SSRN Macroeconomics: Aggregative Models eJournal

AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48

Number of pages: 41 Posted: 21 Sep 2006 Last Revised: 14 Dec 2008

Working Paper Series

Tim Bollerslev, George Tauchen and Hao Zhou

Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance

There are 2 versions of this paper

Downloads 2,766

5.

Marrying the Macro- and Micro-Prudential Dimensions of Financial Stability

BIS Paper No. 1

Number of pages: 392 Posted: 22 Jul 2008

Accepted Paper Series

Bank for International Settlements

Bank for International Settlements (BIS)

Downloads 2,563

6.

Sovereign Risk Premia

AFA 2010 Atlanta Meetings Paper

Number of pages: 52 Posted: 17 Feb 2009 Last Revised: 14 Sep 2011

Working Paper Series

Nicola Borri and Adrien Verdelhan

LUISS University - Department of Economics and Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

There are 2 versions of this paper

Downloads 2,479

7.

Rethinking Macroeconomic Policy

Number of pages: 19 Posted: 20 Feb 2010

Working Paper Series

Olivier J. Blanchard, Giovanni Dell'Ariccia and Paolo Mauro

National Bureau of Economic Research (NBER), International Monetary Fund (IMF) - Research Department and International Monetary Fund (IMF)

There are 2 versions of this paper

Downloads 2,188

8.

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

Number of pages: 50 Posted: 07 May 2009 Last Revised: 24 Aug 2012

Working Paper Series

Hao Zhou

Tsinghua University - PBC School of Finance

There are 2 versions of this paper

Downloads 2,095

9.

A Model of China's State Capitalism

Number of pages: 76 Posted: 20 May 2012 Last Revised: 15 Aug 2015

Working Paper Series

Xi Li, Xuewen Liu and Yong Wang

Hong Kong University of Science & Technology (HKUST), Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science & Technology (HKUST)

Downloads 2,070

10.

Predicting the Present with Google Trends

Number of pages: 23 Posted: 17 Aug 2010

Working Paper Series

Hal R. Varian and Hyunyoung Choi

University of California, Berkeley - School of Information and Kensho Technologies

There are 2 versions of this paper

Downloads 2,012

11.

The Meaning of Social Capital and Its Link to Collective Action

Number of pages: 35 Posted: 23 Nov 2008

Working Paper Series

Elinor Ostrom

Indiana University Bloomington - School of Public & Environmental Affairs (SPEA)

There are 2 versions of this paper

Downloads 1,949

12.

Behavioral Law and Economics: Its Origins, Fatal Flaws, and Implications for Liberty

Northwestern University Law Review, Vol. 106, No. 3, 2012, George Mason Law & Economics Research Paper No. 12-63

Number of pages: 59 Posted: 18 Sep 2012

Accepted Paper Series

Joshua D. Wright and Douglas H. Ginsburg

George Mason University - Antonin Scalia Law School, Faculty and U.S. Court of Appeals for the District of Columbia Circuit

Downloads 1,819

13.

Tax Cuts for Whom? Heterogeneous Effects of Income Tax Changes on Growth & Employment

Number of pages: 40 Posted: 19 Jul 2012 Last Revised: 19 Feb 2013

Working Paper Series

Owen M. Zidar

University of Chicago - Booth School of Business

Downloads 1,585

14.

Financial Markets and Institutions in the Arab Economy

Number of pages: 10 Posted: 19 Oct 2007

Working Paper Series

Nidal Rashid Sabri

Birzeit University

Downloads 1,449

15.

Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach

National Bank of Belgium Working Paper No. 109

Number of pages: 58 Posted: 07 Oct 2010

Working Paper Series

Frank Smets and Rafael Wouters

European Central Bank (ECB) and National Bank of Belgium

There are 2 versions of this paper

Downloads 1,373

16.

Country Size, Currency Unions, and International Asset Returns

Journal of Finance, Forthcoming, AFA 2011 Denver Meetings Paper

Number of pages: 73 Posted: 26 Nov 2008 Last Revised: 11 Jan 2013

Accepted Paper Series

Tarek A. Hassan

University of Chicago - Booth School of Business

There are 3 versions of this paper

Downloads 1,344

17.

