Publications - Stig Vinther Møller https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Bcontroller%5D=Publications&cHash=cebf1d0bbfdc976e3f032b9082ea5613 en-us PURE Extension typo3support@science.au.dk (Web Department) 30 <![CDATA[House Price Bubbles under the COVID-19 Pandemic]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=0343f526-28c1-443f-b25d-f7cdf3074424&tx_pure_pure5%5BshowType%5D=pub&cHash=0102331c6e7001fa1b4e53c9a07ec1fa Hansen, J. H., Møller, S. V., Pedersen, T. Q., Montes Schütte, E. C. Research Sat, 01 Jan 2022 14:15:44 +0100 0343f526-28c1-443f-b25d-f7cdf3074424 <![CDATA[The Role of the Discount Rate in Investment and Employment Decisions]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=3b58419c-3796-4944-9e33-e5160ac7a2b0&tx_pure_pure5%5BshowType%5D=pub&cHash=6fe1a51420961cab5f732b58c887fed9 Møller, S. V., Priestley, R. Research Fri, 01 Jan 2021 14:15:44 +0100 3b58419c-3796-4944-9e33-e5160ac7a2b0 <![CDATA[The Yield Spread and Bond Return Predictability in Expansions and Recessions]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=02f484fe-54e7-447d-ac9a-11d3a7f93a72&tx_pure_pure5%5BshowType%5D=pub&cHash=606430573e033d6ccfd42f658df554cd Andreasen, M. M., Engsted, T., Møller, S. V., Jensen, M. D. S. This paper uncovers that expected excess bond returns display a positive correlation with the slope of the yield curve (i.e., yield spread) in expansions but a negative correlation in recessions. We use a macro-finance term structure model with different market prices of risk in expansions and recessions to show that a very accommodating monetary policy in recessions is a key driver of this switch in return predictability.

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Research Tue, 01 Jun 2021 14:15:44 +0200 02f484fe-54e7-447d-ac9a-11d3a7f93a72
<![CDATA[Consumption Fluctuations and Expected Returns]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=53365c1b-d202-44b1-93c8-afcd9a18250e&tx_pure_pure5%5BshowType%5D=pub&cHash=ff31793dc483d21ccba9aff8c85f6bab Atanasov, V., Møller, S. V., Priestley, R. This paper introduces a novel consumption-based variable, cyclical consumption, and examines its predictive properties for stock returns. Future expected stock returns are high (low) when aggregate consumption falls (rises) relative to its trend and marginal utility from current consumption is high (low). We show that the empirical evidence ties consumption decisions of agents to time variation in returns in a manner consistent with asset pricing models based on external habit formation. The predictive power of cyclical consumption is not confined to bad times and subsumes the predictability of many popular forecasting variables.

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Research Wed, 01 Jan 2020 14:15:44 +0100 53365c1b-d202-44b1-93c8-afcd9a18250e
<![CDATA[Negative house price co-movements and US recessions]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=e1204c24-ee1e-4e6a-b51f-cdaddf15f058&tx_pure_pure5%5BshowType%5D=pub&cHash=847dcb9b8be165dd0d4892f715cb93a7 Christiansen, C., Eriksen, J. N., Møller, S. V. Research Mon, 01 Jul 2019 14:15:44 +0200 e1204c24-ee1e-4e6a-b51f-cdaddf15f058 <![CDATA[A new index of housing sentiment]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=fe70ec87-b1c3-45d6-9c92-d5a64945370c&tx_pure_pure5%5BshowType%5D=pub&cHash=72e7950f0990e986fa8d2032c7cb8d68 Bork, L., Møller, S. V., Pedersen, T. Q. We propose a new measure for housing sentiment and show that it accurately tracks expectations of future house price growth rates. We construct the housing sentiment index using partial least squares on household survey responses to questions about buying conditions for houses. We find that housing sentiment explains a large share of the time variation in house prices during both boom and bust cycles, and it strongly outperforms several macroeconomic variables typically used to forecast house prices. History: Accepted by Tyler Shumway, finance. Funding: Financial support was received from the Danish Council of Independent Research [Grant DFF 4003-00022] and CREATES, Center for Research in Econometric Analysis of Time Series [Grant DNRF78], funded by the Danish National Research Foundation.

