Macroeconomic risks and asset pricing : evidence from a dynamic stochastic general equilibrium model
Year of publication: |
2019
|
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Authors: | Li, Erica X. N. ; Li, Haitao ; Wang, Shujing ; Yu, Cindy |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 65.2019, 8, p. 3585-3604
|
Subject: | DSGE model | Bayesian MCMC estimation | stock returns | neutral technology shock | investment-specific technology shock | monetary policy shock | risk shock | Schock | Shock | Dynamisches Gleichgewicht | Dynamic equilibrium | Geldpolitik | Monetary policy | Technischer Fortschritt | Technological change | Bayes-Statistik | Bayesian inference | Schätzung | Estimation | Investition | Investment | CAPM | Risiko | Risk | Real-Business-Cycle-Theorie | Real business cycle model | Kapitaleinkommen | Capital income | Volatilität | Volatility |
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