Asset Pricing Lessons for Modelling Business Cycles
| Author | : Michele Boldrín |
| Publisher | : |
| Total Pages | : 39 |
| Release | : 1995 |
| Genre | : |
| ISBN | : |
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Asset Pricing Lessons for Modeling Business Cycles
| Author | : Michele Boldrin |
| Publisher | : |
| Total Pages | : 70 |
| Release | : 1996 |
| Genre | : Banks and banking, International |
| ISBN | : |
Download Asset Pricing Lessons for Modeling Business Cycles Book in PDF, ePub and Kindle
We develop a model which accounts for the observed equity premium and average risk free rate, without implying counterfactually high risk aversion. The model also does well in accounting for business cycle phenomena. With respect to the conventional measures of business cycle volatility and comovement with output, the model does roughly as well as the standard business cycle model. On two other dimensions, the model's business cycle implications are actually improved. Its enhanced internal propagation allows it to account for the fact that there is positive persistence in output growth, and the model also provides a resolution to the 'excess sensitivity puzzle' for consumption and income. Key features of the model are habit persistence preferences, and a multisector technology with limited intersectoral mobility of factors of production.
Asset Pricing Lessons for Modeling Business Cycles
| Author | : Lawrence J. Christiano |
| Publisher | : London, Ont. : Department of Economics, University of Western Ontario |
| Total Pages | : 45 |
| Release | : 1995 |
| Genre | : Business cycles |
| ISBN | : 9780771418259 |
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Asset Pricing Lessons for Modeling Business Cycles
| Author | : Michele Boldrin |
| Publisher | : |
| Total Pages | : 54 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Asset Pricing Lessons for Modeling Business Cycles Book in PDF, ePub and Kindle
We develop a model which accounts for the observed equity premium and average risk free rate, without implying counterfactually high risk aversion. The model also does well in accounting for business cycle phenomena. With respect to the conventional measures of business cycle volatility and comovement with output, the model does roughly as well as the standard business cycle model. On two other dimensions, the model's business cycle implications are actually improved. Its enhanced internal propagation allows it to account for the fact that there is positive persistence in output growth, and the model also provides a resolution to the 'excess sensitivity puzzle' for consumption and income. Key features of the model are habit persistence preferences, and a multisector technology with limited intersectoral mobility of factors of production.
Asset Prices in Affine Real Business Cycle Models
| Author | : Maral Shamloo |
| Publisher | : International Monetary Fund |
| Total Pages | : 43 |
| Release | : 2010-11-01 |
| Genre | : Business & Economics |
| ISBN | : 145520949X |
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We develop a tractable way to solve for equilibrium quantities and asset prices in a class of real business cycle models featuring Epstein-Zin preferences and affine dynamics for productivity growth and volatility. The method relies on log-linearization and exploits the log-normality of all the quantities. It is an easy substitute for more involved numerical techniques, such as higher order perturbation methods, and allows for easy implementation and analytical results. We show explicitly the link with perturbation techniques and find that the quantitative difference between the two is insignificant for several models of interest.
Asset Pricing for Dynamic Economies
| Author | : Sumru Altug |
| Publisher | : Cambridge University Press |
| Total Pages | : 702 |
| Release | : 2008-09-11 |
| Genre | : Business & Economics |
| ISBN | : 1139474367 |
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This introduction to general equilibrium modelling takes an integrated approach to the analysis of macroeconomics and finance. It provides students, practitioners, and policymakers with an easily accessible set of tools that can be used to analyze a wide range of economic phenomena. Key features: • Provides a consistent framework for understanding dynamic economic models • Introduces key concepts in finance in a discrete time setting • Develops simple recursive approach for analyzing a variety of problems in a dynamic, stochastic environment • Sequentially builds up the analysis of consumption, production, and investment models to study their implications for allocations and asset prices • Reviews business cycle analysis and the business cycle implications of monetary and international models • Covers latest research on asset pricing in overlapping generations models and on models with borrowing constraints and transaction costs • Includes end-of-chapter exercises allowing readers to monitor their understanding of each topic Online resources are available at www.cambridge.org/altug_labadie
The Role of Learning for Asset Prices and Business Cycles
| Author | : Fabian Winkler |
| Publisher | : |
| Total Pages | : 58 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
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I examine the implications of learning-based asset pricing in a model in which firms face credit constraints that depend partly on their market value. Agents learn about stock prices, but have conditionally model-consistent expectations otherwise. The model jointly matches key asset price and business cycle statistics, while the combination of financial frictions and learning produces powerful feedback between asset prices and real activity, adding substantial amplification. The model reproduces many patterns of forecast error predictability in survey data that are inconsistent with rational expectations. A reaction of the monetary policy rule to asset price growth increases welfare under learning.
Rethinking Valuation and Pricing Models
| Author | : Carsten Wehn |
| Publisher | : Academic Press |
| Total Pages | : 657 |
| Release | : 2012-12-17 |
| Genre | : Business & Economics |
| ISBN | : 0124158889 |
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It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are being reconsidered. This single volume provides a guide to lessons learned for practitioners and a reference for academics. Including reviews of traditional approaches, real examples, and case studies, contributors consider portfolio theory; methods for valuing equities and equity derivatives, interest rate derivatives, and hybrid products; and techniques for calculating risks and implementing investment strategies. Describing new approaches without losing sight of their classical antecedents, this collection of original articles presents a timely perspective on our post-crisis paradigm. Highlights pre-crisis best classical practices, identifies post-crisis key issues, and examines emerging approaches to solving those issues Singles out key factors one must consider when valuing or calculating risks in the post-crisis environment Presents material in a homogenous, practical, clear, and not overly technical manner
Herding Through Learning in an Asset Pricing Model
| Author | : Michele Berardi |
| Publisher | : |
| Total Pages | : |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
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Real Business Cycles
| Author | : James Hartley |
| Publisher | : Routledge |
| Total Pages | : 690 |
| Release | : 2013-07-04 |
| Genre | : Business & Economics |
| ISBN | : 1134694784 |
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Real Business Cycle theory combines the remains of monetarism with the new classical macroeconomics, and has become one of the dominant approaches within contemporary macroeconomics today. This volume presents: * the authoritative anthology in RBC. The work contains the major articles introducing and extending the theory as well as critical literature * an extensive introduction which contains an expository summary and critical evaluation of RBC theory * comprehensive coverage and balance between seminal papers and extensions; proponents and critics; and theory and empirics. Macroeconomics is a compulsory element in most economics courses, and this book will be an essential guide to one of its major theories.
