| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20831 |
| 来源ID | Working Paper 20831 |
| Global Sunspots and Asset Prices in a Monetary Economy | |
| Roger E.A. Farmer | |
| 发表日期 | 2015-01-12 |
| 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 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w20831 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578505 |
| 推荐引用方式 GB/T 7714 | Roger E.A. Farmer. Global Sunspots and Asset Prices in a Monetary Economy. 2015. |
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