Asset prices and the equity premium might reflect doubts and pessimism. Introducing these features in an otherwise standard New-Keynesian model changes in a quite substantial way its normative conclusions. First, following productivity shocks, optimal policy should be very accommodative even to the point to inflate the equity premium. Second, asset-price movements improve the inflation-output t...

We assemble the dates of announcement and actual introduction of electronic trading by the leading exchange of 120 countries to examine the long term and medium term impact of automation. Estimates from dividend growth model as well as international CAPM suggest a significant decline in expected returns after the introduction of electronic trading in the world’s equity markets, especially in th...

I explore the implications for asset prices and macroeconomic dynamics of shocks that improve real investment opportunities and thus affect the representative household’s marginal utility. These investment shocks generate differences in risk premia due to their heterogenous impact on firms: they benefit firms producing investment relative to firms producing consumption goods, and increase the v...

In this paper we combine dynamic programming methods with projection methods for solving stochastic growth models. As an application of these methods, we solve Brock’s asset pricing model with a variety of parameterizations. We focused on finding parameterizations that result in an equity premium that is high relative to the variation in consumption. We show (both analytically and numerically) ...

Lifecycle funds offered by retirement plan providers allocate aggressively to risky asset classes when the employee participants are young and gradually switch to more conservative asset classes as they grow older and approach retirement. This approach focuses on maximizing growth of the accumulation fund in the initial years and preserving its value in the later years. This paper simulates ter...

Deep global poverty persists despite decades of coordinated development efforts seeking to eradicate it. Recent literature has taken a new approach to defining the underlying mechanisms of lasting poverty in terms of asset ownership and the ways in which households accumulate productive assets over time. Using a panel data set from Bangladesh, this study identifies the productive assets of rura...

Adopting an asset-market view of international risk sharing, we identify various sources of macroeconomic risk faced by international investors using a structural Vector Autoregression model. We find that most of the risk of exogenous financial market shocks are shared by international investors through the existing asset markets. However, other macroeconomic risks such as those associated with...

Abstrak Tujuan dari penelitian ini untuk meneliti pengaruh profitabilitas, likuiditas, pertumbuhan penjualan dan struktur aset terhadap modal pada perusahaan properti real estat yang terdaftar di Bursa Efek Indonesia periode 2015-2020. Metode digunakan adalah metode deskripsi verifikasi. Populasi estate 2015-2020 sebanyak 79 perusahaan. Sampel diambil 36 menggunakan rumus slovin dengan kriteria...

The long-run risks model of asset prices explains stock price variation as a response to persistent ‡uctuations in the mean and volatility of consumption growth, by a representative agent with a high elasticity of intertemporal substitution. This paper documents that the model fails to …t aggregate asset prices in several important ways. The model implies that long-run consumption growth should...

The booming U.S. economy of the 1990s has created the impression that all American households are doing well, particularly in terms of wealth acquisition. Our results show that this is decidedly not the case. In this paper, we develop several measures of “asset poverty” and use them to document changes from 1983 to 1998 in the extent to which American households are unable to rely on an asset c...