Risultati della ricerca
Creator: Ostroy, Joseph M. and Potter, Simon M. Series: Finance, fluctuations, and development Abstract:
We formulate a representative consumer model of intertemporal resource reallocation in which fluctuations in equity prices contribute to the smoothing of consumption flows. Features of the model include (a) an incompletely observable stochastic process of productivity shocks leading to fluctuating confidence of beliefs and (b) technologies involving commitments of a resource good. These features are exploited to show that (1) equities are not a representative form of total wealth and (2) the valuation of currently active firms is not representative of the valuation of all firms. We examine the implications of (1) and (2) to argue that empirical findings for the volatility and 'value shortfall' of equity prices may be consistent with a frictionless representative consumer model having a low degree of risk-aversion. Simulation of a calibrated version of the model for a risk-neutral consumer shows that when the 'data' is analyzed according to current econometric procedures, it is found to exhibit volatility of the same order of magnitude as that found in the actual data, although the model contains no excess volatility.
Parola chiave: Technological commitments, Equity premium, Uncertainty of beliefs, Excess volatility, and Value shortfall Soggetto: G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates, E44 - Money and interest rates - Financial markets and the macroeconomy, G14 - General financial markets - Information and market efficiency ; Event studies, and E13 - General aggregative models - Neoclassical
Creator: Nevin, Edward. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 9 Descrizione:
The 1972 version of WP9 was published as part of the Ninth District Economic Series.
Parola chiave: Policy making, Banking, and Regionalism Soggetto: G21 - Financial institutions and services - Banks ; Other depository institutions ; Micro finance institutions ; Mortgages and R58 - Regional government analysis - Regional development policy
Creator: Aiyagari, S. Rao. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 424 Parola chiave: Deficit, Taxation, Budget management, Federal government, Tax policy, Tax rates, Taxes , and Tax Soggetto: H62 - National budget, deficit, and debt - Deficit ; Surplus and H21 - Taxation, subsidies and revenue - Efficiency ; Optimal taxation
Creator: Altug, Sumru. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 366 Descrizione:
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Parola chiave: Idiosyncratic risk, Assymetric information , Transaction cost, Private information, Borrowing constraint, Lending, and Market friction Soggetto: D82 - Information, knowledge, and uncertainty - Asymmetric and private information and D52 - General equilibrium and disequilibrium - Incomplete markets
Creator: Christiano, Lawrence J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 415 Abstract:
his article studies the accuracy of two versions of Kydland and Prescott's (1980, 1982) procedure for approximating optimal decision rules in problems in which the objective fails to be quadratic and the constraints fail to be linear. The analysis is carried out using a version of the Brock-Mirman (1972) model of optimal economic growth. Although the model is not linear quadratic, its solution can nevertheless be computed with arbitrary accuracy using a variant of existing value-function iteration procedures. I find the Kydland-Prescott approximate decision rules are very similar to those implied by value-function iteration.
Replaced by IEM Discussion Paper #9 (January 1989).
Parola chiave: Optimization, Decision rule, Production function, Markov chain, State space, and Growth model Soggetto: C40 - Econometric and statistical methods : Special topics - General
Creator: Jagannathan, Ravi. and Wang, Zhenyu. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 517 Abstract:
In empirical studies of the CAPM, it is commonly assumed that (a) the return to the value weighted portfolio of all stocks is a reasonable proxy for the return on the market portfolio of all assets in the economy, and (b) betas of assets remain constant over time. Under these assumptions, Fama and French (1992) find that the relation between average return and beta is flat. We argue that these two auxiliary assumptions are not reasonable. We demonstrate that when these assumptions are relaxed, the empirical support for the CAPM is surprisingly strong. When human capital is also included in measuring wealth, the CAPM is able to explain 28 percent of the cross sectional variation in average returns in the 100 portfolios studied by Fama and French. When, in addition, betas are allowed to vary over the business cycle, the CAPM is able to explain 57 percent. More important, relative size does not explain what is left unexplained after taking sampling errors into account.
Parola chiave: Capital and Stock prices Soggetto: G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates