| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10402 |
| DP10402 Global Sunspots and Asset Prices in a Monetary Economy | |
| Roger Farmer | |
| 发表日期 | 2015-02-08 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | This paper constructs a simple model in which asset price fluctuations are caused by sunspots. Most existing sunspot models use local linear approximations: instead, I construct global sunspot equilibria. My agents are expected utility maximizers with logarithmic utility functions, there are no fundamental shocks and markets are sequentially complete. Despite the simplicity of these assumptions, I am able to go a considerable way towards explaining features of asset pricing data that have presented an obstacle to previous models that adopted similar assumptions. My model generates volatile persistent swings in asset prices, a substantial term premium for long bonds and bursts of conditional volatility in rates of return. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Asset prices Sunspots |
| URL | https://cepr.org/publications/dp10402 |
| 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/539233 |
| 推荐引用方式 GB/T 7714 | Roger Farmer. DP10402 Global Sunspots and Asset Prices in a Monetary Economy. 2015. |
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