Labor Income Indices Designed for Use in Contracts Promoting Income Risk Management * (2009)
Robert J. Shiller, Ryan Schneider, Mckinsey Co
Labor income indices are created for groupings of individuals, using data from the Panel Study of Income Dynamics. People are grouped by a clustering algorithm based on an estimated transition matrix...
Understanding Inflation-Indexed Bond Markets (2009)
John Y. Campbell, Robert J. Shiller, Luis M. Viceira
Brookings Papers on Economic Activity - 2009, Number 1
Household Reaction to Changes in Housing Wealth 1 (2009)
It is widely claimed that home prices, as well as stock prices, have an impact on consumption and hence on aggregate economic activity. Notably, the declining stock market since March 2000 is widely...
There is a large potential for improving individual risk management through new risk management contracts and associated new index-settled derivatives. However, there are some difficult problems in...
Designing Indexed Units of Account (2009)
Robert J. Shiller, Robert J. Shiller
COWLES FOUNDATION DISCUSSION PAPER NO. 1179
Social Security and Institutions for (2009)
Intergenerational Intragenerational, Robert J. Shiller
Social security system old age insurance systems are devices for the sharing of income risks of elderly people with others. Risks can be shared intergenerationally (with the young of the same...
Aggregate Income Risks and Hedging Mechanisms (2009)
Estimates are made, from time series data on real gross domestic products, of the standard deoiation of returns in markets for perpetual claims on countries ’ incomes. The results indicate that...
Unlearned Lessons from the Housing Bubble (2009)
Land isn't that scarce and people just don't seem to understand how little housing should and will appreciate long term. These irrational expectations are likely to bite us again and again with more...
Unlearned Lessons from the Housing Bubble (2009)
Land isn't that scarce and people just don't seem to understand how little housing should and will appreciate long term. These irrational expectations are likely to bite us again and again with more...
Unlearned Lessons from the Housing Bubble (2009)
Land isn't that scarce and people just don't seem to understand how little housing should and will appreciate long term. These irrational expectations are likely to bite us again and again with more...
Unlearned Lessons from the Housing Bubble (2009)
Land isn't that scarce and people just don't seem to understand how little housing should and will appreciate long term. These irrational expectations are likely to bite us again and again with more...
Policies to Deal with the Implosion in the Mortgage Market (2009)
This paper relates the 2006-2008 meltdown in mortgage markets to falling asset prices, excessive psychological reaction to the burst bubble, and new mortgage vehicles incapable of accommodating...
Policies to Deal with the Implosion in the Mortgage Market (2009)
This paper relates the 2006-2008 meltdown in mortgage markets to falling asset prices, excessive psychological reaction to the burst bubble, and new mortgage vehicles incapable of accommodating...
Policies to Deal with the Implosion in the Mortgage Market (2009)
This paper relates the 2006-2008 meltdown in mortgage markets to falling asset prices, excessive psychological reaction to the burst bubble, and new mortgage vehicles incapable of accommodating...
Policies to Deal with the Implosion in the Mortgage Market (2009)
This paper relates the 2006-2008 meltdown in mortgage markets to falling asset prices, excessive psychological reaction to the burst bubble, and new mortgage vehicles incapable of accommodating...
Economics - The promise of prediction markets (2008)
Arrow, Kenneth J., Forsythe, Robert, Gorham, Michael, Hahn, Robert, Hanson, Robin, Ledyard, John O., ...
The ability of groups of people to make predictions is a potent research tool that should be freed of unnecessary government restrictions.
Brookings Papers on Economic Activity - 2007, 2
Bubbles, Human Judgment and Expert Opinion.” Cowles Foundation Discussion Papers 1303 (2008)
Robert J. Shiller, Robert J. Shiller
Abstract: Research in psychology and behavioral finance is surveyed for evidence to what extent experts such as professional investment managers or endowment trustees may behave in such a way as to...
versus the Housing Market ∗ (2008)
Karl E. Case, John M. Quigley, Robert J. Shiller, Cowles Foundation, Paper No, Robert J. Shiller, ...
Copyright c○2005 by the authors. All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic,...
SAMUELSON’S DICTUM AND THE STOCK MARKET (2008)
Jeeman Jung, Robert J. Shiller, Cowles Foundation, Paper No, Jeeman Jung, Robert J. Shiller
Samuelson has offered the dictum that the stock market is ‘‘micro efficient’ ’ but ‘‘macro inefficient.’ ’ That is, the efficient markets hypothesis works much better for individual...
Bubbles, Human Judgment and Expert Opinion.” Cowles Foundation Discussion Papers 1303 (2007)
Robert J. Shiller, Robert J. Shiller
Abstract: Research in psychology and behavioral finance is surveyed for evidence to what extent experts such as professional investment managers or endowment trustees may behave in such a way as to...
and Debra Roberts for helpful comments. Home Equity Insurance (2007)
Robert J. Shiller, Robert J. Shiller, Allan N. Weiss, Allan N. Weiss
Home equity insurance policies, policies insuring homeowners against declines in the price of their homes, would bear some resemblance both to ordinary insurance and to financial hedging vehicles. A...
Significaxx of the Maq et Portfolio (2007)
Stefaq Athaxxqyw Robert, Robert J. Shiller, Yale Universjb
timal allocation ofrisG Itis inthis ssW that the world portfoliois s important in the CAPM. In ouranalysO we will drop the (highlyunrealisBDN asealisBD of the CAPM that allrisW are tradable and that...
Jeeman Jung And, Jeeman Jung, Jeeman Jung, Robert J. Shiller, Robert J. Shiller
Samuelson (1998) offered the dictum that the stock market is "micro efficient" but "macro inefficient." That is, the efficient markets hypothesis works much better for individual...
The Rising Tide Tax System: Indexing the Tax System for Changes in Inequality (2007)
Professor Leonard Burman, Wagner School, Leonard E. Burman, Robert J. Shiller, Gregory Leiserson, Jeffrey Rohaly, ...
Number 10
Robert J. Shiller, J. Shiller, Robert J. Shiller, J. Shiller
There has been a widespread perception in the past few years that long-term asset prices are generally high because monetary authorities have effectively kept long-term interest rates, which the...
Robert J. Shiller, J. Shiller, Robert J. Shiller, J. Shiller
This paper looks for markers of ends of real estate booms or busts. The changes in market psychology and related indicators that occurred at real estate market turning points in the United States...
1 Understanding Recent Trends in House Prices and Home Ownership. (2007)
Robert J. Shiller, J. Shiller, J. Shiller, Robert J. Shiller
This paper looks at a broad array of evidence concerning the recent boom in home prices, and considers what this means for future home prices and the economy. It does not appear possible to explain...
Comments and Discussion (2006)
Mayer, Christopher J., Shiller, Robert J.
