Since 2014
Introducing Financial Assets Into Structural Models
Economic Analysis Review
View Archive Info| Field | Value | |
| Title |
Introducing Financial Assets Into Structural Models
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| Creator |
Fornero, Jorge
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| Subject |
financial assets, DSGE, business cycle, monetary policy
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| Description |
This paper reviews extensively the literature on asset pricing and builds a structural dynamic general equilibrium model with financial assets. We obtain the policy function of the calibrated model and approximate it up to third order. We derive asset pricing and various premiums conditions up to the third order, meaning that returns depend on the first three conditional moments. We obtain a hypothetic yield curve whose curvature increases with the order of the approximation because of the premiums. In addition, impulse response functions of various fundamental shocks illustrate the effect on the level and slope of bond yields with several maturities and on breakeven inflation. Important shocks are technology and inflation target shocks
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| Publisher |
Universidad Alberto Hurtado - Facultad de Economía y Negocios
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| Contributor |
—
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| Date |
2012-11-08
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://www.rae-ear.org/index.php/rae/article/view/362
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| Source |
Revista de Análisis Económico - Economic Analysis Review; Vol 27, No 2 (2012); 3-52
Revista de Análisis Económico – Economic Analysis Review; Vol 27, No 2 (2012); 3-52 0718-8870 0716-5927 |
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| Language |
eng
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| Relation |
http://www.rae-ear.org/index.php/rae/article/view/362/526
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