| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4244 |
| DP4244 The HP-Filter in Cross-Country Comparisons | |
| Albert Marcet; Morten Ravn | |
| 发表日期 | 2004-02-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | This article studies the dynamic behaviour of security prices in the presence of investors? heterogeneous beliefs. We provide a tractable continuous-time pure-exchange model and highlight the mechanism through which investors? differences of opinion enter into security prices. In the determination of equilibrium, we employ a representative investor with stochastic weights and solve for all economic quantities in closed form, including the perceived market prices of risk and interest rate. The basic analysis is generalized to incorporate multiple sources of risk, disagreement about non-fundamentals, and multiple investors. Other applications involving multiple goods and nominal asset pricing within monetary economies are discussed. |
| 主题 | Financial Economics |
| 关键词 | C60 Heterogenous beliefs Asset pricing Equilibrium Market price of risk Survey |
| URL | https://cepr.org/publications/dp4244 |
| 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/533210 |
| 推荐引用方式 GB/T 7714 | Albert Marcet,Morten Ravn. DP4244 The HP-Filter in Cross-Country Comparisons. 2004. |
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