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The ideal inflation indexed bond and Irving Fisher's impatience theory of interest in an overlapping generations world

Geanakoplos, John - 2003

Persistent link: https://www.econbiz.de/10001774957

The ideal inflation-indexed bond and Irving Fisher's impatience theory of interest with overlapping generations

Geanakoplos, John - In: The American journal of economics and sociology 64 (2005) 1, pp. 257-306

Persistent link: https://www.econbiz.de/10002918991

Comments on John Geanakoplos's " The ideal inflation-indexed bond and Irving Fisher's impatience theory of interest with overlapping generations"

Shiller, Robert J. - In: The American journal of economics and sociology 64 (2005) 1, pp. 307-310

Persistent link: https://www.econbiz.de/10002919007

Comments on John Geanakoplos's " The ideal inflation-indexed bond and Irving Fisher's impatience theory of interest with overlapping generations"

Shiller, Robert J. - In: Celebrating Irving Fisher : the legacy of a great economist, (pp. 307-310). 2005

Persistent link: https://www.econbiz.de/10003297117

The ideal inflation-indexed bond and Irving Fisher's impatience theory of interest with overlapping generations

Geanakoplos, John - In: Celebrating Irving Fisher : the legacy of a great economist, (pp. 257-306). 2005

Persistent link: https://www.econbiz.de/10003297120

Asset Pricing in a Low Rate Environment

Azinović, Marlon; Cole, Harold L.; Kubler, Felix - National Bureau of Economic Research - 2023

We examine asset prices in environments where the risk-free rate lies considerably below the growth rate. To do so, we introduce a tractable model of a production economy featuring heterogeneous trading technologies, as well as idiosyncratic and aggregate risk. We show that allowing for the...

Persistent link: https://www.econbiz.de/10014436963

Asset pricing in OLG economies with borrowing constraints and idiosyncratic income risk

Harenberg, Daniel - 2018

This paper analyzes how the combination of borrowing constraints and idiosyncratic risk affects the equity premium in an overlapping generations economy. I find that introducing a zero-borrowing constraint in an economy without idiosyncratic risk increases the equity premium by 70 percent, which...

Persistent link: https://www.econbiz.de/10011900994

Pricing and hedging of inflation-indexed bonds in an affine framework

Eksi, Zehra; Filipović, Damir - 2013

ffine property, we compute the nominal and inflation-indexed bond prices explicitly. We derive no-arbitrage drift conditions … for the factor process. Then, we perform a novel hedging analysis where our objective is to replicate an indexed bond of a … U.S. bond data and perform an in-sample hedging analysis. Having relatively small in-sample hedging errors, we validate …

Persistent link: https://www.econbiz.de/10010257509

Can risk models extract inflation expectations from financial market data? : evidence from the inflation protected securities of six countries

Kita, Arben; Tortorice, Daniel L. - 2018

Persistent link: https://www.econbiz.de/10012063682

Fiscal policy and the nominal term premium

Kaszab, Lorant; Marsal, Ales - 2013

Distortionary income taxation in a standard New Keynesian model substantially increases the nominal term-premium on long-term bonds relative to a model with lumpsum taxes. Also the empirical level of the nominal term premium can be matched with lower risk-aversion coefficient in case of a model...

Persistent link: https://www.econbiz.de/10010222369