Asset Prices in Affine Real Business Cycle Models:
We develop a tractable way to solve for equilibrium quantities and asset prices in a class of real business cycle models featuring Epstein-Zin preferences and affine dynamics for productivity growth and volatility. The method relies on log-linearization and exploits the log-normality of all the quan...
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1. Verfasser: | |
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
2010
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Schriftenreihe: | IMF Working Papers
Working Paper No. 10/249 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
Zusammenfassung: | We develop a tractable way to solve for equilibrium quantities and asset prices in a class of real business cycle models featuring Epstein-Zin preferences and affine dynamics for productivity growth and volatility. The method relies on log-linearization and exploits the log-normality of all the quantities. It is an easy substitute for more involved numerical techniques, such as higher order perturbation methods, and allows for easy implementation and analytical results. We show explicitly the link with perturbation techniques and find that the quantitative difference between the two is insignificant for several models of interest |
Beschreibung: | 1 Online-Ressource (42 p) |
ISBN: | 145520949X 9781455209491 |
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spelling | Shamloo, Maral Verfasser aut Asset Prices in Affine Real Business Cycle Models Shamloo, Maral Washington, D.C International Monetary Fund 2010 1 Online-Ressource (42 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 10/249 We develop a tractable way to solve for equilibrium quantities and asset prices in a class of real business cycle models featuring Epstein-Zin preferences and affine dynamics for productivity growth and volatility. The method relies on log-linearization and exploits the log-normality of all the quantities. It is an easy substitute for more involved numerical techniques, such as higher order perturbation methods, and allows for easy implementation and analytical results. We show explicitly the link with perturbation techniques and find that the quantitative difference between the two is insignificant for several models of interest Online-Ausg Malkhozov, Aytek Sonstige oth http://elibrary.imf.org/view/IMF001/11395-9781455209491/11395-9781455209491/11395-9781455209491.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Shamloo, Maral Asset Prices in Affine Real Business Cycle Models |
title | Asset Prices in Affine Real Business Cycle Models |
title_auth | Asset Prices in Affine Real Business Cycle Models |
title_exact_search | Asset Prices in Affine Real Business Cycle Models |
title_exact_search_txtP | Asset Prices in Affine Real Business Cycle Models |
title_full | Asset Prices in Affine Real Business Cycle Models Shamloo, Maral |
title_fullStr | Asset Prices in Affine Real Business Cycle Models Shamloo, Maral |
title_full_unstemmed | Asset Prices in Affine Real Business Cycle Models Shamloo, Maral |
title_short | Asset Prices in Affine Real Business Cycle Models |
title_sort | asset prices in affine real business cycle models |
url | http://elibrary.imf.org/view/IMF001/11395-9781455209491/11395-9781455209491/11395-9781455209491.xml |
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