Inspecting The Mechanism : Closed-Form Solutions for Asset Prices in Real Business Cycle Models  

Oleh:

Lettau, Martin

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 113 no. 489 (2003), page 550-575.
Topik: BUSINESS; mechanism; closed - form solutions; asset prices; real business cycle; models
Fulltext: 550.pdf (175.45KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE28.11 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We derive closed - form solutions for asset prices in an RBC economy. The equations are based on a log - linear solution of the RBC model and allow a clearer understanding of the determination of risk premia in models with production. We demonstrate not only why the premium of equity over the risk - free rate is small but also why the premium of equity over a real long - term bond is small and often negative. In particular, risk premia for equity and long real bonds are negative when technology shocks are permanent.

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