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Author : Michele Boldrín
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (848 download)
Download or read book Asset Pricing Lessons for Modelling Business Cycles written by Michele Boldrín and published by . This book was released on 1995 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michele Boldrin
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.:/5 (318 download)
Download or read book Asset Pricing Lessons for Modeling Business Cycles written by Michele Boldrin and published by . This book was released on 1996 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Lawrence J. Christiano
Publisher : London, Ont. : Department of Economics, University of Western Ontario
ISBN 13 : 9780771418259
Total Pages : 45 pages
Book Rating : 4.4/5 (182 download)
Download or read book Asset Pricing Lessons for Modeling Business Cycles written by Lawrence J. Christiano and published by London, Ont. : Department of Economics, University of Western Ontario. This book was released on 1995 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michele Boldrin
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (129 download)
Download or read book Asset Pricing Lessons for Modeling Business Cycles written by Michele Boldrin and published by . This book was released on 2008 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Maral Shamloo
Publisher : International Monetary Fund
ISBN 13 : 145520949X
Total Pages : 43 pages
Book Rating : 4.4/5 (552 download)
Download or read book Asset Prices in Affine Real Business Cycle Models written by Maral Shamloo and published by International Monetary Fund. This book was released on 2010-11-01 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Sumru Altug
Publisher : Cambridge University Press
ISBN 13 : 1139474367
Total Pages : 702 pages
Book Rating : 4.1/5 (394 download)
Download or read book Asset Pricing for Dynamic Economies written by Sumru Altug and published by Cambridge University Press. This book was released on 2008-09-11 with total page 702 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Author : Fabian Winkler
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Role of Learning for Asset Prices and Business Cycles written by Fabian Winkler and published by . This book was released on 2017 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : James Hartley
Publisher : Routledge
ISBN 13 : 1134694784
Total Pages : 690 pages
Book Rating : 4.1/5 (346 download)
Download or read book Real Business Cycles written by James Hartley and published by Routledge. This book was released on 2013-07-04 with total page 690 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Carsten Wehn
Publisher : Academic Press
ISBN 13 : 0124158757
Total Pages : 658 pages
Book Rating : 4.1/5 (241 download)
Download or read book Rethinking Valuation and Pricing Models written by Carsten Wehn and published by Academic Press. This book was released on 2012-11-08 with total page 658 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Author : Michele Berardi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (959 download)
Download or read book Herding Through Learning in an Asset Pricing Model written by Michele Berardi and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Richard Howard Cohen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (268 download)
Download or read book Testing the Consumption-based Capital Asset Pricing Model for Business-cycle Related Effects written by Richard Howard Cohen and published by . This book was released on 1991 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John B. Taylor
Publisher : Elsevier
ISBN 13 : 9780444501578
Total Pages : 576 pages
Book Rating : 4.5/5 (15 download)
Download or read book Handbook of Macroeconomics written by John B. Taylor and published by Elsevier. This book was released on 1999-12-13 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Annotation Part 6: Financial Markets and the Macroeconomy. 19. Asset prices, consumption, and the business cycle (J.Y. Campbell). 20. Human behavior and the efficiency of the financial system (R.J. Shiller). 21. The financial accelerator in a quantitative business cycle framework (B. Bernanke, M. Gertler and S. Gilchrist). Part 7: Monetary and Fiscal Policy. 22. Political economics and macroeconomic policy (T. Persson, G. Tabellini). 23. Issues in the design of monetary policy rules (B.T. McCallum). 24. Inflation stabilization and BOP crises in developing countries (G.A. Calvo, C.A. Vegh). 25. Government debt (D.W. Elmendorf, N.G. Mankiw). 26. Optimal fiscal and monetary policy (V.V. Chari, P.J. Kehoe).
Author : Sumru Altug
Publisher : Cambridge University Press
ISBN 13 : 9780521875851
Total Pages : 602 pages
Book Rating : 4.8/5 (758 download)
Download or read book Asset Pricing for Dynamic Economies written by Sumru Altug and published by Cambridge University Press. This book was released on 2008-09-11 with total page 602 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 122 pages
Book Rating : 4.3/5 (243 download)
Download or read book Asset Prices, Consumption, and the Business Cycle written by John Y. Campbell and published by . This book was released on 1998 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the behavior of financial asset prices in relation to consumption. The paper lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features of the US experience apply more generally. The paper argues that to make sense of asset market behavior one needs a model in which the market price of risk is high, time-varying, and correlated with the state of the economy. Models that have this feature, including models with habit-formation in utility, heterogeneous investors, and irrational expectations, are discussed. The main focus is on stock returns and short-term real interest rates, but bond returns are also considered.
Author : Terence Khoo
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (318 download)
Download or read book Explaining Asset Return Properties with a Real Business Cycle Asset Pricing Model written by Terence Khoo and published by . This book was released on 1992 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Francisco Vazquez-Grande
Publisher :
ISBN 13 : 9781267835536
Total Pages : 83 pages
Book Rating : 4.8/5 (355 download)
Download or read book Learning the Long-run Asset Pricing Model written by Francisco Vazquez-Grande and published by . This book was released on 2012 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: I document business-cycle properties and a significant increase in the average level of risk-prices in the presence of learning in economies with homogeneous agents, and in the presence of agents with heterogeneous beliefs based on learning. I solve a model with long-run risk where both, the level and persistence of expected consumption growth are unobserved. I introduce a new methodology to quantify the effects of learning about parameter uncertainty and latent variables. The average historical maximum Sharpe ratios increases significantly in the learning economy when compared to the full-information case, and the difference between the subjective risk-prices of learning and non-learning agents is shown to be counter-cyclical. The agent facing parameter uncertainty choose state variables that are sufficient statistics of the learning problems and, conditional on her information set, forms posterior distributions of the states and future consumption growth. To reduce the complexity of optimization, I present a novel numerical approach that approximates the agent's continuation-value by nesting the solutions of problems with different information sets.
Author : Lars Peter Hansen
Publisher : World Scientific
ISBN 13 : 9814578134
Total Pages : 483 pages
Book Rating : 4.8/5 (145 download)
Download or read book Uncertainty Within Economic Models written by Lars Peter Hansen and published by World Scientific. This book was released on 2014-09-09 with total page 483 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by Lars Peter Hansen (Nobel Laureate in Economics, 2013) and Thomas Sargent (Nobel Laureate in Economics, 2011), Uncertainty within Economic Models includes articles adapting and applying robust control theory to problems in economics and finance. This book extends rational expectations models by including agents who doubt their models and adopt precautionary decisions designed to protect themselves from adverse consequences of model misspecification. This behavior has consequences for what are ordinarily interpreted as market prices of risk, but big parts of which should actually be interpreted as market prices of model uncertainty. The chapters discuss ways of calibrating agents' fears of model misspecification in quantitative contexts.
