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Replication data for: Asset Prices, Consumption, and the Business Cycle

Harvard Dataverse (Africa Rice Center, Bioversity International, CCAFS, CIAT, IFPRI, IRRI and WorldFish)

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Title Replication data for: Asset Prices, Consumption, and the Business Cycle
 
Identifier https://doi.org/10.7910/DVN/44JCWA
 
Creator John Y. Campbell
 
Publisher Harvard Dataverse
 
Description This chapter reviews the behavior of financial asset prices in relation to consumption. The chapter lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features of the US experience apply more generally. The chapter argues that to make sense of asset market behavior one needs a model in which the market price of risk is high, time-varying, and correlated with the state of the economy. Models that have this feature, including models with habit formation in utility, heterogeneous investors, and irrational expectations, are discussed. The main focus is on stock returns and short-term real interest rates, but bond returns are also considered.
 
Subject stock returns
short-term real interest rates
bond returns
 
Date 2007