The DOI matches its Crossref record; 58 of the 58 references it cites were found in a registry or an index.
Macro-Finance
Abstract
Macro-finance addresses the link between asset prices and economic fluctuations. Many models reflect the same rough idea: the market’s ability to bear risk is greater in good times, and less in bad times. Models achieve this similar result by quite different mechanisms. I contrast their strengths and weaknesses. I highlight directions for future research, including additional facts to be matched, and limitations of the models that should prod future theoretical work. I describe how macro-finance models can fundamentally alter macroeconomics, by putting time-varying risk premiums and risk-bearing capacity at the center of recessions rather than variation in the interest rate and intertemporal substitution.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*
Malkiel, B. G., & Fama, E. F. (1970) · The Journal of Finance · doi:10.1111/j.1540-6261.1970.tb00518.x · Cited by 15,699
Multifactor Explanations of Asset Pricing Anomalies
FAMA, E. F., & FRENCH, K. R. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb05202.x · Cited by 6,700
An Intertemporal Capital Asset Pricing Model
Merton, R. C. (1973) · Econometrica · doi:10.2307/1913811 · Cited by 6,508
Time to Build and Aggregate Fluctuations
Kydland, F. E., & Prescott, E. C. (1982) · Econometrica · doi:10.2307/1913386 · Cited by 5,825
Mehra, R., & Prescott, E. C. (1985) · Journal of Monetary Economics · doi:10.1016/0304-3932(85)90061-3 · Cited by 5,535
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
Self-citationEpstein, L. G., & Zin, S. E. (1989) · Econometrica · doi:10.2307/1913778 · Cited by 4,262
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
Bansal, R., & Yaron, A. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00670.x · Cited by 4,242
Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?
Shiller, R. (1980) · National Bureau of Economic Research · doi:10.3386/w0456 · Cited by 3,986
Cited by
A New Test of Risk Factor Relevance
CHINCO, A., HARTZMARK, S. M., & SUSSMAN, A. B. (2022) · The Journal of Finance · doi:10.1111/jofi.13135 · Cited by 75
Metadata
- Authors
- Cochrane, J. H.
- Venue
- Review of Finance
- Publisher
- Oxford University Press (OUP)
- Published
- 2017-03-02
- Volume
- 21
- Issue
- 3
- Pages
- 945-985
- ISSN
- 1382-6662 (ISSN-L)
- 1572-3097
- 1573-692X
- OpenAlex
- W4253661785
- Cited by
- 322
- References
- 58
- FWCI
- 50.78
- Type
- journal article
- Language
- en
- Open access
- closed
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
