Cyclical Asset Returns in the Consumption and Investment Goods Sector

Burkhard Heer, Alfred Maussner () and Bernd Süssmuth

VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy from Verein für Socialpolitik / German Economic Association

Abstract: We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we onsider a standard two-sector real-business cycle model with habit formation and sector-specific adjustment costs of capital. The model is able to replicate the equity premium and the Sharpe values observed empirically. In addition, we are able to match the empirical fact that equity returns in the two sectors are not correlated with output.

JEL-codes: C68 E32 G12 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-dge and nep-mac
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Journal Article: Cyclical Asset Returns in the Consumption and Investment Goods Sector (2018)
Software Item: Code and data files for "Cyclical Asset Returns in the Consumption and Investment Goods Sector" (2017)
Working Paper: Cyclical Asset Returns in the Consumption and Investment Goods Sector (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc14:100319

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