scholarly journals Asset Pricing in a General Equilibrium Production Economy With Chew-Dekel Risk Preferences

2007 ◽  
Author(s):  
Claudio Campanale ◽  
Rui Luís Castro ◽  
Gian Luca Clementi
Keyword(s):  
Asset Pricing ◽  
General Equilibrium ◽  
Risk Preferences ◽  
Production Economy

scholarly journals On the Price of Commitment Assets in a General Equilibrium Model with Credit Constraints and Tempted Consumers

2016 ◽  
Vol 16 (2) ◽  
Author(s):  
Łukasz Woźny
Keyword(s):  
General Equilibrium ◽  
Equilibrium Model ◽  
Credit Constraints ◽  
General Equilibrium Model ◽  
Self Control ◽  
Production Economy ◽  
Illiquid Asset

AbstractWe analyze a three period production economy, where households exhibit problems of self-control and face credit constraints. Apart from liquid assets, a single commitment (illiquid) asset is available that allows to commit to a planned consumption path. We compare general equilibrium allocations of the two models: one, where households choices are determined using Gul and Pesendorfer (2001, “Temptation and Self-Control.”

A martingale theory of asset pricing in a production economy

1990 ◽  
Vol 20 (3) ◽  
pp. 215-225 ◽  
Author(s):  
Parantap Basu
Keyword(s):  
Asset Pricing ◽  
Martingale Theory ◽  
Production Economy

scholarly journals Parameter Learning in General Equilibrium: The Asset Pricing Implications

2013 ◽  
Author(s):  
Pierre Collin-Dufresne ◽  
Michael Johannes ◽  
Lars Lochstoer
Keyword(s):  
Asset Pricing ◽  
General Equilibrium ◽  
Parameter Learning

ASSET PRICING IN DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS WITH INDETERMINACY

2007 ◽  
Vol 12 (1) ◽  
pp. 50-71 ◽  
Author(s):  
NATALIA GERSHUN ◽  
SHARON G. HARRISON
Keyword(s):  
Asset Pricing ◽  
General Equilibrium ◽  
Returns To Scale ◽  
Dynamic Stochastic General Equilibrium ◽  
Increasing Returns ◽  
Dsge Model ◽  
Increasing Returns To Scale ◽  
Local Indeterminacy ◽  
Dynamic Stochastic ◽  
The One

We explore asset pricing in the context of the one-sector Benhabib-Farmer-Guo (BFG) model with increasing returns to scale in production and compare our results with financial implications of the standard dynamic stochastic general equilibrium (DSGE) model. Our main goal is to determine the effects of local indeterminacy and the presence of sunspot shocks on asset pricing. We find that the BFG model does not adequately represent key stylized facts of U.S. capital markets and does not improve on the asset-pricing results obtained in the standard DSGE model.

Non‐falsified Expectations and General Equilibrium Asset Pricing: The Power of the Peso

1999 ◽  
Vol 109 (458) ◽  
pp. 607-635 ◽  
Author(s):  
Jean‐Pierre Danthine ◽  
J. B. Donaldson
Keyword(s):  
Asset Pricing ◽  
General Equilibrium ◽  
Equilibrium Asset Pricing
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