Christian Heyerdahl-Larsen
Personal Details
First Name: | Christian |
Middle Name: | |
Last Name: | Heyerdahl-Larsen |
Suffix: | |
RePEc Short-ID: | phe638 |
[This author has chosen not to make the email address public] | |
https://sites.google.com/site/christianheyerdahllarsen/ | |
Affiliation
Department of Finance
Kelley School of Business
Indiana University
Bloomington, Indiana (United States)http://www.kelley.iu.edu/finance/
RePEc:edi:dfiiuus (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Demand Disagreement," 2018 Meeting Papers 607, Society for Economic Dynamics.
- Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015.
"Disagreement about inflation and the yield curve,"
Working Papers
1532, Banco de España.
- Ehling, Paul & Gallmeyer, Michael & Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2018. "Disagreement about inflation and the yield curve," Journal of Financial Economics, Elsevier, vol. 127(3), pages 459-484.
- Johan Walden & Christian Heyerdahl-Larsen, 2015. "Efficiency and Distortions in a Production Economy with Heterogeneous Beliefs," 2015 Meeting Papers 124, Society for Economic Dynamics.
- Paul Ehling & Christian Heyerdahl-Larsen, 2014.
"Correlations,"
Working Papers
1413, Banco de España.
- Paul Ehling & Christian Heyerdahl-Larsen, 2017. "Correlations," Management Science, INFORMS, vol. 63(6), pages 1919-1937, June.
- Philipp Illeditsch & Michael Gallmeyer & Christian Heyerdahl-Larsen & Paul Ehling, 2009. "Beliefs about Inflation and the Term Structure of Interest Rates," 2009 Meeting Papers 1223, Society for Economic Dynamics.
Articles
- Paul Ehling & Alessandro Graniero & Christian Heyerdahl-Larsen, 2018. "Asset Prices and Portfolio Choice with Learning from Experience," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(3), pages 1752-1780.
- Ehling, Paul & Gallmeyer, Michael & Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2018.
"Disagreement about inflation and the yield curve,"
Journal of Financial Economics, Elsevier, vol. 127(3), pages 459-484.
- Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015. "Disagreement about inflation and the yield curve," Working Papers 1532, Banco de España.
- Paul Ehling & Christian Heyerdahl-Larsen, 2017.
"Correlations,"
Management Science, INFORMS, vol. 63(6), pages 1919-1937, June.
- Paul Ehling & Christian Heyerdahl-Larsen, 2014. "Correlations," Working Papers 1413, Banco de España.
- Ehling, Paul & Heyerdahl-Larsen, Christian, 2015. "Complete and incomplete financial markets in multi-good economies," Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.
- Christian Heyerdahl-Larsen, 2014. "Asset Prices and Real Exchange Rates with Deep Habits," The Review of Financial Studies, Society for Financial Studies, vol. 27(11), pages 3280-3317.
- Yurii Fedyk & Christian Heyerdahl-Larsen & Johan Walden, 2013. "Market Selection and Welfare in a Multi-asset Economy," Review of Finance, European Finance Association, vol. 17(3), pages 1179-1237.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018.
"Demand Disagreement,"
2018 Meeting Papers
607, Society for Economic Dynamics.
Cited by:
- Kenneth J. Singleton, 2021. "Presidential Address: How Much “Rationality” Is There in Bond‐Market Risk Premiums?," Journal of Finance, American Finance Association, vol. 76(4), pages 1611-1654, August.
- Adem Atmaz & Suleyman Basak, 2022.
"Stock Market and No‐Dividend Stocks,"
Journal of Finance, American Finance Association, vol. 77(1), pages 545-599, February.
- Basak, Suleyman & Atmaz, Adem, 2021. "Stock Market and No-Dividend Stocks," CEPR Discussion Papers 16224, C.E.P.R. Discussion Papers.
- Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015.
"Disagreement about inflation and the yield curve,"
Working Papers
1532, Banco de España.
- Ehling, Paul & Gallmeyer, Michael & Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2018. "Disagreement about inflation and the yield curve," Journal of Financial Economics, Elsevier, vol. 127(3), pages 459-484.
Cited by:
- Breach, Tomas & D’Amico, Stefania & Orphanides, Athanasios, 2020.
"The term structure and inflation uncertainty,"
Journal of Financial Economics, Elsevier, vol. 138(2), pages 388-414.
