Showing 1 - 5 of 5
Persistent link: https://www.econbiz.de/10010487089
Persistent link: https://www.econbiz.de/10012805776
We incorporate regime switching between monetary and fiscal policies in a general equilibrium model to explain three stylized facts: (1) the positive stock-bond return correlation from 1971 to 2000 and the negative one after 2000, (2) the negative correlation between consumption and inflation...
Persistent link: https://www.econbiz.de/10013232566
Persistent link: https://www.econbiz.de/10011610100
This paper offers an ambiguity-based interpretation of variance premium - the difference between risk-neutral and objective expectations of market return variance - as a compounding effect of both belief distortion and variance differential regarding the uncertain economic regimes. Our approach...
Persistent link: https://www.econbiz.de/10011939896