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The Volatility Of Consumption In A Simple General Equilibrium Model
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Book Synopsis The Volatility of Consumption in a Simple General Equilibrium Model by : Gunnar Tersman
Download or read book The Volatility of Consumption in a Simple General Equilibrium Model written by Gunnar Tersman and published by International Monetary Fund. This book was released on 1992-12-01 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the volatility of consumption relative to output in the context of a simple general equilibrium model of a small open economy subject to exogenous shocks in productivity. With infinite horizons and exogenous relative prices, the model generates variance estimates that are well above what can be observed in empirical data. While finite horizons and endogenous terms of trade reduce the volatility of consumption, the model fails to generate sufficient serial correlation with respect to the consumption growth rate. If the household’s decision problem is modified to take into account durability and adjustment costs, the model does well on both dimensions.
Book Synopsis The volatility of consumption in a simple general equilibrium model by : Fondo Monetario Internacional
Download or read book The volatility of consumption in a simple general equilibrium model written by Fondo Monetario Internacional and published by . This book was released on 1992 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Volatility of Consumption in a Simple Central Equilibrium Model by : International Monetary Fund. European II Department
Download or read book The Volatility of Consumption in a Simple Central Equilibrium Model written by International Monetary Fund. European II Department and published by . This book was released on 1992 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Simple Dynamic General Equilibrium Model of the Trade-off Between Fixed and Floating Exchange Rates by : Michael B. Devereux
Download or read book A Simple Dynamic General Equilibrium Model of the Trade-off Between Fixed and Floating Exchange Rates written by Michael B. Devereux and published by . This book was released on 2000 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Book Synopsis General Equilibrium Models for Development Policy by : Kemal Dervis
Download or read book General Equilibrium Models for Development Policy written by Kemal Dervis and published by Cambridge University Press. This book was released on 1982-05-31 with total page 548 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Simple Dynamic General Equilibrium Model by : Epstein, Larry G
Download or read book A Simple Dynamic General Equilibrium Model written by Epstein, Larry G and published by . This book was released on 1985 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing in a General Equilibrium Production Economy with Chew-dekel Risk Preferences by : Claudio Campanale
Download or read book Asset Pricing in a General Equilibrium Production Economy with Chew-dekel Risk Preferences written by Claudio Campanale and published by . This book was released on 2008 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Structure of General Equilibrium Models with Incomplete Markets and a Single Consumption Good by : Thorsten Hens
Download or read book Structure of General Equilibrium Models with Incomplete Markets and a Single Consumption Good written by Thorsten Hens and published by . This book was released on 1991 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Habit Persistence in Consumption in a Sticky Price Model of the Business Cycle by : Michael Gail
Download or read book Habit Persistence in Consumption in a Sticky Price Model of the Business Cycle written by Michael Gail and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the role of habit persistence in consumption in explaining persistent responses of inflation and output to money growth shocks. A monetary stochastic dynamic general equilibrium (DGE) model with a money-in-the-utility-function (MIU-) setup is augmented by habit formation in consumption and evaluated for both Taylor and Calvo price staggering. It is shown that in the benchmark Taylor price staggering model consumption displays a persistent response while the volatility falls short empirical estimates. The reaction of most other aggregates including output, inflation and prices is counterfactually cyclical. Investment, labor hours and the real wage are too strongly correlated with output. In the benchmark Calvo price staggering model consumption is hump-shaped. Most variables are persistent and consumption shows a higher standard deviation. In sum, habit persistence in consumption improves the model outcome with respect to consumption's reaction while Calvo staggering improves the ability of a DGE model to explain persistent reactions of the other macroeconomic aggregates to money growth shocks.
Book Synopsis Stock Market Risk and Return by : Robert Whitelaw
Download or read book Stock Market Risk and Return written by Robert Whitelaw and published by . This book was released on 2008 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent empirical evidence suggests that expected stock returns are weakly, or even negatively, related to the volatility of stock returns at the market level, and that this relation varies substantially over time. This evidence contradicts the apparently reliable intuition that risk and return are positively related and that stock market volatility is a good proxy for risk. This paper investigates the relation between volatility and expected returns in a general equilibrium, exchange economy. A relatively simple model, estimated using aggregate consumption data, is able to duplicate the salient features of the observed expected return/volatility relation. The key features of the model are the existence of two regimes with different consumption growth processes and time-varying correlations between stock returns and the marginal rate of substitution; thus inducing variability in the short-run relation between expected returns and volatility and a weakening of the long-run relation. These results highlight the perils of relying on intuition from static models. They also have important implications for the empirical modeling of returns.