- Orphanides, Athanasios & Breach, Tomas & D'Amico, Stefania, 2016. "The Term Structure and Inflation Uncertainty," CEPR Discussion Papers 11730, C.E.P.R. Discussion Papers.
- Tomas Breach & Stefania D'Amico & Athanasios Orphanides, 2016. "The Term Structure and Inflation Uncertainty," Working Paper Series WP-2016-22, Federal Reserve Bank of Chicago.
- Chernov, Mikhail & Bauer, Michael, 2021.
"Interest Rate Skewness and Biased Beliefs,"
CEPR Discussion Papers
16274, C.E.P.R. Discussion Papers.
- Michael D. Bauer & Mikhail Chernov, 2021. "Interest Rate Skewness and Biased Beliefs," CESifo Working Paper Series 9150, CESifo.
- Michael D. Bauer & Mikhail Chernov, 2021. "Interest Rate Skewness and Biased Beliefs," NBER Working Papers 28954, National Bureau of Economic Research, Inc.
- Bauer, Michael & Chernov, Mikhail, 2021. "Interest rate skewness and biased beliefs," IMFS Working Paper Series 163, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Michael Bauer & Mikhail Chernov, 2024. "Interest Rate Skewness and Biased Beliefs," Journal of Finance, American Finance Association, vol. 79(1), pages 173-217, February.
- Kenneth J. Singleton, 2021. "Presidential Address: How Much “Rationality” Is There in Bond‐Market Risk Premiums?," Journal of Finance, American Finance Association, vol. 76(4), pages 1611-1654, August.
- Bernstein, Asaf & Billings, Stephen B. & Gustafson, Matthew T. & Lewis, Ryan, 2022. "Partisan residential sorting on climate change risk," Journal of Financial Economics, Elsevier, vol. 146(3), pages 989-1015.
- Cao, Shuo & Crump, Richard K. & ,, 2020.
"Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates,"
CEPR Discussion Papers
15122, C.E.P.R. Discussion Papers.
- Shuo Cao & Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2020. "Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates," Staff Reports 934, Federal Reserve Bank of New York.
- Felipe S. Iachan & Plamen T. Nenov & Alp Simsek, 2015.
"The Choice Channel of Financial Innovation,"
NBER Working Papers
21686, National Bureau of Economic Research, Inc.
- ÅžimÅŸek, Alp & Iachan, Felipe Saraiva & Nenov, Plamen T., 2020. "The Choice Channel of Financial Innovation," CEPR Discussion Papers 14361, C.E.P.R. Discussion Papers.
- Felipe S. Iachan & Plamen T. Nenov & Alp Simsek, 2021. "The Choice Channel of Financial Innovation," American Economic Journal: Macroeconomics, American Economic Association, vol. 13(2), pages 333-372, April.
- Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2019. "Extreme inflation and time-varying consumption growth," Discussion Papers 16/2019, Deutsche Bundesbank.
- Malkhozov, Aytek & Mueller, Philippe & Vedolin, Andrea & Venter, Gyuri, 2013.
"Mortgage hedging in fixed income markets,"
LSE Research Online Documents on Economics
119032, London School of Economics and Political Science, LSE Library.
- Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2013. "Mortgage Hedging in Fixed Income Markets," FMG Discussion Papers dp722, Financial Markets Group.
- Andrés Schneider, 2022. "Risk‐Sharing and the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 77(4), pages 2331-2374, August.
- Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2017.
"Macro Risks and the Term Structure of Interest Rates,"
Finance and Economics Discussion Series
2017-058, Board of Governors of the Federal Reserve System (U.S.).
- Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2021. "Macro risks and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 141(2), pages 479-504.
- Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2016. "Macro Risks and the Term Structure of Interest Rates," NBER Working Papers 22839, National Bureau of Economic Research, Inc.
- Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Demand Disagreement," 2018 Meeting Papers 607, Society for Economic Dynamics.
- Andrea Buraschi & Paul Whelan, 2022. "Speculation, Sentiment, and Interest Rates," Management Science, INFORMS, vol. 68(3), pages 2308-2329, March.
- Armantier, Olivier & Koşar, Gizem & Pomerantz, Rachel & Skandalis, Daphné & Smith, Kyle & Topa, Giorgio & van der Klaauw, Wilbert, 2021.
