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Creator: Boldrin, Michele, Christiano, Lawrence J., and Fisher, Jonas D. M. (Jonas Daniel Maurice), 1965- Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 280 Abstract:
We introduce two modifications into the standard real business cycle model: habit persistence preferences and limitations on intersectoral factor mobility. The resulting model is consistent with the observed mean equity premium, mean risk free rate and Sharpe ratio on equity. The model does roughly as well as the standard real business cycle model with respect to standard measures. On four other dimensions its business cycle implications represent a substantial improvement. It accounts for (i) persistence in output, (ii) the observation that employment across different sectors moves together over the business cycle, (iii) the evidence of ‘excess sensitivity’ of consumption growth to output growth, and (iv) the ‘inverted leading indicator property of interest rates,’ that high interest rates are negatively correlated with future output.
Mot-clé: Risk aversion, Capital gains, Habit persistence , and Asset pricing Assujettir: E32 - Business Fluctuations; Cycles, O41 - One, Two, and Multisector Growth Models, and E44 - Financial Markets and the Macroeconomy