Brookings Papers on Economic Activity - 2006, 1
Long-Term Perspectives on the Current Boom in Home Prices (2006)
Robert Shiller looks at over 100 years of data and asks the question every homeowner wants to know: what is the short-term and long-term prognosis for real estate values? The news isn't reassuring,...
Long-Term Perspectives on the Current Boom in Home Prices (2006)
Robert Shiller looks at over 100 years of data and asks the question every homeowner wants to know: what is the short-term and long-term prognosis for real estate values? The news isn't reassuring,...
Long-Term Perspectives on the Current Boom in Home Prices (2006)
Robert Shiller looks at over 100 years of data and asks the question every homeowner wants to know: what is the short-term and long-term prognosis for real estate values? The news isn't reassuring,...
Long-Term Perspectives on the Current Boom in Home Prices (2006)
Robert Shiller looks at over 100 years of data and asks the question every homeowner wants to know: what is the short-term and long-term prognosis for real estate values? The news isn't reassuring,...
versus Behavioral Finance Abstract (2006)
Robert J. Shiller, Cowles Foundation, Paper No, Robert J. Shiller
The behavioral finance revolution in academic finance in the last several decades is best described as a return to a more eclectic approach to financial modeling. The earlier neoclassical finance...
Life-Cycle Portfolios as Government Policy (2005)
A life-cycle portfolio for personal accounts within Social Security, such as President George Bush has proposed, would adjust risk exposure as a function of the worker's age. This would involve the...
Life-Cycle Portfolios as Government Policy (2005)
A life-cycle portfolio for personal accounts within Social Security, such as President George Bush has proposed, would adjust risk exposure as a function of the worker's age. This would involve the...
Life-Cycle Portfolios as Government Policy (2005)
A life-cycle portfolio for personal accounts within Social Security, such as President George Bush has proposed, would adjust risk exposure as a function of the worker's age. This would involve the...
Life-Cycle Portfolios as Government Policy (2005)
A life-cycle portfolio for personal accounts within Social Security, such as President George Bush has proposed, would adjust risk exposure as a function of the worker's age. This would involve the...
Comparing Wealth Effects: The Stock Market versus the Housing Market (2005)
Case, Karl E., Quigley, John M., Shiller, Robert J.
We examine the link between increases in housing wealth, financial wealth, and consumer spending. We rely upon a panel of 14 countries observed annually for various periods during the past 25 years...
Comparing Wealth Effects: The Stock Market versus the Housing Market (2005)
Case, Karl E., Quigley, John M., Shiller, Robert J.
We examine the link between increases in housing wealth, financial wealth, and consumer spending. We rely upon a panel of 14 countries observed annually for various periods during the past 25 years...
Comparing Wealth Effects: The Stock Market versus the Housing Market (2005)
Case, Karl E., Quigley, John M., Shiller, Robert J.
We examine the link between increases in housing wealth, financial wealth, and consumer spending. We rely upon a panel of 14 countries observed annually for various periods during the past 25 years...
Comparing Wealth Effects: The Stock Market versus the Housing Market (2005)
Case, Karl E., Quigley, John M., Shiller, Robert J.
We examine the link between increases in housing wealth, financial wealth, and consumer spending. We rely upon a panel of 14 countries observed annually for various periods during the past 25 years...
The Life-Cycle Personal Accounts Proposal for Social Security: A Review (2005)
An Evaluation, Robert J. Shiller, Robert J. Shiller, Robert J. Shiller
JEL No. H55 The life-cycle accounts proposal for Social Security reform has been justified by its proponents using a number of different arguments, but these arguments generally involve the...
The Invention of Inflation-Indexed Bonds in Early America (2005)
Robert J. Shiller, Robert J. Shiller, Robert J. Shiller, Robert J. Shiller, Robert J. Shiller
The world’s first known inflation-indexed bonds were issued by the Commonwealth of Massachusetts in 1780 during the Revolutionary War. These bonds were invented to deal with severe wartime...
Behavioral Economics and Institutional Innovation (2005)
Robert J. Shiller, Robert J. Shiller
Behavioral economics has played a fundamental role historically in innovation in economic institutions, even long before behavioral economics was recognized as a discipline. Examples from history,...
The life-cycle accounts proposal for Social Security reform has been justified by its proponents using a number of different arguments, but these arguments generally involve the assumption of a high...
Samuelson's Dictum and the Stock Market (2005)
Jung, Jeeman, Shiller, Robert J.
Samuelson has offered the dictum that the stock market is “micro efficient” but “macro inefficient.” That is, the efficient markets hypothesis works much better for individual stocks than it...
Is There a Bubble in the Housing Market? (2004)
Case, Karl E., Shiller, Robert J.
Brookings Papers on Economic Activity - 2003, 2
Household Reaction to Changes in Housing Wealth 1 (2004)
Robert J. Shiller, Robert J. Shiller
setting aside the random-walk argument of Hall (1978) that would have suggested that there is little point in estimating wealth effects. Carroll's own estimates of the wealth effect show a...
Radical Financial Innovation 1 (2004)
Robert J. Shiller, Robert J. Shiller, Robert J. Shiller
Radical financial innovation is the development of new institutions and methods that permit risk management to be extended far beyond its former realm, covering important new classes of risks. This...
MD INTERVIEW AN INTERVIEW WITH (2003)
Robert J. Shiller, John Y. Campbell, Cowles Foundation, Paper No, Robert J. Shiller, Interviewed John, ...
A recent article in The Economist magazine divided economists into “poets ” and “plumbers, ” the former articulating radical new visions of the field and the latter patiently installing the...
From Efficient Market Theory to Behavioral Finance (2003)
Robert J. Shiller, Robert J. Shiller
Abstract. The efficient markets theory reached the height of its dominance in academic circles around the 1970s. Faith in this theory was eroded by a succession of discoveries of anomalies, many in...
to the source. One Simple Test of Samuelson's Dictum for the Stock Market (2002)
Jeeman Jung, Robert J. Shiller, Jeeman Jung, Robert J. Shiller, Jeeman Jung, Robert J. Shiller, ...
JEL No. G14 Samuelson (1998) offered the dictum that the stock market is “micro efficient ” but “macro inefficient. ” That is, the efficient markets hypothesis works much better for...
ONE SIMPLE TEST OF SAMUELSON’S DICTUM FOR THE STOCK MARKET (2002)
Jeeman Jung, Robert J. Shiller, Jeeman Jung, Robert J. Shiller, The John, Y. Campbell, ...
Samuelson (1998) offered the dictum that the stock market is “micro efficient ” but “macro inefficient. ” That is, the efficient markets hypothesis works much better for individual stocks...
Stock Market Wealth, Housing Market Wealth, Spending and Consumption (2001)
Case, Karl E., Quigley, John M., Shiller, Robert J.
We examine the link between increases in housing wealth, financial wealth, and consumer spending. We rely upon a panel of 14 countries observed annually for various periods during the past 25 years...
