Asset Returns and Economic Fluctuations: A Dynamic and Stochastic General-Equilibrium Approach
Type de matériel :
TexteLangue : français Détails de publication : 2008.
Sujet(s) : Ressources en ligne : Abrégé : This review of the literature presents the main tools and results of research at the crossroads between finance and macroeconomics. The literature seeks to jointly analyze the economic cycle and fluctuations in financial-asset prices.Our article follows this approach:we offer a critical analysis of the modeling mechanisms that should be factored into aDSGE model so as to make it compatible with the stylized facts of asset returns without necessarily sacrificing to the facts of the economic cycle.
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This review of the literature presents the main tools and results of research at the crossroads between finance and macroeconomics. The literature seeks to jointly analyze the economic cycle and fluctuations in financial-asset prices.Our article follows this approach:we offer a critical analysis of the modeling mechanisms that should be factored into aDSGE model so as to make it compatible with the stylized facts of asset returns without necessarily sacrificing to the facts of the economic cycle.
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