This thesis explores the important link between macroeconomic dynamics and the financial sector. The first essay studies Epstein-Zin preferences, which are found to be able to account for both aggregate macroeconomic dynamics and asset prices. In the first essay, I compare different solution...

Empirically, the conditional volatility of aggregate consumption growth varies over time. While many papers test the consumption CAPM based on realized consumption growth, little is known about how the time-variation of consumption growth volatility affects asset prices. We show that in a model...

In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are...

The assumption of perfectly rational representative agents is commonly questioned. This paper explores the equilibrium properties of boundedly rational heterogeneous agents. We combine an adaptive learning process in a modified cobweb model within a Stackleberg framework. We assume that there is...

How fast transition should occur and how fast privatization and/or entry should take place in formerly socialist economies has been widely debated by economists. The field evidence on start-ups is mixed, with fragmentary data indicating that the performance of start-ups varies widely across...

xi, 87 p. : ill. A print copy of this thesis is available through the UO Libraries. Search the library catalog for the location and call number.

x, 132 p. : ill. A print copy of this thesis is available through the UO Libraries. Search the library catalog for the location and call number.

This paper provides an adaptive learning algorithm for linear stochastic models with expectational leads in which forecasts for an arbitrary period ahead of the current state feed back into the economic system. The concept of an unbiased forecasting rule with generates rational expectations...

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...