Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/100319
Authors: 
Heer, Burkhard
Maußner, Alfred
Süssmuth, Bernd
Year of Publication: 
2014
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2014: Evidenzbasierte Wirtschaftspolitik - Session: Business Cycles: News, Transmission, and Asset Prices A05-V2
Abstract: 
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 onsider 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.
JEL: 
E32
G12
C68
Document Type: 
Conference Paper

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