Narrow search
Showing 1 - 10 of 94,442
Cover Image
The return on everything and the business cycle in production economies
Fehrle, Daniel; Heiberger, Christopher - 2020
The risk premium puzzle is even worse than previously reported if housing is also taken into consideration next to … equity. While housing premia are only moderately smaller than equity premia, they are significantly less volatile and the … Sharpe ratio of housing is significantly larger. Hence, three question arise: i) are existing approaches to explain the …
Persistent link: https://www.econbiz.de/10012180532
Cover Image
The return on everything and the business cycle in production economies
Heiberger, Christopher; Fehrle, Daniel - 2020
The risk premium puzzle is even worse than previously reported if housing is also taken into consideration next to … equity. While housing premia are only moderately smaller than equity premia, they are significantly less volatile and the … Sharpe ratio of housing is significantly larger. Hence, three question arise: i) are existing approaches to explain the …
Persistent link: https://www.econbiz.de/10013329980
Cover Image
The return on everything and the business cycle in production economies
Heiberger, Christopher; Fehrle, Daniel - 2020
The risk premium puzzle is even worse than previously reported if housing is also taken into consideration next to … equity. While housing premia are only moderately smaller than equity premia, they are significantly less volatile and the … Sharpe ratio of housing is significantly larger. Hence, three question arise: i) are existing approaches to explain the …
Persistent link: https://www.econbiz.de/10012252842
Cover Image
Solution methods for models with rare disasters
Fernández-Villaverde, Jesús; Levintal, Oren - In: Quantitative Economics 9 (2018) 2, pp. 903-944
This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with rare disasters along the lines of those proposed by Rietz (1988), Barro (2006), Gabaix (2012), and Gourio (2012). DSGE models with rare disasters require...
Persistent link: https://www.econbiz.de/10012215348
Cover Image
Solution methods for models with rare disasters
Fernández-Villaverde, Jesús; Levintal, Oren - In: Quantitative economics : QE ; journal of the … 9 (2018) 2, pp. 903-944
This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with rare disasters along the lines of those proposed by Rietz (1988), Barro (2006), Gabaix (2012), and Gourio (2012). DSGE models with rare disasters require...
Persistent link: https://www.econbiz.de/10011994514
Cover Image
The return on everything and the business cycle in production economies
Fehrle, Daniel; Heiberger, Christopher - In: Economic modelling 136 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10014549145
Cover Image
Asset returns, the business cycle, and the labor market: A sensitivity analysis for the German economy
Heer, Burkhard; Maußner, Alfred - 2011
We review the labor market implications of recent real-business-cycle models that successfully replicate the empirical equity premium. We document the fact that all models considered in this survey with the exception of Boldrin, Christiano, and Fisher (2001) imply a negative correlation of...
Persistent link: https://www.econbiz.de/10010275854
Cover Image
Log-normal approximation of the equity premium in the production model
Heer, Burkhard; Maußner, Alfred - 2010
The conditional equity premium in the model with production is often approximated by assuming a jointly log-normal distribution of the marginal rate of substitution in consumption and the marginal productivity of capital. We show that, for standard parameterization, this premium is about one...
Persistent link: https://www.econbiz.de/10010275855
Cover Image
Asset Returns, the Business Cycle, and the Labor Market: A Sensitivity Analysis for the German Economy
Heer, Burkhard; Maussner, Alfred - CESifo - 2011
We review the labor market implications of recent real-business-cycle models that successfully replicate the empirical equity premium. We document the fact that all models considered in this survey with the exception of Boldrin, Christiano, and Fisher (2001) imply a negative correlation of...
Persistent link: https://www.econbiz.de/10008872218
Cover Image
Log-Normal Approximation of the Equity Premium in the Production Model
Heer, Burkhard; Maussner, Alfred - CESifo - 2010
The conditional equity premium in the model with production is often approximated by assuming a jointly log-normal distribution of the marginal rate of substitution in consumption and the marginal productivity of capital. We show that, for standard parameterization, this premium is about one...
Persistent link: https://www.econbiz.de/10008833923