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Essays On Asset Return And Housing Market, Swati Kumari
Essays On Asset Return And Housing Market, Swati Kumari
Theses and Dissertations
The last two decades have witnessed substantial amount of research on time variation in asset returns. It has been found that macroeconomic variables contain useful information about asset returns. This dissertation consists of three essays that study the link between the macroeconomy and financial markets. A central idea behind the link is that households adjust their consumption spending in anticipation of variations in the return on household assets.
The first essay proposes a latent-variables approach to estimate expected returns on total household assets and expected growth rate of excess consumption (consumption in excess of labor income) within a present-value model …