"The last 15 years has brought forth an explosion of research on consumption-based asset pricing as a leading contender for explaining aggregate stock market behavior. This research has propelled further interest in consumption-based asset pricing, as well as some debate. This chapter surveys...

The last 15 years has brought forth an explosion of research on consumption-based asset pricing as a leading contender for explaining aggregate stock market behavior. This research has propelled further interest in consumption-based asset pricing, as well as some debate. This chapter surveys the...

Asset market values react to economic news and policychanges, and consumers react to changes in asset marketvalues. The consumption-wealth channel of monetary policyspells out this mechanism: changes in monetary policy affectasset values, which in turn affect consumer spending onnondurable goods...

We study a two-sector general equilibrium model of housing andnon-housing production where heterogenous households face limitedopportunities to insure against aggregate and idiosyncratic risks. Themodel generates large variability in the national house price-rentratio, both because it fluctuates...

This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) (EZW) recursive utility model, evaluates the model’s ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for...

Aggregate stock prices, relative to virtually any indicator of fundamental value, soared to unprecedented levels in the 1990s. Even today, after the market declines since 2000, they remain well above historical norms, why?