Robert J Shiller
Dados Biográficos
| ID | 706363 |
|---|---|
| NOME | Robert J Shiller |
| PRENOMES | Robert J |
| SOBRENOME | Shiller |
| ASSINATURA | SHILLER R J |
| AFILIAÇÕES | National Bureau of Economic Research |
| ORCID | 0009-0006-2316-6486 |
| VERIFICADO | Não |
| TOTAL DE OBRAS | 25 |
| TOTAL DE CITAÇÕES | 266 |
| TOTAL COMO AUTOR | 25 |
| TOTAL COMO EDITOR | 0 |
| PRIMEIRO ANO DE PUBLICAÇÃO | 1973 |
| ANO MAIS RECENTE DE PUBLICAÇÃO | 2020 |
| ÍNDICE H | 8 |
A 30-Year Perspective on Property Derivatives
The housing sector is the largest spot market in the world without a developed derivative contract to serve the risk management needs of market participants. This paper describes the evolution within a wider economic context of property derivatives in the United States and worldwide. We review various economic arguments presented in the literature to highlight the advantages of these financial instruments to society. The paper also provides a cri…
Narrative Economics
This address considers the epidemiology of narratives relevant to economic fluctuations. The human brain has always been highly tuned toward narratives, whether factual or not, to justify ongoing actions, even such basic actions as spending and investing. Stories motivate and connect activities to deeply felt values and needs. Narratives “go viral” and spread far, even worldwide, with economic impact. The 1920–1921 Depression, the Great Depressio…
Phishing for Phools
Ever since Adam Smith, the central teaching of economics has been that free markets provide us with material well-being, as if by an invisible hand. In Phishing for Phools, Nobel Prize–winning economists George Akerlof and Robert Shiller deliver a fundamental challenge to this insight, arguing that markets harm as well as help us. As long as there is profit to be made, sellers will systematically exploit our psychological weaknesses and our ignor…
Irrational Exuberance
In this revised, updated, and expanded edition of his New York Times bestseller, Nobel Prize–winning economist Robert Shiller, who warned of both the tech and housing bubbles, now cautions that signs of irrational exuberance among investors have only increased since the 2008–9 financial crisis. With high stock and bond prices in the United States, and rising housing prices in many countries, the post-subprime boom may well turn out to be another …
Finance and the Good Society
The Squam Lake Report
A nonpartisan plan of action for fixing the global economy from fifteen of the world's leading economists In the fall of 2008, fifteen of the world's leading economists—representing the broadest spectrum of economic opinion—gathered at New Hampshire's Squam Lake. Their goal: the mapping of a long-term plan for financial regulation reform. The Squam Lake Report distills the wealth of insights from the ongoing collaboration that began at these meet…
Animal Spirits
Comparing Wealth Effects
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 and a panel of U.S. states observed quarterly during the 1980s and 1990s. We impute the aggregate value of owner-occupied housing, the value of financial assets, and measures of aggregate consumption for each of the geographic units over time. We estim…
Is There a Bubble in the Housing Market?
Housing prices began rising rapidly in Boston in 1984. In 1985 alone, home prices in the Boston metropolitan area went up 39 percent. In a 1986 paper, Case constructed repeat-sales indexes to measure the extent of the boom in constant-quality home prices. The same paper reported that a structural supply-and-demand model, which explained home price movements over ten years and across ten cities, failed to explain what was going on in Boston. The m…
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, and of evidence of excess volatility of returns. Finance literature in this decade and after suggests a more nuanced view of the value of the efficient markets theory, and, starting in the 1990s, a blossoming of research on behavioral finance. Some im…
Why Did the Nikkei Crash? Expanding the Scope of Expectations Data Collection
Robert J. Shiller, Fumiko Kon-Ya, Yoshiro Tsutsui, Why Did the Nikkei Crash? Expanding the Scope of Expectations Data Collection, The Review of Economics and Statistics, Vol. 78, No. 1 (Feb., 1996), pp. 156-164
Macro Markets
Macro Markets
Journal Article Macro Markets: Creating Institutions for Managing Society's Largest Economic Risks. Get access Macro Markets: Creating Institutions for Managing Society's Largest Economic Risks. By (Robert J.) Shiller. (Oxford and New York: Clarendon Press, 1994. Pp. xi + 254. £20.00 hardback. ISBN 0 19 828782 8.) Christopher Bliss Christopher Bliss Nuffield College, Oxford Search for other works by this author on: Oxford Academic Google Scholar …
Market Volatility
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 (transformed) actual values and testing whether the slope coefficient is one. Such tests are run here with some improvements. The results of the tests are that the efficient markets model is strongly rejected with U.S. data 1901-1987 in favor of an alterna…
Speculative Prices and Popular Models
The key idea of rational expectations models is to assume that people know (or behave as if they know) the true model that describes the economy. However, popular economic models (the models that are used by the broad masses of economic actors to form their expectations) are obviously not the same as those held by economists. This paper reports on data collection effort on popular models, using questionnaire survey methods, with the purpose of un…
The Informational Content of Ex Ante Forecasts
