ASSET PRICING IN DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS WITH INDETERMINACY

Autor:	Natalia Gershun, Sharon G. Harrison
Rok vydání:	2007
Předmět:	Economics and Econometrics Stylized fact Returns to scale Stochastic investment model Financial economics Equity premium puzzle Consumption-based capital asset pricing model Econometrics Economics Dynamic stochastic general equilibrium Capital asset pricing model Context (language use)
Zdroj:	Macroeconomic Dynamics. 12:50-71
ISSN:	1469-8056 1365-1005
DOI:	10.1017/s1365100507060373
Popis:	We explore asset pricing in the context of the one-sector Benhabib-Farmer-Guo (BFG) model with increasing returns to scale in production and compare our results with financial implications of the standard dynamic stochastic general equilibrium (DSGE) model. Our main goal is to determine the effects of local indeterminacy and the presence of sunspot shocks on asset pricing. We find that the BFG model does not adequately represent key stylized facts of U.S. capital markets and does not improve on the asset-pricing results obtained in the standard DSGE model.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::cafff3b0b10a9b69c7b6a6e49e9afdbb https://doi.org/10.1017/s1365100507060373 Zobrazit plný text záznamu