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The effects of uncertainty on optimal consumption
Mason, Robin; Wright, Stephen - In: Journal of economic dynamics & control 25 (2001) 1/2, pp. 185-212
Persistent link: https://www.econbiz.de/10001518181
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Les comportements boursiers sont-ils eulériens?
Prat, Georges - In: Revue économique : revue bimestrielle 58 (2007) 2, pp. 427-453
Persistent link: https://www.econbiz.de/10003439735
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A flexible approach to estimate the equity premium
Bonaparte, Yosef; Fabozzi, Frank J. - In: Applied economics 49 (2017) 59, pp. 5940-5950
Persistent link: https://www.econbiz.de/10011845875
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Two Flaws In Business Cycle Accounting
Christiano, Lawrence J. - 2006
Using 'business cycle accounting' (BCA), Chari, Kehoe and McGrattan (2006) (CKM) conclude that models of financial frictions which create a wedge in the intertemporal Euler equation are not promising avenues for modeling business cycle dynamics. There are two reasons that this conclusion is not...
Persistent link: https://www.econbiz.de/10012466014
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Two Flaws in Business Cycle Accounting
Christiano, Lawrence J. - 2010
Using 'business cycle accounting' (BCA), Chari, Kehoe and McGrattan (2006) (CKM) conclude that models of financial frictions which create a wedge in the intertemporal Euler equation are not promising avenues for modeling business cycle dynamics. There are two reasons that this conclusion is not...
Persistent link: https://www.econbiz.de/10012760582
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Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns
Cecchetti, Stephen G. - 1992
The Euler equations derived from a broad range of intertemporal asset pricing models, together with the first two unconditional moments of asset returns, imply a lower bound on the volatility of the intertemporal marginal rate of substitution. We develop and implement statistical tests of these...
Persistent link: https://www.econbiz.de/10012474862
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Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns
Cecchetti, Stephen G. - 2007
The Euler equations derived from a broad range of intertemporal asset pricing models, together with the first two unconditional moments of asset returns, imply a lower bound on the volatility of the intertemporal marginal rate of substitution. We develop and implement statistical tests of these...
Persistent link: https://www.econbiz.de/10012776681
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Two Flaws in Business Cycle Accounting
Christiano, Lawrence J.; Davis, Joshua M. - 2006
Using 'business cycle accounting' (BCA), Chari, Kehoe and McGrattan (2006) (CKM) conclude that models of financial frictions which create a wedge in the intertemporal Euler equation are not promising avenues for modeling business cycle dynamics. There are two reasons that this conclusion is not...
Persistent link: https://www.econbiz.de/10014054962
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A Short Note on Expected Risk Adjusted Return Elasticity and Consumer Theory
Dapena, José Pablo - 2014
theory and particularly demand theory? Finally: May companies benefit from some sort of market power when selling risk to … questions were: Why would a diversified investor be willing to accept a supposedly lower equilibrium risk adjusted rate of … determination of the equilibrium risk adjusted rate of return, which could become more interesting in emerging markets where lack of …
Persistent link: https://www.econbiz.de/10013039831
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Durable consumption, long-run risk and the equity premium
Guo, Na; Smith, Peter N. - 2012
Persistent link: https://www.econbiz.de/10009728052