Efficiently Inefficient Markets for Assets and Asset Management

Number of pages: 62 Posted: 12 Aug 2015 Last Revised: 09 Jun 2017

Working Paper Series

Nicolae Garleanu and Lasse Heje Pedersen

University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC

There are 2 versions of this paper

Downloads 1,334

18.

Nonperforming Loans in the GCC Banking System and Their Macroeconomic Effects

IMF Working Paper No. 10/224

Number of pages: 25 Posted: 01 Feb 2011

Working Paper Series

Raphael A. Espinoza and A. Prasad

International Monetary Fund (IMF) and International Monetary Fund (IMF)

Downloads 1,297

19.

Crude Oil Prices: Trends and Forecast

IMF Working Paper No. 08/133

Number of pages: 25 Posted: 01 Jul 2008

Working Paper Series

Noureddine Krichene

International Monetary Fund (IMF) - African Department

Downloads 1,235

20.

A Macroeconomic Model with a Financial Sector

National Bank of Belgium Working Paper No. 236

Number of pages: 75 Posted: 14 Oct 2012

Working Paper Series

Markus K. Brunnermeier and Yuliy Sannikov

Princeton University - Department of Economics and Princeton University

Downloads 1,212

21.

Accounting for China's Growth

IZA Discussion Paper No. 4764

Number of pages: 59 Posted: 22 Feb 2010

Working Paper Series

Loren Brandt and Xiaodong Zhu

University of Toronto - Department of Economics and University of Toronto - Department of Economics

Downloads 1,191

22.

A Macroeconomic Framework for Quantifying Systemic Risk

Fama-Miller Working Paper, Swiss Finance Institute Research Paper No. 13-42, Chicago Booth Research Paper No. 12-37

Number of pages: 52 Posted: 21 Aug 2012 Last Revised: 17 Apr 2015

Working Paper Series

Zhiguo He and Arvind Krishnamurthy

University of Chicago - Booth School of Business, and NBER and Northwestern University - Kellogg School of Management

There are 3 versions of this paper

Downloads 1,147

23.

Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps

Number of pages: 32 Posted: 19 Dec 2008 Last Revised: 19 Nov 2009

Working Paper Series

Damiano Brigo and Agostino Capponi

Imperial College London - Department of Mathematics and Columbia University

Downloads 1,120

24.

Good-Specifc Habit Formation and the Cross Section of Expected Returns

EFA 2008 Athens Meetings Paper, AFA 2009 San Francisco Meetings Paper

Number of pages: 53 Posted: 22 Mar 2008 Last Revised: 15 Sep 2013

Working Paper Series

Jules H. van Binsbergen

University of Pennsylvania - The Wharton School

Downloads 1,022

25.

The Aggregate Dynamics of Capital Structure and Macroeconomic Risk

Number of pages: 58 Posted: 10 Sep 2008 Last Revised: 06 Nov 2009

Working Paper Series

Harjoat Singh Bhamra, Lars-Alexander Kuehn and Ilya A. Strebulaev

Imperial College Business School, Carnegie Mellon University - David A. Tepper School of Business and Stanford University - Graduate School of Business

Downloads 997

26.

Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital

Review of Financial Studies 26 (2): 491-530, 2013, DOI: doi.org/10.1093/rfs/hhs121

Number of pages: 61 Posted: 15 Mar 2010 Last Revised: 10 Mar 2017

Accepted Paper Series

Hengjie Ai, Mariano Massimiliano Croce and Kai Li

affiliation not provided to SSRN, University of North Carolina Kenan-Flagler Business School and Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management

Downloads 993

27.

Reforming Financial Systems after the Crisis: A Comparison of EU and USA

PSL Quarterly Review, Vol. 63, No. 255, pp. 297-360, 2010

Number of pages: 64 Posted: 22 Apr 2011

Accepted Paper Series

Rainer Masera

Libera Università degli Studi Sociali (LUISS) Guido Carli

Downloads 953

28.

Self-Fulfilling Credit Market Freezes

Review of Financial Studies, Vol. 24, No. 11, pp. 3519-3555, 2011, Harvard Law and Economics Discussion Paper No. 623

Number of pages: 50 Posted: 13 Dec 2008 Last Revised: 07 Dec 2011

Accepted Paper Series

Lucian A. Bebchuk and Itay Goldstein

Harvard Law School and University of Pennsylvania - The Wharton School - Finance Department

There are 3 versions of this paper

Downloads 946

29.

Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion

Yale ICF Working Paper No. 08-23

Number of pages: 32 Posted: 08 Oct 2008 Last Revised: 05 Aug 2009

Working Paper Series

Suleyman Basak and Hongjun Yan

London Business School and Driehaus College of Business, DePaul University

There are 3 versions of this paper

Downloads 936

30.

Follow the Money: The Monetary Roots of Bubbles and Crashes

Swiss Finance Institute Research Paper No. 11-60

Number of pages: 32 Posted: 29 Nov 2011

Working Paper Series

Fulvio Corsi and Didier Sornette

Ca' Foscari University of Venice and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

Downloads 900

31.

Building and Running General Equilibrium Models in EViews

World Bank Policy Research Working Paper No. 3197

Number of pages: 37 Posted: 20 Apr 2016

Working Paper Series

B. Essama-Nssah

World Bank

Downloads 891

32.

The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium

Journal of Political Economy, Forthcoming

Number of pages: 114 Posted: 10 May 2010 Last Revised: 07 Oct 2015

Accepted Paper Series

Jack Y Favilukis, Sydney C. Ludvigson and Stijn Van Nieuwerburgh

University of British Columbia (UBC) - Division of Finance, New York University - Department of Economics and New York University Stern School of Business, Department of Finance

There are 5 versions of this paper

Downloads 890

33.

Short-Run Bond Risk Premia

AFA 2013 San Diego Meetings Paper

Number of pages: 47 Posted: 27 May 2011 Last Revised: 07 Aug 2012

Working Paper Series

Philippe Mueller, Andrea Vedolin and Hao Zhou

Warwick Business School, Boston University - Department of Finance & Economics and Tsinghua University - PBC School of Finance

Downloads 864

34.

Capital Requirements, Risk Choice, and Liquidity Provision in a Business Cycle Model

Harvard Business School Finance Working Paper No. 15-072

Number of pages: 58 Posted: 11 Mar 2015 Last Revised: 14 Sep 2016

Working Paper Series

Juliane Begenau

Stanford University - Graduate School of Business

Downloads 820

35.

Agent Based-Stock Flow Consistent Macroeconomics: Towards a Benchmark Model

Columbia Business School Research Paper No. 15-87

Number of pages: 39 Posted: 23 Sep 2015 Last Revised: 26 Jun 2017

Working Paper Series

Alessandro Caiani, Antoine Godin, Eugenio Caverzasi, Mauro Gallegati, Stephen Kinsella and Joseph E. Stiglitz

Università Politecnica delle Marche - Faculty of Economics, Centre d'économie de l'Université de Paris Nord (CEPN), Department of Economic and Social Sciences, Marche Polytechnic University, Ancona, Università Politecnica delle Marche - Faculty of Economics, University of Limerick and Columbia Business School - Finance and Economics

Downloads 779

36.

A Forest Fire Theory of the Duration of a Boom and the Size of a Subsequent Bust

Number of pages: 50 Posted: 08 Jul 2013 Last Revised: 26 Jun 2017

Working Paper Series

Matthew O. Jackson and Pietro Tebaldi

Stanford University - Department of Economics and University of Chicago - Department of Economics

Downloads 774

37.

A General Theory of Markovian Time Inconsistent Stochastic Control Problems

Number of pages: 55 Posted: 20 Oct 2010

Working Paper Series

Tomas Bjork and Agatha Murgoci

Stockholm School of Economics - Swedish House of Finance and University of Aarhus - School of Business and Social Sciences

Downloads 771

38.

A Test of Conspicuous Consumption: Visibility and Income Elasticities

Review of Economics and Statistics, 93(4): 1101–1117,

Number of pages: 44 Posted: 05 Aug 2007 Last Revised: 22 Sep 2013

Accepted Paper Series

Ori Heffetz

Cornell University - S.C. Johnson Graduate School of Management

Downloads 764

39.

Market Sentiment: A Tragedy of the Commons

Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-07

Number of pages: 6 Posted: 19 Dec 2010 Last Revised: 29 Jul 2011

Working Paper Series

Tarek A. Hassan and Thomas M. Mertens

University of Chicago - Booth School of Business and Federal Reserve Bank of San Francisco

Downloads 749

40.

