全球智库信息集成服务系统(G2TT): DP1336 The Unit Root Hypothesis in Long-term Output: Evidence from Two Structural Breaks for 16 Countries

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP1336
	DP1336 The Unit Root Hypothesis in Long-term Output: Evidence from Two Structural Breaks for 16 Countries
	Dan Ben-David; David Papell; Robin L Lumsdaine
发表日期	1996-02-29
出版年	1996
语种	英语
摘要	This paper studies the pricing of financial assets in a complete general equilibrium set-up. We begin with an asset pricing model à la Lucas grafted on a standard Real Business Cycles model. We provide a new decentralized interpretation of such a model in which firms make meaningful investment decisions. We then confront qualitatively and quantitatively the implications of this model with financial observations. Drawing lessons from this exercise, we progressively enrich the model by introducing costs of adjusting the stock of capital, corporate debt and risk-sharing labour contracts. We find the latter to be particularly important in reconciling the model?s predictions with observations. We conclude that additional progress towards solving outstanding puzzles may come as much from a richer modelling of the real side of our economies as from further refinements in the description of the financial sector.
主题	Financial Economics ; International Macroeconomics
关键词	Excess volatility Labour contracts risk premium
URL	https://cepr.org/publications/dp1336
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/530481
推荐引用方式 GB/T 7714	Dan Ben-David,David Papell,Robin L Lumsdaine. DP1336 The Unit Root Hypothesis in Long-term Output: Evidence from Two Structural Breaks for 16 Countries. 1996.