[PDF] Top 20 The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices

... by the empirical experiments of Ellsberg (1961) and others (see Camerer and Weber 1992 and Epstein and Schneider 2010 for a ...survey). The reason for this distinction is ... See full document

... contribution of this paper is to develop a two-factor general equilibrium framework for asset pricing under ambiguity when the shocks in the two state variables are ... See full document

... [8], the economy is composed by two kind of agents, intermediaries that are imperfectly competitive and consumers that are price ...takers. The inter- mediaries design the payoff ... See full document

... In the late 1970s and in the 1980s, two major research programs have emerged in macroeconomics with opposite ideas about the short-term effec- tiveness and ... See full document

... result of this paper is the existence of equilibrium (Section 2 ), under very general conditions (the utility functions must be concave and strictly ...characteristic ... See full document

... First, in a two-country cash-in-advance model as in Lucas(1982) and Sargent(1987), the introduction of government tar- gets for monetary and fiscal policies ... See full document

... Changes in the maximum LTV ratios will thus impact the behaviour of ...measuring the impact of LTV caps across different ...effects and identifying the channels ... See full document

... development of financial economics and asset pricing theory in recent decades has led re- searchers to accept the idea that asset prices dynamics contain important ... See full document

... a general equilibrium model with incomplete markets and default to study in which conditions banks could appear/be ...To the banking system be formed endogenously, our ... See full document

... that the key point of the model risk is that different models can yield the same price for European options but, at the same time, very different prices for ... See full document

... question in Hindy and Huang (1992) whether a norm proper economy admits a continuous equilibrium ...price. The existence results available in the literature are not ... See full document

... deleveraging risk, is driven by the dependence of the quantity of active capital on economic ...fundamental risk increases, the quantity of active capital ...on ... See full document

... on the topic comes from Catte, Girouard, Price and Andre ...(2004). In their study of the economies that are members of the Organization for Economic Co- operation ... See full document

... Though variatious iu relative prices auel in- come effects are ruled out in the simplificd type of general-equilibrium moelel worked out here, we have sho\\'u that 13ailey's fo[r] ... See full document

... For a specific class of utility functions, we show that Bailey’s measure provides an exact measure of the welfare costs of inflation derived from an intertemporal general-equilibrium mod[r] ... See full document

... describes the CGE model, "Russia: Center - Federal Districts", based on which the scenario approach is considered for assessing the feasibility of smoothing regional disparities ... See full document

... Strong and Davis (2007) observed that the Northern Hemisphere subtropical jet shifted poleward over the eastern Pacific, while an equatorward shift of the sub- tropical jet was ... See full document

... to the lowest and highest strike price for all traded S&P 100 options maturing in different ...periods. The RND is extracted by combining the second derivative of ... See full document

... provide an analysis of emissions relative to industrial GVA (including energy and construction) considering average values for ...even in this ...emissions and industrial GVA has very ... See full document

... 5-factor model outshines the 3-factor model should not be taken as a ...for the sake of empirical per- formance, why not a 6-factor model? Or a 20-factor model? There’s no ... See full document