We use a two-sector model of structural transformation and balanced growth to show that the real interest rate, measured as the return on capital in units of GDP or in units of aggregate consumption, declines as income grows. This is due to the differential TFP growth in the goods producing...

This paper develops a two-sector dynamic stochastic general equilibrium model to measure intangible capital stock and studies the implied riskiness of market value of capital. The equilibrium of the economy is characterized by a state-space representation of dynamic system. Kalman filter...

We employ a neoclassical growth model to assess the impact of financial liberalization in a developing country on capital owners` and workers` consumption and welfare. We find in a baseline calibration for an average non-OECD country that capitalists suffer a 42 percent reduction in permanent...

This study extends the production--based asset pricing framework into cryptocurrency markets by examining cryptocurrency miners' optimization. Under q--theory, cryptocurrency miners optimally adjust the supply of cryptocurrencies to changes in electricity prices. The first–order condition of...

This paper studies wealth redistribution in a framework where individual portfolio choices and associated returns are correlated with wealth through: (i) type dependence, which reflects that investment skills drive returns and (ii) scale dependence, which captures that wealth itself triggers...

A simple general equilibrium production economy matches moments of the value premium and equity premium. Value firms have low productivity, but will eventually produce high cash flows. The present value of these temporally distant cash flows is especially sensitive to equity premium movements....