Comparing Wealth Effects: The Stock Market vs. the Housing Market,” NBER Working Paper No (2001)
John M. Quigley, John M. Quigley, Robert J. Shiller, Robert J. Shiller
We examine the link between increases in housing wealth, financial wealth, and consumer spending. We rely upon a panel of 14 countries observed annually for various periods during the past 25 years...
Comparing Wealth Effects: The Stock Market vs. the Housing Market,” NBER Working Paper No (2001)
John M. Quigley, John M. Quigley, Robert J. Shiller, Robert J. Shiller
We examine the link between increases in housing wealth, financial wealth, and consumer spending. We rely upon a panel of 14 countries observed annually for various periods during the past 25 years...
Comments and Discussion (2000)
Eberly, Janice C., Shiller, Robert J.
Brookings Papers on Economic Activity - 2000, 1
Measuring Bubble Expectations And Investor Confidence (2000)
This paper presents evidence on attitude changes among investors in the US stock market. Two basic attitudes are explored: bubble expectations and investor confidence. Semiannual time-series...
Human behavior and the efficiency of the financial system (1999)
Recent literature in empirical finance is surveyed in its relation to underlying behavioral principles, principles which come primarily from psychology, sociology and anthropology. The behavioral...
Valuation Ratios and the Long-Run Stock Market Outlook (1998)
John Y. Campbell, John Y. Campbell, Robert J. Shiller, Robert J. Shiller
Abstract. The use of price–earnings ratios and dividend-price ratios as forecasting variables for the stock market is examined using aggregate annual US data 1871 to 2000 and aggregate quarterly...
Indexed Units of Account: Theory and Assessment of Historical Experience (1997)
By Robert Shiller, Robert J. Shiller
An indexed unit of account is a money analogue, used to express prices; the unit's purchasing power is defined by an index. Indexed units of account are not true money in that they are not used...
Why Do People Dislike Inflation? (1996)
Robert J. Shiller, Robert J. Shiller
A questionnaire survey was conducted to explore how people think about inflation, and what real problems they see it as causing. With results from 677 people, comparisons were made among people in...
World income components: Measuring and exploiting international risk sharing opportunities (1995)
Stefano G. Athanasoulis, Robert J. Shiller, Maurice Obstfeld, Kenneth Rogoff, Xavier Sala-i-martin, Christopher Sims, ...
Foundation. We provide a method for decomposing the variance of changes in incomes in the world into components, world income components (WICs), in such a way as to indicate the most important...
World income components: Measuring and exploiting international risk sharing opportunities (1995)
Robert J. Shiller, Stefano Athanasoulis
COWLES FOUNDATION DISCUSSION PAPER NO. 1097
Incluye bibliografía e índice
Index-based Futures and Options Markets in Real Estate (1993)
Robert J. Shiller, Allan N. Weiss
are preliminary materials circulated to stimulate discussion and critical comment. Requests for single copies of a Paper will be filled by the Cowles Foundation within the limits of the supply....
AGGREGATE INCOME RISKS AND HEDGING MECHANISMS (1993)
are preliminary materials circulated to stimulate discussion and critical comment. Requests for single copies of a Paper will be filled by the Cowles Foundation within the limits of the supply....
The Informational Content of Ex Ante Forecasts (1989)
Ray C. Fair, Robert J. Shiller
Abstract--The informational content of different forecasts can be compared by regressing the actual change in a variable to be forecasted on forecasts of the change. We use the procedure in Fair and...
Rational expectations and the structure of interest rates /--by Robert James Shiller. (1972)
Typescript (photocopy)
Stock Prices and Social Dynamics
The empirical evidence that is widely interpreted as supporting the efficient markets theory in finance actually does not rule out the possibility that changing fashions or fads among investors have...
Behavioral Economics and Institutional Innovation
Behavioral economics has played a fundamental role historically in innovation in economic institutions, even long before behavioral economics was recognized as a discipline. Examples from history,...
Why Do People Dislike Inflation?
A questionnaire survey was conducted to explore how people think about inflation, and what real problems they see it as causing. With results from 677 people, comparisons were made among people in...
A Scorecard for Indexed Government Debt
John Y. Campbell, Robert J. Shiller
Within the last five years, Canada, Sweden and New Zealand have joined the ranks of the United Kingdom and other countries in issuing government bonds that are indexed to inflation. Some observers of...
Indexed Units of Account: Theory and Assessment of Historical Experience
An indexed unit of account is a money analogue, used to express prices; the unit's purchasing power is defined by an index. Indexed units of account are not true money in that they are not used as a...
Designing Indexed Units of Account
An indexed unit of account is a unit of measurement defined using an index such as a consumer price index so that prices, wages or deferred payments defined in terms of these units will automatically...
Valuation Ratios and the Long-run Stock Market Outlook: An Update
John Y. Campbell, Robert J. Shiller
The use of price-earnings ratios and dividend-price ratios as forecasting variables for the stock market is examined using aggregate annual US data 1871 to 2000 and aggregate quarterly data for...
From Efficient Market Theory to Behavioral Finance
The efficient markets theory reached the height of its dominance in academic circles around the 1970s. Faith in this theory was eroded by a succession of discoveries of anomalies, many in the 1980s,...
One Simple Test of Samuelson's Dictum for the Stock Market
Jeeman Jung, Robert J. Shiller
Samuelson [1998] offered the dictum that the stock market is "micro efficient" but "macro inefficient." That is, the efficient markets hypothesis works much better for individual stocks than it does...
The Invention of Inflation-Indexed Bonds in Early America
The world is first known inflation-indexed bonds were issued by the Commonwealth of Massachusetts in 1780 during the Revolutionary War. These bonds were invented to deal with severe wartime inflation...
Aggregate Income Risks and Hedging Mechanisms
Estimates are made, from time series data on real gross domestic products, of the standard deviations of returns in markets for perpetual claims on countries' incomes. The results indicate that the...
Bubbles, Human Judgment, and Expert Opinion
Research in psychology and behavioral finance is surveyed for evidence to what extent experts such as professional investment managers or endowment trustees may behave in such a way as to help...
Household Reaction to Changes in Housing Wealth
It is widely claimed that housing wealth, as well as stock prices, have an impact on consumption and hence on aggregate economic activity. This paper presents a broad overview of the issues that...
Radical financial innovation is the development of new institutions and methods that permit risk management to be extended far beyond its former realm, covering important new classes of risks. This...
The Life-Cycle Personal Accounts Proposal for Social Security: A Review
The life-cycle accounts proposal for Social Security reform has been justified by its proponents using a number of different arguments, but these arguments generally involve the assumption of a high...
The term structure of interest rates
Shiller, Robert J., Huston McCulloch, J., B. M. Friedman, F. H. Hahn
The Life-Cycle Personal Accounts Proposal for Social Security: An Evaluation
The life-cycle accounts proposal for Social Security reform has been justified by its proponents using a number of different arguments, but these arguments generally involve the assumption of a high...
