Habit Persistence, Asset Returns, and the Business Cycle Export

@article{citeulike:914246, abstract = {Two modifications are introduced into the standard real-business-cycle model: habit preferences and a two-sector technology with limited intersectoral factor mobility. The model is consistent with the observed mean risk-free rate, equity premium, and Sharpe ratio on equity. In addition, its business-cycle implications represent a substantial improvement over the standard model. It accounts for persistence in output, comovement of employment across different sectors over the business cycle, the evidence of \"excess sensitivity\" of consumption growth to output growth, and the \"inverted leading-indicator property of interest rates, \" that interest rates are negatively correlated with future output.}, author = {Boldrin, Michele and Christiano, Lawrence J. and Fisher, Jonas D. M.}, citeulike-article-id = {914246}, citeulike-linkout-0 = {http://www.jstor.org/stable/2677902}, journal = {The American Economic Review}, keywords = {411-1, habit\_persistence}, number = {1}, pages = {149--166}, posted-at = {2006-10-27 07:38:48}, priority = {2}, title = {Habit Persistence, Asset Returns, and the Business Cycle}, url = {http://www.jstor.org/stable/2677902}, volume = {91}, year = {2001} }

TY - JOUR ID - citeulike:914246 L3 - citeulike-article-id:914246 N2 - Two modifications are introduced into the standard real-business-cycle model: habit preferences and a two-sector technology with limited intersectoral factor mobility. The model is consistent with the observed mean risk-free rate, equity premium, and Sharpe ratio on equity. In addition, its business-cycle implications represent a substantial improvement over the standard model. It accounts for persistence in output, comovement of employment across different sectors over the business cycle, the evidence of "excess sensitivity" of consumption growth to output growth, and the "inverted leading-indicator property of interest rates, " that interest rates are negatively correlated with future output. IS - 1 JF - The American Economic Review EP - 166 TI - Habit Persistence, Asset Returns, and the Business Cycle VL - 91 SP - 149 KW - 411-1 KW - habit_persistence AU - Boldrin, Michele AU - Christiano, Lawrence AU - Fisher, Jonas PY - 2001/// UR - http://www.jstor.org/stable/2677902 ER -