Showing 1 - 10 of 93
A key criticism of the existing empirical literature on the risk-return relation relates to the relatively small amount of conditioning information used to model the conditional mean and conditional volatility of excess stock market returns. To the extent that financial market participants have...
Persistent link: https://www.econbiz.de/10012467202
Persistent link: https://www.econbiz.de/10009312216
Asset pricing and climate policy are analyzed in a global economy where consumption goods are produced by both a green and a carbon-intensive sector. We allow for endogenous growth and three types of damages from global warming. It is shown that, initially, the desire to diversify assets...
Persistent link: https://www.econbiz.de/10012258563
This article studies the equivalence between labor and consumption taxes in a stochastic context, where the government can undertake an active portfolio management strategy by investing in both risk-free and risky assets. Using a two-period model we show that such taxes let consumers make the...
Persistent link: https://www.econbiz.de/10003820652
Persistent link: https://www.econbiz.de/10008666990
Persistent link: https://www.econbiz.de/10008667625
Persistent link: https://www.econbiz.de/10003496853
Persistent link: https://www.econbiz.de/10009156014
This paper uses stochastic simulations on calibrated models to assess the steady state impact of different pension arrangements in an environment where financial markets are less than perfect. Surprisingly little is known about the optimal split between funded and unfunded systems when there are...
Persistent link: https://www.econbiz.de/10011398101
We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall. We show that these conditions neither imply,...
Persistent link: https://www.econbiz.de/10011398103