[Asset Pricing Explorations for Macroeconomics]: Comment

Innis Lecture: Explorations in Medium Run Macroeconomics

Comment on : Are behavioral asset - pricing models structural ? $ Jessica

According to Stanley Zin, financial economists on both sides of the behavioral finance debate have failed to ask the right questions. To Zin, the most important question we should ask about behavioral models is whether they make accurate predictions. Structural models at least have prediction as their goal, whether or not they achieve it. Implicit in this view is the notion that structural mode...

Consumption-Based Asset Pricing with Recursive Utility

In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...

On the Macroeconomics of Asset Shortages

The world has a shortage of financial assets. Asset supply is having a hard time keeping up with the global demand for store of value and collateral by households, corporations, governments, insurance companies, and financial intermediaries more broadly. These shortages have been a perennial problem in emerging markets, where many of their economic perils and idiosyncrasies stem from this featu...

Macroeconomics and Asset Markets: some Mutual Implications.∗

This paper sheds light on the mutual discipline, which asset market observations and macroeconomic observation impose on each other. Economic choices such as consumption and leisure, which are taken as exogenous in much of the asset pricing literature, and which may suggest certain preference specifications in order to explain asset price observations in turn may have undesirable macroeconomic ...