Labor Income Indices Designed for Use in Contracts Promoting Income Risk Management
Robert J. Shiller, Ryan Schneider
Labor income indices are created for groupings of individuals, using data from the Panel Study of Income Dynamics. People are grouped by a clustering algorithm based on an estimated transition matrix...
Human Behavior and the Efficiency of the Financial System
Recent literature in empirical finance is surveyed in its relation to underlying behavioral principles, principles which come primarily from psychology, sociology and anthropology. The behavioral...
Social security system old age insurance systems are devices for the sharing of income risks of elderly people with others. Risks can be shared intergenerationally (with the young of the same...
The Significance of the Market Portfolio
Stefano G. Athanasoulis, Robert J. Shiller
The market portfolio (world portfolio) is in one sense a least important portfolio to provide to investors; there is always a better portfolio for social planners to make available to them. In a...
Moral Hazard in Home Equity Conversion
Robert J. Shiller, Allan N. Weiss
Home equity conversion as presently constituted or proposed usually does not deal well with the potential problem of moral hazard. Once homeowners know that the risk of poor market performance of...
Measuring Bubble Expectations and Investor Confidence
This paper presents evidence on attitude changes among investors in the US stock market. Two basic attitudes are explored: bubble expectations and investor confidence. Semiannual time-series...
World Income Components: Measuring and Exploiting Risk-Sharing Opportunities
Stefano G. Athanasoulis, Robert J. Shiller
We provide a method for decomposing the variance of changes in incomes in the world into components, world income components (WICs), in such a way as to indicate the most important risk-sharing...
The Term Structure of Interest Rates. U.S. Government Term Structure Data
Robert J. Shiller, J. Huston McCulloch
This paper consolidates and interprets the literature on the term structure, as it stands today. Definitions of rates of return, forward rates and holding returns for all time intervals are treated...
The Informational Content of Ex Ante Forecasts
Ray C. Fair, Robert J. Shiller
The informational content of different forecasts can be compared by regressing the actual change in a variable to be forecasted on forecasts of the change. We use the procedure in Fair and Shiller...
Aggregate Income Risks and Hedging Mechanisms
Estimates are made, from time series data on real gross domestic products, of the standard deviations of returns in markets for perpetual claims on countries' incomes. The results indicate that the...
The Invention of Inflation-Indexed Bonds in Early America
The world's first known inflation-indexed bonds were issued by the Commonwealth of Massachusetts in 1780 during the Revolutionary War. These bonds were invented to deal with severe wartime inflation...
Expanding the Scope of Individual Risk Management: Moral Hazard and Other Behavioral Considerations
There is a large potential for improving individual risk management through new risk management contracts and associated new index-settled derivatives. However, there are some difficult problems in...
Expanding the Scope of Expectations Data Collection: The U.S. and Japanese Stock Markets
Robert J. Shiller, Fumiko Kon-Ya, Yoshiro Tsutsui
A pilot effort was undertaken to experiment with a method of collecting parallel time series data for expectations and popular models and theories of institutional stock market participants in the...
Survey Evidence on Diffusion of Interest Among Institutional Investors
Contagion or epidemic models of financial markets are proposed in which interest in or attention to individual stocks is spread by word of mouth. The models give alternative interpretations of the...
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
Robert J. Shiller, John Y. Campbell
A linearization of a rational expectations present value model for corporate stock prices produces a simple relation between the log dividend-price ratio and mathematical expectations of future log...
Econometric Modeling as Information Aggregation
Ray C. Fair, Robert J. Shiller
The information contained in the forecasts from two econometric models can be compared by regressing the actual change in the variable forecasted on the two forecasts of the change. We do such...
Stock Prices, Earnings and Expected Dividends
John Y. Campbell, Robert J. Shiller
This paper presents estimates indicating that, for aggregate U.S. stock market data 1871-1986, a long historical average of real earnings is a good predictor of the present value of future real...
Stock Prices and Bond Yields: Can Their Co-Movements Be Explained in Terms of Present Value Models?
Robert J. Shiller, Andrea E. Beltratti
Real stock prices seem to overreact to changes in long-term interest rates. That is, real stock prices drop when long-term interest rates rise (and rise when they fall) more than would be implied by...
Can the Fed Control Real Interest Rates?
Three hypotheses concerning the controllability of rationally expected real interest rates are examined here. These hypotheses, which are suggested by recent literature, assert in different senses...
Alternative Tests of Rational Expectations Models: The Case of the Term Structure
A linearized version of the rational expectations models of the term structure is put forth in terms of a complete vector of equally spaced observations along the yield curve. A data series on...
The Determinants of the Variability of Stock Market Prices
Sanford J. Grossman, Robert J. Shiller
The most familiar interpretation for the large and unpredictable swings that characterize common stock price indices is that price changes represent the efficient discounting of "new information" It...
The Use of Volatility Measures in Assessing Market Efficiency
My initial motivation for considering volatility measures in the efficient markets models was to clarify the basic smoothing properties of the models to allow an understanding of the assumptions...
Sanford J. Grossman, Robert J. Shiller
The consumption beta theorem of Breeden makes the expected return on any asset a function only of its covariance with changes in aggregate consumption. It is shown that the theorem is more robust...
Consumption, Asset Markets, and Macroeconomic Fluctuations
A broad exploratory data analysis is conducted to assess the promise of a kind of model in which long-term asset prices change through time primarily due to consumption related changes in the rate of...
Ultimate Sources of Aggregate Variability
What, ultimately, is different from quarter to quarter or year to year that accounts for the fact that macroeconomic variables change over these intervals? That is, which are the biggest ultimate...
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
John Y. Campbell, Robert J. Shiller
A linearization of a rational expectations present value model for corporate stock prices produces a simple relation between the log dividend-price ratio and mathematical expectations of future log...
Conventional Valuation and the Term Structure of Interest Rates
There does not appear to be a general tendency for long-term interest rates either to overreact or to underreact to short-term interest rates relative to a rational expectations model of the term...
Prices of Single Family Homes Since 1970: New Indexes for Four Cities
Karl E. Case, Robert J. Shiller
This paper uses data on nearly a million homes sold in four metropolitan areas -- Atlanta, Chicago, Dallas and San Francisco -- to construct quarterly indexes of existing home prices between 1970 and...
Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence
Questionnaires were sent out at the time of the October 19, 1987 stock market crash to both individual and institutional investors inquiring about their behavior during the crash. Nearly 1000...
The Informational Content of Ex Ante Forecasts
Ray C. Fair, Robert J. Shiller
The informational content of different forecasts can be compared by regressing the actual change in a variable to be forecasted on forecasts of the change. We use the procedure in Fair and Shiller...
