Blar i Norges Banks vitenarkiv på emneord "asset pricing"

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    • Asset Pricing with Concentrated Ownership of Capital 

      Lansing, Kevin J. (Working Papers;18/2011, Working paper, 2011)
      This paper investigates how concentrated ownership of capital influences the pricing of risky assets in a production economy. The model is designed to approximate the skewed distribution of wealth and income in U.S. data. ...

    • House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy 

      Gelain, Paolo; Lansing, Kevin J.; Mendicino, Caterina (Working Papers;8/2012, Working paper, 2012)
      Progress on the question of whether policymakers should respond directly to financial variables requires a realistic economic model that captures the links between asset prices, credit expansion, and real economic activity. ...

    • House Prices, Expectations, and Time-Varying Fundamentals 

      Gelain, Paolo; Lansing, Kevin J. (Working Papers;5/2013, Working paper, 2013)
      We investigate the behavior of the equilibrium price-rent ratio for housing in a simple Lucas-type asset pricing model. We allow for time-varying risk aversion (via external habit formation) and time-varying persistence ...

    • Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section 

      Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco (Working Papers;19/2013, Working paper, 2013)
      This paper proposes a Bayesian estimation framework for a typical multi-factor model with time-varying risk exposures to macroeconomic risk factors and corresponding premia to price U.S. stocks and bonds. The model assumes ...

    • The Risk Components of Liquidity 

      Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A. (Working Papers;3/2008, Working paper, 2008)
      Does liquidity risk differ depending on our choice of liquidity proxy? Unlike literature that considers common liquidity variation, we focus on identifying different components of liquidity, statistically and economically, ...

    • What Factors Affect the Oslo Stock Exchange? 

      Næs, Randi; Skjeltorp, Johannes A.; Ødegaard, Bernt Arne (Working Papers;24/2009, Working paper, 2009)
      This paper analyzes return patterns and determinants at the Oslo Stock Exchange (OSE) in the period 1980-2006. We find that a three-factor model containing the market, a size factor and a liquidity factor provides a ...