Asset prices in affine real business cycle models

Aytek Malkhozov

Journal of Economic Dynamics and Control, 2014, vol. 45, issue C, 180-193

Abstract: I describe a tractable way to study macroeconomic quantities and asset prices in a large class of dynamic stochastic general equilibrium models. The proposed approximate solution is analytical, log-linear, and adjusted for risk. Therefore, it is well suited to investigate economic mechanisms, describe the time series properties or estimate the model, and deal with stochastic volatility. I explain the pitfalls encountered by previous attempts to use simple approximation techniques, in particular with models featuring recursive preferences. Finally, I show the theoretical relationship between my solution and higher-order perturbation methods.

Keywords: Approximation methods; Asset prices; Stochastic volatility (search for similar items in EconPapers)
JEL-codes: C63 E32 G12 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165188914001195
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:45:y:2014:i:c:p:180-193

DOI: 10.1016/j.jedc.2014.05.011

Access Statistics for this article

Journal of Economic Dynamics and Control is currently edited by J. Bullard, C. Chiarella, H. Dawid, C. H. Hommes, P. Klein and C. Otrok

More articles in Journal of Economic Dynamics and Control from Elsevier
Bibliographic data for series maintained by Catherine Liu ().