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An experimental comparison of two exchange economies : long-lived asset versus short-lived asset

Carbone, Enrica; Hey, John Denis; Neugebauer, Tibor - 2020

The Lucas (1978) Tree Model lies at the heart of modern macro-finance. At its core, it provides an analysis of the equilibrium price of a long-lived asset in an exchange economy where consumption is the objective, and the sole purpose of the asset is to smooth consumption through time....

Persistent link: https://www.econbiz.de/10012322400

Selection in incomplete markets and the CAPM portfolio rule

Bottazzi, Giulio; Giachini, Daniele - 2020

This paper studies whether, and to what extent, trading in an incomplete competitive market rewards the CAPM portfolio … assets’ expected payoff, and the relation between prices and returns implied by the CAPM does not generally hold. Conversely …

Persistent link: https://www.econbiz.de/10012308904

Consumption in incomplete markets

Guasoni, Paolo; Wang, Gu - In: Finance and stochastics 24 (2020) 2, pp. 383-422

Persistent link: https://www.econbiz.de/10012253363

General economic equilibrium with financial markets and retainability

Jofré, Alejandro; Rockafellar, Ralph Tyrrell; Wets, … - In: Economic theory : official journal of the Society for … 63 (2017) 1, pp. 309-345

Persistent link: https://www.econbiz.de/10011723555

Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints

Bosi, Stefano; Le Van, Cuong; Pham, Ngoc-Sang - In: Journal of mathematical economics 76 (2018), pp. 1-20

Persistent link: https://www.econbiz.de/10012105376

Arbitrage pricing in non-Walrasian financial markets

Carvajal, Andrés - In: Economic theory : official journal of the Society for … 66 (2018) 4, pp. 951-978

Persistent link: https://www.econbiz.de/10012010925

Long-run heterogeneity in an exchange economy with fixed-mix traders

Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - In: Economic theory : official journal of the Society for … 66 (2018) 2, pp. 407-447

Persistent link: https://www.econbiz.de/10011946642

Pricing and hedging GDP-linked bonds in incomplete markets

Consiglio, Andrea; Zenios, Stauros Andrea - 2018

Persistent link: https://www.econbiz.de/10011884964

Asset pricing and the propagation of macroeconomic shocks

Jaccard, Ivan - 2018

This paper considers the implications of habit formation and financial frictions for the propagation of macroeconomic shocks. In a model that is capable of matching asset pricing moments, a short-lived shock that destroys a small fraction of the economy's stock of pledgeable collateral generates...

Persistent link: https://www.econbiz.de/10011856397

Asset pricing and the propagation of macroeconomic shocks

Jaccard, Ivan - In: Journal of the European Economic Association 16 (2018) 2, pp. 436-486

Persistent link: https://www.econbiz.de/10011888699