transform the risk-neutral density into a ‘real-world’ density that better reflect agents’ actual expectations. This work offers …

We examine the effect of introducing stochastic shocks into a linear rational expectations model with saddlepoint …

result from a more stable output gap, which is the consequence of a much lower volatility in firms’ investment. However …

in this literature through the analysis of a simple linear rational expectations model. From this exercise we conclude …

Expectations play a major role in macroeconomic dynamics, especially regarding the conduct of monetary policy. Yet …, modeling the interplay between communication, expectations and aggregate outcomes remains a challenging task, mainly because … this requires deviation from the paradigm of rational expectations and perfect information. While agent-based macro models …

We recast the capital asset pricing model (CAPM) in the broader context of general equilibrium with incomplete markets … (GEI). In this setting we give proofs of three properties of CAPM equilibria: they are efficient, asset prices lie on a … depend on covariances, not variances. We extend CAPM to many consumption goods in such a way that all three properties hold …