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This paper introduces state dependent utility into the standard Mehra and Prescott (1985) economy by allowing the representative agent's coefficient of relative risk aversion to vary with the underlying economy's growth rate. Existence of equilibrium is proved and its asymptotic properties...
Persistent link: https://www.econbiz.de/10005518814
This paper introduces state dependent utility into the standard Mehra and Prescott (1985) economy by allowing the representative agent’s coefficient of relative risk aversion to vary with the underlying economy’s growth rate. Existence of equilibrium is proved and its asymptotic properties...
Persistent link: https://www.econbiz.de/10005612060
Persistent link: https://www.econbiz.de/10001735340
This paper introduces state dependent utility into the standard Mehra and Prescott (1985) economy by allowing the representative agent's coefficient of relative risk aversion to vary with the underlying economy's growth rate. Existence of equilibrium is proved and its asymptotic properties...
Persistent link: https://www.econbiz.de/10012714925
Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity manager performance. This study proposes a novel methodology for crafting timing signals to hedge sectors' downside risk. These signals can be integrated into existing strategies...
Persistent link: https://www.econbiz.de/10014497324
We are interested in the macroeconomic implications of the separation of ownership andcontrol. An alternative decentralized interpretation of the stochastic growth model isproposed, one where shareholders hire a self-interested manager who is in charge of thefirm's hiring and investment...
Persistent link: https://www.econbiz.de/10005843489
We are interested in the macroeconomic implications of the separation of ownership and control. An alternative decentralized interpretation of the stochastic growth model is proposed, one where shareholders hire a self-interested manager who is in charge of the firm's hiring and investment...
Persistent link: https://www.econbiz.de/10005518799
In this paper we entertain the hypothesis that observed variations in income shares are the result of changes in the balance of power between workers and capital owners in labor relations. We show that this view implies that income share variations represent a risk factor of ¯rst-order...
Persistent link: https://www.econbiz.de/10005518823
One interpretation of the RBC research program is that it was meant to identify and incorporate into dynamic general equilibrium models those market imperfections which are most relevant for macroeconomic theory and policy. This paper reviews the methodological basis for this interpretation. It...
Persistent link: https://www.econbiz.de/10005518847
The objective of this paper is to propose a number of alternative decentralized interpretations of representative agent style stochastic growth economies and to explore their implications for the generality of this model construct. Under our first interpretation, firms exist forever and...
Persistent link: https://www.econbiz.de/10005481767