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Research Wed, 01 Apr 2020 14:15:44 +0200 fe70ec87-b1c3-45d6-9c92-d5a64945370c
<![CDATA[Forecasting US Recessions]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=81ffb5de-997e-42f6-970a-97615873d0c3&tx_pure_pure5%5BshowType%5D=pub&cHash=4f5077f7e4d0f53e2564b14ddda91e99 Christiansen, C., Eriksen, J. N., Møller, S. V. Research Sun, 01 Jan 2017 14:15:44 +0100 81ffb5de-997e-42f6-970a-97615873d0c3 <![CDATA[Dividends, earnings, and predictability]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=d3960d90-45cc-4631-aad0-6847ab1d1933&tx_pure_pure5%5BshowType%5D=pub&cHash=74b5116f0482d40b857a8168b3d25b9c Møller, S. V., Sander, M. . Research Sun, 01 Jan 2017 14:15:44 +0100 d3960d90-45cc-4631-aad0-6847ab1d1933 <![CDATA[A New Index of Housing Sentiment]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=a1274087-9076-4fb6-9d03-57da38056213&tx_pure_pure5%5BshowType%5D=pub&cHash=9f17ce2160acec5a9978496e6606381e Bork, L., Møller, S. V., Pedersen, T. Q. Research Mon, 14 Nov 2016 14:15:44 +0100 a1274087-9076-4fb6-9d03-57da38056213 <![CDATA[Housing price forecastability: A factor analysis]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=d1d6bb2c-6db0-4373-b3e0-9d3a6bd66c18&tx_pure_pure5%5BshowType%5D=pub&cHash=5b70b6320a1df7b1cce84d19452e8861 Møller, S. V., Bork, L. Research Mon, 01 Jan 2018 14:15:44 +0100 d1d6bb2c-6db0-4373-b3e0-9d3a6bd66c18 <![CDATA[Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=7511e8f8-b975-4a21-b99c-5e3991ceddfa&tx_pure_pure5%5BshowType%5D=pub&cHash=c98377f2c20e6ed55972f4635e37f52e Andreasen, M. M., Engsted, T., Møller, S. V., Jensen, M. D. S. Research Mon, 05 Sep 2016 14:15:44 +0200 7511e8f8-b975-4a21-b99c-5e3991ceddfa <![CDATA[Global economic growth and expected returns around the world: The end-of-the-year effect]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=701d5d62-d077-40e3-9384-5fc7bbb8e608&tx_pure_pure5%5BshowType%5D=pub&cHash=1dfe19c4f25faa9f7d3a37cabc63e87e Møller, S. V., Rangvid, J. Research Mon, 01 Jan 2018 14:15:44 +0100 701d5d62-d077-40e3-9384-5fc7bbb8e608 <![CDATA[Forecasting house prices in the 50 states using Dynamic Model Averaging and Dynamic Model Selection]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=c4bdac98-1312-4e40-8353-4e1c28244198&tx_pure_pure5%5BshowType%5D=pub&cHash=b5279fb4846f3bce91079a1884d6a6e3 Bork, L., Møller, S. V. Research Thu, 01 Jan 2015 14:15:44 +0100 c4bdac98-1312-4e40-8353-4e1c28244198 <![CDATA[End-of-the-year economic growth and time-varying expected returns]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=22fea360-4f78-4ef1-932e-1073719fbe64&tx_pure_pure5%5BshowType%5D=pub&cHash=ff8c6b8cb5141212ed7491766d80aa66 Møller, S. V., Rangvid, J. Research Thu, 01 Jan 2015 14:15:44 +0100 22fea360-4f78-4ef1-932e-1073719fbe64 <![CDATA[Cross-sectional consumption-based asset pricing: A reappraisal]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=b89a0c34-2af4-4cf9-bee2-368a7786c522&tx_pure_pure5%5BshowType%5D=pub&cHash=559f0c06675b0bb8e15965a246931ece Engsted, T., Møller, S. V. Research Thu, 01 Jan 2015 14:15:44 +0100 b89a0c34-2af4-4cf9-bee2-368a7786c522 <![CDATA[Consumer confidence or the business cycle]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=bc7e0ff2-03eb-4a98-910f-44ba436fdd62&tx_pure_pure5%5BshowType%5D=pub&cHash=27217604c7513a1bd3749cd364a2064e Møller, S. V., Nørholm, H., Rangvid, J. We show that consumer confidence and the output gap both excess returns on stocks in many European countries: When the output gap is positive (the economy is doing well), expected returns are low, and when consumer confidence is high, expected returns are also low. Consumer confidence and the output gap are also highly positively correlated. In fact, we find that consumer confidence does not contain independent information (i.e. information over and above that contained by the output gap) about expected returns. Our use of European data allows us to examine both aggregate European and local-country data on consumer confidence and output gaps. We find that even local-country consumer confidence does not contain independent information about expected returns. Our findings have asset pricing implication: We show taht the cross-country distribution of expected returns is better captured when using the European output gap as a risk factor.]]