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Endogenous Leverage and Asset Pricing in Double Auctions
Breuer, Thomas; Summer, Martin; Vollbrecht, Hans-Joachim - 2013
leverage by studying a model that simultaneously describes dynamic and equilibrium properties of the market. Rather than taking … important because the economics of leverage is key to the understanding of financial crisis. We find that simulated double … assets are traded at a price above fundamental value in the double auction. The equilibrium level of leverage also emerges in …
Persistent link: https://www.econbiz.de/10013370101
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Endogenous leverage and asset pricing in double auctions
Breuer, Thomas; Jandačka, Martin; Summer, Martin; … - In: Journal of Economic Dynamics and Control 53 (2015) C, pp. 144-160
framework we validate recent results in general equilibrium theory about endogenous leverage and its consequences for asset …
Persistent link: https://www.econbiz.de/10011209192
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Using sentiment surveys to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647399
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Endogenous leverage and asset pricing in double auctions
Breuer, Thomas; Jandačka, Martin; Summer, Martin; … - In: Journal of economic dynamics & control 53 (2015), pp. 144-160
Persistent link: https://www.econbiz.de/10011526908
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Working Paper 184
Vollbrecht, Hans-Joachim; Summer, Martin; Breuer, Thomas - Oesterreichische Nationalbank - 2013
leverage by studying a model that simultaneously describes dynamic and equilibrium properties of the market. Rather than taking … important because the economics of leverage is key to the understanding of financial crisis. We find that simulated double … assets are traded at a price above fundamental value in the double auction. The equilibrium level of leverage also emerges in …
Persistent link: https://www.econbiz.de/10010727854
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Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market
Schasfoort, Joeri; Stockermans, Christopher - 2017
The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...
Persistent link: https://www.econbiz.de/10011725200
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Fundamentals unknown : momentum, mean-reversion and price-to-earnings trading in an artificial stock market
Schasfoort, Joeri; Stockermans, Christopher - 2017
The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...
Persistent link: https://www.econbiz.de/10011723700
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Computational Methods for Production-Based Asset Pricing Models with Recursive Utility
Aldrich, Eric M.; Kung, Howard - Duke University, Department of Economics - 2010
We compare local and global polynomial solution methods for DSGE models with Epstein- Zin-Weil utility. We show that model implications for macroeconomic quantities are relatively invariant to choice of solution method but that a global method can yield substantial improve- ments for asset...
Persistent link: https://www.econbiz.de/10009148802
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Macroeconomic implications of financial imperfections: A survey
Claessens, Stijn; Kose, M. Ayhan - 2017
This paper surveys the theoretical and empirical literature on the macroeconomic implications of financial imperfections. It focuses on two major channels through which financial imperfections can affect macroeconomic outcomes. The first channel, which operates through the demand side of finance...
Persistent link: https://www.econbiz.de/10012060201
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Macroeconomic implications of financial imperfections : a survey
Claessens, Stijn; Kose, M. Ayhan - 2017
This paper surveys the theoretical and empirical literature on the macroeconomic implications of financial imperfections. It focuses on two major channels through which financial imperfections can affect macroeconomic outcomes. The first channel, which operates through the demand side of finance...
Persistent link: https://www.econbiz.de/10011778050