Andrew Y. Chen

Federal Reserve Board

Economist

20th and C Streets, NW

Washington, DC 20551

United States

http://https://sites.google.com/site/chenandrewy/

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 47,654

SSRN RANKINGS

Top 47,654

in Total Papers Downloads

653

CITATIONS

0

Scholarly Papers (8)

External Habit in a Production Economy: A Model of Asset Prices and Consumption Volatility Risk

Number of pages: 67 Posted: 13 Aug 2014 Last Revised: 03 Feb 2017
Andrew Y. Chen
Federal Reserve Board
Downloads 115 (199,986)

Abstract:

time-varying risk premia, the equity premium puzzle, time-varying consumption volatility, habit, precautionary saving

Precautionary Volatility and Asset Prices

FEDS Working Paper No. 2014-59
Number of pages: 63 Posted: 30 Aug 2014
Andrew Y. Chen
Federal Reserve Board
Downloads 32 (394,001)

Abstract:

Time-varying risk premia, the equity premium puzzle, time-varying volatility, habit, precautionary savings

A Likelihood-Based Comparison of Macro Asset Pricing Models

Number of pages: 53 Posted: 01 Feb 2016 Last Revised: 25 Apr 2017
Andrew Y. Chen, Rebecca Wasyk and Fabian Winkler
Federal Reserve Board, Board of Governors of the Federal Reserve System and Federal Reserve Board
Downloads 113 (202,612)

Abstract:

Long run risks, Rare Disasters, Habit, Bayesian Estimation, Particle Filter

A Likelihood-Based Comparison of Macro Asset Pricing Models

FEDS Working Paper No. 2017-024
Number of pages: 48 Posted: 24 Mar 2017
Andrew Y. Chen, Rebecca Wasyk and Fabian Winkler
Federal Reserve Board, Board of Governors of the Federal Reserve System and Federal Reserve Board
Downloads 33 (389,790)

Abstract:

Bayesian Estimation, Equity Premium Puzzle, Excess Volatility, Habit, Long run risks, Particle Filter, Rare Disasters

3.

External Habit in a Production Economy

Fisher College of Business Working Paper No. 2013-03-16, Charles A. Dice Center Working Paper No. 2013-16
Number of pages: 62 Posted: 06 Oct 2013
Andrew Y. Chen
Federal Reserve Board
Downloads 56 (288,037)

Abstract:

time-varying risk premiums, the equity premium puzzle, time-varying consumption volatility, habit

4.

Prudential Uncertainty Causes Time-Varying Risk Premiums

Number of pages: 59 Posted: 17 Nov 2012
Andrew Y. Chen
Federal Reserve Board
Downloads 33 (366,070)

Abstract:

Time-varying risk premiums, the equity premium, consumption volatility, general equilibrium

5.

Habit, Production, and the Cross-Section of Stock Returns

FEDS Working Paper No. 2014-103
Number of pages: 44 Posted: 10 Dec 2014
Andrew Y. Chen
Federal Reserve Board
Downloads 17 (415,617)

Abstract:

Equity premium puzzle, value premium, production, time-varying consumption volatility

6.

Selection Bias and the Cross-Section of Expected Returns

Number of pages: 41 Posted: 30 Jun 2016 Last Revised: 16 Mar 2017
Andrew Y. Chen and Tom Zimmermann
Federal Reserve Board and Federal Reserve Board
Downloads 0 (217,064)

Abstract:

Stock return anomalies, selection bias, data mining, mispricing

7.

A General Equilibrium Model of the Value Premium with Time-Varying Risk Premia

Number of pages: 44 Posted: 13 Apr 2016
Andrew Y. Chen
Federal Reserve Board
Downloads 0 (248,397)

Abstract:

Equity Premium Puzzle, Value Premium, Production, Time-varying Consumption Volatility

8.

Semi-Parametric Restrictions on Production-Based Asset Pricing Models

Number of pages: 60 Posted: 07 Mar 2016 Last Revised: 21 Apr 2016
Andrew Y. Chen
Federal Reserve Board
Downloads 0 (327,624)

Abstract:

Equity Premium Puzzle, Production Economy, Semi-Parametric Restrictions