European Parliament Library

Asset Prices in Affine Real Business Cycle Models, Maral Shamloo, Aytek Malkhozov

Contributor
Abstract
We develop a tractable way to solve for equilibrium quantities and asset prices in a class of real business cycle models featuring Epstein-Zin preferences and affine dynamics for productivity growth and volatility. The method relies on log-linearization and exploits the log-normality of all the quantities. It is an easy substitute for more involved numerical techniques, such as higher order perturbation methods, and allows for easy implementation and analytical results. We show explicitly the link with perturbation techniques and find that the quantitative difference between the two is insignificant for several models of interest
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Setup; A. Preferences; B. Technology; C. Shocks; D. Stationary Version, Equilibrium Conditions and the Solution; E. Log-Normal Risk Adjustment: An Approximation Technique; III. Example 1: RBC with Recursive Preferences; A. Quantities and Prices; B. Log-Normal Risk; C. Theoretical Comparison with Second-Order Perturbation Methods; D. Quantitative Comparison with Second-Order Perturbation Methods; 1. Calibrating the Benchmark Parameters; 2. Comparing Coefficients in Perturbation Method and Log-normal Risk
Language
eng
Literary Form
non fiction
Note
"November 2010."
Physical Description
1 online resource (59 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9786613869036

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