Journal ArticleDOI
Finite state markov-chain approximations to univariate and vector autoregressions
TLDR
In this article, the authors developed a procedure for finding a discrete-valued Markov chain whose sample paths approximate well those of a vector autoregression, which has applications in economics, finance, and econometrics where approximate solutions to integral equations are required.About:
This article is published in Economics Letters.The article was published on 1986-01-01. It has received 1586 citations till now. The article focuses on the topics: Markov chain & Markov chain mixing time.read more
Citations
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Uninsured Idiosyncratic Risk and Aggregate Saving
TL;DR: In this article, the authors present a qualitative and quantitative analysis of the standard growth model modified to include precautionary saving motives and liquidity constraints, and address the impact on the aggregate saving rate, the importance of asset trading to individuals, and the relative inequality of wealth and income distributions.
Journal ArticleDOI
House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle
TL;DR: This paper developed a general equilibrium model with sticky prices, credit constraints, nominal loans and asset prices, and found that monetary policy should not target asset prices as a means of reducing output and inflation volatility.
Book
Recursive Macroeconomic Theory
TL;DR: In this paper, an introduction to recursive methods for dynamic macroeconomics is presented, including standard applications such as asset pricing, and advanced material, including analyses of reputational mechanisms and contract design.
Journal ArticleDOI
Five Facts about Prices: A Reevaluation of Menu Cost Models
Emi Nakamura,Jon Steinsson +1 more
TL;DR: In this article, the authors show that the frequency of price change is highly seasonal: it is highest in the first quarter and then declines, and that price increases covaries strongly with inflation, whereas price decreases and the size of price increases and decreases do not.
Journal ArticleDOI
Asset pricing in production economies
TL;DR: In this article, a model with habit formation preferences and capital adjustment costs was proposed to explain the historical equity premium and the average risk-free return while replicating the salient business cycle properties.
References
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Journal ArticleDOI
Large sample properties of generalized method of moments estimators
Journal ArticleDOI
THE EQUITY PREMIUM A Puzzle
Rajnish Mehra,Edward C. Prescott +1 more
TL;DR: This paper showed that an equilibrium model which is not an Arrow-Debreu economy will be the one that simultaneously rationalizes both historically observed large average equity return and the small average risk-free return.
Journal ArticleDOI
Asset prices in an exchange economy
TL;DR: In this article, the authors examine the stochastic behavior of equilibrium asset prices in a one-good, pure exchange economy with identical consumers, and derive a functional equation for price as a function of the physical state of the economy.
Journal Article
Asset Prices in a Production Economy
TL;DR: In this paper, an intertemporal general equilibrium theory of capital asset pricing is developed, which is an attempt to put together ideas from the modern finance literature and the literature on stochastic growth models, in order to obtain a theory that ultimately is capable of addressing itself to general equilibrium questions such as: (1) What is the impact of an increase in the corporate income tax upon the relative prices of risky stocks? (2) What are the conditions on tastes and technology are needed for the validity of the Sharpe-Lintner certainty equivalence formula and the Ross
Book
A First Course in Functional Analysis
Casper Goffman,George Pedrick +1 more
TL;DR: In this paper, the authors present a generalization of the Hahn-Banach theorem in the context of metric spaces, and apply it to topological vector spaces, including the space of complete orthonormal sets.