"How economic crises affect inflation beliefs: Evidence from the Covid-19 pandemic,"
Journal of Economic Behavior & Organization, Elsevier, vol. 189(C), pages 443-469.
- Olivier Armantier & Gizem Koşar & Rachel Pomerantz & Daphne Skandalis & Kyle Smith & Giorgio Topa & Wilbert Van der Klaauw, 2020. "How Economic Crises Affect Inflation Beliefs: Evidence from the COVID-19 Pandemic," Staff Reports 949, Federal Reserve Bank of New York.
- Thien Nguyen, 2019. "Public Debt and the Slope of the Term Structure," 2019 Meeting Papers 957, Society for Economic Dynamics.
- Johan Walden & Christian Heyerdahl-Larsen, 2015. "Efficiency and Distortions in a Production Economy with Heterogeneous Beliefs," 2015 Meeting Papers 124, Society for Economic Dynamics.
- Gao, George P. & Lu, Xiaomeng & Song, Zhaogang & Yan, Hongjun, 2019. "Disagreement beta," Journal of Monetary Economics, Elsevier, vol. 107(C), pages 96-113.
- Timmermann, Allan & Burjack, Rafael & Qu, Ritong, 2019. "Fluctuations in Economic Uncertainty and Transmission of Monetary Policy Shocks: Evidence Using Daily Surveys from Brazil," CEPR Discussion Papers 14097, C.E.P.R. Discussion Papers.
- Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2022.
"Extreme inflation and time-varying expected consumption growth,"
SAFE Working Paper Series
334, Leibniz Institute for Financial Research SAFE.
- Ilya Dergunov & Christoph Meinerding & Christian Schlag, 2023. "Extreme Inflation and Time-Varying Expected Consumption Growth," Management Science, INFORMS, vol. 69(5), pages 2972-3002, May.
- Marco Giacoletti & Kristoffer T. Laursen & Kenneth J. Singleton, 2021. "Learning From Disagreement in the U.S. Treasury Bond Market," Journal of Finance, American Finance Association, vol. 76(1), pages 395-441, February.
- Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
- Daniel Andrei & Bruce Carlin & Michael Hasler, 2019. "Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles," Management Science, INFORMS, vol. 67(6), pages 2900-2923, June.
- Indrajit Mitra & Yu Xu, 2020. "Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates," FRB Atlanta Working Paper 2020-20, Federal Reserve Bank of Atlanta.
- Patrick Augustin & Roméo Tédongap, 2021. "Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets," Management Science, INFORMS, vol. 67(10), pages 6266-6293, October.
- Herwartz, Helmut & Rohloff, Hannes, 2018. "Less bang for the buck? Assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment," University of Göttingen Working Papers in Economics 358, University of Goettingen, Department of Economics.
- Zongxia Liang & Qi Ye, 2024. "Despite Absolute Information Advantages, All Investors Incur Welfare Loss," Papers 2405.08822, arXiv.org.
- Swinkels, Laurens, 2018. "Simulating historical inflation-linked bond returns," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 374-389.
- Wang, Hailong & Hu, Duni, 2024. "Heterogeneous beliefs with information processing capacity constraints and asset pricing in a monetary economy," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
- Ryan Banerjee & Aaron Mehrotra, 2021. "Disagreeing during Deflations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(7), pages 1867-1885, October.
- Gabriel Caldas Montes & Paulo Henrique Lourenço Luna, 2022. "Do fiscal opacity, fiscal impulse, and fiscal credibility affect disagreement about economic growth forecasts? Empirical evidence from Brazil considering the period of political instability and presid," Review of Development Economics, Wiley Blackwell, vol. 26(4), pages 2356-2393, November.
- Johan Walden & Christian Heyerdahl-Larsen, 2015.
"Efficiency and Distortions in a Production Economy with Heterogeneous Beliefs,"
2015 Meeting Papers
124, Society for Economic Dynamics.
Cited by:
- Ehling, Paul & Gallmeyer, Michael & Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2018.
"Disagreement about inflation and the yield curve,"
Journal of Financial Economics, Elsevier, vol. 127(3), pages 459-484.
- Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015. "Disagreement about inflation and the yield curve," Working Papers 1532, Banco de España.
- Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016.
"The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis,"
Journal of Monetary Economics, Elsevier, vol. 81(C), pages 25-43.
