...

This paper examines the allocational roles of futures markets and commodity options in multi-good and multi-period economies. In a continuous-time model with time-additive utilities and homogeneous beliefs, trading in "unconditional" futures contracts, the market portfolio and a riskless asset...