RDP 2011-06: Does Equity Mispricing Influence Household and Firm Decisions? References

Abreu D and MK Brunnermeier (2003), ‘Bubbles and Crashes’, Econometrica, 71(1), pp 173–204.

Angrist JD, GW Imbens and AB Krueger (1999), ‘Jackknife Instrumental Variables Estimation’, Journal of Applied Econometrics, 14(1), pp 57–67.

Angrist JD and J-S Pischke (2009), Mostly Harmless Econometrics: An Empiricist's Companion, Princeton University Press, Princeton.

Bloom N (2009), ‘The Impact of Uncertainty Shocks’, Econometrica, 77(3), pp 623–685.

Brunnermeier MK and JA Parker (2005), ‘Optimal Expectations’, The American Economic Review, 95(4), pp 1092–1118.

Campbell JY and NG Mankiw (1989), ‘Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence’, in OJ Blanchard and S Fischer (eds), NBER Macroeconomics Annual 1989, Vol 4, MIT Press, Cambridge, pp 185–216.

Campbell JY and RJ Shiller (1987), ‘Cointegration and Tests of Present Value Models’, Journal of Political Economy, 95(5), pp 1062–1088.

Chirinko RS and H Schaller (2001), ‘Business Fixed Investment and “Bubbles”: The Japanese Case’, The American Economic Review, 91(3), pp 663–680.

Cochrane JH (1994), ‘Permanent and Transitory Components of GNP and Stock Prices’, The Quarterly Journal of Economics, 109(1), pp 241–265.

Detken C and F Smets (2004), ‘Asset Price Booms and Monetary Policy’, European Central Bank Working Paper Series No 364.

Diether KB, CJ Malloy and A Scherbina (2002), ‘Differences of Opinion and the Cross Section of Stock Returns’, The Journal of Finance, 57(5), pp 2113–2141.

Gallagher LA (1999), ‘A Multi-Country Analysis of the Temporary and Permanent Components of Stock Prices’, Applied Financial Economics, 9(2), pp 129–142.

Gallagher LA and MP Taylor (2000), ‘Measuring the Temporary Component of Stock Prices: Robust Multivariate Analysis’, Economics Letters, 67(2), pp 193–200.

Gilchrist S, CP Himmelberg and G Huberman (2005), ‘Do Stock Price Bubbles Influence Corporate Investment?’, Journal of Monetary Economics, 52(4), pp 805–827.

Gürkaynak RS (2008), ‘Econometric Tests of Asset Price Bubbles: Taking Stock’, Journal of Economic Surveys, 22(1), pp 166–186.

Hahn J, JC Ham and HR Moon (2011), ‘The Hausman Test and Weak Instruments’, Journal of Econometrics, 160(2), pp 289–299.

Helbling T and M Terrones (2003), ‘When Bubbles Burst’, World Economic Outlook – Growth and Institutions, World Economic and Financial Surveys, International Monetary Fund, Washington DC, pp 61–94.

Hong H, J Scheinkman and W Xiong (2008), ‘Advisors and Asset Prices: A Model of the Origins of Bubbles’, Journal of Financial Economics, 89(2), pp 268–287.

Kishor NK (2007), ‘Does Consumption Respond More to Housing Wealth Than to Financial Market Wealth? If So, Why?’, The Journal of Real Estate Finance and Economics, 35(4), pp 427–448.

Lee B-S (1995), ‘The Response of Stock Prices to Permanent and Temporary Shocks to Dividends’, The Journal of Financial and Quantitative Analysis, 30(1), pp 1–22.

Lee B-S (1998), ‘Permanent, Temporary, and Non-Fundamental Components of Stock Prices’, The Journal of Financial and Quantitative Analysis, 33(1), pp 1–32.

Lettau M and SC Ludvigson (2004), ‘Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption’, The American Economic Review, 94(1), pp 276–299.

Lettau M and SC Ludvigson (2005), ‘Expected Returns and Expected Dividend Growth’, Journal of Financial Economics, 76(3), pp 583–626.

Lütkepohl H (2006), New Introduction to Multiple Time Series Analysis, Springer, Berlin.

Machado JAF and J Sousa (2006), ‘Identifying Asset Price Booms and Busts with Quantile Regressions’, Banco de Portugal, Estudos e Documentos de Trabalho No 2006-08.

Pagan AR and MH Pesaran (2008), ‘Econometric Analysis of Structural Systems with Permanent and Transitory Shocks’, Journal of Economic Dynamics and Control, 32(10), pp 3376–3395.

Sarte P-DG (1997), ‘On the Identification of Structural Vector Autoregressions’, Federal Reserve Bank of Richmond Economic Quarterly, 83(3), pp 45–67.

Shiller RJ (2000a), Irrational Exuberance, Princeton University Press, Princeton.

Shiller RJ (2000b), ‘Measuring Bubble Expectations and Investor Confidence’, Journal of Psychology and Financial Markets, 1(1), pp 49–60.

Shleifer A and RW Vishny (1997), ‘The Limits of Arbitrage’, The Journal of Finance, 52(1), pp 35–55.

Stock JH and M Yogo (2005), ‘Testing for Weak Instruments in Linear IV Regression’, in DWK Andrews and JH Stock (eds), Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg, Cambridge University Press, Cambridge, pp 80–108.

Vissing-Jorgensen A (2003), ‘Perspectives on Behavioral Finance: Does “Irrationality” Disappear with Wealth? Evidence from Expectations and Actions’, in M Gertler and K Rogoff (eds), NBER Macroeconomics Annual 2003, Vol 18, The MIT Press, Cambridge, pp 139–194.