Cointegration and Tests of Present Value Models
John Y. Campbell, Robert J. Shiller
In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the "spread" S[sub t]= Y[sub t] - [theta sub...
Interpreting Cointegrated Models
John Y. Campbell, Robert J. Shiller
Error-correction models for cointegrated economic variables are commonly interpreted as reflecting partial adjustment of one variable to another. We show that error-correction models may also arise...
Comovements in Stock Prices and Comovements in Dividends
Simple efficient markets models imply that the covariance between prices of speculative assets cannot exceed the covariance between their respective fundamentals unless there is positive information...
Yield Spreads and Interest Rate Movements: A Bird's Eye View
John Y. Campbell, Robert J. Shiller
The expectations theory of the term structure implies that the spread between a longer-term interest rate and a shorter-term interest rate forecasts two subsequent interest rate changes: the change...
Stock Prices, Earnings and Expected Dividends
John Y. Campbell, Robert J. Shiller
This paper presents estimates indicating that, for aggregate U.S. stock market data 1871-1986, a long historical average of real earnings is a good predictor of the present value of future real...
The Efficiency of the Market for Single-Family Homes
Karl E. Case, Robert J. Shiller
Tests of weak-form efficiency of the market for single family homes are performed using data on repeat sales prices of 39,210 individual homes, each for two sales dates. Tests were done for Atlanta,...
Investor Behavior in the October 1987 Stock Market Crash: The Case of Japan
Robert J. Shiller, Fumiko Konya, Yoshiro Tsutsui
In a questionnaire survey we asked Japanese institutional investors to recall what they thought and did during the worldwide stock market crash in October, 1987. The results confirm that the drop in...
The Term Structure of Interest Rates
Robert J. Shiller, J. Huston McCulloch
This paper consolidates and interprets the literature on the term structure, as it stands today. Definitions of rates of return, forward rates and holding returns for all time intervals are treated...
Econometric Modeling as Information Aggregation
Ray C. Fair, Robert J. Shiller
A forecast produced by an econometric model is a weighted aggregate of predetermined variables in the model. In many models the number of predetermined variables used is very large, often exceeding...
Alternative Prior Representations of Smoothness for Distributed Lag Estimation
In some applications of the distributed lag model, theory requires that all lag coefficients have a positive sign. A distributed lag estimator which provides estimated coefficients with positive sign...
Rational Expectations and the Dynamic Structure of Macroeconomic Models:A Critical Review
The recent literature on rational expectations in macroeconomic theory is surveyed here with the objective of distilling from the various papers useful suggestions for econometric methodology. The...
Historic Turning Points in Real Estate
This paper looks for markers of ends of real estate booms or busts. The changes in market psychology and related indicators that occurred at real estate market turning points in the United States...
Understanding Recent Trends in House Prices and Home Ownership
This paper looks at a broad array of evidence concerning the recent boom in home prices, and considers what this means for future home prices and the economy. It does not appear possible to explain...
Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates
Robert J. Shiller, John Y. Campbell, Kermit L. Schoenholtz
macroeconomics, interest rates, term structure
Hunting for Homo Sovieticus: Situational versus Attitudinal Factors in Economic Behavior
Robert J. Shiller, Maxim Boycko, Vladimir Korobov
macroeconomics, Soviet Union, attitudinal, situational, economic behavior, Russia
Is There a Bubble in the Housing Market?
Karl E. Case, Robert J. Shiller
This paper looks for evidence of a bubble in U.S. housing prices. It analyzes quarterly state-level data over 1985-2002, focusing on the relationship between home prices and selected fundamental...
macroeconomics, Low Interest Rates, High Asset Prices, Popular Economic Models
Labor Income Indices Designed for Use in Contracts Promoting Income Risk Management.
Shiller, Robert J, Schneider, Ryan
The authors propose that labor income indices be used to define settlements in many contracts such as labor contracts, indexed bonds, or income securities. They discuss the issues in producing labor...
The Efficiency of the Market for Single-Family Homes.
Case, Karl E, Shiller, Robert J
Tests of the efficiency of single family home prices are performed using repeat sales prices of 39,210 individual homes in Atlanta, Chicago, Dallas, and San Francisco/Oakland for 1970-86. The market...
From Efficient Markets Theory to Behavioral Finance
The efficient markets theory reached the height of its dominance in academic circles around the 1970s. Faith in this theory was eroded by a succession of discoveries of anomalies, many in the 1980s,...
Hedging inflation and income risks
This paper describes potential new markets for long-term inflation risk, and shows the relationship such markets would have to other potential new markets, markets for long-term claims on income...
Evaluating Real Estate Valuation Systems.
Shiller, Robert J, Weiss, Allan N
A framework for comparing real estate valuation systems (including automated valuation models (AVMs) and current appraisal methods) is proposed. The density estimation and profit simulation (DEPS)...
IN MEMORY OF FRANCO MODIGLIANI, 1918 2003
Franco Modigliani was a great clarifier of fundamental economic concepts. Often the mathematical rigor of our economic models is misleading, since underlying our actual use of these precisely defined...
THE ET INTERVIEW: PROFESSOR JAMES TOBIN
Professor James Tobin is a figure of truly historic significance in the economics profession. He is one of the major developers of modern macroeconomic theory. He has contributed fundamental...
Hedging Inflation and Income Risks.
This paper describes markets for long-term inflation risk and shows the relationship such markets would have to other potential new markets, markets for long-term claims on income aggregates. The...
Shiller Comments on Geanakoplos
A comment on the article by John Geanakoplos in this volume. Copyright 2005 American Journal of Economics and Sociology, Inc..
Tools for Financial Innovation: Neoclassical versus Behavioral Finance
The behavioral finance revolution in academic finance in the last several decades is best described as a return to a more eclectic approach to financial modeling. The earlier neoclassical finance...
Human behavior and the efficiency of the financial system
Shiller, Robert J., J. B. Taylor, M. Woodford
Recent literature in empirical finance is surveyed in its relation to underlying behavioral principles, principles which come primarily from psychology, sociology, and anthropology. The behavioral...
Two proposals are made that may facilitate the creation of derivative market instruments, such as futures contracts, cash settled based on economic indices. The first proposal concerns index number...
Is There a Bubble in the Housing Market?
Karl E. Case, Robert J. Shiller
This paper looks for evidence of a bubble in U.S. housing prices. It analyzes quarterly state-level data over 1985-2002, focusing on the relationship between home prices and selected fundamental...
Hunting for Homo Sovieticus: Situational versus Attitudinal Factors in Economic Behavior
Robert J. Shiller, Maxim Boycko, Vladimir Korobov
macroeconomics, Soviet Union, attitudinal, situational, economic behavior, Russia
Is There a Bubble in the Housing Market?
Karl E. Case, Robert J. Shiller
This paper looks for evidence of a bubble in U.S. housing prices. It analyzes quarterly state-level data over 1985-2002, focusing on the relationship between home prices and selected fundamental...