- Adrian Buss & Bernard Dumas & Raman Uppal & Grigory Vilkov, 2016. "The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis," Carlo Alberto Notebooks 449, Collegio Carlo Alberto.
- Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016. "The intended and unintended consequences of financial-market regulations: A general equilibrium analysis," SAFE Working Paper Series 124, Leibniz Institute for Financial Research SAFE.
- Ehling, Paul & Gallmeyer, Michael & Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2018.
"Disagreement about inflation and the yield curve,"
Journal of Financial Economics, Elsevier, vol. 127(3), pages 459-484.
- Paul Ehling & Christian Heyerdahl-Larsen, 2014.
"Correlations,"
Working Papers
1413, Banco de España.
- Paul Ehling & Christian Heyerdahl-Larsen, 2017. "Correlations," Management Science, INFORMS, vol. 63(6), pages 1919-1937, June.
Cited by:
- Micha³ Wilczewski, 2014. "Communications Audit in Measuring the Effectiveness of Communication Strategies in Companies (Audyt komunikacyjny w badaniu efektywnosci procesu komunikacji wewnetrznej przedsiebiorstw)," Research Reports, University of Warsaw, Faculty of Management, vol. 1(17), pages 98-110.
- Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," FMG Discussion Papers dp707, Financial Markets Group.
- Chabakauri, Georgy & Rytchkov, Oleg, 2014. "Asset pricing with index investing," LSE Research Online Documents on Economics 60739, London School of Economics and Political Science, LSE Library.
- Philipp Illeditsch & Michael Gallmeyer & Christian Heyerdahl-Larsen & Paul Ehling, 2009.
"Beliefs about Inflation and the Term Structure of Interest Rates,"
2009 Meeting Papers
1223, Society for Economic Dynamics.
Cited by:
- Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright, 2014.
"Forecasting interest rates with shifting endpoints,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 693-712, August.
- Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright, 2012. "Forecasting Interest Rates with Shifting Endpoints," Tinbergen Institute Discussion Papers 12-076/4, Tinbergen Institute.
- Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
- Urban Jermann, 2013.
"A Production-Based Model for the Term Structure,"
NBER Working Papers
18774, National Bureau of Economic Research, Inc.
- Jermann, Urban J., 2013. "A production-based model for the term structure," Journal of Financial Economics, Elsevier, vol. 109(2), pages 293-306.
- Kenneth J. Singleton, 2014. "Investor Flows and the 2008 Boom/Bust in Oil Prices," Management Science, INFORMS, vol. 60(2), pages 300-318, February.
- Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright, 2014.
"Forecasting interest rates with shifting endpoints,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 693-712, August.
Articles
- Paul Ehling & Alessandro Graniero & Christian Heyerdahl-Larsen, 2018.
"Asset Prices and Portfolio Choice with Learning from Experience,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(3), pages 1752-1780.
Cited by:
- Stefan Nagel & Zhengyang Xu, 2019.
"Asset Pricing with Fading Memory,"
NBER Working Papers
26255, National Bureau of Economic Research, Inc.
- Stefan Nagel & Zhengyang Xu, 2022. "Asset Pricing with Fading Memory," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2190-2245.
- Stefan Nagel & Zhengyang Xu, 2019. "Asset Pricing with Fading Memory," 2019 Meeting Papers 71, Society for Economic Dynamics.
- Nagel, Stefan & Xu, Zhengyang, 2019. "Asset Pricing with Fading Memory," CEPR Discussion Papers 13973, C.E.P.R. Discussion Papers.
- Uppal, Raman & Vilkov, Grigory & Buss, Adrian, 2015. "Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets," CEPR Discussion Papers 10437, C.E.P.R. Discussion Papers.
- Mathieu Pedemonte & Hiroshi Toma & Esteban Verdugo, 2023. "Aggregate Implications of Heterogeneous Inflation Expectations: The Role of Individual Experience," Working Papers 23-04, Federal Reserve Bank of Cleveland.
- Nicolae B. Gârleanu & Stavros Panageas, 2020. "Heterogeneity and Asset Prices: A Different Approach," NBER Working Papers 26607, National Bureau of Economic Research, Inc.
- Jin, Lawrence J. & Sui, Pengfei, 2022. "Asset pricing with return extrapolation," Journal of Financial Economics, Elsevier, vol. 145(2), pages 273-295.
