Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Implications Of Temporally Dependent Preferences For Asset Pricing Puzzles And The Welfare Cost Of Business Cycles PDF full book. Access full book title Implications Of Temporally Dependent Preferences For Asset Pricing Puzzles And The Welfare Cost Of Business Cycles.
| Author | : Christopher Mark Otrok |
| Publisher | : |
| Total Pages | : 256 |
| Release | : 1999 |
| Genre | : Capital assets pricing model |
| ISBN | : |
| Author | : John Heaton |
| Publisher | : |
| Total Pages | : 76 |
| Release | : 1991 |
| Genre | : |
| ISBN | : |
| Author | : Robert E. Lucas Jr. |
| Publisher | : Harvard University Press |
| Total Pages | : 517 |
| Release | : 2013-01-07 |
| Genre | : Business & Economics |
| ISBN | : 0674071212 |
Robert Lucas is one of the outstanding monetary theorists of the past hundred years. Along with Knut Wicksell, Irving Fisher, John Maynard Keynes, James Tobin, and Milton Friedman (his teacher), Lucas revolutionized our understanding of how money interacts with the real economy of production, consumption, and exchange. Lucas’s contributions are both methodological and substantive. Methodologically, he developed dynamic, stochastic, general equilibrium models to analyze economic decision-makers operating through time in a complex, probabilistic environment. Substantively, he incorporated the quantity theory of money into these models and derived its implications for money growth, inflation, and interest rates in the long run. He also showed the different effects of anticipated and unanticipated changes in the stock of money on economic fluctuations, and helped to demonstrate that there was not a long-run trade-off between unemployment and inflation (the Phillips curve) that policy-makers could exploit. The twenty-one papers collected in this volume fall primarily into three categories: core monetary theory and public finance, asset pricing, and the real effects of monetary instability. Published between 1972 and 2007, they will inspire students and researchers who want to study the work of a master of economic modeling and to advance economics as a pure and applied science.
| Author | : Ivan Jaccard |
| Publisher | : |
| Total Pages | : 50 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
This study augments the neoclassical growth model with a mechanism that creates a novel transmission channel through which financial shocks propagate to the real economy. By affecting agents' ability to finance consumption expenditures, financial frictions create a demand for safe assets that exposes the economy to asset quality shocks. My main finding is that this mechanism provides a potential explanation for the co-movement observed during the 2007-2009 financial crisis in the eurozone. My results also suggest that these shocks are a plausible source of aggregate risk that could explain business cycle fluctuations as well as standard asset pricing puzzles. Finally, introducing this transmission mechanism into the neoclassical growth model increases the welfare cost of business cycle fluctuations by several orders of magnitude.
| Author | : Fabian Winkler |
| Publisher | : |
| Total Pages | : 58 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
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.
| Author | : John Heaton |
| Publisher | : Forgotten Books |
| Total Pages | : 66 |
| Release | : 2018-02-14 |
| Genre | : Mathematics |
| ISBN | : 9780656510658 |
Excerpt from An Empirical Investigation of Asset Pricing With Temporally Dependent Preference Specifications A goal of this paper is to try to sort out the importance of all of these different effects. In studying these issues I investigated a model in which consumption is locally substitutable. I modeled this by assuming that the consumption good is durable. Habit was modeled as developing over the flow of services from the consumption good and, as a result, habit over consumption itself develops much more slowly. I was careful to take account of the fact that observed consumption is time averaged. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
| Author | : John H. Cochrane |
| Publisher | : Now Publishers Inc |
| Total Pages | : 117 |
| Release | : 2005 |
| Genre | : Business & Economics |
| ISBN | : 1933019158 |
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
| Author | : |
| Publisher | : |
| Total Pages | : 668 |
| Release | : 2009 |
| Genre | : Dissertations, Academic |
| ISBN | : |
| Author | : Athanasios Bolmatis |
| Publisher | : |
| Total Pages | : 246 |
| Release | : 2007 |
| Genre | : Business cycles |
| ISBN | : 9781109951912 |
The purpose of this dissertation is twofold. First it studies the implications of limited capital mobility due to financial frictions for business cycles and asset prices, and; second, studies the importance of information for correctly pricing portfolios of assets. The first purpose is achieved by using the model of Azariadis and Kaas (2005) as a point of departure while for the second the current literature on multifactor asset pricing is extended by considering information based factors.
| Author | : |
| Publisher | : |
| Total Pages | : 172 |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