Book Synopsis Emergent Macroeconomics by : Domenico Gatti
Download or read book Emergent Macroeconomics written by Domenico Gatti and published by Springer Science & Business Media. This book was released on 2008-12-05 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: This valuable book contributes substantively to the current state-of-the-art of macroeconomics. It provides a method for building models in which business cycles and economic growth emerge from the interactions of a large number of heterogeneous agents. Drawing from recent advances in agent-based computational modeling, the authors show how insights from dispersed fields can be fruitfully combined to improve our understanding of macroeconomic dynamics.
Book Synopsis Exploring General Equilibrium by : Fischer S. Black
Download or read book Exploring General Equilibrium written by Fischer S. Black and published by MIT Press. This book was released on 2010-05-21 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: An incisive, unconventional assessment of general equilibrium theory; with a previously unpublished paper. Fischer Black is known for his brilliance as well as his sometimes controversial opinions. Highly respected for his scholarly writings in finance, he now moves into different territory with this incisive, unconventional assessment of general equilibrium theory and what that theory reveals about business cycles, growth, and labor economics. The general equilibrium approach, Black asserts, can be used to explain most of the economy's behavior. It can explain business cycles and growth without using sticky prices, irrationality, economies of scale, or imperfect competition. It can explain the volatility of consumption, output, sales, investment, and inventories with axiomatic utility and constant-returns-to-scale production. It can explain temporary layoffs, job changes with and without intervening unemployment, and the behavior of vacancies. It can explain lower wages in part-time jobs, wages that increase rapidly with time on the job, and the forces that cause migration from poor to rich countries. Although the general equilibrium approach can't be tested in conventional ways, it can be used to generate examples that explain stylized facts—generalized observations from the real world—that have preoccupied macroeconomists for the last decade. Black contrasts his interpretation of these facts with conventional interpretations. Finally, he reviews a substantial body of literature on these topics.
Book Synopsis Open Economy Macroeconomics by : Martín Uribe
Download or read book Open Economy Macroeconomics written by Martín Uribe and published by Princeton University Press. This book was released on 2017-04-04 with total page 646 pages. Available in PDF, EPUB and Kindle. Book excerpt: A cutting-edge graduate-level textbook on the macroeconomics of international trade Combining theoretical models and data in ways unimaginable just a few years ago, open economy macroeconomics has experienced enormous growth over the past several decades. This rigorous and self-contained textbook brings graduate students, scholars, and policymakers to the research frontier and provides the tools and context necessary for new research and policy proposals. Martín Uribe and Stephanie Schmitt-Grohé factor in the discipline's latest developments, including major theoretical advances in incorporating financial and nominal frictions into microfounded dynamic models of the open economy, the availability of macro- and microdata for emerging and developed countries, and a revolution in the tools available to simulate and estimate dynamic stochastic models. The authors begin with a canonical general equilibrium model of an open economy and then build levels of complexity through the coverage of important topics such as international business-cycle analysis, financial frictions as drivers and transmitters of business cycles and global crises, sovereign default, pecuniary externalities, involuntary unemployment, optimal macroprudential policy, and the role of nominal rigidities in shaping optimal exchange-rate policy. Based on courses taught at several universities, Open Economy Macroeconomics is an essential resource for students, researchers, and practitioners. Detailed exploration of international business-cycle analysis Coverage of financial frictions as drivers and transmitters of business cycles and global crises Extensive investigation of nominal rigidities and their role in shaping optimal exchange-rate policy Other topics include fixed exchange-rate regimes, involuntary unemployment, optimal macroprudential policy, and sovereign default and debt sustainability Chapters include exercises and replication codes
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Book Synopsis Introduction to Computable General Equilibrium Models by : Mary E. Burfisher
Download or read book Introduction to Computable General Equilibrium Models written by Mary E. Burfisher and published by Cambridge University Press. This book was released on 2016 with total page 443 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book provides a hands-on introduction to computable general equilibrium (CGE) models, written at an accessible, undergraduate level.
Book Synopsis Stock Market Risk and Return by : Robert F. Whitelaw
Download or read book Stock Market Risk and Return written by Robert F. Whitelaw and published by . This book was released on 1997 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent empirical evidence suggests that expected stock returns are weakly, or even negatively, related to the volatility of stock returns at the market level, and that this relation varies substantially over time. This evidence contradicts the apparently reliable intuition that risk and return axe positively related and that stock market volatility is a good proxy for risk. This paper investigates the relation between volatility and expected returns in a general equilibrium, exchange economy. A relatively simple model, estimated using aggregate consumption data, is able to duplicate the salient features of the observed expected return/volatility relation. The key features of the model are the existence of two regimes with different consumption growth processes and time-varying transition probabilities between regimes. This structure generates time-varying correlations between stock returns and the marginal rate of substitution; thus inducing variability in the short-run relation between expected returns and volatility and a weakening of the long-run relation. These results highlight the perils of relying on intuition from static models. They also have important implications for the empirical modeling of returns.
