Download or read book Asset Pricing in a Two Country Discontinuous General Equilibrium Model written by Ciprian Necula and published by . This book was released on 2008 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is to develop a framework for asset pricing in a continuous time general equilibrium model for a two country Lucas type economy. The model assumes that the output in the two countries follows a jump-diffusion stochastic process characterized by constant growth rates and volatilities and by log-normal amplitude of the jumps. Using this specification we deduce the fundamental evaluation equations for financial assets as well as a formula for the price of exchange rate options in this economy.
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 686 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
Download or read book General Equilibrium Asset Pricing Under Regime Switching written by Robert J. Elliott and published by . This book was released on 2018 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we have developed a continuous time general equilibrium model in an economy which has two states, a 'good' state and a 'bad' state. There are two types of shocks in the economy: small shocks and large shocks. The small shocks which only affect the individual price movements are modeled by Brownian motions. The large shocks, the states of the economy, are modeled by a continuous time Markov Chain. There are one riskless assets, n basic risky assets and contingent claims written on the risky assets in the market. The states of the economy affect the expected returns and the variances of the assets. We assume in different states, the means and variances of the instantaneous returns are different. We then investigate the asset pricing problem in general equilibrium with a representative agent who maximizes a cost function. Based on the assumption of a CRRA utility function, we have derived a partial differential equation satisfied by the representative agent's cost function. A form of the solution of the partial differential equation has been given in general equilibrium with intermediate consumption. In the case when the representative agent doesn't have intermediate consumption, we have found an explicit solution of the cost function. A closed-form expression for the riskless interest rate has been derived. We have also provided a partial differential equation satisfied by any contingent claim written on basic risky asset. The stochastic discount factor has been defined and computed in our framework. Based on the stochastic discount factor, we have provided an explanation for the equity premium puzzle.
Download or read book General equilibrium continuous time asset pricing in the presence of 1 portfolio insurers and 2 non price taking investors written by Suleyman Basak and published by . This book was released on 1993 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Asset Pricing with Recursive Preferences written by Ric Colacito and published by . This book was released on 2017 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on data from the US and UK, we document that both the anomaly identified by Backus and Smith (1993), which concerns the low correlation between consumption differentials and exchange rates, and the forward-premium anomaly, which concerns the tendency of high interest rate currencies to appreciate, have become more severe over time. Taking into account different capital mobility regimes, we show that these anomalies turn into general equilibrium regularities in a two-country and two-good economy with Epstein and Zin (1989) preferences, frictionless markets, and correlated long-run growth prospects.
Download or read book Asset Pricing in Production Economies When Capital Inputs are Heterogeneous written by Nicole Branger and published by . This book was released on 2016 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies asset pricing implications of heterogeneity across capital inputs. We build a general equilibrium model including two types of capital. The agents in our economy have Epstein and Zin (1989) preferences and technology is exposed to long-run risks in productivity growth. Following the literature, production inputs differ with respect to rates of depreciation and adjustment cost. We explain both, differences in returns and investment behaviour for two types of capital. Model implied asset pricing and relevant macroeconomic moments are in line with empirical data. To fully capture the effect of small but persistent shocks to the expected growth rate of productivity in a DSGE framework, the model is solved with a global non-linear solution algorithm. It is shown, when including long-run risks in productivity growth in conjunction with capital heterogeneity, using local Taylor-expansion based methods will not suffice, to obtain a satisfactory accuracy of approximation.
Download or read book A General Equilibrium Approach to Asset Pricing in an Efficient Market written by Ralph Chami and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper derives closed-form solutions for asset returns, investment, consumption and inflation in an economy with multi-good Cobb-Douglas production and consumer preferences as in Epstein and Zin (1991). The implied solutions are relatively simple, with an index of aggregate marginal product of capital forming the main determinant of asset returns. Consumption may be substituted out of the asset pricing relationship entirely. It is shown that this model may be viewed as a generalized Capital Asset Pricing Model (CAPM). The paper estimates the asset pricing relationships for returns on 17 portfolios of 2-digit SIC manufacturing industries and the automobile industry. The performance of this model is also compared with the results of the static CAPM, the factor model of Chen, Roll, and Ross (1986), the consumption based CAPM and Marshall's (1992) asset-pricing model using goodness-of-fit tests under the generalized method of moments procedure. The overall evidence suggests that the general equilibrium model is itself a reasonable model of returns and is competitive with other standard asset pricing models.