- Ulrike Malmendier & Demian Pouzo & Victoria Vanasco, 2018.
"Investor Experiences and Financial Market Dynamics,"
NBER Working Papers
24697, National Bureau of Economic Research, Inc.
- Ulrike Malmendier & Demian Pouzo & Victoria Vanasco, 2016. "Investor Experiences and Financial Market Dynamics," Papers 1612.09553, arXiv.org, revised Feb 2019.
- Malmendier, Ulrike & Pouzo, Demian & Vanasco, Victoria, 2020. "Investor experiences and financial market dynamics," Journal of Financial Economics, Elsevier, vol. 136(3), pages 597-622.
- Malmendier, Ulrike M. & Shen, Leslie, 2020.
"Scarred Consumption,"
CEPR Discussion Papers
14937, C.E.P.R. Discussion Papers.
- Ulrike Malmendier & Leslie Sheng Shen, 2018. "Scarred Consumption," NBER Working Papers 24696, National Bureau of Economic Research, Inc.
- Ulrike Malmendier & Leslie Sheng Shen, 2019. "Scarred Consumption," International Finance Discussion Papers 1259, Board of Governors of the Federal Reserve System (U.S.).
- Ulrike Malmendier & Leslie Sheng Shen, 2024. "Scarred Consumption," American Economic Journal: Macroeconomics, American Economic Association, vol. 16(1), pages 322-355, January.
- Deniz Dutz & Ingrid Huitfeldt & Santiago Lacouture & Magne Mogstad & Alexander Torgovitsky & Winnie van Dijk, 2021. "Selection in Surveys: Using Randomized Incentives to Detect and Account for Nonresponse Bias," NBER Working Papers 29549, National Bureau of Economic Research, Inc.
- Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Demand Disagreement," 2018 Meeting Papers 607, Society for Economic Dynamics.
- Gagnon-Bartsch, Tristan & Bushong, Benjamin, 2022. "Learning with misattribution of reference dependence," Journal of Economic Theory, Elsevier, vol. 203(C).
- Stefanie Schraeder, 2016. "Information Processing and Non-Bayesian Learning in Financial Markets," Review of Finance, European Finance Association, vol. 20(2), pages 823-853.
- Heinke, Steve & Olschewski, Sebastian & Rieskamp, Jörg, 2022. "Experiences and Asset Price Dynamics," VfS Annual Conference 2022 (Basel): Big Data in Economics 264017, Verein für Socialpolitik / German Economic Association.
- Panageas, Stavros, 2020.
"The Implications of Heterogeneity and Inequality for Asset Pricing,"
Foundations and Trends(R) in Finance, now publishers, vol. 12(3), pages 199-275, November.
- Stavros Panageas, 2020. "The Implications of Heterogeneity and Inequality for Asset Pricing," NBER Working Papers 26974, National Bureau of Economic Research, Inc.
- Anna Blajer-Gołębiewska, 2021. "Individual corporate reputation and perception of collective corporate reputation regarding stock market investments," PLOS ONE, Public Library of Science, vol. 16(9), pages 1-21, September.
- Hu, Xiao & Jin, Ye & Li, Yilin & Wu, Banggang, 2023. "Learning from credit default," Finance Research Letters, Elsevier, vol. 58(PD).
- Wang, Hailong & Hu, Duni, 2020. "Disagreement with procyclical beliefs and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2018. "The Implications of Financial Innovation for Capital Markets and Household Welfare," CEPR Discussion Papers 13137, C.E.P.R. Discussion Papers.
- Uppal, Raman & Buss, Adrian & Vilkov, Grigory, 2017. "Financial Innovation and Asset Prices," CEPR Discussion Papers 12416, C.E.P.R. Discussion Papers.
- Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2020. "Investor Sophistication and Portfolio Dynamics," CEPR Discussion Papers 15116, C.E.P.R. Discussion Papers.
- Pei Kuang & Renbin Zhang & Tongbin Zhang, 2019. "New Tests of Expectation Formation with Applications to Asset Pricing Models," Discussion Papers 19-05, Department of Economics, University of Birmingham.
- Klishchuk, Bogdan, 2019. "Speculative Trade and Market Newcomers," Rationality and Competition Discussion Paper Series 175, CRC TRR 190 Rationality and Competition.
