Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/80492
Authors: 
Heer, Burkhard
Maussner, Alfred
Süssmuth, Bernd
Year of Publication: 
2013
Series/Report no.: 
CESifo Working Paper 4364
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 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.
Subjects: 
asset prices
business cycles
equity premium
investment sector
consumption sector
JEL: 
G12
C63
E22
E32
Document Type: 
Working Paper

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