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John Campbell

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John Y. Campbell Dataverse
Replication data for: Asset Prices, Consumption, and the Business Cycle
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John Y. Campbell, 2007, "Replication data for: Asset Prices, Consumption, and the Business Cycle", hdl:1902.1/KSCWRAGNIJ UNF:3:y+1GSnV24fvGv7+S7BcLtw== Murray Research Archive [Distributor]
Study Global Idhdl:1902.1/KSCWRAGNIJ
AuthorsJohn Y. Campbell (Harvard University)
ProducerJohn Y. Campbell
Production Date2007
DistributorMurray Research Archive Logo
Distributor Contactmra_support@help.hmdc.harvard.edu
Distribution Date2007
Deposit DateJune, 2007
Replication ForCampbell, John Y., 1999, "Asset prices, consumption, and the business cycle," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 19, pages 1231-1303, Elsevier: article available here
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Abstract and Scope
Abstract

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.

Keywordsstock returns; short-term real interest rates; bond returns
Topic ClassificationEconomics; Contributed; John Campbell; Economic theory (LCSH); Replication
Related PublicationsJohn Y. Campbell, 1998. "Asset Prices, Consumption, and the Business Cycle," NBER Working Papers 6485, National Bureau of Economic Research, Inc. article available here
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