- Radke, Lucas & Wicknig, Florian, 2021. "Experience-Based Heterogeneity in Expectations and Monetary Policy," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242414, Verein für Socialpolitik / German Economic Association.
- Stefan Nagel & Zhengyang Xu, 2019.
"Asset Pricing with Fading Memory,"
NBER Working Papers
26255, National Bureau of Economic Research, Inc.
- Ehling, Paul & Gallmeyer, Michael & Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2018.
"Disagreement about inflation and the yield curve,"
Journal of Financial Economics, Elsevier, vol. 127(3), pages 459-484.
See citations under working paper version above.
- Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015. "Disagreement about inflation and the yield curve," Working Papers 1532, Banco de España.
- Paul Ehling & Christian Heyerdahl-Larsen, 2017.
"Correlations,"
Management Science, INFORMS, vol. 63(6), pages 1919-1937, June.
See citations under working paper version above.
- Paul Ehling & Christian Heyerdahl-Larsen, 2014. "Correlations," Working Papers 1413, Banco de España.
- Ehling, Paul & Heyerdahl-Larsen, Christian, 2015.
"Complete and incomplete financial markets in multi-good economies,"
Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.
Cited by:
- Puru Gupta & Saul D. Jacka, 2023. "Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot," Papers 2309.16047, arXiv.org.
- Paul Ehling & Christian Heyerdahl-Larsen, 2014.
"Correlations,"
Working Papers
1413, Banco de España.
- Paul Ehling & Christian Heyerdahl-Larsen, 2017. "Correlations," Management Science, INFORMS, vol. 63(6), pages 1919-1937, June.
- Patrick Beissner & Frank Riedel, 2018. "Non-implementability of Arrow–Debreu equilibria by continuous trading under volatility uncertainty," Finance and Stochastics, Springer, vol. 22(3), pages 603-620, July.
- Curatola, Giuliano & Dergunov, Ilya, 2023. "International capital markets with interdependent preferences: Theory and empirical evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 403-421.
- Curatola, Giuliano & Dergunov, Ilya, 2017. "International capital markets with time-varying preferences," SAFE Working Paper Series 176, Leibniz Institute for Financial Research SAFE.
- Christian Heyerdahl-Larsen, 2014.
"Asset Prices and Real Exchange Rates with Deep Habits,"
The Review of Financial Studies, Society for Financial Studies, vol. 27(11), pages 3280-3317.
Cited by:
- Buss, Adrian, 2013. "Capital controls and international financial stability: a dynamic general equilibrium analysis in incomplete markets," Working Paper Series 1578, European Central Bank.
- Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018.
"Volatility Risk Pass-Through,"
CEPR Discussion Papers
13325, C.E.P.R. Discussion Papers.
- Yang Liu & Mariano Croce & Ivan Shaliastovich & Ric Colacito, 2016. "Volatility Risk Pass-Through," 2016 Meeting Papers 135, Society for Economic Dynamics.
- Riccardo Colacito & Mariano Max Croce & Yang Liu & Ivan Shaliastovich, 2018. "Volatility Risk Pass-through," NBER Working Papers 25276, National Bureau of Economic Research, Inc.
- Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2015.
"Not so disconnected: exchange rates and the capital stock,"
Working Paper Series
2015-21, Federal Reserve Bank of San Francisco.
- Hassan, Tarek & Mertens, Thomas M. & Zhang, Tony, 2015. "Not so Disconnected: Exchange Rates and the Capital Stock," CEPR Discussion Papers 10744, C.E.P.R. Discussion Papers.
- Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2016. "Not So Disconnected: Exchange Rates and the Capital Stock," NBER Chapters, in: NBER International Seminar on Macroeconomics 2015, National Bureau of Economic Research, Inc.
- Tarek Alexander Hassan & Thomas Mertens & Tony Zhang, 2015. "Not so Disconnected: Exchange Rates and the Capital Stock," NBER Working Papers 21445, National Bureau of Economic Research, Inc.
- Hassan, Tarek A. & Mertens, Thomas M. & Zhang, Tony, 2016. "Not so disconnected: Exchange rates and the capital stock," Journal of International Economics, Elsevier, vol. 99(S1), pages 43-57.
- Federico Gavazzoni & Ana Maria Santacreu, 2015.
