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This paper introduces state dependent utility into the standard Mehra and Prescott (1985) economy by allowing the representative agent's coefficient of relative risk aversion to vary with the underlying economy's growth rate. Existence of equilibrium is proved and its asymptotic properties...
Persistent link: https://www.econbiz.de/10005518814
Persistent link: https://www.econbiz.de/10005397341
This paper introduces state dependent utility into the standard Mehra and Prescott (1985) economy by allowing the representative agent’s coefficient of relative risk aversion to vary with the underlying economy’s growth rate. Existence of equilibrium is proved and its asymptotic properties...
Persistent link: https://www.econbiz.de/10005612060
This article documents that hedge funds specializing in subprime mortgages did not take advantage of the housing bubble and they did not trade against it. Hedge fund capitalization is an important factor regarding how funds suffered during the crisis. Small funds suffered the most. Mid-cap...
Persistent link: https://www.econbiz.de/10010823607
The US housing market has experienced significant cyclical volatility over the last twenty-five years due to major structural changes and economic fluctuations. In addition, the housing market is generally considered to be weak form inefficient. Houses are relatively illiquid, exceptionally...
Persistent link: https://www.econbiz.de/10005716825
This Paper introduces state dependent utility into the standard Mehra and Prescott (1985) economy by allowing the representative agent’s coefficient of relative risk aversion to vary with the underlying economy’s growth rate. Existence of equilibrium is proved and its asymptotic properties...
Persistent link: https://www.econbiz.de/10005497824
We are interested in the macroeconomic implications of the separation of ownership and control. An alternative decentralized interpretation of the stochastic growth model is proposed, one where shareholders hire a self-interested manager who is in charge of the firm's hiring and investment...
Persistent link: https://www.econbiz.de/10005518799
The objective of this paper is to provide, in the context of a dynamic general equilibrium model, an answer to the following five questions: 1. To what extent does an economy subject to regular variations in labor productivity growth differ from one where labor productivity is constant? 2.What...
Persistent link: https://www.econbiz.de/10005518808
In this paper we entertain the hypothesis that observed variations in income shares are the result of changes in the balance of power between workers and capital owners in labor relations. We show that this view implies that income share variations represent a risk factor of ¯rst-order...
Persistent link: https://www.econbiz.de/10005518823
Persistent link: https://www.econbiz.de/10005518827