By John Y. Campbell
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Jorion, Phillipe. 2001. Value at risk. 2nd edition. New York: McGraw-Hill. Kishor, N. Kundan. 2005. Does consumption respond more to housing wealth than to financial wealth? If so, why? University of Washington, Department of Economics. Unpublished Manuscript. Koenker, Roger. 2005. Quantile regression. Cambridge, UK: Cambridge University Press. LeBaron, Blake, and Ritirupa Samanta. 2005. Extreme value theory and fat tails in equity markets. Brandeis University, International Business School. Unpublished Manuscript.
Journal of Economic Dynamics and Control. O. 2007. Robust control made simple: Lecture notes. Princeton University. Unpublished Manuscript. Comment Andrew Levin This chapter addresses a crucial topic for monetary policymakers, namely, does an asset price boom substantially raise the likelihood of a subsequent macroeconomic crisis? In this context, the chapter introduces the terms gross domestic product (GDP) at risk and price level at risk to characterize the lower tail of the distribution of each variable and then seeks to quantify Andrew Levin is assistant director of the Division of Monetary Aﬀairs and chief of the Monetary Studies Section at the Board of Governors of the Federal Reserve System.
S. homebuilder industry along with an overview of Chicago Mercantile Exchange (CME) housing futures and options, while Campbell et al. S. house prices can be interpreted in terms of movements in rents, real interest rates, and risk premia. Measuring the Macroeconomic Risks Posed by Asset Price Booms 41 Fig. S. S. firms in the residential construction industry. S. house prices over the subsequent few quarters. , A. Levin, R. Tryon, and J. Williams. 1997. The evolution of macro models at the Federal Reserve Board.