Economics at your fingertips  

Asset Prices, Consumption, and the Business Cycle

John Campbell ()

No 6485, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper reviews the behavior of financial asset prices in relation to consumption. The paper lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features of the US experience apply more generally. The paper argues that to make sense of asset market behavior one needs a model in which the market price of risk is high, time-varying, and correlated with the state of the economy. Models that have this feature, including models with habit-formation in utility, heterogeneous investors, and irrational expectations, are discussed. The main focus is on stock returns and short-term real interest rates, but bond returns are also considered.

JEL-codes: G12 (search for similar items in EconPapers)
Date: 1998-03
Note: AP EFG
References: Add references at CitEc
Citations: View citations in EconPapers (25) Track citations by RSS feed

Published as Handbook of Macroeconomics Vol.1, Taylor, John B., and Michael Woodford,eds., Amsterdam: North Holland Press, 1999, Chapter 19, pp. 1231-1303.

Downloads: (external link) (application/pdf)

Related works:
Chapter: Asset prices, consumption, and the business cycle (1999) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

Page updated 2019-06-23
Handle: RePEc:nbr:nberwo:6485