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Keywords:Stock market 

Journal Article
Why do stock prices react to the Fed?

Monetary Trends , Issue Jul

Newsletter
Circuit breakers: back to the basics

Chicago Fed Letter , Issue Jul

Report
Taxes, Regulations, and the Value of U.S. Corporations: A Reassessment

This paper reassesses the conclusions of McGrattan and Prescott (2005), which derived the quantitative implications of growth theory for U.S. corporate valuations. In addition to having two more decades of data, the analysis incorporates recent changes in policies that affect corporate investments, taxes, and legal-form choice. Secular trends identified in the earlier period remain, with little change in the tangible capital-output ratio or profit share of output. Corporate valuations remain high relative to the postwar average, in line with the theoretical prediction. Critical to this ...
Staff Report , Paper 647

Working Paper
Stock market volatility and the Great Moderation

Using data on corporate profits forecasts from the Survey of Professional Forecasters, I decompose real stock returns into a fundamental news component and a return news component and analyze the effects of the Great Moderation on each. Empirically, the response of each component of real stock returns to the Great Moderation has been quite different. The volatility of fundamental news shocks has declined by 50% since the onset of the Great Moderation, suggesting a strong link between underlying fundamentals and the broader macroeconomy. Alternatively, the volatility of return news shocks has ...
Finance and Economics Discussion Series , Paper 2005-47

Working Paper
Bubbles, fundamentals, and investment: a multiple equation testing strategy

Research Working Paper , Paper 93-03

Report
Jump-robust volatility estimation using nearest neighbor truncation

We propose two new jump-robust estimators of integrated variance based on high-frequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical efficiency properties than the tripower variation measure and displays better finite-sample robustness to both jumps and the occurrence of ?zero? returns in the sample. Unlike the bipower variation measure, the new estimators allow for the development of an asymptotic limit theory in the presence of ...
Staff Reports , Paper 465

Working Paper
Wealth effects and the consumption of leisure: retirement decisions during the stock market boom of the 1900s

It is well accepted that households increase consumption of goods and services in response to an unexpected increase in wealth. Consensus estimates of this wealth effect are in the range of 3 to 5 cents of additional consumption spending in the long run for each additional dollar of wealth. Economic theory also suggests that consumption of leisure, like consumption of goods and services, should increase with positive shocks to wealth. In this paper, we ask whether the run-up in equity prices during the 1990s led older workers to retire earlier than they had previously planned. We identify the ...
Finance and Economics Discussion Series , Paper 2003-20

Newsletter
Bubble, bubble, toil and trouble

Chicago Fed Letter , Issue Nov

Journal Article
Solid performance marked by district publicly traded companies

Fedgazette , Volume 16 , Issue Sep , Pages 22

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