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Implications of security market data for models of dynamic economies

Hansen, Lars Peter; Jagannathan, Ravi - Federal Reserve Bank of Minneapolis - 1990

We show how to use security market data to restrict the admissible region for means and standard deviations of intertemporal marginal rates of substitution (IMRS’s) of consumers. Our approach is (i) nonparametric and applies to a rich class of models of dynamic economies; (ii) characterizes...

Persistent link: https://www.econbiz.de/10005372827

Rational herd behavior and the globalization of securities markets

Calvo, Guillermo A.; Mendoza, Enrique G. - Federal Reserve Bank of Minneapolis - 1997

This paper shows that globalization of securities markets exacerbates the volatility of capital flows by strengthening …

Persistent link: https://www.econbiz.de/10005372842

A microfoundation for incomplete security markets

Cole, Harold L.; Kocherlakota, Narayana R. - Federal Reserve Bank of Minneapolis - 1997

We consider a simple environment in which individuals receive income shocks that are unobservable to others and can privately store resources. We show that this ability to privately store can undercut the ability to shift resources across individuals to the extent that the efficient allocation...

Persistent link: https://www.econbiz.de/10005526352

Coexistence of money and interest-bearing securities

Aiyagari, S. Rao; Wallace, Neil; Wright, Randall - Federal Reserve Bank of Minneapolis - 1996

securities issued by the government. There is always one steady state with matured securities circulating at par and, for some … nominal yield on not-yet-matured securities is exogenous discriminatory treatment of them by the government. In the latter …, the post-maturity discount on securities induces a deeper pre-maturity discount even without such discriminatory treatment. …

Persistent link: https://www.econbiz.de/10005726734