> Research Wed, 01 Jan 2014 14:15:44 +0100 bc7e0ff2-03eb-4a98-910f-44ba436fdd62 <![CDATA[Forecasting US Recessions]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=3bde8787-644d-4ad8-9396-13263267a2d2&tx_pure_pure5%5BshowType%5D=pub&cHash=aaebff7711207622f10f93414ee2eb8a Christiansen, C., Eriksen, J. N., Møller, S. V. Research Wed, 01 Jan 2014 14:15:44 +0100 3bde8787-644d-4ad8-9396-13263267a2d2 <![CDATA[GDP growth and the yield curvature]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=a2e235fb-6dc0-474d-baa1-4468c7c78a7f&tx_pure_pure5%5BshowType%5D=pub&cHash=405d4516714e42de3d04680c257011c9 Møller, S. V. Research Wed, 01 Jan 2014 14:15:44 +0100 a2e235fb-6dc0-474d-baa1-4468c7c78a7f <![CDATA[Bond return predictability in expansions and recessions]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=92807514-71c0-47a2-9147-70818f41b1f4&tx_pure_pure5%5BshowType%5D=pub&cHash=a9fdfb48f6351b220a57fd6bcc60dc03 Engsted, T., Møller, S. V., Jensen, M. D. S. Research Thu, 25 Apr 2013 14:15:44 +0200 92807514-71c0-47a2-9147-70818f41b1f4 <![CDATA[End-of-the-year economic growth and time-varying expected returns]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=21c8542e-30dd-4470-8b62-4e3734226f5a&tx_pure_pure5%5BshowType%5D=pub&cHash=a3cc4e94b7dbacc61a90f8839763045e Møller, S. V., Rangvid, J. Research Thu, 25 Oct 2012 14:15:44 +0200 21c8542e-30dd-4470-8b62-4e3734226f5a <![CDATA[Housing price forecastability: A factor analysis]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=de1498a2-0dd4-4b74-a98f-6a3dbdc03150&tx_pure_pure5%5BshowType%5D=pub&cHash=c7b62ab627d38cc9975436ae5f1be03c Bork, L., Møller, S. V. Research Mon, 04 Jun 2012 14:15:44 +0200 de1498a2-0dd4-4b74-a98f-6a3dbdc03150 <![CDATA[Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=5b6dc2be-52f5-4505-b5bd-2c494024c03b&tx_pure_pure5%5BshowType%5D=pub&cHash=e824fdde16d0ab03d1c5fb9b25595bc8 Engsted, T., Møller, S. V. Research Sat, 01 Jan 2011 14:15:44 +0100 5b6dc2be-52f5-4505-b5bd-2c494024c03b <![CDATA[Habit-based asset pricing with limited participation consumption]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=82223cff-7f53-4bfe-863f-41818bed8e7d&tx_pure_pure5%5BshowType%5D=pub&cHash=4ca8b722abe29b009faff87e2248f158 Møller, S. V., Bach, C. Research Sat, 01 Jan 2011 14:15:44 +0100 82223cff-7f53-4bfe-863f-41818bed8e7d <![CDATA[Habit formation, surplus consumption and return predictability]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=0efe2110-2b83-11df-ab97-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=4092864154074ffa7d2f04804b7e99d3 Engsted, T., Hyde, S., Vinther Møller, S.
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Research Fri, 01 Jan 2010 14:15:44 +0100 0efe2110-2b83-11df-ab97-000ea68e967b
<![CDATA[Habit persistence]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=02c8d5d0-f1f9-11dd-91bf-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=3446b04c2f9ccac6ec005bb4e79d56c2 Vinther Møller, S. Research Thu, 01 Jan 2009 14:15:44 +0100 02c8d5d0-f1f9-11dd-91bf-000ea68e967b <![CDATA[An Iterated GMM Procedure for Estimating the Campbell-Cochrane Habit Formation Model, with an Application to Danish Stock and Bond Returns]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=78503180-de59-11dd-b5b0-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=be377a8e60e7b27095705154b7955f9c Engsted, T., Møller, S. V. Research Fri, 01 Jan 2010 14:15:44 +0100 78503180-de59-11dd-b5b0-000ea68e967b <![CDATA[Consumption growth and time-varying expected stock returns]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/stig-vinther-moeller?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=6cccc120-b47e-11dd-8c69-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=46d1ca34503d6bb6f8a41e56f520b881 Vinther Møller, S. Research Tue, 01 Jan 2008 14:15:44 +0100 6cccc120-b47e-11dd-8c69-000ea68e967b