Asset pricing in production economies

• 成果类型: Article
• 署名作者: Jermann, UJ
• 署名单位: University of Pennsylvania
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(97)00078-0
• 发表日期: 1998
• 页码: 257-275
• 关键词: equity premium; habit formation; capital adjustment costs

摘要

This paper studies asset returns in different versions of the one-sector real business cycle model. We show that a model with habit formation preferences and capital adjustment costs can explain the historical equity premium and the average risk-free return while replicating the salient business cycle properties. The paper also applies a solution technique that combines loglinear methods with lognormal asset pricing formulae. (C) 1998 Elsevier Science B.V. All rights reserved.