Author: Clemens SialmPublisher:
ISBN:
Category :
Languages : en
Pages : 52
Book Description
Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium
Author: Clemens SialmStochastic Taxation and Asset Pricing in Dynamic General Equilibrium
Author: Asset Pricing for Dynamic Economies
Author: Sumru AltugPublisher: Cambridge University Press
ISBN: 1139474367
Category : Business & Economics
Languages : en
Pages : 686
Book Description
This introduction to general equilibrium modelling takes an integrated approach to the analysis of macroeconomics and finance. It provides students, practitioners, and policymakers with an easily accessible set of tools that can be used to analyze a wide range of economic phenomena. Key features: • Provides a consistent framework for understanding dynamic economic models • Introduces key concepts in finance in a discrete time setting • Develops simple recursive approach for analyzing a variety of problems in a dynamic, stochastic environment • Sequentially builds up the analysis of consumption, production, and investment models to study their implications for allocations and asset prices • Reviews business cycle analysis and the business cycle implications of monetary and international models • Covers latest research on asset pricing in overlapping generations models and on models with borrowing constraints and transaction costs • Includes end-of-chapter exercises allowing readers to monitor their understanding of each topic Online resources are available at www.cambridge.org/altug_labadie
Asset Prices and Efficiency in a Krebs Economy
Author: Alexis Akira TodaPublisher:
ISBN:
Category :
Languages : en
Pages : 32
Book Description
I study the asset pricing implications and the efficiency of a tractable dynamic stochastic general equilibrium model with heterogeneous agents and incomplete markets along the lines of Krebs (2003a). Contrary to previous applications of these types of models, I find that generically the distribution of idiosyncratic shocks affects the risk premia of aggregate shocks and that the equilibrium is constrained inefficient in the sense that a planner can Pareto improve the equilibrium outcome by assigning different portfolio choices to agents. The inefficiency is caused by a 'portfolio externality': the average portfolio of the economy affects the portfolio return of each agent. The constrained efficient outcome can be achieved through linear taxes and subsidies that I characterize in closed-form.
STOCHASTIC TAXATION AND ASSET PRICING IN DYNAMIC GENERAL EQUILIBRIUM
Author: CLEMENS SIALMAsset Pricing for Dynamic Economies
Author: Sumru AltugPublisher:
ISBN: 9781107714069
Category : Capital assets pricing model
Languages : en
Pages : 584
Book Description
This introduction to general equilibrium modelling takes an integrated approach to the analysis of macroeconomics and finance. It provides students, practitioners, and policymakers with an easily accessible set of tools that can be used to analyze a wide range of economic phenomena.
Redistributive Taxation in Dynamic General Equilibrium with Heterogeneous Agents
Author: Putz, ChristianPublisher: University of Bamberg Press
ISBN: 3863097025
Category : Political Science
Languages : en
Pages : 359
Book Description
Background Information about the Dynamic Stochastic General Equilibrium Model Used by the Staff of the Joint Committee on Taxation in the Macroeconomic Analysis of Tax Policy
Author: Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 9
Book Description
Asset Pricing in a Production Economy with Heterogeneous Investors
Author: Jin E. ZhangPublisher:
ISBN:
Category :
Languages : en
Pages : 36
Book Description
This paper is a theoretical examination of the stochastic behavior of equilibrium asset prices in an economy consisting of a production process controlled by a state variable representing the state of technology. The investors with different degrees of risk aversion and time preferences trade and lend among themselves in order to maximize their individual utilities of life time consumption. The allocation of wealth fluctuates randomly among them and acts as a state variable against which each investor wants to hedge. This hedging motive complicates the investor's portfolio choice and the equilibrium in the production economy. A general method of constructing equilibrium asset prices is developed and the wealth effect in the general equilibrium is discussed.The equilibrium market prices of risks and risk-free rate in a production economy with one representative investor has been presented by Cox, Ingersoll and Ross (1985). Considerable progress has been made by Dumas (1989) and Vasicek (2005) on the case of heterogeneous investors, however a complete description of the general equilibrium in the production economy with heterogeneous investors is yet to be developed. That is the focus of this paper.This paper establishes an economic model for the equilibrium asset prices by solving the joint optimization problem with proper market clearing conditions. The equilibrium conditions of the two party dynamic game are written as a set of two highly entangled nonlinear partial differential equations. The result can be extended to handle the case of multiple heterogeneous investors.
Author: Dejan Kukic