Modelling International Stock Market Contagion Using Copula and Risk Appetite

Number of pages: 48 Posted: 25 Oct 2007

Working Paper Series

Sichong Chen and Ser-Huang Poon

Bocom Schroders Fund and University of Manchester - Manchester Business School

Downloads 742

41.

Labor-Force Heterogeneity and Asset Prices: The Importance of Skilled Labor

Fisher College of Business Working Paper No. 2012-03-025, Charles A. Dice Center Working Paper No. 2012-25

Number of pages: 58 Posted: 02 Oct 2012 Last Revised: 17 Dec 2016

Working Paper Series

Frederico Belo, Xiaoji Lin, Jun Li and Xiaofei Zhao

University of Minnesota, Ohio State University (OSU) - Fisher College of Business, University of Texas at Dallas and University of Texas at Dallas - Naveen Jindal School of Management

There are 2 versions of this paper

Downloads 723

42.

Risk Topography

Number of pages: 31 Posted: 30 Apr 2011 Last Revised: 07 Jun 2011

Working Paper Series

Markus K. Brunnermeier, Gary B. Gorton and Arvind Krishnamurthy

Princeton University - Department of Economics, Yale School of Management and Northwestern University - Kellogg School of Management

Downloads 712

43.

The Sraffa-Hayek Debate on the Natural Rate of Interest

Number of pages: 25 Posted: 21 Feb 2013 Last Revised: 08 Jul 2014

Working Paper Series

David Glasner and Paul R. Zimmerman

Federal Trade Commission and U.S. Federal Trade Commission - Bureau of Economics

Downloads 708

44.

Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing

IZA Discussion Paper No. 6618

Number of pages: 28 Posted: 16 Jun 2012

Working Paper Series

M. Hashem Pesaran and Ron Smith

USC Dornsife Institute for New Economic Thinking and Birkbeck College

Downloads 706

45.

Using Adaptive Sparse Grids to Solve High-Dimensional Dynamic Models

Number of pages: 37 Posted: 04 Nov 2013 Last Revised: 25 May 2017

Working Paper Series

Johannes Brumm and Simon Scheidegger

Karlsruhe Institute of Technology and University of Zurich

Downloads 702

46.

The Euro Imbalances and Financial Deregulation: A Post-Keynesian Interpretation of the European Debt Crisis

Levy Economics Institute of Bard College Working Paper No. 702

Number of pages: 37 Posted: 07 Jan 2012

Working Paper Series

Esteban Pérez Caldentey and Matías Vernengo

United Nations - Economic Commission for Latin American and the Caribbean (ECLAC) and Bucknell University

Downloads 698

47.

The 1925 Return to Gold: Keynes and Mr Churchill's Economic Crisis

APSA 2009 Toronto Meeting Paper

Number of pages: 70 Posted: 13 Aug 2009 Last Revised: 06 Sep 2009

Working Paper Series

James Morrison

London School of Economics & Political Science (LSE) - Department of International Relations

Downloads 685

48.

United States Competition Policy in Crisis: 1890-1955

Minnesota Law Review, Vol. 94, p. 311, 2009, U Iowa Legal Studies Research Paper No. 08-32

Number of pages: 58 Posted: 14 Jul 2008 Last Revised: 31 Jan 2010

Accepted Paper Series

Herbert J. Hovenkamp

Univ. of Pennsylvania Law and Wharton Business

Downloads 664

49.

Behavioral Capital Structure: Is the Neoclassical Paradigm Threatened? Evidence from the Field

Journal of Behavioral Finance, Vol. 10, No. 1, pp.19-32

Number of pages: 33 Posted: 12 Feb 2009 Last Revised: 27 Sep 2010

Accepted Paper Series

Dimitrios Vasiliou and Nikolaos Daskalakis

Hellenic Open University and Small Enterprises Institute GSEVEE (IME GSEVEE)

Downloads 652

50.

Beyond Keynes and the Classics. Outline of the Goods Side/Money Side Model of the Business Cycle and Macroeconomic Configurations

Number of pages: 21 Posted: 21 Jan 2014

Working Paper Series

Antony P. Mueller

Federal University of Sergipe (UFS) - Universidade Federal de Sergipe

Downloads 634

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