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 (1987) to examine the informational content of three sets of ex ant. forecasts: the American Statistical Association and National Bureau of Economic Research Survey (ASA), Data Resources Incorporated (DRI), and Wharton Economic Forecasting Associates (U…
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
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 real dividend changes and future real discount rates. This relation can be tested using vector autoregressive methods. Three versions of the linearized model, differing in the measure of discount rates, are tested for U. S. time series 1871-1986: versi…
Estimating the Continuous-Time Consumption-Based Asset-Pricing Model
The consumption-based asset-pricing model predicts that excess yields are determined by the market's degree of relative risk aversion and by the covariances of per capita consumption growth with asset returns. Estimation and testing are complicated by the fact that the model's predictions relate to the instantaneous flow of consumption and point-in-time asset values, but only data on the integral or time average of the consumption flow are availa…
Cointegration and Tests of Present Value Models
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 models: nonstationarity of time series and incomplete data on infor mation of market participants. With U.S. data, the authors find some relatively encouraging new results for the rational-expectations theo ry of the term structure and some puzzling resu…
Stock Prices and Social Dynamics
Prices and Social DynamicsFashion is the great governor of this world; it presides not only in matters of dress and amusement, but in law, physic, politics, religion, and all other things of the gravest kind; indeed, the wisest of men would be puzzled to give any better reason why particular forms in all these have been at certain times universally received, and at others universally rejected, than that they were in or out of fashion. Henry Field…
The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure
Models which represent long-term interest rates as long averages of expected short-term interest rates imply, because of the smoothing implicit in the averaging, that long rates should not be too volatile. The volatility of actual long-term interest rates, as measured by the variance of short-term holding yields on long-term bonds, appears to exceed limits imposed by the models. Such excess volatility implies a kind of forecastability for long ra…
A Monetarist Model of Inflationary Expectations . John Rutledge
The Gibson Paradox and Historical Movements in Real Interest Rates
This paper analyzes the correlation between interest rates and prices which as persisted for the past quarter of a millennium and has been termed the Gibson Paradox. Spectral techniques confirm the correlation between long-term interest rates and prices for very long-term swings (the Gibson Paradox), but indicate a significant short cycle correlation only for short-term interest rates, which we term the Kitchin Phenomenon. Past explanations of th…
Inflation, Rational Expectations and the Term Structure of Interest Rates
In a number of recent papers [11] [12],2 it has been shown that, for the United States, the behaviour of the term structure of interest rates can be explained remarkably well by combining the Preferred Habitat version of the Expectation Theory with a simple and readily tractable model of the formation of expectations, a model in which expected future rates are represented by a linear function of past rates. The purpose of the present paper is to …
Stock Prices and Social Dynamics
Prices and Social DynamicsFashion is the great governor of this world; it presides not only in matters of dress and amusement, but in law, physic, politics, religion, and all other things of the gravest kind; indeed, the wisest of men would be puzzled to give any better reason why particular forms in all these have been at certain times universally received, and at others universally rejected, than that they were in or out of fashion. Henry Field…
Irrational Exuberance
In this revised, updated, and expanded edition of his New York Times bestseller, Nobel Prize–winning economist Robert Shiller, who warned of both the tech and housing bubbles, now cautions that signs of irrational exuberance among investors have only increased since the 2008–9 financial crisis. With high stock and bond prices in the United States, and rising housing prices in many countries, the post-subprime boom may well turn out to be another …
Animal Spirits
Cointegration and Tests of Present Value Models
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 models: nonstationarity of time series and incomplete data on infor mation of market participants. With U.S. data, the authors find some relatively encouraging new results for the rational-expectations theo ry of the term structure and some puzzling resu…
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, and of evidence of excess volatility of returns. Finance literature in this decade and after suggests a more nuanced view of the value of the efficient markets theory, and, starting in the 1990s, a blossoming of research on behavioral finance. Some im…
Macro Markets
Journal Article Macro Markets: Creating Institutions for Managing Society's Largest Economic Risks. Get access Macro Markets: Creating Institutions for Managing Society's Largest Economic Risks. By (Robert J.) Shiller. (Oxford and New York: Clarendon Press, 1994. Pp. xi + 254. £20.00 hardback. ISBN 0 19 828782 8.) Christopher Bliss Christopher Bliss Nuffield College, Oxford Search for other works by this author on: Oxford Academic Google Scholar …
