This paper studies the behaviour of asset prices in relation to consumption and other business cycle variables. While RBC models have been able to successfully explain the dynamics of macroeconomic variables, they fail to replicate similar interesting stylized facts when studying the behavior of asset prices. In an attempt to solve this shortcoming, some progress has been made in models that modify utility in order to account for habit persistence and incorporate capital adjustment costs. We have developed a framework that combines these ingredients by applying the loglinearly reduced form of the general equilibrium model and the asset pricing formula, based on the lognormality of the disturbance distribution for the small open economy case...
This thesis contributes to the literature on the consumption-portfolio choice under uncertainty and ...
In this paper we investigate the size of the risk premium and the term premium in an representative ...
This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.Pr...
This paper studies the behaviour of asset prices in relation to consumption and other business cycle...
It is now well known that the RBC models have enjoyed successful results in explaining the dynamics ...
It is now well known that the RBC models have enjoyed successful results in explaining the dynamics ...
This is the first paper in the literature to match key business cycle moments and long-run equity re...
We develop a model which accounts for the observed equity premium and average risk free rate, withou...
In this paper we investigate the size of the risk premium and the term premium in an representative ...
Standard consumption-based asset pricing models focus on the consumption risk, seen as the only sour...
In this paper we investigate the size of the risk premium and the term premium in a representative a...
This article explains the high level and the countercyclical variation of the equity premium in a co...
In this paper we provide a thorough characterization of the asset returns implied by a simple genera...
Abstract This paper modifies the conventional representative-agent consumption-based equilibrium...
In this paper we investigate the size of the risk premium and the term premium in an representative ...
This thesis contributes to the literature on the consumption-portfolio choice under uncertainty and ...
In this paper we investigate the size of the risk premium and the term premium in an representative ...
This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.Pr...
This paper studies the behaviour of asset prices in relation to consumption and other business cycle...
It is now well known that the RBC models have enjoyed successful results in explaining the dynamics ...
It is now well known that the RBC models have enjoyed successful results in explaining the dynamics ...
This is the first paper in the literature to match key business cycle moments and long-run equity re...
We develop a model which accounts for the observed equity premium and average risk free rate, withou...
In this paper we investigate the size of the risk premium and the term premium in an representative ...
Standard consumption-based asset pricing models focus on the consumption risk, seen as the only sour...
In this paper we investigate the size of the risk premium and the term premium in a representative a...
This article explains the high level and the countercyclical variation of the equity premium in a co...
In this paper we provide a thorough characterization of the asset returns implied by a simple genera...
Abstract This paper modifies the conventional representative-agent consumption-based equilibrium...
In this paper we investigate the size of the risk premium and the term premium in an representative ...
This thesis contributes to the literature on the consumption-portfolio choice under uncertainty and ...
In this paper we investigate the size of the risk premium and the term premium in an representative ...
This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.Pr...