G2TT
来源类型Discussion paper
规范类型论文
来源IDDP1910
DP1910 Contentious Contracts
Ulrich Hege; Pascale Viala
发表日期1998-06-30
出版年1998
语种英语
摘要In this paper, we derive closed-form solutions for a variety of prices for financial assets in an RBC economy. The equations are based on a loglinear solution of the RBC model and allow a clearer understanding of the determination of risk premia in models with production. E.g., we show that risk premia of long real bonds and equity are negative when technology shocks are permanent. Moreover, the wedge between the equity premium and the long bond premium is small and often negative. The closed-form solutions presented here are applicable to any RBC model that can be approximated in loglinear form.
主题Financial Economics ; International Macroeconomics
关键词Analytical solution Asset prices Loglinear approximation Rbc model Risk premia
URLhttps://cepr.org/publications/dp1910
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/531046
推荐引用方式
GB/T 7714
Ulrich Hege,Pascale Viala. DP1910 Contentious Contracts. 1998.
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