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Asset pricing lessons for modeling business cycles

Author: Michele Boldrin; Lawrence J Christiano; Jonas D M Fisher; National Bureau of Economic Research.
Publisher: Cambridge, MA : National Bureau of Economic Research, ©1995.
Series: Working paper series (National Bureau of Economic Research), working paper no. 5262.
Edition/Format:   eBook : Document : National government publication : EnglishView all editions and formats
Summary:
Abstract: We develop a model which accounts for the observed equity premium and average risk free rate, without implying counterfactually high risk aversion. The model also does well in accounting for business cycle phenomena. With respect to the conventional measures of business cycle volatility and comovement with output, the model does roughly as well as the standard business cycle model. On two other dimensions,  Read more...
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Material Type: Document, Government publication, National government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Michele Boldrin; Lawrence J Christiano; Jonas D M Fisher; National Bureau of Economic Research.
OCLC Number: 51530194
Notes: "September 1995."
Description: 1 online resource (39, [14] pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), working paper no. 5262.
Responsibility: Michele Boldrin, Lawrence J. Christiano, Jonas D.M. Fisher.

Abstract:

Abstract: We develop a model which accounts for the observed equity premium and average risk free rate, without implying counterfactually high risk aversion. The model also does well in accounting for business cycle phenomena. With respect to the conventional measures of business cycle volatility and comovement with output, the model does roughly as well as the standard business cycle model. On two other dimensions, the model's business cycle implications are actually improved. Its enhanced internal propagation allows it to account for the fact that there is positive persistence in output growth, and the model also provides a resolution to the 'excess sensitivity puzzle' for consumption and income. Key features of the model are habit persistence preferences, and a multisector technology with limited intersectoral mobility of factors of production.

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