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Risk premiums and macroeconomic dynamics in a heterogeneous agent model
Graeve, Ferre De; Dossche, Maarten; Emiris, Marina; … - Nationale Bank van België/Banque national de Belqique (BNB) - 2008
We analyze financial risk premiums and real economic dynamics in a DSGE model with three types of agents - shareholders, bondholders and workers - that differ in participation in the capital market and in terms of risk aversion. Aggregate productivity and distribution risk are shared among these...
Persistent link: https://www.econbiz.de/10005033320
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Risk premiums and macroeconomic dynamics in a heterogeneous agent model
De Graeve, Ferre; Dossche, Maarten; Emiris, Marina; … - In: Journal of Economic Dynamics and Control 34 (2010) 9, pp. 1680-1699
We analyze financial risk premiums and real economic dynamics in a DSGE model with three types of agents--shareholders, bondholders and workers--that differ in participation in the capital market and in attitude towards risk and intertemporal substitution. Aggregate productivity and distribution...
Persistent link: https://www.econbiz.de/10008864773
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Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model
De Graeve, Ferre; Dossche, Maarten; Emiris, Marina; … - Sveriges Riksbank - 2010
We analyze financial risk premiums and real economic dynamics in a DSGE model with three types of agents - shareholders, bondholders and workers - that differ in participation in the capital market and in attitude towards risk and intertemporal substitution. Aggregate productivity and...
Persistent link: https://www.econbiz.de/10008626087
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Risk premiums and macroeconomic dynamics in a heterogeneous agent model
De Graeve, Ferre; Dossche, Maarten; Emiris, Marina; … - 2010
We analyze financial risk premiums and real economic dynamics in a DSGE model with three types of agents - shareholders, bondholders and workers - that differ in participation in the capital market and in attitude towards risk and intertemporal sub- stitution. Aggregate productivity and...
Persistent link: https://www.econbiz.de/10010320728
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A structural decomposition of the US yield curve
De Graeve, Ferre; Emiris, Marina; Wouters, Raf - In: Journal of Monetary Economics 56 (2009) 4, pp. 545-559
By expanding the macro part of macro-finance models, historical fluctuations in US bond yields turn out to be largely consistent with the rational expectations hypothesis. We estimate a medium-scale macro-finance DSGE model of the term structure to establish this. Our finding contrasts with...
Persistent link: https://www.econbiz.de/10005006140
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Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model
Graeve, Ferre de; Dossche, Maarten; Emiris, Marina; … - Centre de Recherche en Économie Appliquée (CREA), … - 2009
We analyze financial risk premiums and real economic dynamics in a DSGE model with three types of agents - shareholders, bondholders and workers - that differ in participation in the capital market and in attitude towards risk and intertemporal sub- stitution. Aggregate productivity and...
Persistent link: https://www.econbiz.de/10008502030
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Risk premiums and macroeconomic dynamics in a heterogeneous agent model
De Graeve, Ferre; Dossche, Maarten; Emiris, Marina; … - 2008
We analyze financial risk premiums and real economic dynamics in a DSGE model with three types of agents - shareholders, bondholders and workers - that differ in participation in the capital market and in terms of risk aversion. Aggregate productivity and distribution risk are shared among these...
Persistent link: https://www.econbiz.de/10011506671
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Risk premiums and macroeconomic dynamics in a heterogeneous agent model
De Graeve, Ferre; Dossche, Maarten; Emiris, Marina; … - 2008
Persistent link: https://www.econbiz.de/10003770883
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A structural decomposition of the US yield curve
De Graeve, Ferre; Emiris, Marina; Wouters, Rafael - In: Journal of monetary economics 56 (2009) 4, pp. 545-559
Persistent link: https://www.econbiz.de/10003850597
Cover Image
Risk premiums and macroeconomic dynamics in a heterogeneous agent model
De Graeve, Ferre; Dossche, Maarten; Emiris, Marina; … - In: Journal of economic dynamics & control 34 (2010) 9, pp. 1680-1699
Persistent link: https://www.econbiz.de/10009125840