The Gibson Paradox and Historical Movements in Real Interest Rates
This paper analyzes the correlation between interest rates and prices which as persisted for the past quarter of a millennium and has been termed the Gibson Paradox. Spectral techniques confirm the correlation between long-term interest rates and prices for very long-term swings (the Gibson Paradox), but indicate a significant short cycle correlation only for short-term interest rates, which we term the Kitchin Phenomenon. Past explanations of th…
The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure
Models which represent long-term interest rates as long averages of expected short-term interest rates imply, because of the smoothing implicit in the averaging, that long rates should not be too volatile. The volatility of actual long-term interest rates, as measured by the variance of short-term holding yields on long-term bonds, appears to exceed limits imposed by the models. Such excess volatility implies a kind of forecastability for long ra…
Speculative Prices and Popular Models
The key idea of rational expectations models is to assume that people know (or behave as if they know) the true model that describes the economy. However, popular economic models (the models that are used by the broad masses of economic actors to form their expectations) are obviously not the same as those held by economists. This paper reports on data collection effort on popular models, using questionnaire survey methods, with the purpose of un…
Inflation, Rational Expectations and the Term Structure of Interest Rates
In a number of recent papers [11] [12],2 it has been shown that, for the United States, the behaviour of the term structure of interest rates can be explained remarkably well by combining the Preferred Habitat version of the Expectation Theory with a simple and readily tractable model of the formation of expectations, a model in which expected future rates are represented by a linear function of past rates. The purpose of the present paper is to …
Inflation, Rational Expectations and the Term Structure of Interest Rates
In a number of recent papers [11] [12],2 it has been shown that, for the United States, the behaviour of the term structure of interest rates can be explained remarkably well by combining the Preferred Habitat version of the Expectation Theory with a simple and readily tractable model of the formation of expectations, a model in which expected future rates are represented by a linear function of past rates. The purpose of the present paper is to …
A Monetarist Model of Inflationary Expectations . John Rutledge
The Gibson Paradox and Historical Movements in Real Interest Rates
This paper analyzes the correlation between interest rates and prices which as persisted for the past quarter of a millennium and has been termed the Gibson Paradox. Spectral techniques confirm the correlation between long-term interest rates and prices for very long-term swings (the Gibson Paradox), but indicate a significant short cycle correlation only for short-term interest rates, which we term the Kitchin Phenomenon. Past explanations of th…
The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure
Models which represent long-term interest rates as long averages of expected short-term interest rates imply, because of the smoothing implicit in the averaging, that long rates should not be too volatile. The volatility of actual long-term interest rates, as measured by the variance of short-term holding yields on long-term bonds, appears to exceed limits imposed by the models. Such excess volatility implies a kind of forecastability for long ra…
Stock Prices and Social Dynamics
Prices and Social DynamicsFashion is the great governor of this world; it presides not only in matters of dress and amusement, but in law, physic, politics, religion, and all other things of the gravest kind; indeed, the wisest of men would be puzzled to give any better reason why particular forms in all these have been at certain times universally received, and at others universally rejected, than that they were in or out of fashion. Henry Field…
Estimating the Continuous-Time Consumption-Based Asset-Pricing Model
The consumption-based asset-pricing model predicts that excess yields are determined by the market's degree of relative risk aversion and by the covariances of per capita consumption growth with asset returns. Estimation and testing are complicated by the fact that the model's predictions relate to the instantaneous flow of consumption and point-in-time asset values, but only data on the integral or time average of the consumption flow are availa…
Cointegration and Tests of Present Value Models
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 models: nonstationarity of time series and incomplete data on infor mation of market participants. With U.S. data, the authors find some relatively encouraging new results for the rational-expectations theo ry of the term structure and some puzzling resu…
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
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 real dividend changes and future real discount rates. This relation can be tested using vector autoregressive methods. Three versions of the linearized model, differing in the measure of discount rates, are tested for U. S. time series 1871-1986: versi…
The Informational Content of Ex Ante Forecasts
