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Using Asset Prices to Measure the Cost of Business Cycles

Fernando Alvarez and Urban Jermann ()

Weiss Center Working Papers from Wharton School - Weiss Center for International Financial Research

Abstract: We propose a method to measure the welfare cost of economic fluctuations that does not require full specification of consumer preferences and instead uses asset prices. The method is based on the marginal cost of consumption fluctuations, the per unit benefit of a marginal reduction in consumption fluctuations expressed as a percentage of consumption.

Keywords: COSTS; PRICES; CONSUMERS; BUSINESS CYCLES (search for similar items in EconPapers)
JEL-codes: D12 E31 E32 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2000
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Journal Article: Using Asset Prices to Measure the Cost of Business Cycles (2004) Downloads
Working Paper: Using Asset Prices to Measure the Cost of Business Cycles (2000) Downloads
Working Paper: Using Asset Prices to Measure the Cost of Business Cycles (2000) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pennif:00-1

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