Standard Real Business Cycle (RBC) models are well known to generate counter-factual asset pricing implications. This study provides a simple extension to the prior literature by studying an economy that follows a regime-switching process in conjunction with Epstein-Zin preferences for consumers. We provide a detailed theoretical and numerical analysis of the model's predictions. We also show that a reasonable parameterization of our model conveys financial figures in line with US postwar data. Furthermore, we provide evidence in support of modeling a regime-dependent macroeconomic risk. © 2013 Springer-Verlag Berlin Heidelberg.
D'Addona, S., & Giannikos, C. (2014). Asset pricing and the role of macroeconomic volatility. ANNALS OF FINANCE, 10(2), 197-215.
Titolo: | Asset pricing and the role of macroeconomic volatility |
Autori: | |
Data di pubblicazione: | 2014 |
Rivista: | |
Citazione: | D'Addona, S., & Giannikos, C. (2014). Asset pricing and the role of macroeconomic volatility. ANNALS OF FINANCE, 10(2), 197-215. |
Handle: | http://hdl.handle.net/11590/323544 |
Appare nelle tipologie: | 1.1 Articolo in rivista |