RT Generic
T1 Asset pricing lessons for modeling business cycles
A1 Boldrin, Michele
A1 Christiano, Lawrence J.
A1 Fisher, Jonas D. M.
A2 Universidad Carlos III de Madrid. Departamento de Economía, 
AB 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.
SN 2340-5031
YR 1995
FD 1995-09
LK https://hdl.handle.net/10016/3915
UL https://hdl.handle.net/10016/3915
LA eng
DS e-Archivo
RD 3 may. 2024