2 edition of volatility of consumption in a simple general equilibrium model found in the catalog.
volatility of consumption in a simple general equilibrium model
Includes bibliographical references.
|Statement||prepared by Gunnar Tersman.|
|Series||IMF working paper -- WP/92/109|
|Contributions||International Monetary Fund. European II Dept.|
|The Physical Object|
|Pagination||iii, 21 p. ;|
|Number of Pages||21|
General equilibrium theory, or Walrasian general equilibrium, attempts to explain the functioning of economic markets as a whole, rather than as individual phenomena. The theory was . GTAP Resources: Popular CGE Books and Articles The following books and articles have been recommended as good books in the field of CGE modeling. If you would like to add a book(s) to this .
the link between volatility, investment and growth, this represents a major theoretical shortfall.4 In this paper, we provide a tractable model that integrates real option ﬀ into a simple general equilibrium . equilibrium cross section of returns explicitly modeling the production and investment decisions of the ﬁrms, we are able to integrate our cross-sectional analysis into a general equilibrium model that .
In a general equilibrium lifecycle model with aggregate and idiosyncratic risks, we find that the young and oldest households are likely to benefit substantially from a capital inflow, but middle-aged savers may . a demand-based equilibrium model of volatility trading with three kinds of traders (i.e., dealers, asset managers and leveraged funds) that fully supports the existing empirical results. Second, due to our File Size: KB.
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The general equilibrium of exchange does not lead to the determination of absolute prices of goods but only relative prices of goods. The general equilibrium of exchange must lie on the contract curve. growth. 3 Tse () carefully calibrates a two-sector general equilibrium model and ﬁ nds that GDP can increase by more than 2 times if monopoly is remov ed from the labor market.
I derive and test multi-horizon implications of a consumption-based equilibrium model featuring fluctuating expected growth and volatility.
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Zhang’s () partial equilibrium model uses an exogenous SDF and leaves open the interpretation of aggregate predictability in his model. The use of general equilibrium shows that the Author: Andrew Y.
Chen. Agents in this model begin each period with an endowment of food, the sole commodity. Their utility is a function of current consumption, which has to exceed a specified minimum to ensure survival, and Cited by: 5.
THE DYNAMICS OF GENERAL EQUILIBRIUM* Herbert Gintis The Walrasian general equilibrium model is the centrepiece of modern economic theory, but progress in understanding its dynamical properties.
Plan of Lectures 1 The Heckscher-Ohlin Model: Introduction 2 Factor Price Equalization (FPE) 3 The Rybczynski Theorem 4 The Heckscher-Ohlin Theorem N.B. This le is in beta; much of the material for. Thus, and complete the general equilibrium specification of our model by proving an endogeneous determination of the level of production and the size of the investor base for each firm.
the context of a general equilibrium framework. The framework rules out a pri-ori any purely statistical relationship between volatility and returns by impos-ing uncorrelated innovations.
The main model generates a two-factor structure for stock market volatility along with time-varying risk premiums on consump-tion. In economics, general equilibrium theory attempts to explain the behavior of supply, demand, and prices in a whole economy with several or many interacting markets, by seeking to prove that the interaction.
Gregory Mankiw, Ricardo Reis, in Handbook of Monetary Economics, DSGE models with imperfect information. Dynamic stochastic general equilibrium modeling, surveyed by Christiano.
Consumption Function: The consumption function, or Keynesian consumption function, is an economic formula representing the functional relationship between total consumption and gross Author: Will Kenton.
Restoy and Weil () assume that equilibrium log returns and consumption growth have a joint normal conditional distribution whose second-order moments follow GARCH processes of the Cited by: The equity premium puzzle refers to the inability of an important class of economic models to explain the average premium of the returns on a well-diversified U.S.
equity portfolio over U.S. Treasury Bills. I derive and test multi-horizon implications of a consumption-based equilibrium model featuring fluctuating expected growth and volatility. My setup allows consumption dynamics to be. I find that non-standard features of the labor market are essential for understanding the volatility of unemployment.
These models include simple equilibrium wage stickiness, where the sticky wage is an. A General equilibrium theory: Getting acquainted1 1 Concept and history of general equilibrium theory3 Partial and general equilibrium: Development of the ﬁeld3 The role of mathematics7.
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It consists of four self-contained chapters. Chapter 1 sets out a Author: Bo Yang.Estimating Dynamic Equilibrium Models with Stochastic Volatility* Jesús Fernández-Villaverde1, Pablo Guerrón-Quintana2 & Juan F. Rubio-Ramírez3 September Abstract This paper develops a .