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. Â© 2013 Springer-Verlag Berlin Heidelberg.
|Titolo:||Asset pricing and the role of macroeconomic volatility|
|Data di pubblicazione:||2014|
|Citazione:||D'Addona, S., & Giannikos, C. (2014). Asset pricing and the role of macroeconomic volatility. ANNALS OF FINANCE, 10(2), 197-215.|
|Appare nelle tipologie:||1.1 Articolo in rivista|