Working Papers


  • Precautionary Volatility and Asset Prices

    Paper

    Precautionary savings motives and production lead to endogenous time-varying volatility.  With habit as an amplifier, this channel captures the Shiller volatility puzzle and many other asset price and business cycle facts.



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

    Paper

    Models of the equity premium should teach us something about the cross section of returns.  A model with external habit with heterogeneous firms describes the equity premium puzzles and generates a data-like value premium.

  • Implications of Security Market Data for Production Technologies

    Paper

    Modeling asset prices requires a lot of investment return volatility, regardless of many other details of the model (i.e. preferences or beliefs).  This restriction provides a concise summary of the difficulties of modeling asset prices in production economies.