NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Macro-Finance

John H. Cochrane

NBER Working Paper No. 22485
Issued in August 2016
NBER Program(s):Asset Pricing, Economic Fluctuations and Growth

Macro-finance addresses the link between asset prices and economic fluctuations. Many models reflect the same rough idea: the market's ability to bear risk varies over time, larger in good times, and less in bad times. Models achieve this similar result by quite different mechanisms, and I contrast their strengths and weaknesses. I outline how macro-finance models may illuminate macroeconomics, by putting time-varying risk aversion, risk-bearing capacity, and precautionary savings at the center of recessions rather than variation in “the” interest rate and intertemporal substitution. I emphasize unsolved questions and profitable avenues for research.

download in pdf format
   (522 K)

email paper

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w22485

Published: John H. Cochrane, 2017. "Macro-Finance," Review of Finance, European Finance Association, vol. 21(3), pages 945-985. citation courtesy of

Users who downloaded this paper also downloaded* these:
Brunnermeier and Sannikov w22343 Macro, Money and Finance: A Continuous Time Approach
Galí and Monacelli w22489 Understanding the Gains from Wage Flexibility: The Exchange Rate Connection
Cochrane w16972 Discount Rates
Glaeser, Gottlieb, and Ziv w20291 Unhappy Cities
Brunnermeier and Sannikov w22533 The I Theory of Money
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us