Download or read book Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium written by Clemens Sialm and published by . This book was released on 2000 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium written by and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asset Prices and Efficiency in a Krebs Economy written by Alexis Akira Toda and published by . This book was released on 2015 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: I study the asset pricing implications and the efficiency of a tractable dynamic stochastic general equilibrium model with heterogeneous agents and incomplete markets along the lines of Krebs (2003a). Contrary to previous applications of these types of models, I find that generically the distribution of idiosyncratic shocks affects the risk premia of aggregate shocks and that the equilibrium is constrained inefficient in the sense that a planner can Pareto improve the equilibrium outcome by assigning different portfolio choices to agents. The inefficiency is caused by a 'portfolio externality': the average portfolio of the economy affects the portfolio return of each agent. The constrained efficient outcome can be achieved through linear taxes and subsidies that I characterize in closed-form.

Download or read book Macroeconomic Risks and Asset Pricing written by Erica X. N. Li and published by . This book was released on 2018 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the relation between macroeconomic fundamentals and asset pricing through the lens of a dynamic stochastic general equilibrium (DSGE) model. We provide full-information Bayesian estimation of the DSGE model using macroeconomic variables and extract the time-series of four latent fundamental shocks of the model: neutral technology shock, investment-specific technological shock, monetary policy shock, and risk shock. Asset pricing tests show that our model-implied four-factor model can explain a number of prominent cross-sectional return spreads: size, book-to-market, investment, earnings, and long-term reversal. The investment-specific technological shock and risk shock play the most important role in explaining those return spreads.

Download or read book STOCHASTIC TAXATION AND ASSET PRICING IN DYNAMIC GENERAL EQUILIBRIUM written by CLEMENS SIALM and published by . This book was released on 2003 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asset Pricing for Dynamic Economies written by Sumru Altug and published by . This book was released on 2008 with total page 584 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.

Download or read book Background Information about the Dynamic Stochastic General Equilibrium Model Used by the Staff of the Joint Committee on Taxation in the Macroeconomic Analysis of Tax Policy written by United States. Congress. Joint Committee on Taxation and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Background Information about the Dynamic Stochastic General Equilibrium Model Used by the Staff of the Joint Committee on Taxation in the Macroeconomic Analysis of Tax Policy written by and published by . This book was released on 2006 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Redistributive Taxation in Dynamic General Equilibrium with Heterogeneous Agents written by Putz, Christian and published by University of Bamberg Press. This book was released on 2019 with total page 359 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asset Pricing in a Production Economy with Heterogeneous Investors written by Jin E. Zhang and published by . This book was released on 2006 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is a theoretical examination of the stochastic behavior of equilibrium asset prices in an economy consisting of a production process controlled by a state variable representing the state of technology. The investors with different degrees of risk aversion and time preferences trade and lend among themselves in order to maximize their individual utilities of life time consumption. The allocation of wealth fluctuates randomly among them and acts as a state variable against which each investor wants to hedge. This hedging motive complicates the investor's portfolio choice and the equilibrium in the production economy. A general method of constructing equilibrium asset prices is developed and the wealth effect in the general equilibrium is discussed.The equilibrium market prices of risks and risk-free rate in a production economy with one representative investor has been presented by Cox, Ingersoll and Ross (1985). Considerable progress has been made by Dumas (1989) and Vasicek (2005) on the case of heterogeneous investors, however a complete description of the general equilibrium in the production economy with heterogeneous investors is yet to be developed. That is the focus of this paper.This paper establishes an economic model for the equilibrium asset prices by solving the joint optimization problem with proper market clearing conditions. The equilibrium conditions of the two party dynamic game are written as a set of two highly entangled nonlinear partial differential equations. The result can be extended to handle the case of multiple heterogeneous investors.

Download or read book Comparative Statics of General Equilibrium Asset pricing written by Theodoros M. Diasakos and published by . This book was released on 2007 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asset Pricing in a Dynamic General Equilibrium Framework written by Dejan Kukic and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Asset Pricing Real Estate Markets and the Business Cycle written by Ivan Jaccard and published by . This book was released on 2006 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Equilibrium Asset Pricing Model with Labor Market Search written by Lars-Alexander Kuehn and published by . This book was released on 2012 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Search frictions in the labor market help explain the equity premium in the financial market. We embed the Diamond-Mortensen-Pissarides search framework into a dynamic stochastic general equilibrium model with recursive preferences. The model produces a sizeable equity premium of 4.54% per annum with a low interest rate volatility of 1.34%. The equity premium is strongly countercyclical, and forecastable with labor market tightness, a pattern we confirm in the data. Intriguingly, search frictions, combined with a small labor surplus and large job destruction flows, give rise endogenously to rare disaster risks a la Rietz (1988) and Barro (2006).

Download or read book Dynamic Macroeconomic Analysis written by Sumru Altug and published by Cambridge University Press. This book was released on 2003-11-20 with total page 614 pages. Available in PDF, EPUB and Kindle. Book excerpt: A survey of key issues relevant for the analysis of modern dynamic economies.

Download or read book Multisectoral and multiasset stochastic dynamic general equilibrium models written by Gyeong Lyeob Cho and published by . This book was released on 1997 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: