Asset pricing and productivity growth: The role of consumption scenarios

Volker Böhm*, Tomoo Kikuchi, George Vachadze

*この研究の対応する著者

研究成果: Article査読

3 被引用数 (Scopus)

抄録

The paper analyzes the performance of asset prices implied by an aggregate macroeconomic growth model under two different consumption hypotheses: overlapping generations of agents with two period lives versus the infinitely lived agent. The production side of the economy is described by a random growth model with a competitive labor market and an exogenously given random dividend payout ratio. For an isoelastic technology with multiplicative production shocks this implies a random dynamical system for the firm's rate of profit with a unique asymptotically stable random fixed point for a large class of productivity growth and dividend payout ratio processes. Based on an extensive numerical study of stationary solutions we show that the two consumption scenarios imply a limited number of diverse effects regarding equity and bond returns and equity premia.

本文言語English
ページ(範囲)163-181
ページ数19
ジャーナルComputational Economics
32
1-2
DOI
出版ステータスPublished - 2008 9月
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学および金融学(その他)
  • コンピュータ サイエンスの応用

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