Comparing Wealth Effects: The Stock Market versus the Housing Market
Karl E. Case, John M. Quigley, Robert J. Shiller
We examine the link between increases in housing wealth, financial wealth, and consumer spending. We rely upon a panel of 14 countries observed annually for various periods during the past 25 years...
Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Models
There has been a widespread perception in the past few years that long-term asset prices are generally high because monetary authorities have effectively kept long-term interest rates, which the...
Historic Turning Points in Real Estate
This paper looks for markers of ends of real estate booms or busts. The changes in market psychology and related indicators that occurred at real estate market turning points in the United States...
Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates
Robert J. Shiller, John Y. Campbell, Kermit L. Schoenholtz
macroeconomics, interest rates, term structure
Hunting for Homo Sovieticus: Situational versus Attitudinal Factors in Economic Behavior
Robert J. Shiller, Maxim Boycko, Vladimir Korobov
macroeconomics, Soviet Union, attitudinal, situational, economic behavior, Russia
Derivatives Markets for Home Prices
The establishment recently of risk management vehicles for home prices is described. The potential value of such vehicles, once they become established, is seen in consideration of the inefficiency...
Robert J. Shiller, Karl E. Case, Allan N. Weiss
Evidence is shown, using US foreclosure data by state 1975-93, that periods of high default rates on home mortgages strongly tend to follow real estate price declines or interruptions in real estate...
World Income Components: Measuring and Exploiting International Risk Sharing Opportunities
Robert J. Shiller, Stefano G. Athanasoulis
We provide methods of decomposing the variance of world national incomes into components in such a way as to indicate the most important risk-sharing opportunities, and, therefore, the most important...
Conversation, Information, and Herd Behavior
Experimental evidence shows that an important reason why people tend to imitate others, to exhibit "herd behavior" is that they assume that the others have information that justifies their actions....
Robert J. Shiller, Allan N. Weiss
Home equity insurance policies, policies insuring homeowners against declines in the price of their homes, would bear some resemblance both to ordinary insurance and to financial hedging vehicles. A...
Two proposals are made that may facilitate the creation of derivative market instruments, such as futures contracts, cash-settled based on economic indices. The first proposal concerns index number...
Index-Based Futures and Options Markets in Real Estate
Karl E. Case, Robert J. Shiller, Allan N. Weiss
Most institutional and individual portfolios are very undiversified in real estate: many hold no real estate at all, many have holdings highly concentrated in certain regions or types of real estate....
Arithmetic Repeat Sales Price Estimators
Repeat sales price estimators are designed to infer price indexes of infrequently sold and unstandardized assets, such as houses, based only on changes in prices of those individual assets that are...
Actual and Warranted Relations Between Asset Prices
Andrea E. Beltratti, Robert J. Shiller
Efficient markets models assert that the price of each asset is equal to the optimal forecast of its ex-post or fundamental value. These models do not imply, however, that the covariance between two...
Popular Attitudes Towards Free Markets: The Soviet Union and the United States Compared
Robert J. Shiller, Maxim Boycko, Vladimir Korobov
Random samples of the Moscow and New York populations were compared in their attitudes towards free markets by administering identical telephone interviews in the two countries in May, 1990. Although...
Investor Behavior in the 1987-10 Stock Market Crash: Survey Evidence
Questionnaires were sent out at the time of the October 19, 1987 stock market crash to both individual and institutional investors inquiring about their behavior during the crash. Nearly 1000...
Prices of Single Family Homes Since 1970: New Indexes for Four Cities
Karl E. Case, Robert J. Shiller
This paper uses data on nearly a million homes sold in four metropolitan areas -- Atlanta, Chicago, Dallas and San Francisco -- to construct quarterly indexes of existing home prices between 1970 and...
Ultimate Sources of Aggregate Variability
What, ultimately, is different from quarter to quarter or year to year that accounts for the fact that macroeconomic variables change over these intervals? That is, which are the biggest ultimate...
Cointegration and Tests of Present Value Models
John Y. Campbell, Robert J. Shiller
In a model where a variable Y is proportional to the present value, with constant discount rate, of expected future values of a variable y, the "spread" S - Y - qy will be stationary for some q...
Testing the Random Walk Hypothesis: Power Versus Frequency of Observation
Pierre Perron, Robert J. Shiller
Power functions of tests of the random walk hypothesis versus stationary first order autoregressive alternatives are tabulated for samples of fixed span but various frequencies of observation. For a...
Yield Spreads and Interest Rate Movements: A Bird's Eye View.
Campbell, John Y, Shiller, Robert J
This paper examines postwar U.S. term structure data and finds that, for almost any combination of maturities between one month and ten years, a high-yield spread between a longer-term and a...
World Income Components: Measuring and Exploiting Risk-Sharing Opportunities
Stefano G. Athanasoulis, Robert J. Shiller
A method is constructed for decomposing the variance of changes in incomes in the world into components, to indicate the most important risk-sharing opportunities among people of the world. A...
Popular Attitudes toward Free Markets: The Soviet Union and the United States Compared.
Shiller, Robert J, Boycko, Maxim, Korobov, Vladimir
Random samples of the Moscow and New York populations were compared in their attitudes towards free markets by administering identical telephone interviews in the two countries in May 1990. Although...
Comparing Information in Forecasts from Econometric Models.
Fair, Ray C, Shiller, Robert J
The information contained in one model's forecast compared to that in another can be assessed from a regression of actual values on predicted values from the two models. The authors do this for...
Home-buyers, Housing and the Macroeconomy
Karl E Case, John M Quigley, Robert J Shiller, Anthony Richards, Tim Robinson
consumption models; house prices; housing; housing surveys; real-estate economics
Shiller, Robert J, Weiss, Allan N
Home equity insurance policies--policies insuring homeowners against declines in the prices of their homes--would bear some resemblance both to ordinary insurance and to financial hedging vehicles. A...
Prices of single-family homes since 1970: new indexes for four cities
Karl E. Case, Robert J. Shiller
Housing ; Chicago (Ill.) ; Dallas (Tex.) ; San Francisco (Calif.) ; Atlanta (Ga.)
The behavior of home buyers in boom and post-boom markets
Karl E. Case, Robert J. Shiller
Housing ; Consumer behavior ; Housing - Finance
A decade of boom and bust in the prices of single-family homes: Boston and Los Angeles, 1983 to 1993
Karl E. Case, Robert J. Shiller
Boston (Mass.) ; Real property ; Los Angeles (Calif.)
The theory of index-based futures and options markets
This paper reviews the development of index-based futures and options markets. The thesis is that, while the growth of these markets to date has been dramatic, their development could be extended...
Why Did the Nikkei Crash? Expanding the Scope of Expectations Data Collection.