"International R&D Spillovers and Asset Prices,"
Working Papers
2015-41, Federal Reserve Bank of St. Louis.
- Ana Maria Santacreu & Federico Gavazzoni, 2015. "International R&D Spillovers and Asset Prices," 2015 Meeting Papers 405, Society for Economic Dynamics.
- Gavazzoni, Federico & Santacreu, Ana Maria, 2020. "International R&D spillovers and asset prices," Journal of Financial Economics, Elsevier, vol. 136(2), pages 330-354.
- Emmanuel Farhi & Xavier Gabaix, "undated".
"Rare Disasters and Exchange Rates,"
Working Paper
71001, Harvard University OpenScholar.
- Gabaix, Xavier & Farhi, Emmanuel, 2015. "Rare Disasters and Exchange Rates," CEPR Discussion Papers 10334, C.E.P.R. Discussion Papers.
- Emmanuel Farhi, 2008. "Rare Disasters and Exchange Rates," 2008 Meeting Papers 47, Society for Economic Dynamics.
- Emmanuel Farhi & Xavier Gabaix, 2008. "Rare Disasters and Exchange Rates," NBER Working Papers 13805, National Bureau of Economic Research, Inc.
- Kraft, Holger & Munk, Claus & Wagner, Sebastian, 2015.
"Housing habits and their implications for life-cycle consumption and investment,"
SAFE Working Paper Series
85, Leibniz Institute for Financial Research SAFE, revised 2015.
- Holger Kraft & Claus Munk & Sebastian Wagner, 2018. "Housing Habits and Their Implications for Life-Cycle Consumption and Investment [The evolution of homeownership rates in selected OECD countries: demographic and public policy influences]," Review of Finance, European Finance Association, vol. 22(5), pages 1737-1762.
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"Forward and Spot Exchange Rates in a Multi-currency World,"
NBER Working Papers
20294, National Bureau of Economic Research, Inc.
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"Currency Value,"
CEPR Discussion Papers
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"Revisiting real exchange rate volatility: Non-traded goods and cointegrated tfp Chockse,"
UB School of Economics Working Papers
2018/375, University of Barcelona School of Economics.
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- Irina Zviadadze, 2017.
"Term Structure of Consumption Risk Premia in the Cross Section of Currency Returns,"
Journal of Finance, American Finance Association, vol. 72(4), pages 1529-1566, August.
- Irina Zviadadze, 2014. "Term-structure of consumption risk premia in the cross-section of currency returns," 2014 Meeting Papers 1075, Society for Economic Dynamics.
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"Deep habits and exchange rate pass-through,"
CAMA Working Papers
2016-17, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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"Currency Risk Factors in a Recursive Multicountry Economy,"
CEPR Discussion Papers
12610, C.E.P.R. Discussion Papers.
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- Dmitriev, Alexandre, 2017. "Composite habits and international transmission of business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 1-34.
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"Liquidity Risk and Time-Varying Correlation Between Equity and Currency Returns,"
MPRA Paper
67416, University Library of Munich, Germany.
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- Curatola, Giuliano & Dergunov, Ilya, 2023. "International capital markets with interdependent preferences: Theory and empirical evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 403-421.
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- Lorenzo Garlappi & Jack Favilukis, 2015. "The Carry Trade and UIP when Markets are Incomplete," 2015 Meeting Papers 242, Society for Economic Dynamics.
- Curatola, Giuliano & Dergunov, Ilya, 2017. "International capital markets with time-varying preferences," SAFE Working Paper Series 176, Leibniz Institute for Financial Research SAFE.
- Zhengyang Jiang, 2019. "US Fiscal Cycle and the Dollar," 2019 Meeting Papers 667, Society for Economic Dynamics.
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"An empirical investigation of consumption-based asset pricing models with stochastic habit formation,"
Finance and Economics Discussion Series
2011-47, Board of Governors of the Federal Reserve System (U.S.).
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- Yurii Fedyk & Christian Heyerdahl-Larsen & Johan Walden, 2013.
"Market Selection and Welfare in a Multi-asset Economy,"
Review of Finance, European Finance Association, vol. 17(3), pages 1179-1237.
Cited by:
- Bernstein, Asaf & Billings, Stephen B. & Gustafson, Matthew T. & Lewis, Ryan, 2022. "Partisan residential sorting on climate change risk," Journal of Financial Economics, Elsevier, vol. 146(3), pages 989-1015.