Download or read book General Equilibrium Theory written by Ross M. Starr and published by Cambridge University Press. This book was released on 1997-07-13 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: General Equilibrium Theory: An Introduction treats the classic Arrow-Debreu general equilibrium model in a form accessible to graduate students and advanced undergraduates in economics and mathematics. Topics covered include mathematical preliminaries, households and firms, existence of general equilibrium, Pareto efficiency of general equilibrium, the First and Second Fundamental Theorems of Welfare Economics, the core and core convergences, future markets over time and contingent commodity markets under uncertainty. Demand, supply, and excess demand appear first as (point-valued) functions, then optionally as (set-valued) correspondences. The mathematics presented (with elementary proofs of the theorems) includes a real analysis, the Brouwer fixed point theorem, and separating and supporting hyperplane theorems. Optional chapters introduce the existence of equilibrium with set-valued supply and demand, the mathematics of upper and lower hemicontinuous correspondences, and the Kakutani fixed point theorem. The treatment emphasizes clarity and accessibility to the student through use of examples and intuition.
Download or read book Information in Financial Asset Prices written by Bank of Canada and published by . This book was released on 1999 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monetary policy, asset, cosumption, inflation, high frequency data, central bank, stock prices, United States, Canada, interest rate.
Download or read book NBER Macroeconomics Annual 2000 written by Ben Bernanke and published by Mit Press. This book was released on 2001-02-19 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: The NBER Macroeconomics Annual presents, extends, and applies pioneering work in macroeconomics and stimulates work by macroeconomists on important policy issues. Each paper in the Annual is followed by comments and discussion.
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.
Download or read book Journal of International Money and Finance written by and published by . This book was released on 2001 with total page 1112 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
Download or read book General Equilibrium Growth and Trade II written by Robert Becker and published by Academic Press. This book was released on 2014-05-10 with total page 630 pages. Available in PDF, EPUB and Kindle. Book excerpt: General Equilibrium, Growth, and Trade, Volume II: The Legacy of Lionel McKenzie presents the impact of Lionel McKenzie's contributions on modern economics. This book discusses McKenzie's researches that are relevant in applied economic fields, including general equilibrium, optimal growth, and international trade. Organized into three parts encompassing 24 chapters, this volume begins with an overview of the existence of competitive equilibrium in an economy with a finite number of agents and commodities. This text then presents two analyses that are basically responses to criticism of the development of real indeterminacy. Other chapters consider McKenzie's assumption of irreducibility, which plays a significant role in showing how compensated equilibria will be uncompensated equilibria because agents have cheaper net trade vectors in their feasible sets. This book discusses as well some properties of competitive equilibria for dynamic exchange economies with an infinite horizon and incomplete financial markets. This book is a valuable resource for economists and economic theorists.
Download or read book Derivatives written by Espen Gaarder Haug and published by John Wiley & Sons. This book was released on 2007-07-16 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Derivatives Models on Models takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics are covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives. The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance. The accompanying CD-ROM with additional Excel sheets includes the mathematical models covered in the book. The book also includes interviews with some of the world’s top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees include: Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration Nassim Taleb on Black Swans Stephen Ross on Arbitrage Pricing Theory Emanuel Derman the Wall Street Quant Edward Thorp on Gambling and Trading Peter Carr the Wall Street Wizard of Option Symmetry and Volatility Aaron Brown on Gambling, Poker and Trading David Bates on Crash and Jumps Andrei Khrennikov on Negative Probabilities Elie Ayache on Option Trading and Modeling Peter Jaeckel on Monte Carlo Simulation Alan Lewis on Stochastic Volatility and Jumps Paul Wilmott on Paul Wilmott Knut Aase on Catastrophes and Financial Economics Eduardo Schwartz the Yoga Master of Quantitative Finance Bruno Dupire on Local and Stochastic Volatility Models
Download or read book IMF Staff Papers Volume 50 Special Issue IMF Third Annual Research Conference written by Mr.Robert P. Flood and published by International Monetary Fund. This book was released on 2003-08-25 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper discusses a model in which growth is a negative function of fiscal burden. Moreover, growth discontinuously switches from high to low as the fiscal burden reaches a critical level. The paper provides an overview of key elements of corporate bankruptcy codes and practice around the world that are relevant to the debate on sovereign debt restructuring. It also describes the broad trends in international financial integration for a sample of industrial countries and explains the cross-country and time-series variation in the size of international balance sheets.
Download or read book Terms Of Trade Glossary Of International Economics 2nd Edition written by Alan V Deardorff and published by World Scientific. This book was released on 2014-03-24 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: Have you ever wondered what a term in international economics means? This useful reference book offers a glossary of terms in both international trade and international finance, with emphasis on economic issues. It is intended for students getting their first exposure to international economics, although advanced students will also find it useful for some of the more obscure terms that they have forgotten or never encountered.Besides an extensive glossary of terms that has been expanded about 50% from the first edition, there is a picture gallery of diagrams used to explain key concepts such as the Edgeworth Production Box and the Offer Curve Diagram in international economics. This section is followed by over 30 lists of terms that occur a lot in international economics, grouped by subject to help users find terms that they cannot recall.Prior to an enlarged bibliography is an expanded section on the origins of terms in international economics, which records what the author has been able to learn about the origins of some of the terms used in international economics. This is a must-have portable glossary in international trade and international economics!