Shiller, Robert J, Kon-Ya, Fumiko, Tsutsui, Yoshiro
Why did the Japanese stock market lose most of its value between 1989 and 1992? To help answer this and related questions, the authors have collected parallel time-series data from market...
A Scott-Type Regression Test of the Dividend Ratio Model.
Tests of a representation of the efficient markets model (the dividend-rtaio model of Campbell and Shiller (1988a)) of the stock market can be made by regressing (transformed) ex-post values on...
The Informational Context of Ex Ante Forecasts.
Fair, Ray C, Shiller, Robert J
The informational content of different forecasts can be compared by regressing the actual change in a variable to be forecasted on forecasts of the change. We use the procedure in Fair and Shiller...
The Significance of the Market Portfolio.
Athanasoulis, Stefano G, Shiller, Robert J
Arguments for creating a market to allow trading the portfolio of all endowments in the entire world, the market portfolio: are considered. This world share market would represent a radical...
Actual and Warranted Relations between Asset Prices.
Beltratti, Andrea E, Shiller, Robert J
One method of testing efficient-markets present-value models for speculative asset prices has been to test whether the variance of price changes exceeds theoretical variance bounds implied by the...
Samuelson's Dictum and the Stock Market
Jeeman Jung, Robert J. Shiller
Samuelson has offered the dictum that the stock market is "micro efficient" but "macro inefficient." That is, the efficient markets hypothesis works much better for individual stocks than it does for...
The Significance of the Market Portfolio
Robert J. Shiller, Stefano Athanasoulis
Arguments for creating a market to allow trading the portfolio of all endowments in the entire world, the "market portfolio," are considered. This world share market would represent a radical...
Defining Residual Risk-Sharing Opportunities: Pooling World Income Components
Stefano Athanasoulis, Robert J. Shiller
We construct a new method of decomposing the variance of national incomes into components in such a way as to indicate the most important 'residual' risk-sharing opportunities among peoples of the...
One Simple Test of Samuelson's Dictum for the Stock Market
Robert J. Shiller, Jeeman Jung
Samuelson (1998) offered the dictum that the stock market is "micro efficient" but "macro inefficient." That is, the efficient markets hypothesis works much better for individual stocks than it does...
Behavioral Economics and Institutional Innovation
Behavioral economics has played a fundamental role historically in innovation in economic institutions even long before behavioral economics was recognized as a discipline. Examples from history,...
Understanding recent trends in house prices and homeownership
Housing ; Housing - Prices
Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?
This paper will develop the efficient markets model in Section I to clarify some theoretical questions that may arise in connection with the inequality (1) and some similar inequalities will be...
A Simple Account of the Behavior of Long-Term Interest Rates
John Y. Campbell, Robert J. Shiller
Recent empirical research on the term structure of interest rates has shown that the long-term interest rate is well described by adistributed lag on short-term interest rates, but does not conform...
Estimating the Continuous Time Consumption Based Asset Pricing Model
Sanford J. Grossman, Angelo Melino, Robert J. Shiller
The consumption based asset pricing model predicts that excess yields are determined in a fairly simple way by the market's degree of relative risk aversion and by the pattern of covariances between...
Survey Evidence on Diffusion of Investment Among Institutional Investors
Contagion or epidemic models of financial markets are proposed in which interest in or attention to individual stocks is spread by word of mouth. The models give alternative interpretations of the...
Speculative Behavior of Institutional Investors
A survey compared speculative behavior in two groups of institutional investors. The "experimental" group held stocks that had shown extraordinary price increases over the preceding year that also...
Initial Public Offerings: Investor Behavior and Underpricing
A questionnaire survey of investors in initial public offerings (IPO's) was undertaken to learn about patterns of investor behavior that might be relevant to theories of their underpricing....
The Behavior of Home Buyers in Boom and Post-Boom Markets
Karl E. Case, Robert J. Shiller
A questionnaire survey looked at home buyers in May 1988 in two "boom" cities currently experiencing rapid price increases (Anaheim and San Francisco), a "post-boom" city whose home prices are stable...
Forecasting Prices and Excess Returns in the Housing Market
Karl E. Case, Robert J. Shiller
The U. S. market for homes appears riot to be efficient. A number of information variables predict housing price changes and excess returns of housing relative to debt over the succeeding year. Price...
Speculative Behavior in the Stock Markets: Evidence from the United States and Japan
Robert J. Shiller, Fumiko Kon-Ya, Yoshiro Tsutsui
There have been enormous differences of opinion between U.S. and Japanese institutional investors about the outlook for stock prices, differences across the two countries in average one-year-ahead...
Popular Attitudes Towards Free Markets: The Soviet Union and the United States Compared
Robert J. Shiller, Maxim Boycko, Vladimir Korobov
Random samples of the Moscow' and New York populations were compared in their attitudes towards free markets by administering identical telephone interviews in the two countries in May, 1990....
Stock Prices and Bond Yields: Can Their Comovements Be Explained in Terms of Present Value Models?
Robert J. Shiller, Andrea E. Beltratti
Real stock prices seem to overreact to changes in long-term interest rates. That is, real stock prices drop when long-term interest rates rise (and rise when they fall) more than would be implied by...
Actual and Warranted Relations Between Asset Prices
Andrea E. Beltratti, Robert J. Shiller
Efficient markets models assert that the price of each asset is equal to the optimal forecast of its ex-post (or fundamental) value, but the models do not imply that the covariances between prices...
Robert J. Shiller, Allan N. Weiss
Home equity insurance policies, policies insuring homeowners against declines in the price of their homes, would bear some resemblance both to ordinary insurance and to financial hedging vehicles. A...
Karl E. Case, Robert J. Shiller, Allan N. Weiss
Evidence is shown, using US foreclosure data by state 1975-93, that periods of high default rates on home mortgages strongly tend to follow real estate price declines or interruptions in real estate...
World Income Components: Measuring and Exploiting International Risk Sharing Opportunities
Robert J. Shiller, Stefano Athanasoulis
We provide methods of decomposing the variance of world national incomes into components in such a way as to indicate the most important risk-sharing opportunities, and, therefore, the most important...
Labor Income Indices Designed for Use in Contracts Promoting Income Risk Management
Robert J. Shiller, Ryan Schneider
Labor income indices are created for groupings of individuals, using data from the Panel Study of Income Dynamics. People are grouped by a clustering algorithm based on an estimated transition matrix...
Why Do People Dislike Inflation?
A questionnaire survey was conducted to explore how people think about inflation, and what real problems they see it as causing. With results from 677 people, comparisons were made among people in...
A Scorecard for Indexed Government Debt
John Y. Campbell, Robert J. Shiller
Within the last five years, Canada, Sweden and New Zealand have joined the ranks of the United Kingdom and other countries in issuing government bonds that are indexed to inflation. Some observers of...
Indexed Units of Account: Theory and Assessment of Historical Experience
An indexed unit of account is a money analogue, used to express prices; the unit's" purchasing power is defined by an index. Indexed units of account are not true money in that" they are not used as...
