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Persistent link: https://www.econbiz.de/10000801583
The paper provides a comprehensive assessment of the latest German corporate income and capital tax reform, which entails a major shift of the capital tax burden from the firm to the household level. Using a dynamic two-country computable general equilibrium model with integrated capital...
Persistent link: https://www.econbiz.de/10010509614
This paper suggests using portfolio management methods in policy planning models as a practical tool for determining optimal policy under model parameter uncertainty. We suggest that in addition to calculating the standard policy return estimates, policy options should also be analyzed from the...
Persistent link: https://www.econbiz.de/10012419412
We study the link between timing of cash flows and expected returns in general equilibrium production economies. Our model incorporates (i) heterogenous exposure to aggregate pro- ductivity shocks across capital vintages, and (ii) an endogenous stock of growth options. Our economy features a...
Persistent link: https://www.econbiz.de/10013062629
Persistent link: https://www.econbiz.de/10011927137
Persistent link: https://www.econbiz.de/10011861957
We propose a production-based general equilibrium model to study the link between timing of cash flows and expected returns both in the cross section of stocks and along the aggregate equity term structure. Our model incorporates long-run growth news with time-varying volatility and slow...
Persistent link: https://www.econbiz.de/10012974822
and wealth increment and their utility for any agent instead of consumption, a permanent change of equilibrium theory, a …
Persistent link: https://www.econbiz.de/10013235726
In this paper, a model of bounded rational investors investing their portfolio in a passive investment vehicle (e.g., an Exchange Traded Fund replicating a broad index) or an actively managed fund is presented. The model proposes that the quick reswitching of these short-term oriented investors...
Persistent link: https://www.econbiz.de/10009521601
Asymmetric shocks are common in markets; securities'; payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices. A three funds separation theorem...
Persistent link: https://www.econbiz.de/10003560573