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 (1987) to examine the informational content of three sets of ex ant. forecasts: the American Statistical Association and National Bureau of Economic Research Survey (ASA), Data Resources Incorporated (DRI), and Wharton Economic Forecasting Associates (U…
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 (transformed) actual values and testing whether the slope coefficient is one. Such tests are run here with some improvements. The results of the tests are that the efficient markets model is strongly rejected with U.S. data 1901-1987 in favor of an alterna…
Speculative Prices and Popular Models
The key idea of rational expectations models is to assume that people know (or behave as if they know) the true model that describes the economy. However, popular economic models (the models that are used by the broad masses of economic actors to form their expectations) are obviously not the same as those held by economists. This paper reports on data collection effort on popular models, using questionnaire survey methods, with the purpose of un…
Market Volatility
Macro Markets
Macro Markets
Journal Article Macro Markets: Creating Institutions for Managing Society's Largest Economic Risks. Get access Macro Markets: Creating Institutions for Managing Society's Largest Economic Risks. By (Robert J.) Shiller. (Oxford and New York: Clarendon Press, 1994. Pp. xi + 254. £20.00 hardback. ISBN 0 19 828782 8.) Christopher Bliss Christopher Bliss Nuffield College, Oxford Search for other works by this author on: Oxford Academic Google Scholar …
Why Did the Nikkei Crash? Expanding the Scope of Expectations Data Collection
Robert J. Shiller, Fumiko Kon-Ya, Yoshiro Tsutsui, Why Did the Nikkei Crash? Expanding the Scope of Expectations Data Collection, The Review of Economics and Statistics, Vol. 78, No. 1 (Feb., 1996), pp. 156-164
Is There a Bubble in the Housing Market?
Housing prices began rising rapidly in Boston in 1984. In 1985 alone, home prices in the Boston metropolitan area went up 39 percent. In a 1986 paper, Case constructed repeat-sales indexes to measure the extent of the boom in constant-quality home prices. The same paper reported that a structural supply-and-demand model, which explained home price movements over ten years and across ten cities, failed to explain what was going on in Boston. The m…
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, and of evidence of excess volatility of returns. Finance literature in this decade and after suggests a more nuanced view of the value of the efficient markets theory, and, starting in the 1990s, a blossoming of research on behavioral finance. Some im…
Comparing Wealth Effects
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 and a panel of U.S. states observed quarterly during the 1980s and 1990s. We impute the aggregate value of owner-occupied housing, the value of financial assets, and measures of aggregate consumption for each of the geographic units over time. We estim…
The Squam Lake Report
A nonpartisan plan of action for fixing the global economy from fifteen of the world's leading economists In the fall of 2008, fifteen of the world's leading economists—representing the broadest spectrum of economic opinion—gathered at New Hampshire's Squam Lake. Their goal: the mapping of a long-term plan for financial regulation reform. The Squam Lake Report distills the wealth of insights from the ongoing collaboration that began at these meet…
Animal Spirits
Finance and the Good Society
Irrational Exuberance
In this revised, updated, and expanded edition of his New York Times bestseller, Nobel Prize–winning economist Robert Shiller, who warned of both the tech and housing bubbles, now cautions that signs of irrational exuberance among investors have only increased since the 2008–9 financial crisis. With high stock and bond prices in the United States, and rising housing prices in many countries, the post-subprime boom may well turn out to be another …
Phishing for Phools
Ever since Adam Smith, the central teaching of economics has been that free markets provide us with material well-being, as if by an invisible hand. In Phishing for Phools, Nobel Prize–winning economists George Akerlof and Robert Shiller deliver a fundamental challenge to this insight, arguing that markets harm as well as help us. As long as there is profit to be made, sellers will systematically exploit our psychological weaknesses and our ignor…
Narrative Economics
This address considers the epidemiology of narratives relevant to economic fluctuations. The human brain has always been highly tuned toward narratives, whether factual or not, to justify ongoing actions, even such basic actions as spending and investing. Stories motivate and connect activities to deeply felt values and needs. Narratives “go viral” and spread far, even worldwide, with economic impact. The 1920–1921 Depression, the Great Depressio…
A 30-Year Perspective on Property Derivatives
The housing sector is the largest spot market in the world without a developed derivative contract to serve the risk management needs of market participants. This paper describes the evolution within a wider economic context of property derivatives in the United States and worldwide. We review various economic arguments presented in the literature to highlight the advantages of these financial instruments to society. The paper also provides a cri…
Economics (20 obras) · Computer Science (11 obras) · Business (8 obras) · Econometrics (7 obras) · Finance (7 obras) · Financial economics (7 obras) · Financial Markets and Investment Strategies (7 obras) · Monetary economics (7 obras) · Housing Market and Economics (6 obras) · Mathematics (6 obras)