Can a Time-to-Plan Model explain the Equity Premium Puzzle

This paper proposes a quantitative evaluation of the time-to-plan technology in order to investigate up to which point this mechanism could constitute a satisfactory alternative to the well-known capital adjustment cost technology. We show that the time-to-plan mechanism reproduces a realistic risk-free rate, whilst being capable of generating a substantial equity premium. About the model's explanation of the business cycle, it turns out that the model predicts a perfectly positive and significant correlation between employment and output.

La capacité d’achat immobilier en Province : un optimisme prudent.

Acquisition de logement; Approche géographique; Immobilier;

La capacité d'achat immobilier en Ile-de-France : Evaluation dynamique et disparités géographiques.

Approche temporelle; Acquisition de logement; Approche géographique;

The Credit Spread Cycle with Matching Friction

We herein advance a contribution to the theoretical literature on financial frictions and show the significance of the matching mechanism in explaining the countercyclical behavior of interest rate spreads. We demonstrate that when matching friction is associated with a Nash bargaining solution, it provides a satisfactory explanation of the credit spread cycle in response to shocks in production technology or in the cost of banks' resources. During periods of expansion, the credit spread experiences a tightening for two reasons. Firstly, as a result of easier access to loans, entrepreneurs have better opportunities outside a given lending relationship and can negotiate lower interest rates. Secondly, the less selective behavior of entrepreneurs and banks results in the occurrence of fewer productive matches, a fall in the average productivity of matches, and a tightening of the credit spread. Our results also underline the amplification and propagation properties of matching friction, which represent a powerful financial accelerator mechanism.

Assessing the Interaction between Real Estate and Equity in Households Portfolio Choice.

In this paper, we provide a new empirical analysis of the dynamic portfolio decisions of households by simultaneously considering their stock market participation and home tenure choices. There is already a huge body of literature on housing status (own/rent) decisions and many contributions documented the low stock market participation rate of US households. Although some papers evidenced that the home status (modeled as an exogenous variable) has an impact on the stock proportion in portfolio, our paper is the first one to allow both decisions (home and stock) to be simultaneous and endogenous. We estimate a dynamic bivariate logistic panel data model on Panel Study of income Dynamics data from 1999 to 2007 controlling for sample selection bias and time-invariant unobserved heterogeneity. We first evidence that our original joint setup outperforms a standard one (with two distinct equations for stock holdings and for home tenure), i.e. marginal odds ratios are significant. Using these estimates, we are able to simulate individual paths of stock and home equity positions over the life cycle according to households attributes. Ceteris Paribus, we show that households taking positions in one asset (home or stock) encounter a positive position in the other asset at an earlier stage in their life cycle, i.e. some households appear to be locked in a no-stock-and-renter position.households; Investment;

Assessing the Interaction between Real Estate and Equity in Households Portfolio Choice

In this paper, we provide a new empirical analysis of the dynamic portfolio decisions of households by simultaneously considering their stock market participation and home tenure choices. There is already a huge body of literature on housing status (own/rent) decisions and many contributions doc- umented the low stock market participation rate of US households. Although some papers evidenced that the home status (modeled as an exogenous variable) has an impact on the stock proportion in portfolio, our paper is the …rst one to allow both decisions (home and stock) to be simultaneous and endogenous. We estimate a dynamic bivariate logistic panel data model on Panel Study of income Dynamics data from 1999 to 2007 controlling for sample selection bias and time-invariant unobserved heterogeneity. We …rst evidence that our original joint setup outperforms a standard one (with two distinct equations for stock holdings and for home tenure), i.e. marginal odds ratios are signi…cant. Using these estimates, we are able to simulate individual paths of stock and home equity positions over the life cycle according to households attributes. Ceteris Paribus, we show that households taking positions in one asset (home or stock) encounter a positive position in the other asset at an earlier stage in their life cycle, i.e. some households appear to be locked in a no-stock-and-renter position.Housing, Stock market participation, Portfolio choices, Panel Data

Rentabilité d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique.

Cette revue de la littérature présente les principaux outils et résultats de la recherche se situant à l intersection de la finance et de la macroéconomie. L ambition de cette littérature est de fournir une analyse conjointe du cycle économique et des fluctuations des prix d actifs financiers. Cet article adopte cette perspective et propose une analyse critique des mécanismes demodélisation à prendre en considération dans un modèle DSGE, afin que celui-ci soit compatible avec les faits stylisés des rentabilités des actifs financiers sans pour autant sacrifier aux faits du cycle économique. Mots-clés: Fluctuations économiques, Prime de risque des actions, Formation d habitudes, coût d ajusteThis review of the literature presents the main tools and results of research at the crossroads between finance and macroeconomics. The literature seeks to jointly analyze the economic cycle and fluctuations in financial-asset prices.Our article follows this approach:we offer a critical analysis of themodelingmechanisms that should be factored into aDSGE model so as tomake it compatible with the stylized facts of asset returns without necessarily sacrificing to the facts of the economic cycle.Fluctuations économiques; Prime de risque des actions; Formation d'habitudes; Coût d'ajustement;

Spectral Properties of Asset Pricing Models: A General Equilibrium Perspective

This paper studies asset returns adopting an alternative strategy to assess a model s goodness of fit. Based on spectral analysis, this approach considers a model as an approximation to the process generating the observed data, and characterizes the dimensions for which the model provides a good approximation and those for which it does not. Our aim is to offer new evidence regarding the size and the location of approximation errors of a set of stochastic growth models considered to be decisive steps in the progress of the asset pricing research program. Our specific objective is to reevaluate the results of Jermann s (1998) model extending the calculations to the spectral domain. Spectral results are relatively satisfactory: the benchmark model needs very few contributions of approximation errors to account for the empirical equity premium. Second, the location of the approximation errors, when they are substantial, seems to be essentially concentrated at high frequencies.ou

Assessing the Interaction between Real Estate and Equity in Households Portfolio Choice

In this paper, we provide a new empirical analysis of the dynamic portfolio decisions of households by simultaneously considering their stock market participation and home tenure choices. There is already a huge body of literature on housing status (own/rent) decisions and many contributions documented the low stock market participation rate of US households. Although some papers evidenced that the home status (modeled as an exogenous variable) has an impact on the stock proportion in portfolio, our paper is the first one to allow both decisions (home and stock) to be simultaneous and endogenous. We estimate a dynamic bivariate logistic panel data model on Panel Study of income Dynamics data from 1999 to 2007 controlling for sample selection bias and time-invariant unobserved heterogeneity. We first evidence that our original joint setup outperforms a standard one (with two distinct equations for stock holdings and for home tenure), i.e. marginal odds ratios are significant. Using these estimates, we are able to simulate individual paths of stock and home equity positions over the life cycle according to households attributes. Ceteris Paribus, we show that households taking positions in one asset (home or stock) encounter a positive position in the other asset at an earlier stage in their life cycle, i.e. some households appear to be locked in a no-stock-and-renter position

Credit Flows, Spread Interest Rates and Business Cycles.

This paper studies the business cycle behaviour of gross credit flows and interest rates. The credit market is characterized by highly volatile quantities (the gross credit flows) and very smooth prices (the interest rates). We examine extent to which the new theory of credit frictions based on the matching and bargaining model can explain this behaviour.Business cycles; Search frictions;