In this dissertation I explain the relationship among inflation volatility, rationalbubbles, and asset prices. In addition, I investigate the transmission of asset prices andvolatility among countries.In the second chapter, which deals with the relationship between inflation volatilityand asset...

We analyze the pricing of a productive asset in a class of dynamic exchange economies with heterogeneous, infinitely-lived agents, and self-enforcing intertemporal trades. Individual incomes fluctuate and are correlated; preferences, dividends and aggregate income are fixed. Almost all economies...

Did monetary ease in the 1980s cause Japan's bubble, as is often suggested? Drawing on both a new cross-national consideration of the monetary policy-asset price linkage and a re-examination of what actually occurred in Japan 1985-1990, I conclude the bubble was just as likely to occur whatever...

Šiame darbe tikrinama efektyviosios rinkos hipotezė ir ieškomas ARIMA modelis pasirinktai akcijų kainų eilutei. Pakankama akcijų rinkos efektyvumo sąlyga yra atsitiktinio klaidžiojimo hipotezės galiojimas. Dėl to, naudojant autokoreliacijos koeficientų, Box – Pierce Q –...

We use the consumption-based asset pricing model with habit formation to study the predictability and cross-section of returns from the international equity markets. We find that the predictability of returns from many developed countries' equity markets is explained in part by changing prices...

Of the many analytical methods collectively referred to as Modern Portfolio Theory (MPT), the Capital Asset Pricing Model (CAPM) is the most familiar to today?s generation of students of finance. The popularity of the CAPM arises from its success in expressing a powerful theoretical insight in a...

In this paper, we study the asset pricing implication of imprecise knowledge about rare events. Modeling rare events as jumps in the aggregate endowment, we explicitly solve the equilibrium asset prices in a pure-exchange economy with a representative agent who is averse not only to risk but...

Dramatic changes in the relative prices of goods in international trade have accompanied, and indeed preceded, the global crisis. These changes are reflected in the terms of trade ofindividual countries and in the relative prices of goods within those countries. Asia-Pacific countries are...

Dramatic changes in the relative prices of goods in international trade have accompanied, and indeed preceded, the global crisis. These changes are reflected in the terms of trade of individual countries and in the relative prices of goods within those countries. Asia-Pacific countries are...

We contribute to the task of identifying trends and cycles in energy prices by examining very long series of prices for coal and oil, going back to 1650 in the case of coal and 1859 in the case of oil. We find annual rates of increase in real price of greater than two percent are found for coal...