Arbeitspapier
Cyclical Asset Returns in the Consumption and Investment Goods Sector
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we consider a standard two-sector real-business cycle model with habit formation and sector-specific adjustment costs of capital. The model is able to replicate the equity premium and the Sharpe values observed empirically. In addition, we are able to match the empirical fact that equity returns in the two sectors are not correlated with output.
- Language
-
Englisch
- Bibliographic citation
-
Series: CESifo Working Paper ; No. 4364
- Classification
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Computational Techniques; Simulation Modeling
Investment; Capital; Intangible Capital; Capacity
Business Fluctuations; Cycles
- Subject
-
asset prices
business cycles
equity premium
investment sector
consumption sector
- Event
-
Geistige Schöpfung
- (who)
-
Heer, Burkhard
Maussner, Alfred
Süssmuth, Bernd
- Event
-
Veröffentlichung
- (who)
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Center for Economic Studies and ifo Institute (CESifo)
- (where)
-
Munich
- (when)
-
2013
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Heer, Burkhard
- Maussner, Alfred
- Süssmuth, Bernd
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2013
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