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that seems at odds with basic notions of risk and return. In this paper we construct an economy where production involves … between stock market risk and return varies in accordance with the supply of labor but requires no time variation in … positive risk-return relation obtains. Conversely, a negative relation obtains for asset market equilibria where there is …
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I investigate whether the popular Krusell and Smith algorithm used to solve heterogeneousagent economies with aggregate uncertainty and incomplete markets is likely to be subject to multiple self-fulfilling equilibria. In a benchmark economy, the parameters representing the equilibrium aggregate...
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This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MSVAR) model, and compare its in-sample and...
Persistent link: https://www.econbiz.de/10011443536
This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MS-VAR) model, and compare its in-sample and...
Persistent link: https://www.econbiz.de/10011554324