Modeling the Term Structure of Interest Rates Under Nonseparable Utility and Durability of Goods PDF Download
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Author: Kenneth B. Dunn
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 64
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Book Description
Author: Kenneth B. Dunn
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 64
Get Book Here
Book Description
Author: Kenneth B. Dunn
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This paper investigates the term structure relations implied by a two-good model in which goods are durable and the preference function of consimters may be non separable both over time and the decision variables. The parameters characterizing preferences are estimated and the implied restrictions on the comovements of consumptions and the returns from following different investment strategies in bonds are examined. Both the durability of goods (modeled by a linear service technology) and the nonseparability of preferences over services from goods are important factors in explaining the time paths of individual returns. However, substantial evidence against our model is obtained when the restrictions associated with two different investment strategies are studied simultaneously. Specifically, the difference between the sample mean returns are too large relative to the difference between the sample covariances of the returns and the marginal utility from acquiring a unit of the numeraire good. Our findings suggest that these discrepancies are not a consequence of either the relatively small variability in aggregate acquisitions of goods, or our small estimates of relative risk aversion.
Author: Rajna Gibson
Publisher: Now Publishers Inc
ISBN: 1601983727
Category : Business & Economics
Languages : en
Pages : 171
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Book Description
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author: Sudipto Bhattacharya
Publisher: World Scientific
ISBN: 9814480088
Category : Business & Economics
Languages : en
Pages : 387
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Book Description
The first edition of Theory of Valuation is a collection of important papers in the field of theoretical financial economics published from 1973 to 1986, and original accompanying essays contributed by eminent researchers including Robert C Merton, Edward C Prescott, Stephen A Ross, and Joseph E Stiglitz.Since then, with the perspective of major theoretical strides in the field, the book has more than fulfilled its original expectations. The realization that it remains today a compendium of classic articles and a must-read for any serious student in theoretical financial economics, has prompted the publication of a new edition.This second edition presents a summary statement of significant research in theoretical financial economics for both the specialist and non-specialist financial economist. It also provides material for PhD-level courses covering valuation theory, and elective reading for advanced Master's and undergraduate courses.In addition to reproducing the original contributions, this edition includes the seminal paper by Edward C Prescott and Rajnish Mehra, “Recursive Competitive Equilibrium: The Case of Homogeneous Households,” originally published in Econometrica in 1980.
Author: Sudipto Bhattacharya
Publisher: World Scientific
ISBN: 9812701028
Category : Business & Economics
Languages : en
Pages : 387
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Book Description
The first edition of Theory of Valuation is a collection of important papers in the field of theoretical financial economics published from 1973 to 1986, and original accompanying essays contributed by eminent researchers including Robert C Merton, Edward C Prescott, Stephen A Ross, and Joseph E Stiglitz. Since then, with the perspective of major theoretical strides in the field, the book has more than fulfilled its original expectations. The realization that it remains today a compendium of classic articles and a must-read for any serious student in theoretical financial economics, has prompted the publication of a new edition. This second edition presents a summary statement of significant research in theoretical financial economics for both the specialist and non-specialist financial economist. It also provides material for PhD-level courses covering valuation theory, and elective reading for advanced MasterOCOs and undergraduate courses. In addition to reproducing the original contributions, this edition includes the seminal paper by Edward C Prescott and Rajnish Mehra, OC Recursive Competitive Equilibrium: The Case of Homogeneous Households, OCO originally published in Econometrica in 1980."
Author: Harry Mamaysky
Publisher:
ISBN:
Category :
Languages : en
Pages : 53
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Book Description
In this article I study an economy with irreversible durable investment and investors who consume a durable and a nondurable good. In a general equilibrium setting, these assumptions lead to endogenous variation in the implied risk aversion of investors and in the term structure of interest rates. In the model, the magnitude of the intertemporal elasticity of substitution places certain restrictions on the joint dynamical behavior of durable consumption, nondurable consumption, and the yield curve. Tests of the model using postwar U.S. data are supportive of these restrictions. However, while the model is able to generate a relatively large term spread, the level and the variation of the resultant short rate are not empirically plausible. An approximate closed form solution of the model is derived.
Author: David Kim
Publisher:
ISBN:
Category : Economic development
Languages : en
Pages : 42
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Book Description
Author: G. Constantinides
Publisher: Elsevier
ISBN: 0080495087
Category : Business & Economics
Languages : en
Pages : 698
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Book Description
Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.
Author: John B. Taylor
Publisher: Elsevier
ISBN: 9780444501585
Category : Business & Economics
Languages : en
Pages : 600
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Book Description
Part 6: Financial Markets and the Macroeconomy. 19. Asset prices, consumption, and the business cycle (J.Y. Campbell). 20. Human behavior and the efficiency of the financial system (R.J. Shiller). 21. The financial accelerator in a quantitative business cycle framework (B. Bernanke, M. Gertler and S. Gilchrist). Part 7: Monetary and Fiscal Policy. 22. Political economics and macroeconomic policy (T. Persson, G. Tabellini). 23. Issues in the design of monetary policy rules (B.T. McCallum). 24. Inflation stabilization and BOP crises in developing countries (G.A. Calvo, C.A. Vegh). 25. Government debt (D.W. Elmendorf, N.G. Mankiw). 26. Optimal fiscal and monetary policy (V.V. Chari, P.J. Kehoe).
Author: Francois Lhabitant
Publisher:
ISBN:
Category :
Languages : en
Pages : 97
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Book Description
The last two decades have seen the development of a profusion of theoretical models of the term structure of interest rates. This study provides a general overview and a comprehensive comparative study of the most popular ones among both academics and practitioners. It also discusses their respective advantages and disadvantages in terms of bond and/or interest rate contingent claims continuous time valuation or hedging, parameter estimation, and calibration. Finally, it proposes a unified approach for model risk assessment. Despite the relatively complex mathematics involved, financial intuition rather then mathematical rigour is emphasised throughout. The classification by means of general characteristics should enable the understanding of the different features of each model, facilitate the choice of a model in specific theoretical or empirical circumstances, and allows the testing of various models with nested as well as non-nested specifications.