Human Behavior and the Efficiency of the Financial System
Recent literature in empirical finance is surveyed in its relation to underlying behavioral principles, principles which come primarily from psychology, sociology and anthropology. The behavioral...
Moral Hazard in Home Equity Conversion
Robert J. Shiller, Allan N. Weiss
Home equity conversion as presently constituted or proposed usually does not deal well with the potential problem of moral hazard. Once home-owners know that the risk of poor market performance of...
Social security system old age insurance systems are devices for the sharing of income risks of elderly people with others. Risks can be shared intergenerationally (with the young of the same...
Measuring Bubble Expectations and Investor Confidence
This paper presents evidence on attitude changes among investors in the US stock market. Two basic attitudes are explored: bubble expectations and investor confidence. Semiannual time-series...
Designing Indexed Units of Account
An indexed unit of account is a unit of measurement defined using an index such as a consumer price index so that prices defined in terms of these units will automatically adjust to changing economic...
Valuation Ratios and the Long-Run Stock Market Outlook: An Update
John Y. Campbell, Robert J. Shiller
The use of price earnings ratios and dividend-price ratios as forecasting variables for the stock market is examined using aggregate annual US data 1871 to 2000 and aggregate quarterly data for...
Comparing Wealth Effects: The Stock Market Versus the Housing Market
Karl E. Case, Robert J. Shiller, John M. Quigley
We examine the link between increases in housing wealth, financial wealth, and consumer spending. We rely upon a panel of 14 countries observed annually for various periods during the past 25 years...
One Simple Test of Samuelson's Dictum for the Stock Market
Jeeman Jung, Robert J. Shiller
Samuelson (1998) offered the dictum that the stock market is 'micro efficient' but 'macro inefficient.' That is, the efficient markets hypothesis works much better for individual stocks than it does...
Understanding Recent Trends in House Prices and Home Ownership
This paper looks at a broad array of evidence concerning the recent boom in home prices, and considers what this means for future home prices and the economy. It does not appear possible to explain...
There has been a widespread perception in the past few years that long-term asset prices are generally high because monetary authorities have effectively kept long-term interest rates, which the...
Derivatives Markets for Home Prices
The establishment recently of risk management vehicles for home prices is described. The potential value of such vehicles, once they become established, is seen in consideration of the inefficiency...
Smoothness Priors and Nonlinear Regression
In applications, the linear multiple regression model is often modified to allow for nonlinearity in an independent variable. It is argued here that in practice it may often be desirable to specify a...
Testing the Random Walk Hypothesis: Power versus Frequency of Observation
Robert J. Shiller, Pierre Perron
Power functions of tests of the random walk hypothesis versus stationary first order autoregressive alternatives are tabulated for samples of fixed span but various frequencies of observation.
The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study
John Y. Campbell, Robert J. Shiller
Small sample properties of parameter estimates and test statistics in the vector autoregressive dividend ratio model (Campbell and Shiller [1988 a,b]) are derived by stochastic simulation. The data...
Two proposals are made that may facilitate the creation of derivative market instruments, such as futures contracts, cash-settled based on economic indices. The first proposal concerns index number...
The Significance of the Market Portfolio
Stefano Athanasoulis, Robert J. Shiller
The market portfolio is in one sense the least important portfolio to provide to investors. In an J-agent one-period stochastic endowment economy, where preferences are quadratic, a...
Cointegration and Tests of Present Value Models.
Campbell, John Y, Shiller, Robert J
Application of some advances in econometrics (in the theory of cointegrated vector autoregressive models) enables us to deal effectively with two problems in rational-expectations, present-valu e...
Social security system old age insurance systems are devices for the sharing of income risks of elderly people with others. Risks can be shared intergenerationally (with the young of the same...
Forecasting Prices and Excess Returns in the Housing Market
Karl E. Case, Robert J. Shiller
The paper uses quarterly indexes of existing single-family home prices estimated with microdata on properties that sold more than once to estimate excess returns to investment in owner-occupied...
Moral Hazard in Home Equity Conversion
Robert J. Shiller, Allan N. Weiss
Home equity conversion as presently constituted or proposed usually does not deal well with the problem of moral hazard. Once homeowners know that the risk of poor market performance of their homes...
THE ET INTERVIEW: PROFESSOR JAMES TOBIN
Professor James Tobin is a figure of truly historic significance in the economics profession. He is one of the major developers of modern macroeconomic theory. He has contributed fundamental...
Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient-markets...
Understanding Recent Trends in House Prices and Home Ownership
This paper looks at a broad array of evidence concerning the recent boom in home prices, and considers what this means for future home prices and the economy. It does not appear possible to explain...
There has been a widespread perception in the past few years that long-term asset prices are generally high because monetary authorities have effectively kept long-term interest rates, which the...
Derivatives Markets for Home Prices
The establishment recently of risk management vehicles for home prices is described. The potential value of such vehicles, once they become established, is seen in consideration of the inefficiency...
Understanding Inflation-Indexed Bond Markets
John Y. Campbell, Robert J. Shiller, Luis M. Viceira
This paper explores the history of inflation-indexed bond markets in the US and the UK. It documents a massive decline in long-term real interest rates from the 1990's until 2008, followed by a...
Understanding Inflation-Indexed Bond Markets
John Y. Campbell, Robert J. Shiller, Luis M. Viceira
This paper explores the history of inflation-indexed bond markets in the US and the UK. It documents a massive decline in long-term real interest rates from the 1990's until 2008, followed by a...
The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation
Mark J. Kamstra, Robert J. Shiller
We make the case for the U.S. government to issue a new security with a coupon tied to the United States’ current dollar GDP. This security might pay, for example, a coupon of one-trillionth of the...
Policies to Deal with the Implosion in the Mortgage Market
This paper relates the 2006-2008 meltdown in mortgage markets to falling asset prices, excessive psychological reaction to the burst bubble, and new mortgage vehicles incapable of accommodating...
Unlearned Lessons from the Housing Bubble
Land isn't that scarce and people just don't seem to understand how little housing should and will appreciate long term. These irrational expectations are likely to bite us again and again with more...
Life-Cycle Portfolios as Government Policy
A life-cycle portfolio for personal accounts within Social Security, such as President George Bush has proposed, would adjust risk exposure as a function of the worker’s age. This would involve the...
Long-Term Perspectives on the Current Boom in Home Prices
Robert Shiller looks at over 100 years of data and asks the question every homeowner wants to know: what is the short-term and long-term prognosis for real estate values? The news isn't reassuring,...
Comparing Wealth Effects: The Stock Market versus the Housing Market
Karl E. Case, John M. Quigley, Robert J. Shiller
We examine the link between increases in housing wealth, financial wealth, and consumer spending. We rely upon a panel of 14 countries observed annually for various periods during the past 25 years...