Asset pricing lessons for modeling business cycles

Boldrin, Michele; Christiano, Lawrence J.; Fisher, Jonas D. M.

Publication:
Asset pricing lessons for modeling business cycles

dc.affiliation.dpto	UC3M. Departamento de Economía	es
dc.contributor.author	Boldrin, Michele
dc.contributor.author	Christiano, Lawrence J.
dc.contributor.author	Fisher, Jonas D. M.
dc.contributor.editor	Universidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned	2009-04-08T10:46:07Z
dc.date.available	2009-04-08T10:46:07Z
dc.date.issued	1995-09
dc.description.abstract	We develop a model which accounts for the observed equity premium and average risk free rate, without implying counterfactually high risk aversion. The model also does well in aceounting for business cycle phenomena. With respect to the conventional measures of business cycle volatility and comovement with output, the model does roughly as well as the standard business cycle model. On two other dimensions, the model's business cycle implications are actually improved. Its enhanced internal propagation allows it to account for the fact that there is positive persistenee in output growth, and the model also provides a resolution to the "excess sensitivity puzzle" for consumption and income. Key features of the model are habit persistence preferences, and a multisector technology with limited intersectoral mobility of factors of production.
dc.format.mimetype	application/pdf
dc.identifier.issn	2340-5031
dc.identifier.uri	https://hdl.handle.net/10016/3915
dc.language.iso	eng
dc.relation.ispartofseries	UC3M Working Paper. Economics;
dc.relation.ispartofseries	1995-31-19
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRights	open access
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.eciencia	Economía
dc.title	Asset pricing lessons for modeling business cycles
dc.type	working paper	*
dspace.entity.type	Publication