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 Dynamic General Equilibrium Framework
Author: Dejan KukicGeneral Equilibrium Asset Pricing Under Regime Switching
Author: Robert J. ElliottPublisher:
ISBN:
Category :
Languages : en
Pages : 26
Book Description
In this paper, we have developed a continuous time general equilibrium model in an economy which has two states, a 'good' state and a 'bad' state. There are two types of shocks in the economy: small shocks and large shocks. The small shocks which only affect the individual price movements are modeled by Brownian motions. The large shocks, the states of the economy, are modeled by a continuous time Markov Chain. There are one riskless assets, n basic risky assets and contingent claims written on the risky assets in the market. The states of the economy affect the expected returns and the variances of the assets. We assume in different states, the means and variances of the instantaneous returns are different. We then investigate the asset pricing problem in general equilibrium with a representative agent who maximizes a cost function. Based on the assumption of a CRRA utility function, we have derived a partial differential equation satisfied by the representative agent's cost function. A form of the solution of the partial differential equation has been given in general equilibrium with intermediate consumption. In the case when the representative agent doesn't have intermediate consumption, we have found an explicit solution of the cost function. A closed-form expression for the riskless interest rate has been derived. We have also provided a partial differential equation satisfied by any contingent claim written on basic risky asset. The stochastic discount factor has been defined and computed in our framework. Based on the stochastic discount factor, we have provided an explanation for the equity premium puzzle.