- Ehling, Paul & Gallmeyer, Michael & Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2018.
"Disagreement about inflation and the yield curve,"
Journal of Financial Economics, Elsevier, vol. 127(3), pages 459-484.
- Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015. "Disagreement about inflation and the yield curve," Working Papers 1532, Banco de España.
- Antoine Kopp & Rebecca Westphal & Didier Sornette, 2022. "Agent-based model generating stylized facts of fixed income markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(4), pages 947-992, October.
- Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016.
"The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis,"
Journal of Monetary Economics, Elsevier, vol. 81(C), pages 25-43.
- Adrian Buss & Bernard Dumas & Raman Uppal & Grigory Vilkov, 2016. "The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis," Carlo Alberto Notebooks 449, Collegio Carlo Alberto.
- Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016. "The intended and unintended consequences of financial-market regulations: A general equilibrium analysis," SAFE Working Paper Series 124, Leibniz Institute for Financial Research SAFE.
- Hai-Chuan Xu & Wei Zhang & Xiong Xiong & Wei-Xing Zhou, 2014.
"Wealth share analysis with "fundamentalist/chartist" heterogeneous agents,"
Papers
1405.5939, arXiv.org.
- Hai-Chuan Xu & Wei Zhang & Xiong Xiong & Wei-Xing Zhou, 2014. "Wealth Share Analysis with “Fundamentalist/Chartist” Heterogeneous Agents," Abstract and Applied Analysis, Hindawi, vol. 2014, pages 1-11, May.
- Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018.
"Long-run heterogeneity in an exchange economy with fixed-mix traders,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 66(2), pages 407-447, August.
- Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2015. "Long-run Heterogeneity in an Exchange Economy with Fixed-Mix Traders," LEM Papers Series 2015/29, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- He, Xue-Zhong & Shi, Lei, 2017. "Index portfolio and welfare analysis under heterogeneous beliefs," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 64-79.
- Han, Kookyoung, 2021. "Self-enforcement, heterogeneous agents, and long-run survival," Economics Letters, Elsevier, vol. 204(C).
- Hansen, Simon Lysbjerg, 2015. "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 125-151.
- Uppal, Raman & Bhamra, Harjoat Singh, 2013.
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9459, C.E.P.R. Discussion Papers.
- Raman Uppal & Harjoat Bhamra, 2013. "Asset Prices with Heterogeneity in Preferences and Beliefs," 2013 Meeting Papers 1344, Society for Economic Dynamics.
- Harjoat S. Bhamra & Raman Uppal, 2014. "Asset Prices with Heterogeneity in Preferences and Beliefs," The Review of Financial Studies, Society for Financial Studies, vol. 27(2), pages 519-580.
- Johan Walden & Christian Heyerdahl-Larsen, 2015. "Efficiency and Distortions in a Production Economy with Heterogeneous Beliefs," 2015 Meeting Papers 124, Society for Economic Dynamics.
- Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2018. "The Implications of Financial Innovation for Capital Markets and Household Welfare," CEPR Discussion Papers 13137, C.E.P.R. Discussion Papers.
- Kogan, Leonid & Ross, Stephen A. & Wang, Jiang & Westerfield, Mark M., 2017.
"Market selection,"
Journal of Economic Theory, Elsevier, vol. 168(C), pages 209-236.
- Stephen Ross & Mark Westerfield & Jiang Wang & Leonid Kogan, 2009. "Market Selection," 2009 Meeting Papers 274, Society for Economic Dynamics.
- Leonid Kogan & Stephen Ross & Jiang Wang & Mark M. Westerfield, 2009. "Market Selection," NBER Working Papers 15189, National Bureau of Economic Research, Inc.
- Shi, Lei, 2016. "Consumption-based CAPM with belief heterogeneity," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 30-46.
- Zongxia Liang & Qi Ye, 2024. "Despite Absolute Information Advantages, All Investors Incur Welfare Loss," Papers 2405.08822, arXiv.org.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-DGE: Dynamic General Equilibrium (2) 2015-07-25 2018-09-10
- NEP-MAC: Macroeconomics (1) 2015-12-01
- NEP-RMG: Risk Management (1) 2014-07-21
- NEP-UPT: Utility Models and Prospect Theory (1) 2018-09-10
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